zviad zedginize makroekonomikuri da finansuri...
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ivane javaxiSvilis saxelobis Tbilisis saxelmwifo universiteti
ekonomikisa da biznesis fakulteti
zviad zedginiZe
makroekonomikuri da finansuri urTierTkavSirebis
modelireba saqarTvelos magaliTze
ekonomikis doqtoris akademiuri xarisxis
mosapoveblad warmodgenili sadisertacio naSromi
mecnier-xelmZRvaneli: profesori nodar xaduri
Tbilisi
2015
avtoris stili daculia
2
Sesavali.......................................................................................................................................5
თავი I. globaluri finansuri krizisi da makroprudenciuli politikis
ganviTareba .................................................................................................................................7
1 msoflio finansuri krizisi da misi Sedegebi ..............................................7
2 krizisis dasaZlevad gatarebuli RonisZiebebi ........................................13
3 makroprudenciuili politikis ganviTareba..................................................20
4 saqarTvelos safinanso seqtoris ganviTareba da globaluri
finansuri krizisis gavlena.........................................................................................28
თავი II. makrofinansuri urTierTkavSirebis modelirebis istoria da
arsebuli midgomebi..............................................................................................................47
1 makrofinansuri kavSirebis mimoxilva ..............................................................47
2 makrofinansuri kavSirebis Tanamedrove midgomebi....................................55
3 modeli SezRudvebiT sagiravno aqtivebze .....................................................63
4 modeli xarjiani verifikaciiT ...........................................................................69
5 moralurobis riski I (“Running Away” modeli) ...............................................74
6 moralurobis riski II (“Unobserved Banker Effort”, bankis mier naklebi
Zalisxmeva) ............................................................................................................................80
თავი III. makro-finansuri modeli saqarTvelosTvis ........................................85
1 modelis mikroekonomikuri safuZveli.............................................................90
2 Semosavlianobis mrudi............................................................................................98
3 makroprudenciuli politika da makrofinansuri kavSirebi................103
4 sakredito portfeli..............................................................................................108
5 erToblivi moTxovna...............................................................................................109
6 erToblivi miwodeba................................................................................................110
7 gacvliTi kursi.........................................................................................................111
8 monetaruli politika ............................................................................................113
თავი IV. modelis empiriuli analizi....................................................................114
1 parametrizacia da baiesianuri Sefaseba.......................................................114
2 istoriuli analizi kalman filtris gamoyenebiT ..................................123
3 modelis implusze reaqciis analizi .............................................................131
თავი V. prognozireba da alternatiuli scenarebis analizi ....................146
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1 prognozi sabaziso scenariT..............................................................................146
2 alternatiuli scenarebis analizi .................................................................150
daskvna ......................................................................................................................................154
A. danarTi ............................................................................................................................164
gamoyenebuli literatura ..............................................................................................183
დიაგრამები
diagrama I.1 kapitaliს Sedineba ganaviTarebad qveynebSi, wminda (mlrd aSS
dolari) ......................................................................................................................................... 13diagrama I.2 centraluri bankebis aqtivebi (2004 ian. = 100).................................... 17diagrama I.3 vali mSp-sTan mimarTebaSi, % ...................................................................... 18diagrama I.4 saqarTvelos suverenuli obligaciebis spredi (procentis
sabaziso punqtebSi) .................................................................................................................. 33diagrama I.5 realuri mSp-s zrda, (wliuri, prcentebSi).......................................... 34diagrama I.6 umoqmedo sesxebis wili portfelSi (procentebSi) ......................... 35diagrama I.7 biujetis deficiti da sagareo vali mSp-s procentebSi
(procentuli punqti) ................................................................................................................ 36diagrama I.8 uZravi qonebis fasebis indeqsi (ian. 2007 = 100).................................. 39diagrama I.9 valdebulebebis struqtura (mln. lari, gacvliT kursis
efeqtis gamoricxviT) .............................................................................................................. 40diagrama I.10 ekonomikaze gacemuli sesxebi (mlrd lari) ...................................... 41diagrama I.11 sesxebis depozitebTan Tanafardoba...................................................... 42diagrama I.12 kapitalis adeqvaturobis koeficientis cvlilebis
kontributori faqtorebi ...................................................................................................... 44diagrama I.13 levareji ............................................................................................................. 45diagrama III.1 makroprudenciuli politikis damokidebuleba ekonomikis
biznes ciklze........................................................................................................................... 104diagrama IV.1 parametrebis baiesianuri Sefasebis Sedegebi ............................... 120diagrama IV.2 faqtiuri da potenciuri mSp ................................................................ 124diagrama IV.3 faqtobrivi da potenciuli realuri mSp-s zrda, Warbi mSp . 125diagrama IV.4 sesxebi mSp-sTan fardoba da misi trendi ...................................... 126diagrama IV.5 Warbi mSp dekompozicia faqtorebis mixedviT .............................. 127
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diagrama IV.6 sesxebis mSp-sTan fardobis dekompozicia ..................................... 129diagrama IV.7 adgilobrivi moTxovnis Soki ................................................................ 136diagrama IV.8 miwodebis Soki .............................................................................................. 138diagrama IV.9 kapitalis kontrcikluri buferis Soki .......................................... 139diagrama IV.10 sakredito Soki ........................................................................................... 140diagrama IV.11 qveynis risk premiis Soki ....................................................................... 142diagrama IV.12 sagareo moTxovnis Soki ......................................................................... 144diagrama IV.13 ucxouri saprocento ganakveTis Soki ............................................. 145diagrama V.1 ZiriTadi cvladebis saprognozo dinamika ....................................... 148diagrama V.2 cvladebis stoqasturi saprognozo dinamika ................................. 150diagrama V.3 alternatiruli saprognozo scenarebi ............................................. 153
ცხრილები
cxrili II-1 bankis gamartivebuli sabalanso uwyisi ............................................... 49cxrili II-2 arasafinanso kompaniis gamartivebuli sabalanso uwyisi ............ 50cxrili IV-1 modelSi gamoyenebuli monacemebi ......................................................... 122cxrili A-1 modelSi gamoyenebuli cvladebi ............................................................ 164cxrili A-2 modelis parametrebi ..................................................................................... 167cxrili A-3 mdgradi wonasworobis parametrebi ....................................................... 171cxrili A-4 baiesianuri Sefasebis Sedegebi ................................................................ 180
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Sesavali
globalurma finansurma krizisma naTlad warmoaCina markoekonomikuri da
finansuri urTierTkavSirebis siRrmiseuli analizis saWiroeba. amdenad,
makroekonmistebis did gamowvevad iqca iseTi analitikuri meTodebis
SemuSaveba, romlebic aramxolod warsuli krizisebis analizis, aramed
SesaZlo krizisebis riskebis sapasuxod, swori politikis ganxorcielebas
Seuwyobs xels. krizisma cxadyo, rom cal-calke makroekonomikurma da
finansuri seqtoris analizma maTi dinamikuri urTierTkavSirebis
gaTvaliswinebis gareSe, SesaZloa araswor daskvnamde migviyvanos (mag.
Blanchard, Ariccia, Maoro, 2012, 2013). safinanso seqtoris zedamxedvelobis
politikaSi sistemuri xasiaTis riskebis arasaTanadod Sefaseba da
Sesabamisi midgomebis ararseboba, finansuri krizisis erT-erT
xelmSemwyob mizezad iqca. krizisis Semdgom makroekonomikistebis mier
mzardi yuradReba eTmoba makroprudenciuli politikis analizsa da misi
instrumentebis efeqtianad gamoyenebas. msoflios wamyvani institutebis
kvlevebSi naTlad iyo xazgasmuli (mag. Macroeconomic Asseement Group, 2010),
rom politikis gamtarebelTaTvis umTavres gamowvevas warmoadgens swori
balansis dacva, erTi mxriv, finansuri krizisebis SesaZlo moxdenis
riskebis Semcirebasa da Sesabamisi makroprudenciuli politikis
ekonomikur danaxarjs Soris, romelic normalur pirobebi unda gaiRos
qveyanam.
am yovelives fonze, gansakuTrebul aqtualobas iZens makroekonomikuri
modelebis ganviTareba, romlebic gaiTvaliswinebs finansur da
makroekonomikur kavSirebs. winamdebare naSromi swored am sakiTxis
eZRvneba. kerZod, naSromSi agebulia modeli, romelic moicavs
makrofinansur urTierTkavSirebs. modeli SesaZleblobas iZleva: (I)
gavanalizoT kerZo seqtoris Warbi dakreditebisa da Sesabamisad,
leverejis zedmetad zrdis riskebi; (II) ganvaxorcieloT makroekonomikuri
prognozireba makroprudenciuli da monetaruli politikis
endogenurobis pirobebSi; (III) iyos gzamkvlevi makoroprudenciuli da
monetaruli politikis dadgenisTvis; (IV) gavaanalizoT sxvadasxva
hipoTeturi stres-scenarebi da maTi sapasuxo optimaluri politika; (V)
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xeli SevuwyoT makroekonokuri politikis sxvadasxva instrumentebis
koordinacias.
modeli ganekuTvneba axal-keinzianuri modelebis klass, mcire da Ria
tipis ekonomikisaTvis da moicavs finansur seqtors. igi efuZneba
dinamiuri, stoqasturi zogadi wonasworobis (Dynamic Stochastic General
Equilibrium, DSGE) modelirebas, Tumca naxevradstruqturulia, rac
damaxasiaTebelia politikis analizisTvis gankuTvnili modelebisTvis.
modelis parametrebi Sefasebulia saqarTvelos istoriul monacemebze.
aRniSnuli makro-finansuri modeli msgavsia monetaruli politikis
analizisTvis gankuTvnili modelebis, Tumca damatebiT igi
gamdidrebulia finansuri friqciebis modelirebiT. makroprudenciuli
politika endogenurad aris warmodgenili kapitalis buferis kontr-
cikluri wesiT1.
naSromi organizebulia Semdegnariad: I-Tavi warmoaCens naSromSi dasmuli
sakiTxis mniSvnelovnebas globaluri finansuri krizisis, misi
saqarTveloze gavlenisa da makroprudenciuli politikis gaanalizebiT;
II-Tavi mimoixilavs naSromSi warmodgenili sakiTxis Sesaxeb arsebul
kvlevebs da makrofinansuri modelirebis ZiriTad midgomebs; III- TavSi
aRwerilia makro-finansuri modeli saqarTvelosTvis, misi struqtura,
parametrizacia da ZiriTadi Tvisebebi; IV da V TavebSi warmodgenilia
modeli da misi ZiriTadi Sedegebi.
