It is given a deterministic dynamic equation of exchange taking into account existence of production-sale cycles with different periods. Obtained equation is strictly based on stock-flow consistent approach. The equation is a sort of law of money conservation. It is confirmed that Fisher's...

Sequentially examining the full chain of events starting from the default of firms through the fire-sale of goods towards write-offs of bad loans, a new matrix of financial transactions was developed. It was shown that if firms have no equities, the cost of default of those firms is equal zero....

A continuous-time deterministic model for analytical simulation of an impact of changes in credit turnover, term to maturity structure and rollover rate on balances of time banking deposits, i.e., preferences of depositors, is developed. The model allows taking into account an attraction of new...

A simple approach to explicit estimating a credit limit for a firm that is based on Moody's KMV model is developed. It allows taking into account term to maturity of loan, quality of assets, a structure of a balance sheet and required level of default probability. The proposed approach describes...

It is developed the analytical approach based on the future value concept to directly extract the forward yield curve from the fixed coupon-bearing bond prices. It meets the next no-arbitrage condition: the rates of return on zero-coupon and coupon bonds with the same maturities should be equal....

The simple model of a small open emerging economy with full consumption of all manufactured products based on stock-flow consistent approach is developed. The transactions-flow matrix for emerging economy is defined. It takes into account banks' lending to produce goods by firms. The model...

To price bank's assets correctly, it is important to know cost of funds. But funding cost calculation is complicated due to the fact that banks fund long-term assets through short-term liabilities. As a result, assets with a given time to maturity are usually financed by several liabilities with...

In this paper, to estimate a credit risk spread the interest losses are proposed to recognize immediately after default of a loan, i.e. to stop accrual of interests on defaulted loan. While a common approach supposes the recognition of interest losses on the defaulted loan only at maturity and,...

An empiric data about behavior of actual provisions ratio under a rapid growth of the Ukrainian banking system that occurred before January 1, 2008 is analyzed. It is given the results for dynamics of provisions that calculated by the dynamic model and propositions directed towards improving...