Papers by Tsvetomira Tsenova
This paper compares the effectiveness, efficiency and robustness of standard and non-standard mon... more This paper compares the effectiveness, efficiency and robustness of standard and non-standard monetary policy tools, such as the banks ’ refinancing interest rate, penalty interest rate on deposit facility holdings and minimum reserve requirements on attracted deposits. The assessment is performed on the basis of a numerically evaluated open economy general equilibrium model for macro-prudential analysis where optimal decisions by internationally linked banks are key determinants of international financial flows and wider economic outcomes. Banks differ in terms of balance sheet endowments and risk preferences, and take decisions rationally and competitively. Default risk, borrowing and lending are endogenous results of individual decisions of private agents (banks and households), as well as systemic outcomes of market interaction. JEL: Keywords:
Proceedings of the International Conference on Agents and Artificial Intelligence, 2009
This article describes a machine learning based approach applied to acquiring empirical forecasti... more This article describes a machine learning based approach applied to acquiring empirical forecasting models. The approach makes use of the LAGRAMGE equation discovery tool to define a potentially very wide range of equations to be considered for the model. Importantly, the equations can vary in the number of terms and types of functors linking the variables. The parameters of each competing equation are automatically fitted to allow the tool to compare the models. The analysts using the tool can exercise their judgement twice, once when defining the equation syntax, restricting in such a way the search to a space known to contain several types of models that are based on theoretical arguments. In addition, one can use the same theoretical arguments to choose among the list of best fitting models, as these can be structurally very different while providing similar fits on the data. Here we describe experiments with macroeconomic data from the Euro area for the period 1971-2007 in which the parameters of hundreds of thousands of structurally different equations are fitted and the equations compared to produce the best models for the individual cases considered. The results show the approach is able to produce complex non-linear models with several equations showing high fidelity.
This monograph analyses the systemic impact of forthcoming provisions under Basel III related to ... more This monograph analyses the systemic impact of forthcoming provisions under Basel III related to banks’ capital adequacy in response to the global economic crisis. The study considers multiple policy channels which aim to achieve substantially higher capital adequacy standards, such as regulatory requirements, market-driven pressures and supervisory contingency stress tests of the banking system, as well as individual banking institutions. The analysis is based on detailed examination of current regulatory overhaul proposals and policy dilemmas, a critical review of the empirical and theoretical literature linking macroeconomics and financial intermediation and a quantitative impact assessment in the case of the Bulgarian banking system. The latter includes a dynamic identification of structural links between Bulgaria and the Euro area and an application of a general equilibrium model, incorporating financial intermediation, heterogeneity and default risk used for policy evaluation ...
SSRN Electronic Journal, 2015
This paper shows that monetary policy does and should respond systematically to time variation in... more This paper shows that monetary policy does and should respond systematically to time variation in ex-ante uncertainty and heterogeneity in private sector's views over the business cycle. Empirical tests are initially conducted on the basis of an augmented forward-looking Taylor rule framework, modified to account for learning and robustness. Normative justification is further provided by evaluating the optimal forecast-based monetary policy response under imperfect knowledge given a set of heterogeneous nested reference structural models, estimated to best fit private sector's forecasts in addition to contemporaneous data.
This paper compares the effectiveness, efficiency and robustness of standard and non-standard mon... more This paper compares the effectiveness, efficiency and robustness of standard and non-standard monetary policy tools, such as the banks ’ refinancing interest rate, penalty interest rate on deposit facility holdings and minimum reserve requirements on attracted deposits. The assessment is performed on the basis of a numerically evaluated open economy general equilibrium model for macro-prudential analysis where optimal decisions by internationally linked banks are key determinants of international financial flows and wider economic outcomes. Banks differ in terms of balance sheet endowments and risk preferences, and take decisions rationally and competitively. Default risk, borrowing and lending are endogenous results of individual decisions of private agents (banks and households), as well as systemic outcomes of market interaction. JEL: Keywords:
Proceedings of the International Conference on Agents and Artificial Intelligence, 2009
This article describes a machine learning based approach applied to acquiring empirical forecasti... more This article describes a machine learning based approach applied to acquiring empirical forecasting models. The approach makes use of the LAGRAMGE equation discovery tool to define a potentially very wide range of equations to be considered for the model. Importantly, the equations can vary in the number of terms and types of functors linking the variables. The parameters of each competing equation are automatically fitted to allow the tool to compare the models. The analysts using the tool can exercise their judgement twice, once when defining the equation syntax, restricting in such a way the search to a space known to contain several types of models that are based on theoretical arguments. In addition, one can use the same theoretical arguments to choose among the list of best fitting models, as these can be structurally very different while providing similar fits on the data. Here we describe experiments with macroeconomic data from the Euro area for the period 1971-2007 in which the parameters of hundreds of thousands of structurally different equations are fitted and the equations compared to produce the best models for the individual cases considered. The results show the approach is able to produce complex non-linear models with several equations showing high fidelity.