1 kontr–cikluri wesi gulisxmobs bankebisTvis minimaluri dasacavi kapitalis normiszrda ekonomikuri bumis dros, xolo mis Semcireba recesiis dros.
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თავი I. globaluri finansuri krizisi da makroprudenciuli
politikis ganviTareba
1 msoflio finansuri krizisi da misi Sedegebi
msoflio ekonomikaze mniSvnelovani gavlena iqonia globalurma
finansurma krizisma, romelic meore msoflio omis Semdeg yvelaze did
gamowvevad iqca msoflios ekonomikuri garemosTvis. finansuri krizisisgan
gamowveuli danakargebi, qveynebis mixedviT mSp-is 6% – 14% farglebSia1 da
mosalodnelia, rom misi uaryofiTi Sedegebis aRmofxvras kidev mravali
weli dasWirdeba.
krizisi ramdenime etapad ganviTarda. 2007 wlis dasawyisSi aSS-s uZravi
qonebis bazarze dawyebuli problemebi maleve gadaizarda ganviTarebuli
qveynebis finansur krizisSi. msoflios umsxvilesi safinanso institutebis
danakargebs, sakredito pirobebis gamkacreba da dakreditebis Semcireba
moyva, ramac ekonomikuri aqtivobis Seferxeba ganapiroba. situacia
mkveTrad gauaresda da globalur ekonomikur krizisSi gadaizarda 2008
wlis seqtemberSi, rodesac msoflios ramdenime umsxvilesi safinanso
instituti gakotrda.
Tavdapirvelad aSS-s safinanso bazrebze daZabuloba e.w. „sabpraim“
ipoTekuri sesxebis problemebs moyva. krizisis dasawyisSi misi gavlena
msoflios ekonomikaze, gansakuTrebiT ki ganviTarebadi da mzardi
ekonomikis mqone qveynebze, sakmaod mokrZalebuli iyo. finansuri krizisis
ZiriTad mizezs uZravi qonebis buSti warmoadgenda, romlis warmoqmnas
xeli Seuwyo axalma finansurma instrumentebma. am ukanasknels, Tavis
mxriv, globalurma makroekonomikurma disbalansma Seuwyo xeli, romelsac
CineTis da navTobis eqsportiori qveynebis mier maRali danazogebi qmnida.
1 Sefaseba miRebulia mSp-s mimdinare donis SedarebiT im warmosaxviT donesTan, romelic
finansur krizis gareSe iqneboda (BIS, 84th Annual Report, III Growth and Inflation: drivers andprospects).
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maRali danazogebis pirobebSi, investiciebis aTvisebas adgilobrivi
ekonomika veRar axerxebda da Sesabamisad maT saerTaSoriso aqtivebis
dagroveba uwevdaT. amas isic amwvavebda, rom es qveynebi umetesad
fiqsirebuli, an marTvadi kursis pirobebSi funqcionirebdnen da
adgilobriv valutas sakmarisad gamyarebis saSualebas ar aZlevdnen, rac
centraluri bankis saerTaSoriso rezervebs zrdida. Sesabamisad, didi
odenobiT investiciebi iqna mimarTuli ganviTarebuli qveynebis
grZelvadian da urisko aqtivebSi, rasac Sedegad maTi sargeblis
ganakveTebis Semcireba mohyva. es procesi aviwrovebda ganviTarebuli
qveynebis komerciul bankebs, romelTac dabali sargeblis ganakveTebis
gamo Semcirebuli Semosavlianobis kompensacia ufro riskiani
dakreditebiT uwevdaT.
bankebma axali finansuri instrumentebis Seqmna daiwyo, romlebic erTi
SexedviT momgebiani da usafrTxo Canda. e.w „sekuritizacia“1 da
„struqturirebuli finansuri instrumentebi“ aRmoCnda is saSualeba,
romliTac maRalriskiani aqtivebidan (maT Soris dabali sakredito
standartebiT gacemuli riskiani ipoTekuri sesxebidan (e.w. „subpraim“
sesxebidan)), SedarebiT dabalriskiani da likviduri finansuri aqtivebis
sinTezireba gaxda SesaZlebeli. am instrumentebiT finansuri seqtori
uZravi qonebis bazars didi odenobis dakreditebas awvdida, ramacc
ganapiroba fasebis xangrZlivi da swrafi zrda. fasebis mzardi tendencia
spekulaciur molodinebSi gadaizarda, rac Tavis mxriv kidev ufro
amwvavebda fasebis zrdis tendencias2.
riskiani aqtivebidan dabalriskiani finansuri aqtivebis Seqmnis idea
statistikur princips efuZneba, romlis mixedviTac idiosinkratuli riskis
Semcireba diversificirebis meSveobiT aris SesaZlebeli. Sesabamisad,
sekuritizaciam Seqmna saSualeba imisa, rom riskiani aqtivebis iseTnairi
struqturireba momxadiriyo, rom maTgan dabali riskis mqone fuladi
nakadebis miReba yofiliyo SesaZlebeli. aRniSnuli midgoma advilad
1 aRniSnuli gulisxmobs, rom mag. sxvadasxva ipoTekuri sesxebis gaerTianebas erT aqtivad,romelic Semdgom SesaZloa gadaiyidos investorze. am fasiani qaRaldis ukan kvlavipoTekuri sesxebi dgas, Tumca nacvlad erTisa ukve ramdenime.2 Self-fulfilling expectations.
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gavrcelda bankebis saqmianobaSi, radgan igi erTi SexedviT, riskebisgan
martivad dazRvevis saSualebas warmodgenda, rac bankebisTvis riskiani
dakreditebis mimzidvel saSualebas qmnida.
ekonomikuri ciklis aRmavlobis fazaSi mocemuli finansuri instrumentebi
marTlac dabali riskiT xasiaTdeboda, Tumca sistemuri riskis mimarT
Zalian mgrZnobiareni aRmoCndnen. finansuri bazris ekonomikur amocanas
riskis Sefaseba da kapitalis optimalurad gadanawileba warmoadgens.
Tumca, rogorc aRmoCnda, rTul instrumentebTan mimarTebaSi, finansurma
bazarma am funqciis Sesruleba ver SeZlo da riskis marTvis nacvlad
damatebiTi riski Seqmna. amis upirvelesi mizezi axali instrumentebis
gaumWvirvaloba iyo, rac maTi teqnikuri xasiaTidan gamomdinareobda.
warmoebuli sakredito instrumentebi, romlebic e.w. „sekuritizaciis“ da
„finansuri struqturirebis“ Sedegad iyo miRebuli, imdenad rTuli
aRmoCnda, rom masTan asocirebuli riskebis srulyofilad gaanalizeba
bazrisaTvis Zneli aRmoCnda. investorebi, srulad mienden sareitingo
saagentoebis Sefasebebs, ramac bazris monawileebis e.w. „jogur qcevas“
Seuwyo xeli.
Tavis mxriv, sareitingo saagentoebis mier riskebis araadekvaturad
Sefasebis mTavari mizezi misi procikluroba1 gaxda, rac sareitingo
kompaniebis meTodologiaSi sistemuri da makroekonomikuri riskebis
gauTvaliswineblobis Sedegi iyo. modelebi, romlebic riskebis Sefasebisas
stresuli scenarebis analizisTvis gamoiyeneboda, umeteswilad
ekonomikuri ciklis mxolod aRmavali fazis monacemebs eyrdnoboda da ver
iTvaliswinebda im mizez-Sedegobriv kavSirebs, romelic ekonomikuri
vardnis pirobebSi warmoiSveboda. realurad ki, is fasiani qaRaldebi,
romlebic TiTqmis urisko aqtivebad iyo Sefasebuli, gacilebiT
maRalriskiani aRmoCnda.
1sakredito reitingebis procikluroba gulisxmobs, rom ekonomikis bumis fazaSi,sareitingo Sefasebebi gadaWarbebulad maRalia, xolo ekonomikuri recesiis fazaSi
piriqiT. ix. Turner 2009 “The Turner Review: A regulatory Response to the Global Banking Crisis”, FinancialServices Authority, UK
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finansur bazarze riskebis dagrovebis erT-erT mizezs sazedamxedvelo
politikis „xarvezebi“ warmoadgenda, ramac sekuritizaciis cudi
praqtikis gamoyenebas Seuwyo xeli. safinanso seqtoris sazedamxedvelo
organoebma ver SeZles jerovnad epasuxaT finansuri inovaciebis swrafi
ganviTarebisTvis. im sazedamxedvelo organoebmac ki, romlebic yvelaze
ganviTarebul sazedamxedvelo praqtikas iyenebdnen, rogorc aRmoCnda
sakmaod gvian gaacnobieres, rom safinanso institutebi xSirad
garesabalanso aqtivebis gamoyenebiT cdilobdnen kapitalis damatebiTi
moTxovnisTvis daeRwiaT Tavi1.
sekuritizacia bankebs saSualebas aZlevda balansze arsebuli sesxebi
garesabalanso uwyisze gadaetanaT da finansur bazrebze gadaeyidaT, rac
maT damatebiTi sakredito resursis mozidvis saSualebas aZlevda. bankebi
sesxebis gacemis, struqturirebiT da gadayidviT marJas da sakomisio
Semosavlebs Rebulobdnen. bankis balansze arsebuli sesxi maRali
kapitalis moTxovnis obieqtia, Tumca, misi sekuritizaciis da gayidvis
Semdeg, is bankis savaWro fasian qaRaldebSi xvdeba, rac Tavis mxriv,
nakleb kapitals moiTxovs. sekuritazaciis Sedegad gamoTavisuflebuli
saxsrebi da kapitali kvlav sesxebis gacemas xmardeboda. es
sazedamxedvelo xarvezi bankebs saSualebas aZlevda riskebi kapitalis
zrdis gareSe gaezardaT.
safinanso seqtori, sxva seqtorebTan SedarebiT yvelaze maRali
leverejis2 pirobebSi funqcionirebs da mas e.w. „SezRuduli
pasuxismgeblobis problema“ axasiaTebs3. Sesabamisad, ararentabelobis
SemTxvevaSi bankebis mmarTvelTa interesebi ar aris yovelTvis
sazogadoebriv interesebTan Sesabamisi. safinanso seqtoris swored es
gansxvavebaa, maTi regulirebis erT-erTi mizezi. kerZod, arasworad
struqturirebuli interesebi xels uwyobs bankebs garkveul riskebze
1 magaliTad Caprio, Demirgüç-Kunt and Kane, 2008.2 leveraji warmoadgens kompaniis aqtivebis fardobas mis sakuTar kapitalTan (anuaqtivebis fardoba aqtivebs daklebuli valdebulebebTan).3 aRniSnuli, gulisxmobs, rom zaralis SemTxvevaSi bankisTvis maqsimaluri danakargiSemosazRvrulia kapitalis odenobiT. Sesabamisad, aqtivebis SesaZlo dakargvisas, bankiskapitali zarals mxolod nawilobriv faravs (bazelis mixedviT kapitalizaciis saSualodone 8%-ia).
