Факторы формирования премии за риск (Risk Premium Factors)

76 Pages Posted: 6 Jun 2019

See all articles by Ludmila Gadiy

Ludmila Gadiy

Gaidar Institute for Economic Policy

Sergey Drobyshevsky

Gaidar Institute for Economic Policy; Russian Presidential Academy of National Economy and Public Administration

Anna Kiyutsevskaya

Center for Macroeconomic Research, Alfa Bank

Pavel Trunin

Gaidar Institute for Economic Policy

Maria Chembulatova

Gaidar Institute for Economic Policy

Date Written: April 16, 2019

Abstract

Russian Abstract: В условиях ужесточения денежно-кредитной политики в развитых странах существенно возрастает значимость премии за риск как фактора, определяющего инвестиционную привлекательность страны-реципиента потоков капитала и, соответственно, направления финансовых потоков в мировой экономике. В этих условиях выбор индикатора, позволяющего сопоставить уровень риска в различных странах и сегментах финансового рынка, а также выявление детерминант премии за риск позволяют охарактеризовать роль глобальных и страновых факторов. Подобное разделение факторов для экономики России позволит определить основные направления повышения ее инвестиционной привлекательности.

English Abstract: While developed countries have been tightening their monetary policy, the importance of a risk premium as a factor that determines investment attractiveness of a recipient country and, accordingly, the direction of financial flows in the global economy significantly increases. In this context, the choice of an indicator allowing us to compare risk levels in different countries and segments of a financial market, and then identification of the risk premium’s determinants enable us to characterize the role of global and country-specific factors. Such a separation of these factors for the Russian economy will make it possible to determine the main directions of investment attractiveness’ increasing.

Note: Downloadable document is in Russian.

Suggested Citation

Gadiy, Ludmila and Drobyshevsky, Sergey and Kiyutsevskaya, Anna and Trunin, Pavel and Chembulatova, Maria, Факторы формирования премии за риск (Risk Premium Factors) (April 16, 2019). Available at SSRN: https://ssrn.com/abstract=3391150 or http://dx.doi.org/10.2139/ssrn.3391150

Ludmila Gadiy (Contact Author)

Gaidar Institute for Economic Policy ( email )

3-5 Gazetny Lane
Moscow, 125009
Russia

Sergey Drobyshevsky

Gaidar Institute for Economic Policy ( email )

Gazetny pereulok, 3-5
Moscow, 125993
Russia

Russian Presidential Academy of National Economy and Public Administration ( email )

Varnadskogo Avenue,82
Moscow, 119571
Russia

Anna Kiyutsevskaya

Center for Macroeconomic Research, Alfa Bank ( email )

Moscow
Russia

Pavel Trunin

Gaidar Institute for Economic Policy ( email )

Gazetny pereulok, 3-5
Moscow, 125993
Russia

Maria Chembulatova

Gaidar Institute for Economic Policy ( email )

Gazetny Lane 3-5
Profsouyznaya street
Moscow, Moscow 117485
Russia

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