Russian Banking System Model Subject to Bank's Need for Liquidity.

<p class="a"><span lang="EN-US">This study provides the Russian banking system investigation thought the instrumentality of the financial statement analysis and liquidity features of variables. Firstly all bank variables were separated due to their frequency and combined into homogeneous groups. Also tendencies that had place during the investigation period (2004 &ndash; 2013) were described and analyzed with the help of aggregated variables and its turnover velocities. Secondly, the minimum liquidity level (or the need for liquidity) chosen by the bank was estimated as a function of bank operation variables. To improve its quality and increase explanatory and predictive power not only end-of-month balances were used, but also inflows and outflows of every account characteristics. And finally the theoretical model of aggregated bank behavior was built and calibrated on Russian banks&rsquo; financial statement data. By means of this simulation, the set of parameters allowing us to reproduce dynamics of principal bank operation variables (for example loans, deposits and liquid funds) was obtained. Owing to the fact that model accuracy is rather high even the financial crisis of 2008 can be incorporated without imposing additional restrictions or explanatory factors. Moreover, the calibration was conducted through several steps that enable to estimate stability characteristics of parameters in case of, for example, changes of database (from smoothing variables to real values). In addition, such procedure because of step-by-step adjustment can incorporate more significant factors. And finally comparison of results between different phases demonstrates opportunities and restrictions of modeling with pre-estimated econometric coefficients.<o:p></o:p></span></p>