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wavidnen, rac SesaZloa ar iyos sazogadoebriv interesebSi. kriziss win
uZRvoda is garemoeba, rom bankebma riskis Warbad aReba da finansur
zedamxedvelobis praqtikaSi arsebuli „xarvezebis“ gamoyeneba daiwyes,
xolo danakargebis realizaciis SemTxvevaSi, mTeli datvirTva
gadasaxadebis gadamxdelebze gadavida. Tavis mxriv, bankebis mmarTvel
menejerTa kompensaciis sqemebi ar iyo sworad Camoyalibebuli, rac maTTvis
grZelvadiani riskebis fasad moklevadiani sargebelis miRebis waxalisebas
axdenda (mag. Benanke, 2009).
yovelive aman finansur seqtorSi mniSvnelovani riskebis akumulireba
ganapiroba, rac erT-erT yvelaze mZime finansur krizisSi gadaizarda.
Tavdapirvelad e.w. „sabpraim“ ipoTekuri sesxebis gakotrebebi gaizarda,
rasac sareitingo kompaniebis mxridan msgavsi tipis aqtivebze sakredito
reitingebis mniSvnelovani gauareseba mohyva. Sesabamisad, aRmoCnda rom
finansur institutebs maRali fasi hqondaT gadaxdili am aqtivebis
SesaZenad (radgan egonaT, rom dabali riskis mqone iyo). aqtivebis
gadafasebam mravali finansuri institutis sabalanso uwyisis gauareseba
ganapiroba da maTi gadaxdisunarianobaze safuZvliani eWvi warmoSva.
bankebis sakuTari kapitali, romelic msgavsi SemTxvevebisTvis danakargebis
dafarvisTvis bufers warmoadgens, aRar iyo sakmarisi. aseve, mniSvnelovan
sirTuleebs waawydnen bankebi axali kapitalis mozidvisas, radgan
kapitalis saWiroeba totaluri xasiaTis iyo mTeli finansuri
sistemisTvis.
mTavrobebisa da centraluri bakebis mxridan gatarebuli zomebis
wyalobiT nawilobriv warmatebiT moxerxda aRniSnuli krizisis Sekaveba
2008 wlis seqtembramde. aseve, safinanso bazarze arsebobda gancda, rom
arsebuli msxvili finansuri institutebis gakotrebas mTavroba ar
dauSvebda (sakmarisad didi institutebi iyvnen saimisod, rom mTavrobas
maTi gakotreba daeSva, “too big to fail”). es gancda gaqarwylda im periodis
erT-erTi umsxvilesi bankis „lemon brazersis“ (Lehman Brother) gakotrebiT
am faqtma finansur bazarze uzarmazari jaWvuri reaqcia gamoiwvia. bazris
monawileebma gaacnobieres, rom gazrdili iyo finansuri institutebis
gakotrebis riskebi, ramac finansur institutebs Soris undobloba gaaCina.
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mkveTrad Semcirda, bankTa Soris vaWroba, bankebma riskiani aqtivebis
forsirebuli gayidva daiwyes (fire selling) da leverejis ukontrolod
Semcirebis procesi warimarTa, rac uZravi qonebis fasebis kidev ufro
metad Semcirebas ganapirobebda. am yovelives fonze, uprecedentod
gamkacrda ekonomikis dakreditebis standartebi, ramac ekonomikuri
aqtivoba mniSvnelovnad SezRuda.
moTxovnis Semcirebis gamo inflacia swrafad daeca, ramac e.w. „fiSeris
deflaciis efeqti“ gamoiwvia. fasebis Semcirebam sesxebis dafarva kidev
ufro gaarTula. am yovelives fonze, sakredito portfelis xarisxi ufro
da ufro uaresdeboda. finansuri siZneleebis gamo, sesxebis globalurma
danakargma 4,1 trilioni aSS dolari Seadgina.
globaluri finansuri krizisi dramatulad Seexo ganviTarebadi
ekonomikebis mqone qveynebs. kerZod, globaluri garemos gauaresebis fonze
mkveTrad Semcirda kapitalis Sedineba aRniSnul qveynebSi. aseve,
ganviTarebuli qveynebis mxridan moTxovnis Semcireba uaryofiTad aisaxa
ganviTarebadi qveynebidan eqsportze. aRniSnulma mkveTrad gaauaresa maTi
mimdinare angariSi (ix. diagrama I.1) da gacvliTi kursis devalvaciis winaSe
daayena ganviTarebadi ekonomikis qveynebi. fiqsirebuli gacvliTi kursis
reJimis mqone qveynebis ekonomika kidev ufro didi sirTuleebis winaSe
aRmoCdnen.
13
diagrama I.1 kapitaliს Sedineba ganaviTarebad qveynebSi, wminda (mlrd aSS dolari)
wyaro: saerTaSoriso safinanso instituti (IIF).
2 krizisis dasaZlevad gatarebuli RonisZiebebi
krizisis masStaburobis gamovlenasTan erTad, msoflios mravali
saxelmwifos mier uprecedento zomebi iqna miRebuli. mTavrobebis,
centraluri bankebisa da saerTaSoriso organizaciebis erToblivi
Zalisxmeva krizisis daZlevis da ekonomikaze misi uaryofiTi Sedegebis
Sesustebas isaxavda miznad. Tavdapirvelad aSS-Si dawyebuli krizisi
maleve mTel msoflios moedo da mravali qveynis finansuri institutebi
gakotrdnen, an sirTuleebis winaSe aRmoCndnen. ganviTarebuli qveynebis
finansuri da kapitalis bazrebis urTierTgadajaWvulobis fonze, krizisis
dasaZlevad gatarebuli RonisZiebebis kompleqsurobis da koordinaciis
14
saWiroeba Seiqmna. bankebis gadarCenisa (bailout) da stimulirebis paketze
samTavrobo xarjebma msoflio mSp-s 5 % Seadgina1.
pirvel etapze miRebuli zomebi bankebsa da sainvesticio fondebSi
arsebul danazogebze mTavrobebis mier farTomasStabian garantiebis
gacemasa da centraluri bankebis mxridan finansuri sistemisTvis
likviduri saxsrebis miwodebas moicavda. Tumca, aRniSnuli ar aRmoCnda
sakmarisi, rac krizisis ganviTarebis fonze maleve gaxda cnobili.
mTavrobebma ufro mkacr zomebs mimarTes, rac xSir SemTxvevaSi finansuri
institutebis gadarCenas (bailout), maTi nacionalizaciisa da danakargebis
saxelmwifos mier dafarvas gulisxmobda. Tavis mxriv msoflios ZiriTadma
centralurma bankebma e.w. „arakonvenciuri“ (unconventional) RonisZiebebis
gatareba daiwyes, monetaruli politikis arxebis gasaZliereblad.
krizisis daZlevis umTavres winapirobas finansuri seqtorisadmi
investorebis ndobis aRdgena warmodgenda. krizisis dawyebidan, romelic
safinanso seqtorSi likvidobis deficitis, sakredito danakargebisa da
aqtivebis fasebis dacemiT aRiniSneboda, Semdgom etapze safinanso
seqtorisTvis fuladi resursebis mozidvis problemebi warmoqmna da maTi
gadaxdis unarianobis problemebi gazarda. im droisTvis msoflios erT-
erTi umsxvilesi safinanso institutis Lehman Brothers -is gakotrebam ki
finansuri krizisi yvelaze intensiur fazaSi Seiyvana, rodesac globaluri
masStabiT safinanso institutebisadmi ndoba gaqra. saxelmwifoebis
Zalisxmeva mimarTuli iyo safinanso seqtorisadmi ndobis aRdgenisTvis da
msoflios ganviTarebuli qveynebis mier uprecedento zomebis erToblivad
gatarebis Sedegad met-naklebi warmatebiT ganxorcielda ndobis krizisis
(confidence crisis) daZleva.
2008 wlis 3 oqtombers, aSS-s kongresis mier miRebul iqna kanoni
problemuri aqtivebis daxmarebis Sesaxeb (Troubled Asset Relief Program).
aRniSnuli RonisZiebis farglebSi, 700 miliardi dolari iqna gamoyofili
aralikviduri aqtivebis SesaZenad safinanso institutebidan da am gziT
1 BIS 79th Annual Report 2009.
15
maTi danakargebis SemcirebisTvis. amave periodSi, didi britaneTis
mTavrobam britanuli bankebis nacionalizaciis kompleqsuri programa
gamoacxada. amas, evrokavSiris wevri qveynebis mier sabanko seqtorisadmi
garantiebis gacema da zogierT SemTxvevaSi bankebis nacionalizacia mohyva.