This monograph analyses the systemic impact of forthcoming provisions under Basel III related to ... more This monograph analyses the systemic impact of forthcoming provisions under Basel III related to banks’ capital adequacy in response to the global economic crisis. The study considers multiple policy channels which aim to achieve substantially higher capital adequacy standards, such as regulatory requirements, market-driven pressures and supervisory contingency stress tests of the banking system, as well as individual banking institutions. The analysis is based on detailed examination of current regulatory overhaul proposals and policy dilemmas, a critical review of the empirical and theoretical literature linking macroeconomics and financial intermediation and a quantitative impact assessment in the case of the Bulgarian banking system. The latter includes a dynamic identification of structural links between Bulgaria and the Euro area and an application of a general equilibrium model, incorporating financial intermediation, heterogeneity and default risk used for policy evaluation ...
SSRN Electronic Journal, 2015
This paper shows that monetary policy does and should respond systematically to time variation in... more This paper shows that monetary policy does and should respond systematically to time variation in ex-ante uncertainty and heterogeneity in private sector's views over the business cycle. Empirical tests are initially conducted on the basis of an augmented forward-looking Taylor rule framework, modified to account for learning and robustness. Normative justification is further provided by evaluating the optimal forecast-based monetary policy response under imperfect knowledge given a set of heterogeneous nested reference structural models, estimated to best fit private sector's forecasts in addition to contemporaneous data.
Bulgarian Journal of Agricultural Science
Food security is an important agricultural policy objective in most countries. In Bulgaria food s... more Food security is an important agricultural policy objective in most countries. In Bulgaria food security is achieved by measures focused on self-sufficiency. These policy measures in the grain sector result in substantial efficiency losses and lower growth. Partial equilibrium analysis was used to quantify the welfare effects and losses from different policy measures for the period 1991-1994. The results show that, during the whole period, consumers of farm products have been better off but the producers of cereals have been penalised. Bulgarian foreign exchange earnings have been reduced and net economic loss, resulting from misallocation of resources, have ranged from 220 m to 730 m leva per year. As a result, the short-term gains to consumers achieved by price and trade measures in the period were at expense of long-term gains to Bulgaria as a whole.
The groundbreaking of the original building yard for the Euro-pean Monetary Union (EMU) dates bac... more The groundbreaking of the original building yard for the Euro-pean Monetary Union (EMU) dates back to 1970 with the Werner Plan envisaging the gradual introduction of a single currency in member states of the European Union. The dollar and oil crises of 1971-1973 imposed a suspension to the construction process of almost ten years, followed by another decade of "learning by trial and error" within the European Monetary System (EMS), an alter-native governance framework for defying costly exchange rate risk. The real final steps for the introduction of the Euro were enacted only several years after the multiple crises brought up by the break-down of the EMS in the beginning of the 1990s.
This analysis reviews the experience of countries in Central and Eastern Europe before and during... more This analysis reviews the experience of countries in Central and Eastern Europe before and during the current Long Recession with the aim to distinguish underlying longer-term trends and draw possible conclusions for the future strategic goals of the European Union. In a movie directed by Woody Allen entitled “Like Anything Else,” an older and more experienced stand-up comedy writer gives advice to a younger colleague saying “Always strive for originality, but if you have to copy, copy from the best.” In the economic profession, copying the economic model and strategy of the best countries in terms of economic performance has been a universal practice brought up into wisdom. The collapse of the socialist system in Central and Eastern Europe at the end of the 80s, perished the thought on which is the best economic model to copy at national and global level. The ideal strategies to deliver prosperity included market liberalisation, integration in the world production chains, specialis...
The article aims at identifying and measuring the determinants of the European union enterprises’... more The article aims at identifying and measuring the determinants of the European union enterprises’ relocation in Bulgaria and their impact on the relations between foreign and local enterprises; an area, in which positive effects concerning the recipient country are expected. The transnational enterprises are engaged with local subsidiary when the costs for technological and another specific transfer are lower than the export costs. The initiatives of the transnational companies depend on the contract enforcement system. Different practices of foreign investors’ entering the country are discussed - through privatization deals as well as through the "Greenfield" investments. The third part of the paper contains the results from covariance and fixed effect models (FEM) for the impact of different sector characteristics on the ratio of FDI and production output of respective manufacturing sector are presented.
