Rational Expectation Model of Modern Russian Banking System and the Strong Turnpike Property

Abstract

An econometric analysis of modern Russian banking system is carried out. A set of discovered relations was used as constraints in a mathematical model of banking system under the assumption of rational expectation (perfect foresight) of agents. A strong turnpike property is found: agents' optimal equilibrium plans are independent of the future information variables. The turnpike property allows reduction of bank's boundary problem to dynamic problem.banking system of Russia, general equilibrium model, rational expectation