2008 wlis oqtomberSi, ndobis krizisi ukve lokalizebuli iyo. aSS-s da
didi britaneTis, aseve belgiis, germaniis, irladniis, holandiisa da sxva
qveynebis mier finansuri seqtorisadmi daxmarebam, gacemulma garantiebma
da kapitalis miwodebam sabanko sistemaze, finansuri seqtoris
stabilizacias Seuwyo xeli1. kerZod, am RonisZiebebis Sedegad safinanso
institutebis valdebulebebi nawilobriv saxelmwifos valdebulebad iqca,
ramac investorebis mxridan ndobis aRdgena da riskis marJebis Semcireba
ganapiroba. es ukanaskneli ki gansakuTrebiT mniSvnelovani iyo bankebis
valdebulebebis refinansirebisTvis da ekonomikis dakreditebis
aRdgenisTvis.
centraluri bankebis mxridan, krizisis Tavdapirveli pasuxi monetaruli
politikis ganakveTebis koordinirebulad Semcireba da iafi likvidobis
miwodeba iyo. centraluri bankebi monetaruli politikis miznebis
uzrunvelsayofad moklevadiani sargeblis ganakveTebis instruments
iyeneben. Tumca, finansuri krizisis fonze monetaruli politikis
gadacemis tradiciuli arxebi mniSvnelovnad SeizRuda2. safinanso
institutebis gadaxdisunarianobis problemebisa da informaciis
asimetriulobis gamo, bankTaSoris fulad bazrebze vaWroba
mniSvnelovnad Seferxda da arauzruvelyofili sesxebis sargeblis
ganakveTebi mkveTrad gaizarda. Sedegad, ekonomikis dakrediteba gamkacrda
imisda miuxedavad Tu ramdenad Seamcires centralurma bankebma
monetaruli politikis ganakveTebi3 . am pirobebSi, centralurma bankebma
axali instrumentebis SemoReba daiwyes, ris saSualebiTac ekonomikaSi
grZelvadiani sargeblis ganakveTebis Semcireba da dakreditebis
waxaliseba iyo SesaZlebeli.
1 BIS 79th Annual Report 2009.2 იხ. http://www.imf.org/external/pubs/ft/gfsr/2008/02/pdf/chap2.pdf3 ix. http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1328.pdf
16
centraluri bankebis mier tradiciuli, monetaruli arxiT ekonomikis
stimulirebis garda, pirveli nabiji iyo, rom Serbilda centralur
bankebSi ukve arsebuli instrumentebiT likvidobis miwodebis pirobebi.
kerZod, gaizarda im sagiravno aqtivebis nusxa, romlis bazazec safinanso
instituts SeeZlo centraluri bankisgan esesxa, gaezarda sesxebis
moculoba, vadianoba da im safinanso institutebis nusxa, romliTac
monetarul operaciebSi SeeZloT monawileoba mieRoT (Sesabamisad esesxaT
centraluri bankebisgan (counterparty financial institutions)). centralur bankTan
operaciebisTvis daSvebuli sagiravno aqtivebis nusxis gafarToebas
gansakuTrebuli mniSvneloba hqonda, ramdenadac sagiravno aqtivebis mwiri
moculoba ar gamxdariyo centraluri bankebis mxridan likvidobis
miwodebis SemzRudavi. unda aRiniSnos, rom likvidobis miwodebis zrda
SesabamisobaSia centraluri bankis mizanTan, kerZod, maT erT-erT
ZiriTad, bolo instanciis msesxeblis (lender-of-last-resort) funqciasTan, Tumca
krizisis periodSi gamoyenebuli masStabebi gacilebiT aRemateboda
tradiciulad gamoyenebul normebs.
finansuri krizisis ekonomikaze uaryofiTi efeqti maleve globalur
recesiaSi gadaizarda. msoflios wamyvani qveynebis centraluri bankebi
monetaruli politikis ganakveTebis nulovan niSnulamde Semcirebis
Semdgom SezRudulebi aRmoCndnen, rom damatebiT ekonomikis stimulireba
moexdinaT (zero-bound), ramac e.w. monetaruli politikis „raodenobrivi
Serbilebis“ (quantitative easing) saWiroeba ganapiroba. raodenobrivi
Serbileba gulisxmobs centraluri bankis mier saxelmwifo fasiani
qaRaldebis SeZenas Ria operaciebiT, rac miznad isaxavs grZelvadiani
sargeblis ganakveTebis Semcirebas , Sesabamisad ekonomikuri agentebis
dakreditebis zrdas da ekonomikis stimulirebas. aRniSnuli procesiT,
izrdeba ekonomikaSi mimoqceuli sarezervo fulis masa da Sesabamisad
centraluri bankis sabalanso uwyisi. xSir SemTxvevaSi, ganviTarebuli
qveynebis centraluri bankebis sabalanso uwyisi mniSvnelovnad izrdeba,
rac centraluri bankebis mier ekonomikis stimulirebis uprecendento
masStabebze miuTiTebs (იხ. diagrama I.2)
17
diagrama I.2 centraluri bankebis aqtivebi (2004 ian. = 100)
წყარო: IFS, International Financial Statistics
monetaruli politikis garda, saxelmwifoebma aqtiurad daiwyes fiskaluri
politkis gamoyeneba ekonomikis stimulirebisTvis. fiskaluri stimulis
saWiroebaze konsesusi msoflios masStabiT Sedga. aRniSnuli, erTi mxriv
ekonomikaze moqmedi uaryofiTi Sokis simwvavem, xolo, meore mxriv,
monetaruli politikiT uprecendento stimulirebis fonze misi
SesaZleblobis amowurvam ganapiroba. ganviTarebuli qveynebis suverenuli
vali mSp-sTan mimarTebaSi 2008 wlis Semdgom mniSvnelovnad gaizarda
(diagrama I.3). valis zrda nawilobriv ekonomikis stimulirebisa da
safinanso institutebis gadarCenisTvis gaweul xarjebs, nawilobriv ki,
Semcirebul sabiujeto Semosavlebs ukavSrdeba. qveynebs, romelTac
arsebuli valis done biujetis deficitis zrdis SesaZleblobas ar
aZlevdaT ekonomikuri krizisi ufro mwvaved SeexoT (mag. IMF, 2013, Reassessing
the role and Modalities of Fiscal Policy in Advanced Economies, 2013).
0
100
200
300
400
500
6002007M1
2007M5
2007M9
2008M1
2008M5
2008M9
2009M1
2009M5
2009M9
2010M1
2010M5
2010M9
2011M1
2011M5
2011M9
2012M1
2012M5
2012M9
2013M1
2013M5
2013M9
აშშ
ევროზონა
დიდი ბრიტანეთი
იაპონია
შვეიცარია
18
diagrama I.3 vali mSp-sTan mimarTebaSi, %
წყარო: IFS, International Financial Statistics
fiskalur eqspansias centraluri bankebis mier monetaruli politikis
Serbileba uwyobda xels. kerZod, ganviTarebuli qveynebis centraluri
bankebis mier mTavrobis obligaciebis SeZena, saxelmwifo valze
ganakveTebis Semcirebas ganapirobebda, rac fiskaluri politikis
efeqtianobas zrdida. kerZod, monetaruli stimulis fonze Semcirda
fiskaluri eqspansiis Sedegad sargeblis ganakveTebze zrdis zewola da
erToblivi moTxovnis SezRudvis riski (crowding out). aseve, monetarulma
stimulma Seamcira biujetSi valis momsaxurebis tvirTi, ramac xeli
Seuwyo kontrcikluri fiskaluri politikis ganxorcielebas, aRniSnuli
gamoixata imaSi, rom mTavrobebs miecaT SesaZlebloba gaezardaT biujetis
deficiti ekonomikuri recesiis sapasuxod.
krizisis periodSi valis mosalodnelze metad zrdam, suverenuli riskebi
warmoSva. zogierTi qveynebisTvis, miuxedavad imisa, rom krizisamde valis
sakmaod dabal niSnulze iyvnen safinanso sistemis gadasarCenad
daxarjulma resursebma valis mkveTri zrda ganapiroba. amas isic daemata,
rom evrozonis calkeul qveynebSi warmoSobili fiskaluri problemebis
mogvareba evrozonis erToblivi ZalisxmeviT mosalodnelze metad
gaWianurda, ramac investorTa ndoba Seamcira. am ukanasknelma ki riskis
marJebis zrda ganapiroba, ramac am qveynebis fiskaluri mdgradobis
19
SenarCuneba gaarTula. evrozonis is qveynebi, romelTac fiskaluri
problemebi hqondaT, erTian savaluto zonaSi yofna zRudavdaT, radgan
ver axerxebdnen gacvliTi kursis devalvaciiT moexdinaT ekonomikis
koreqtireba (adjustment). aRniSnuli garemoeba evrozonis wevri zogierTi
qveynis gamoyofis saSiSroebas warmoSobda, rac damatebiT asustebda
investorTa ganwyobas.
globaluri krizisis pasuxad saerTaSoriso safinanso
organizaciebma(IFI)mkveTrad gazarda dafinanseba, sesxebi da garantiebi.
kerZod, mas Semdeg rac gamoaSkaravda krizisis sruli masStabi da misi
uaryofiTi gavlena msoflio ekonomikaze, daxmarebis mizniT msoflio
bankis jgufi (World Bank Group1), saerTaSoriso savaluto fondi (IMF) da
sxvebi aqtiurad CaerTvnen Tavisi mandatis Sesabamisad. msoflio bankis
jgufis daxmareba Tavdapirvelad fokusirebuli iyo sesxebis zrdaze
saSualoSemosavlian qveynebze, xolo Semdgom ufro farTomasStabiani
RonisZiebebi gaatara, romelis farglebSic daxmareba yvela jgufis
qveynebs SeexoT. saerTaSoriso savaluto fondis mier 2009-2010 wlebSi
garantia iqna gacemuli 219 mlrd. aSS dolaris, Tumca faqtobrivad
aTvisebuli iqna 67 mlrd. aSS dolari. aseve moculobiTi iyo msoflio
bankis mier gacemuli garantiebi da gacemuli Tanxebi (imave periodSi 129
mlrd. da 81 mlrd. aSS dolari, Sesabamisad) 2.
saerTaSoriso safinanso institutebis daxmareba miznad isaxavda finansuri
mxardaWera aRmoeCina wevri qveynebisTvis, raTa SeemcirebinaT krizisis
uaryofiTi gavlena maT ekonomikaze da SeenarCunebinaT makroekonomikuri
stabiluroba. kerZod, miznobriobis kuTxiT sam ZiriTad mimarTulebas
moicavda: pirveli, 1) daecva yvelaze ekonomikis mqone qveynebi;
2)grZelvadiani infrastruqturuli proeqtebis dafinanseba gagrZelebuliyo
da 3) SeenarCunebina kerZo seqtoris wamyvani wvlili qveynis ekonomikur
zrdaSi.