SSRN Electronic Journal, 2011
ABSTRACT This paper proposes a numerically evaluated open-economy multiperiod general equilibrium... more ABSTRACT This paper proposes a numerically evaluated open-economy multiperiod general equilibrium model for macro-prudential analysis of monetary and regulatory policies, where optimal decisions by internationally linked financial intermediaries are key determinants of international financial flows and wider economic outcomes. Financial intermediaries are different in terms of balance sheet endowments, liquidity and risk preferences, and take decisions on borrowing, lending and partial default rationally and competitively impacting the wider economy. Default risk is an endogenous result of individual decisions of private agents (banks, companies and households), as well as a systemic outcome of market interaction. The capabilities of the model are demonstrated in the study of pertinent policy scenarios and contingencies, such as effects of changes in the ECB’s interest rate on refinancing operations, changes in ECB’s penalty interest rate on the deposit facility, systemic consequences of Basel III, changes in banks’ liquidity requirements and a liquidity crunch of a major financial institution.
SSRN Electronic Journal, 2014
This paper presents a dynamic general equilibrium approach to analysing recent policy proposals o... more This paper presents a dynamic general equilibrium approach to analysing recent policy proposals on a resolution fund for direct recapitalisation of banks financed by banks. The model incorporates endogenous risk inherent in any economic activity due to imperfect information and incomplete financial markets, giving rise to dependence on banking finance and the possibility of default. Financial intermediaries could assume this risk ex-ante and support economic activity in expectation of ex-post monetary refinancing and recapitalisation. The downside of such policies and practices would be the resulting financial repression, i.e. erosion of household savings, and the instalment of moral hazard incentives in the economic decisions of banks and enterprises. In this setting we explore the short and long-term consequences of a burden-sharing scheme whereby banks contribute towards their own refinancing and recapitalisation.
SSRN Electronic Journal, 2000
ABSTRACT This paper formally proves that economic outcomes are not independent from the corporate... more ABSTRACT This paper formally proves that economic outcomes are not independent from the corporate governance system and its ability to protect shareholders’ rights. This is achieved by extending a neoclassical growth model to incorporate an imperfectly functioning market for managerial labour enabling management to maximise own private benefit alongside profit.
SSRN Electronic Journal, 2012
This paper compares the effectiveness, efficiency and robustness of standard and non-standard mon... more This paper compares the effectiveness, efficiency and robustness of standard and non-standard monetary policy tools, such as the banks' refinancing interest rate, penalty interest rate on deposit facility holdings and minimum reserve requirements on attracted deposits. The assessment is performed on the basis of a numerically evaluated open economy general equilibrium model for macro-prudential analysis where optimal decisions by internationally linked banks are key determinants of international financial flows and wider economic outcomes. Banks differ in terms of balance sheet endowments and risk preferences, and take decisions rationally and competitively. Default risk, borrowing and lending are endogenous results of individual decisions of private agents (banks and households), as well as systemic outcomes of market interaction.
SSRN Electronic Journal, 2002
Does corporate governance matter? Is it an important point with which politicians and economists ... more Does corporate governance matter? Is it an important point with which politicians and economists of transition economies have to deal? Which is the model of corporate governance that will help transition economies to move towards a sustainable path of growth? Why does the economic performance of the transition economies differ and could this be due to the different types of public ownership chosen in their process of restructuring? This paper tries to provide a theoretical explanation to these questions.
SSRN Electronic Journal, 2000
ABSTRACT This paper formally proves that economic outcomes are not independent from the corporate... more ABSTRACT This paper formally proves that economic outcomes are not independent from the corporate governance system and its ability to protect shareholders’ rights. This is achieved by extending a neoclassical growth model to incorporate an imperfectly functioning market for managerial labour enabling management to maximise own private benefit alongside profit.
Revue de l'OFCE, 2014
Distribution électronique Cairn.info pour OFCE. © OFCE. Tous droits réservés pour tous pays. La r... more Distribution électronique Cairn.info pour OFCE. © OFCE. Tous droits réservés pour tous pays. La reproduction ou représentation de cet article, notamment par photocopie, n'est autorisée que dans les limites des conditions générales d'utilisation du site ou, le cas échéant, des conditions générales de la licence souscrite par votre établissement. Toute autre reproduction ou représentation, en tout ou partie, sous quelque forme et de quelque manière que ce soit, est interdite sauf accord préalable et écrit de l'éditeur, en dehors des cas prévus par la législation en vigueur en France. Il est précisé que son stockage dans une base de données est également interdit.
Uploads
Papers by Tsvetomira Tsenova