1 romelic moicavs IBRD, IDA, IFC, MIGA.2 magaliTad The world Bank Group’s Response to the Global Economic Crisis, Independent Evaluation Group,2011.
20
3 makroprudenciuili politikis ganviTareba
finansurma krizisma mniSvnelovani gamowvevebis winaSe daayena safinanso
sistemis arsebuli struqtura da misi sazedamxedvelo politika.
msoflios sxvadasxva qveyanaSi rigi RonisZiebebi gaatares, raTa ,erTi
mxriv, SeekavebinaT finansuri krizisis uaryofiTi efeqti, xolo, meore
mxriv, daiwyes safinanso seqtoris sazedamxedvelo politikis
reformirebis grZelvadiani procesi. reforma miznad isaxavda
sazedamxedvelo praqtikaSi manamde arsebuli sisusteebis aRmofxvras da
RonisZiebebis ganxorcielebas, romelTa Sedegadac ufro Zlieri da
mdgradi safinanso sistema unda Camoyalibebuliyo (mag. BIS, 2011, 81st Annual
Report, V. Financial Regulatory Reform: Accomplishments, Pitfalls, Prospects).
am yovelives fonze, bolo wlebSi politikis gamtareblebisa da
makroekonomistebis mzardi yuradReba eTmoba finansuri regulirebis
meTodebis makroekonomikur analizs (mag. Blanchard, Dell’ Ariccia & Maoro 2012,
2013). debatebi ZiriTadad fokusirebulia makroprudenciul instrumentebsa
da maTi efeqtianad gamoyenebis gzebze, aseve makroprudenciuli da
monetaruli politikis urTierTkavSirsa da am yvelaferTan dakavSirebul
sirTuleebze.
makroprudenciuli politika gulisxmobs monitorings, Sefasebas da
finansuri stabilurobis iseT sazedamxedvelo politikis gatarebas,
romelic mimarTuli iqneba sistemuri riskebis aRmofxvrasa da finansuri
seqtoris prociklurobis (ciklis mimarTulebiT mzardi, procyclical)
ganeitralebaze. makroprudenciuli politika prevenciuli xasiaTisaa,
romlis mizania, erTi mxriv, gazardos finansuri sistemis medegoba
egzogenuri Sokebis mimarT, xolo, meore mxriv, SezRudos finansuri
disbalansis warmoqmna aqtivebisa da kreditebis bazarze, rac finansuri
krizisebis erT-erTi ZiriTadi maxasiaTebelia. finansuri bazarze
disbalansis Sesamcireblad gansakuTrebuli mniSvneloba eniWeba ciklis
21
sawinaaRmdego (countercyclical) politikis gatarebas da am mxriv riskebis
warmoqmnis xelSeSlas.
makroprudenciuli politikis erTi-erTi sakiTxi, romlis mniSvneloba
finansurma krizisma naTlad warmoaCina, aris sazedamxedvelo politikaSi
sistemuri midgomis aucilebloba. sistemuri xasiaTis riskebis
arasaTanadod Sefaseba finansuri krizisis erT-erTi gamomwvevi mizezi iyo.
bankebis maregulirebeli organoebi, rogorc wesi, fokusirebulni iyvnen
e.w. „ideosiknaratul“ - konkretuli bankisTvis damaxasiaTebel riskebze.
sistemuri xasiaTis riskebi mTlianad safinanso sistemas uqmnis safrTxes
da ara mxolod izolirebulad romelime konkretul instituts.
sistemuri riskebi ramdenime kategoriad SeiZleba daiyos. pirveli,
egzogenuri Sokebi, romelTac, magaliTad, ekonomikuri vardna ganekuTvneba,
sagareo Soki da sxva. am tipis Sokebi gulisxmobs Cvengan damoukidebeli
movlenis moxdenas. meore es aris, e.w. „gadamdebi efeqtebi“ (contagion),
romelic saerTaSoriso masStabiT, finansuri seqtoris maRali
integraciiT aris ganpirobebuli. mesame kategorias warmoadgens finansuri
disbalansis dagroveba, romelic endogenuri xasiaTis riskia da igi
xSirad bazris monawileTa, maTi maregulireblebis, centraluri bankebisa
da xelisuflebebis uyuradRebobiT grovdeba. amis magaliTia msoflio
finansuri krizisic, rodesac, erTi mxriv, Semcirebuli monetaruli
politikis sargeblis ganakveTebma da, meore mxriv, aragonivrulma
finansurma sazedamxedvelo politikam uZravi qonebis fasebis buSti
waaxalisa.
sistemuri riskis xasiaTis mixedviT, gansxvavebulia midgomebi, TiToeul
SemTxvevaSi makroprudenciulma politikam unda gamoiyenos. Tuki
egzogenuri Sokebis mimarT, makroprudenciulma politikam finansuri
sistemis medegoba unda akontrolos da gazardos, gadamdebi riskebisa da
finansuri disbalansis saSiSroebis SemTxvevebSi. maTi winaswari prevencia
da am tipis riskebis warmoqmnis xelSeSla unda ganaxorcielos. finansuri
krizisis Semdgom, am mimarTulebiT didi yuradReba gamaxvilda da ara
erTi instrumentis danergva daiwyo sazedamxedvelo politikaSi, romelic
22
sistemuri riskebis aRmofxvrisken aris mimarTuli. sistemuri riskebis
umTavres wyaros safinanso seqtoris procikluri xasiaTi warmoadgens.
finansuri sistemis prociklurobis safuZvels, bazarze informaciis
asimetriuloba qmnis. kerZod, rodesac ekonomikuri viTareba
gauaresebulia (recesiis dros) sagiravno aqtivis fasebi (uZravi qoneba,
firmebis kapitali) mcirdeba da uaresdeba firmebis sabalanso uwyisi,
Sesabamisad, momgebiani sainvesticio proeqtebic ki Znelad finansdeba,
xolo rodesac ekonomikuri pirobebi gaumjobesebulia (ekonomikuri
aRmavlobis fazaSi) sagiravno aqtivis fasebi matulobs, firmebi advilad
axerxeben dafinansebis moZiebas da es kidev ufro zrdis ekonomikur
aqtivobas. ekonomikuri da finansuri ciklebis aseT kavSirs „finansuri
aqseleracia“ ewodeba. unda iTqvas, rom garda finansuri aqseleraciisa,
arsebobs sxva faqtorebi, rac finansur seqtors prociklurobas sZens (mag.
Borio da sxvani 2001; Gertler, Kiotaki 2010; Rajan 2005). Tanamedrove kvlevebiT
iTvleba, rom prociklurobis damatebiT wyaros warmoadgens ekonomikuri
riskebis cvlilebis mimarT safinanso bazris monawileTa araadekvaturi
pasuxi. sxvadasxva faqtori xSirad ganapirobebs ekonomikuri bumis dros
riskebis arasaTanadod, xolo recesiis dros gadaWarbebulad Sefasebas.
finansuri seqtoris prociklurobis ganmapirobebeli erT-erTi
mniSvnelovani wyaro iyo aseve safinanso zedamxedvelobis politika,
romlis aRmofxvrazec krizisis Semdgom aqtiurad daiwyo muSaoba. kerZod,
sesxebis SesaZlo danakargebis mimarT darezervebis praqtika
standartulad iTvaliswinebs imas, rom SesaZlo danakargebis rezervi
mibmulia sesxebis momsaxurebis defaqto vadagadacilebaze. Sesabamisad,
ekonomikuri ciklis aRmavlobis fazaSi banks SesaZlo danakargebis mcire
rezervi sWirdeba, xolo ciklis daRmaval fazaSi (ekonomikuri stagnaciis
periodi), rodesac cudi xarisxis sesxebi Tavs gamoavlens, izrdeba
SesaZlo danakargebis rezervi. aseve, bazel II1-is mixedviT, moTxovnebi
1 sabanko zedamxedvelobis bazelis komiteti SeimuSavebs da gansazRvravs sabankozedamxedvelobisa da kanonmdeblobis saukeTeso praqtikas, romelsac rekomendaciebissaxiT awvdis msoflios qveynebis safinanso seqtoris maregulirebel organoebs. bazel IIwarmoadgens meore Taobis SeTanxmebas, romelic praqtikulad ukve 2010 – 2011 wlebSiCanacvlda bazel III-iT.
23
kapitalis adekvaturobis uzrunvelyofisTvis, procikluri xasiaTis
midgomiT gamoirCeoda. kapitalis moTxovnebi Serbilebulia sakredito
ciklis bumis dros, rac kidev ufro amwvavebs aRniSnul process.
sakredito ciklis daRmavlobisas, rodesac dakrediteba Semcirebulia,
kapitalis moTxovnebi mkacrdeba, rac kidev ufro zRudavs dakreditebas
da Sesabamisad es yovelive aferxebs ekonomikis gajansaRebas.
makroprudenciuli politikis farglebSi safinanso seqtoris regulireba
biznesciklze damokidebuli xdeba. kerZod, kapitalis adekvaturobis da
sesxebis SesaZlo danakargebis mimarT darezervebis normebi ciklis
sawinaaRmdego xasiaTis xdeba. aRniSnuli idea gulisxmobs, rom kapitalis
moTxovnebi unda gamkacrdes sakredito ciklis bumis periodSi, raTa
SeizRudos sakredito portfelis Warbad zrda, xolo moTxovnebi
Sesustdes daRmavlobis fazaSi, raTa waaxalisos dakreditebis zrda.
Sesabamisad, uzrunvelyos mastabilizebeli funqcia. makroprudenciuli
zedamxedvelobis politikiT sistemuri riskebis regulirebis SemTxvevaSi,
gansakuTrebul aqtualurobas iZens analitikuri meTodebi, rac
sazedamxedvelo normebis optimalurad dadgenisTvisaa saWiro. magaliTad,
raodenobrivad rogor unda iqnes Sefasebuli sakredito Tu biznesciklebi,
aseve rogor unda kalibrirdes makroprudenciuli politikis ZiriTadi
instrumentebi da sxva.
makroprudenciuli politikis instrumentebi sakmaod mravalferovania,
Tumca or ZiriTad kategoriad iyofa. pirvel kategorias ganekuTvneba
instrumentebi, romelTac droiTi ganzomileba gaaCnia. am kategoriis
instrumentebi gamiznulia finansuri sistemis prociklurobis
aRmosafxvrelad. meore, es aris riskebis ganawilebis SezRudvaze
orientirebuli instrumentebi (drois konkretul periodSi). droiTi
ganzomilebis mqone instrumentebidan yvelaze farTod gamoiyeneba
kapitalis ciklis sawinaaRmdego buferi (Countercyclical Capital Buffer), Loan-to-
Value (sesxis fardoba giraos fasTan), Debt-to-Income (valis momsaxurebis
tvirTi) da Dynamic Provisioning (sesxebis SesaZlo danakargebis mimarT
rezervebis dinamikuri wesi). riskebis ganawilebis SezRudvaze
orientirebuli instrumentebis gamoyeneba gulisxmobs damatebiT kapitalsa
24
da likvidur aqtivebze moTxovnas sistemurad mniSvnelovani bankebisTvis
(Systemically Important Financial Institutes), aseve SezRudvebs bankis araZiriTad
(araprofilur) saqmianobaze da sxva. makroprudenciuli politika
gansakuTrebul yuradRebas uTmobs sistemuri mniSvenlobis mqone bankebs,
romlebic sakmarisad didebia, rom mTavrobam maTi gakotreba dauSvas (too big
to fail) 1. aseT SemTxvevaSi, damatebiTi usafrTxoebis normebia saWiro, rom
erTi romelime bankis mxridan mTlianad finansur sistemas ar daemuqros
safrTxe da gadasaxadis gadamxdelebs ar daawveT tvirTad.
ciklis sawinaaRmdego buferis (countercyclical buffer) mizania, kapitalis
buferis gamoyenebis gziT miaRwios makroprudenciuli politikis ZiriTad
mizans da, erTi mxriv, SezRudos sabanko seqtori dakreditebis Warbi
zrdisgan (romelic xSirad sistemuri riskis warmoqmnasTan aris
dakavSirebuli (mag. Drehmann, Borio, Tsatsaronis, 2011; Drehmann da sxvani, 2010)),
xolo, meore mxriv, moamzados bumis Semdgom daRmasvlis fazaSi
danakargebis gaZlebisTvis. kerZod, instrumentis farglebSi Seqmnili
kapitalis buferi uzrunvelyofs sabanko seqtors hqondes sakmarisi
kapitali raTa dakreditebis Warbi zrdis Semdgom, stresis periodSi ar
Seferxdes ekonomikisTvis saWiro dakreditebis procesi. es ukanaskneli
mniSvnelovan faqtors warmoadgens makroekonomikuri stabilurobisTvis,
rac TavisTavad mniSvnelovani faqtoria imisTvis, rom safinanso seqtoris
damatebiTi danakargebi iqnes Tavidan acilebuli2.
garda imisa, rom ciklis sawinaaRmdego kapitalis buferi emsaxureba
sabanko seqtoris dacvas stresis periodSi, igi aseve asrulebs sistemuri
riskebis dagrovebis Semaferxebel funqcias (lean against the wind). kerZod,
kapitalis buferis gamoyenebiT SesaZlebelia gavzardoT dakreditebis
xarji da SevamciroT moTxovna, rodesac ikveTeba, rom warsul
tendenciebTan SedarebiT dakreditebis tempi Warbia. Tumca, unda aRiniSnos,
rom kapitalis sawinaaRmdego buferisTvis Warbi dakreditebis
1 damatebiTi informaciisTvis ixileT,FSB, 2013, Progress and Next steps Towards Ending “Too-Big-To-Fail” (TBTF).2 magaliTad BIS, 2010 (Guidelines for National Authorities Operating the Countercycylical Capital Buffer).
25
Semaferxebeli funqcia ar aris ZiriTadi, mis mTavar funqcias SesaZlo
stresis pirobebSi mdgradobis zrda warmoadgens.
aRniSnuli instrumentis gamoyenebisTvis, Sesabamisi uflebamosili
instituti xelmZRvanelobs saerTaSoriso praqtikiT, romelis mixedviTac
igi iyenebs mis xelT arsebul yvela informacias, raTa sworad Seafasos
warmoqmnili sistemuri riski da amis mixedviT daadginos bankebisTvis
kapitalis damatebiTi odenoba, romelic maT unda iqonion. bazelis mier
gamocemuli rekomendaciebis Tanaxmad kapitalis buferis konkretuli
niSnulis dadgenisTvis gamoiyeneba kerZo seqtorze gacemuli sesxebis mSp-
sTan fardobis analizi (credit-to-GDP gap). kerZod, credit-to-GDP ramdenad
gadaxrilia Tavisi istoriuli trendidan, potenciurad sistemuri riskis
doneze miuTiTebs da Sesabamisad, kapitalis buferi masze dayrdnobiT
ganisazRvreba. aRniSnuli indikatori, istoriulad kargad aRwers
sistemuri riskebis dagrovebas (mag. Drehmann da sxvebi, 2010).
makroprudenciuli politikis mniSvnelovani instrumentebia: sesxis Loan-to-
Value (LTV) da Debt-to-Income (DTI) koeficienti. msoflios bevr qveyanaSi
aqtiurad gamoiyeneba LTV maCveneblisTvis maqsimaluri zRvris daweseba.
aRniSnuli SezRudva miznad isaxavs sistemuri riskebis Semcirebas, rac
Tan sdevs uZravi qonebis fasebis buStis warmoqmnas. kerZod, LTV-s zeda
zRvris daweseba uzrunvelyofs, imas rom sesxis moculoba iyos mcire
sagiravno uZravi qonebis fasTan SedarebiT, rac zRudavs uZravi qonebis
fasebis spekulaciur zrdas da amcirebs finansuri aqseleraciis efeqts
(mag. Crowe, Dell’Ariccia, Igan, Rabanal, 2011; Drehmann, Juselius, 2012). zogierT
SemTxvevaSi, LTV-s regulireba diskriminaciulia uZravi qonebis
daniSnulebis mixedviT (mag. mkacri pirobebi uwesdebaT komerciuli da
spekulaciuri mizniT qonebis SeZenis SemTxvevaSi, maSin roca SeRavaTebia
sacxovrebeli daniSnulebiT yidvisas). praqtikaSi, LTV-sTan erTad
gamoiyeneba agreTve DTI koeficientis regulireba. es ukanaskneli
gulisxmobs, rom valis yovelTviuri momsaxurebis moculoba msesxeblis
26
wminda gankargvad SemosavalTan mimarTebiT ar unda aRematebodes
dawesebul zRvars1.
erT-erTi farTod gavrcelebuli makroprudenciuli instrumentia aseve
Dynamic Provisioning, romelic pirvelad jer kidev globalur finansur
krizisamde, espaneTSi iqna SemoRebuli (mag. Saurina, 2009), xolo finansuri
krizisis Semdeg gansakuTrebuli popularoba SeiZina da msoflios mraval
qveyanaSi iqna danergili. Dynamic Provisioning gamoyeneba miznad isaxavs
sabanko sistemisTvis sakredito danakargebis Tanabar ganawilebas
sakredito ciklis mixedviT. kerZod, Dynamic Provisioning iTvaliswinebs
rezervis buferis dawesebas bankisTvis sakredito ciklis bumis periodSi,
rodesac standartuli kriteriumebiT sesxebis xarisxi kargia da mcire
danakargebia mosalodneli. Sesabamisad, es instrumenti xels uwyobs
sesxis danakargebis zRvruli danaxarjis stabilurobas sakredito ciklis
sxvadasxva fazaSi. Dynamic Provisioning-is da kontrcikluri kapitalis
buferis instrumentebi erTmaneTs avsebs makroprudenciuli miznebis
uzrunvelsayofad, radgan danakargebis rezervi gankuTvnilia mosalodneli
sakredito danakargebis, xolo kapitalis buferi ki moulodneli
danakargebis dasafarad (mag. Wezel, Chan-Lau & Columba, 2012).
makroprudenciuli politika, garda sakredito ciklis da masTan
dakavSirebuli sistemuri riskebis ganeitralebisa, aseve mniSvnelovan
yuradRebas uTmobs riskebis ganawilebisa da stresis SemTxvevaSi riskebis
erTi bankidan meore bankze SesaZlo gavrcelebis aRmofxvras. kerZod,
globaluri krizisis fonze, Lehman Brothers-is gakotrebam 2008 wlis
seqtemberSi, naTlad warmoaCina is uaryofiTi gareefeqtebi (negative
externalities), rac dakavSirebulia globalurad sistemuri mniSvenlobis
mqone bankis gakotrebasTan. amasTan, safinanso institutebi, romelebic
sistemurad mniSvnelovnia Tavisi zomis, kompleqsurobis, sxva
institutebTan gadajaWvulobisa da globalur asparezze Znelad
Canacvlebadobis gaTvaliswinebiT kargad acnobiereben ra TavianTi
1 makroeprudenciuli instrumentebis detaluri mimoxilvisa da maTi efeqtianobis
analizisTvis sxvadasxva qveynis magaliTze ixileT Lim da sxvani, 2011.
27
gakotrebis mZime Sedegebs zogadi ekonomikuri garemosTvis, uyalibdebaT
molodini, rom mTavroba ar dauSvebs maT gakotrebas (too big to fail) da
erTgvar saxelmwifo garantias floben. es faqtori ki moralurobis risks
(Moral hazard) warmoSobs da zrdis maTi riskebisadmi midrekilebas,
privilegias aniWebs maT da arakonkurentul garemos ayalibebs.
zemoaRniSnuli gare efeqtebis gamo. safinanso institutis racionaluri
qceva maqsimaluri sargeblis miRebis mizniT, SesaZloa mkveTrad
gansxvavdebodes sazogadoebrivi interesebisgan, rac saboloo angariSiT
zrdis momavali krizisis albaTobas da Sesabamisad, gadasaxadis
gadamxdelebis tvirTs (mag. BIS, 2013, Global systemically important banks: updated
assessment methodology and the higher loss absorbency requirement).
zemoaRniSnuli problemis mogvarebisTvis, makroprudenciuli politika
miznad isaxavs Seamciros sistemuri bankebis gakotrebis albaToba da
gakotrebis SemTxvevaSi SezRudos sistemisTvis uaryofiT efeqti. kerZod,
2011 wlis noemberSi, bazelis komitetma gamosca meTodologiis sabaziso
CarCo1, romlis mixedviTac sistemuri mniSvnelobis mqone finansuri
institutebi unda iqnes identificirebuli da dauwesdeT damatebiTi
kapitalis buferi, danakargebis mimarT mdgradobis zrdisTvis. bazelis
komiteti aseve yuradRebas amaxvilebs safinanso institutebis gakotrebis
meqanizmis efeqtianobis aucileblobaze. meqanizmma unda uzrunvelyos,
aucileblobis SemTxveaSi, institutis gakotreba- proceduris warmarTva
iseTnairad, rom ar gamoiwvios mTlianad safinanso sistemis paralizeba
an/da tvirTad ar daawves gadasaxadis gadamxdelebs (mag. Financial Stability
Board. (2011). Key Attributes of Effective Resolution Regimes for Financial Stability).
krizisebis prevenciisa da daZlevisTvis safinanso seqtoris
makroprudenciuli regulirebis politika Zalzed mniSvnelovania, Tumca,
igi SesaZloa ar iyos sakmarisi. krizisis Semdeg ekonomistebma
gansakuTrebuli yuradReba dauTmes ciklis sawinaaRmdego fiskaluri da
monetaruli politikis rols finansuri stabilurobisTvis (mag. Blanchard,
1 Basel Committee on Banking Supervision, 2013, “Global systemically important banks: updatedassessment methodology and the higher loss absorbency requirement”.
28
Dell’ Ariccia & Maoro 2012, 2013). kerZod, ciklis sawinaaRmdego fiskaluri
politika, romlis mizania ekonomikuri ciklis stabilizacia, amcirebs
sakredito danakargebs recesiis dros, aseve, aferxebs sistemuri riskebis
dagrovebas ciklis bumis fazaSi.
monetaruli politika, Tavisi tradiciuli SinaarsiT ciklis
sawinaaRmdegoa da misi ZiriTadi miznebi - fasebis stabilurobis da
ekonomikuri zrdis grZelvadiani stabilizacia, TavisTavad uwyobs xels
safinanso seqtoris stabilurobas. Tumca, bolo periodSi araerTi kvleva
mieZRvna monetaruli politikisa da safinanso zedamxedvelobis politikis
urTierTmoqmedebis Seswavlas (mag. Borio, 2014; Blanchard, Dell’ Ariccia & Maoro
2012, 2013), romelmac naTlad warmoaCina, rom SesaZloa arsebobdes
konfliqturi situaciebic, rodesac politikis gamtareblebs uwevT
arCevanis gakeTeba sxvadasxva miznebs Soris. aseve, finansurma krizisma
warmoaCina, rom monetaruli politikis dadgenisas yuradReba unda mieqces
ekonomikuri ciklis analizs farTo konteqstiT da maT Soris finansuri
aqtivebis fasebis dinamikas, raTa Semcirdes fasebis buStis warmoqmnis
SesaZlebloba.
4 saqarTvelos safinanso seqtoris ganviTareba da globaluri
finansuri krizisis gavlena
saqarTvelos safinanso seqtori 1991 – 2007 wlebSi
saqarTvelos safinanso sistemam ganviTarebis dramatuli procesi ganvlo,
romelic 1991 wlidan – qveynis damoukideblobis mopovebidan daiwyo.
Sesabamisi sakanonmdeblo da normatiuli bazis Camoyalibeba da
saqarTvelos erovnuli bankis Seqmna1, win uZRvoda pirveli komerciuli
bankebis Camoyalibebas 1992 wels. im droisaTvis arsebulma
1 saqarTvelos erovnuli banki 1991 wels Camoyalibda, sabWoTa kavSiris dros arsebulisaxelmwifo bankis bazaze.
29
arasrulyofilma sabanko kanonmdeblobam da praqtikulad regulirebis
qaoturma sistemam1, komerciuli bankebis raodenobis swrafi zrda
waaxalisa. 1994 wels qveyanaSi komerciuli bankebis ricxvi 226 -mde
gaizarda (magaliTad, saqarTvelos erovnuli banki, 2006, saqaTvelos
sabanko seqtoris ganviTarebis strategia 2006 – 2009 wlebisTvis).
1991 – 1995 wlebSi sabanko sistemis transformacia rTuli ekonomikuri da
politikuri krizisis fonze mimdinareobda. amave periodSi Sida
politikuri destabilizaciis fonze, mTliani Sida produqti 702
procentiT Semcirda da moiSala sagareo vaWrobis kavSirebi. am yovelives
Tan erTvoda saqarTvelos erovnuli bankis damoukideblobis SezRudviTa
da gauazrebeli fulad - sakredito politikiT gamowveuli hiperinflacia.
Sedegad, 1994 wels komerciuli bankebi finansuri sirTuleebis winaSe
aRmoCndnen, rac bankebis masobriv gakotrebaSi gadaizarda. garda
fundamenturi ekonomikuri faqtorebisa, bankebis gakotreba didwilad e.w.
„piramiduli sistemis“ (romelsac im droisaTvis arsebuli bankebi xSirad
iyenebdnen) rRveviTac iyo ganpirobebuli.
1995 wlidan saqarTvelos safinanso sistemam xelaxla Camoyalibeba daiwyo.
saqarTvelos parlamentis mier miRebul iqna kanonmdebloba, romelic, erTi
mxriv, gansazRvravda saqarTvelos erovnuli bankis mandats da
ganamtkicebda mis damoukideblobas fulad sakredito politikis
warmarTvis kuTxiT, xolo, meore mxriv, aniWebda mas met Zalauflebas
komerciuli bankebis saqmianobis regulirebis kuTxiT. sabanko
zedamxedvelobis politika daefuZna bazelis komitetis mier SemuSavebul
principebs. SemoRebul iqna sabanko saqmianobis regulirebis wesebi,
romelic iTvaliswinebda kapitalis ufro mkacr moTxovnebs, aqtivebis
klasifikaciis daxvewas riskebis ufro zustad Sefasebis mizniT, sabanko
saqmianobaSi interesTa konfliqtis gamijvnas da bankebis auditoruli
saqmianobis mowesrigebas. aRniSnuli reformis Sedegad, komerciuli
1 mag., licenzirebisTvis dawesebuli moTxovna minimalur sawesdebo kapitalze, 1994wlisTvis 500 aSS dolars Seadgenda.2 ix. IMF, 1993, Economic Reviews 9, Georgia.
30
bankebis raodenoba mkveTrad Semcirda da maTi ricxvi 1997 wlisTvis ukve
53-s Seadgenda (mag. kakulia 2001).
saqarTvelos sabanko sistemis stabiluri ganviTareba 1997 wlidan daiwyo.
1997 – 2007 wlebSi sesxebis wliuri zrdis tempi saSualod 38%-s Sedgenda,
xolo sakredito portfelis mSp-sTan fardoba 3.6%-dan 26%-mde gaizarda.
amave periodSi, 8%-dan 25%-mde gaizarda farTo fulis Sefardeba mSp-sTan,
xolo, sabanko aqtivebma 2007 wlis bolos 42% Seadgina. unda aRiniSnos,
rom mkveTri zrdis temps dabali sawyisi pirobebic uwyobda xels, Tumca
sabanko seqtoris ganviTarebis aRniSnuli tendencia mniSvnelovanwilad
ekonomikaSi sabanko seqtoris rolis amaRlebas asaxavda. am periodSi
mkveTrad gaizarda mosaxleobis xelmisawvdomoba finansuri momsaxurebaze
da sabanko sistema ukve sTavazobda momxmarebels Tanamedrove bankisTvis
damaxasiaTebel yvela saxis standartul momsaxurebas.
sabanko seqtoris swraf ganviTarebas xeli Seuwyo ekonomikis moTxovnam
finansur momsaxurebaze. saqarTvelos ekonomika gansakuTrebiT mzardi
tendenciiT 2003 - 2007 wlebSi xasiaTdeboda. mSp-s zrda, amave periodSi
saSualod 9% Seadgenda1. fulad-sakredito da fiskaluri politikis
mowesrigebam qveyanaSi aRmofxvra 1990-ian wlebSi arsebuli hiperinflacia
da gaumjobesda fiskaluri disciplina. am yovelives Sedegad,
mniSvnelovnad gaumjobesda makroekonomikuri stabiluroba, gaizarda
Semosavlebi da struqturuli reformebis Sedegad Semcirda Crdilovani
ekonomika, ramac, erTi mxriv, gazarda moTxovna finansuri
Suamovlobisadmi, xolo, meore mxriv, gaaumjobesa bankebisTvis riskebis
marTvis efeqtianoba.
ucxouri kapitalis monawileoba arsebiTad mniSvnelovani iyo saqarTvelos
sabanko sistemis ganviTarebisTvis. 2007 wlis bolosTvis 18 komerciuli
bankidan 14-Si ucxouri kapitalis monawileobiT funqcionirebda, romelTa
xvedriTi wili sabanko seqtoris mTlian aqtivebSi 80% aWarbebda. ucxouri
investiciebidan gansakuTrebiT mniSvnelovani saerTaSoriso safinanso
institutebis monawileoba iyo. kerZod, maT Soris iyvnen iseTi
1Tumca, unda aRiniSnos rom am periodSi ekonomika nawilobriv „gadaxurebas“ ganicdida(mag. mimdinare angariSis deficiti mSp-s 20% mde gaizarda).
31
organizaciebi, rogorebic arian: „evropis rekonstruqciisa da ganviTarebis
banki“ (EBRD), “saerTaSoriso safinanso organizacia” (IFC), “aRmSeneblobis
sakredito dawesebuleba” (KFW) da sxva. aRniSnuli institutebis
investiciebi saqarTvelos sabanko sistemaSi, erTi mxriv, marTvis saukeTeso
praqtikis danergvas, xolo, meore mxriv, sabanko sistemisadmi sandoobis
amaRlebas emsaxureboda, ramac xeli Seuwo sabanko sistemis ganviTarebas.
sabanko seqtoris aqtivebis zrda ZiriTadad kerZo seqtoris dakreditebaze
modioda. 2007 wlis dekembrisTvis wminda sesxebis wili mTlian aqtivebSi
61%-s Seadgenda. dargobriv WrilSi sesxebi ZiriTadad mSp-s prociklur
seqtorebze, vaWrobis (33%), mrewvelobis (11%) da mSeneblobis (8%)
seqtorebze modioda. sesxebze mosaxleobis xelmisawvdomobis da uZravi
qonebaze fasebis zrdasTan erTad mkveTrad gaizarda Sinameurneobebis
dakreditebac. 2007 wlis bolosTvis fizikur pirebze gacmuli sesxebi
mTliani sakredito portfelis 34%-s Seadgenda, aqedan 70% samomxmareblo,
xolo 30% ipoTekur sesxebze modioda. sakredito portfelis zrdasTan
erTad, Semcirda sesxebis sargeblis ganakveTebi da spredi1, rac sabanko
sistemis efeqtianobis zrdas asaxavda. bankebis Serwymisa da
konsolidaciis gaaqtiurebiT gaizarda sabanko seqtoris koncentracia. 2007
wlis bolos komerciuli bankebis raodenoba 18-mde Semcirda, xolo maTgan
umsxvilesi 6 banki mTliani sabanko aqtivebis 87% flobda.
komerciuli bankebis sabalanso uwyisis zrda valdebulebebis mxares met-
wilad depozitebiT finansdeboda, Tumca sazRvargareTidan nasesxebi
saxsrebi aseve mniSvnelovan nawils Seadgenda. 2007 wlis bolosTvis,
depozitebis wili mTlian valdebulebebSi 61% (aqedan 13% bankTaSoris
depozitebze modis), xolo nasesxebi saxsrebi valdebulebebis 34%
Seadgenda. swrafi zrdis periodSi sabanko seqtori kargad
kapitalizirebuli iyo, rasac sabanko seqtorSi ucxouri investiciebisTvis
mimzidveli garemo uwyobda xels. 2007 wlis dekemberSi kapitalis
adekvaturobis koeficienti 16%-s, xolo umoqmedo sesxebis wili mTlian
sesxebSi 3%-s Seadgenda.
1depozitebis da sesxebis sargeblis ganakveTebs Soris sxvaoba.
32
gardamavali ekonomikis mqone qveynebis msgavsad, saqarTvelos sabanko
seqtoris ganviTareba maRali dolarizaciis pirobebSi mimdinareobda.
ekonomikaSi dolarizaciis maRali done, erTi mxriv, 1990 -iani wlebis
hiperinflaciis da saxelmwifo institutebisadmi jer kidev dabali ndobis,
xolo, meore mxriv, istoriulad damkvidrebuli zogadi fsiqologiuri
faqtoriT aris ganpirobebuli, romelic dolars „usafrTxo“ valutis
statuss aniWebs. 2002 wlis bolos depozitebis dolarizaciis
koeficienti, Tavis istoriul maqsimums 85%-s aRwevda, xolo mas Semdgom
periodSi Semcirebis tendenciiT xasiaTdeba. 2007 wlis dekemberSi
depozitebis 63% iyo dolariT denominirebuli. valdebulebebis
dolarizacias aseve xels uwyobda sazRvargareTidan nasesxeb saxsrebze
damokidebulebis zrda sabanko sistemaSi. aRniSnulis gaTvaliswinebiT
maRali iyo agreTve kerZo seqtorze gacemuli sesxebis dolarizacia, rac
msesxeblebisTvis valutis SeusabamobiT gamowveul riskebs qmnida1.
finansuri seqtoris maRali dolarizacia, dResac qveynis finansuri
stabilurobis erT-erT umTavres gamowvevas warmoadgens (dolarizaciis
masStabebze, istoriulad mis gamomwvev faqtorebze da daZlevis gzebze
ixileT kakulia, m., 2000).
saqarTvelos safinanso seqtoris ganviTareba sabanko seqtoris
dominirebiT mimdinareobda. arasabanko safinanso seqtori da kapitalis
bazari susti ganviTarebiT xasiaTdeboda. 2007 wlis bolos bazarze 15
mikrosafinanso, 15 sadazRveo da 24 sakredito kavSiri arsebobda, jamuri
aqtivebiT mSp-s daaxloebiT 2%-s, xolo safondo birJis kapitalizacia
ki, mSp-s 13%-s Seadgenda.
„tyupi krizisi“ da saqarTvelos makrofinansuri garemo
globalurma finansurma krizisma da 2008 wlis agvistoSi ruseTis agresiam
mniSvnelovani gavlena moaxdina safinanso seqtorze da mTlianad
ekonomikaze. msoflioSi ekonomikuri krizisis fonze, mkveTrad gauaresda
investorTa ganwyoba, rac msoflios masStabiT ganviTarebadi qveynebis
1valutis SeusabamobiT gamowveuli sakredito riski (Currency Induced Credit Risk)dakavSirebulia ekonomikis dolarizaciis donesTan, kerZod igi wamoiqmneba rodesacmsesxeblebs valdebulebebi aqvT ucxouri valutiT (an ucxour valutaze indeqsirebuli),
xolo Semosavlebi adgilobrivi valutiT.
33
saerTo fenomeni iyo. investorTa ganwyobis gauareseba kapitalis Sedinebis
mkveTri SemcirebiT gamoixata. aRniSnul periodSi mniSvnelovnad gaizarda,
sapredi qveynis suverenuli obligaciebze, rac gazrdil riskpremiums
asaxavda. investorebi fulis SedarebiT urisko aqtivebSi ganTavsebas
amjobinebdnen, ramac investiciebis ganviTarebadi qveynebidan
ganviTarebuli qveynebis suverenul fasian qaRaldebSi gadanacvleba
ganapiroba. aRniSnuli talRa saqarTvelos eqsportze moTxovnis
SemcirebiT da kerZo kapitalis (rogorc pirdapiri ucxouri investiciebis
ise savalo kapitalis mxriv) Semodinebis mkveTrad SemcirebiT Seexo. 2008
wlamde saqarTvelos ekonomikuri zrda ZiriTadad ucxouri kapitalis
SemodinebiT iyo ganpirobebuli, Sesabamisad aRniSnul klebas
mniSvnelovani uaryofiTi gavlena hqonda ekonomikur zrdaze.
diagrama I.4 saqarTvelos suverenuli obligaciebis spredi (procentis sabaziso punqtebSi)
wyaro: blumbergi
amis garda, 2008 wlis agvistoSi ruseTis federaciasTan SeiaraRebuli
samxedro konfliqtis Sedegad qveyanam mniSvnelovani danakargi ganicada,
ganadgurda infrastruqturis nawili da omis Sedegad mravali mosaxle
iZulebiT gadaadgilebuli aRmoCnda. globaluri finansuri krizis fonze,
ruseTis agresiis Sedegad qveynis ekonomikam da finansurma seqtorma
mniSvnelovani dartyma ganicada. 2009 wels mSp realur gamosaxulebaSi 4%-
iT Semcirda, ramacsabanko sistemisa da erovnuli valutisadmi
34
mosaxleobis Semcirebuli ndobis fonze, sabanko da savaluto panikis
warmoqmnis saSiSroeba Seqmna.
diagrama I.5 realuri mSp-s zrda, (wliuri, prcentebSi)
wyaro: saqstati
e.w. „tyupi krizis“ gavlena qveynis sabanko seqtorze, Tavdapirvelad
likvidobis deficitiT gamovlinda. 2008 wlis agvistodan erTi wlis
Semdeg kerZo seqtoris depozitebi 12%-iT, xolo jamuri aqtivebi 10%-iT
Semcirda. aseve mniSvnelovani iyo sabanko seqtoris zarali, Tumca
aqtivebis Semcirebis xarjze kapitalis adekvaturobis koeficienti ar
Semcirebula.
sabanko seqtorisTvis gansakuTrebiT mniSvnelovani iyo mdgomareoba uZravi
qonebis bazarze, radgan am seqtorTan dakavSirebuli sesxebi jamuri
sakredito portfelis 30%-s Seadgenda. amas garda, ramdenadac uZrav
qonebaSi investireba finansur aqtivebSi investirebis alternativas
warmoadgens da igi safinanso seqtoris funqciasac iTavsebs, amdenad
uZravi qonebis fasebi qveynis ekonomikuri ciklis ganmapirobebel faqtors
warmoadgens da gansakuTrebul rols TamaSobs qveynis finansuri
stabilurobisTvis. uZrav qonebaze fasebis vardnis SemTxvevaSi izrdeba
sesxebis riskianoba da safrTxes uqmnis komerciuli bankebis sakredito
portfelis xarisxs.
2008 wlamde, qveyanaSi arsebulma sakredito bumma da uZravi qonebis
bazarze investiciebis mozRvavebam xeli Seuwyo uZravi qonebis fasebis
35
„buStis“ warmoqmnas 2008 wlis agvistos Semdeg moTxovnis mkveTrma
Semcirebam da investorTa ndobis dakargvam uZrav qonebaze fasebis vardna
da mTlianad seqtoris paralizeba gamoiwvia. komerciuli bankebis mier
sakredito standartebis gamkacrebam da dakreditebis SezRudvam, maRal
riskiani developeruli da samSeneblo kompaniebi proeqtebisTvis saWiro
dafinansebis gareSe datova. uZravi qonebis bazarze Seqmnili problemebi
bankebis sakredito portfelze aisaxa. 2009 wels bankebis mier samSeneblo
seqtorze gacemuli sesxebis 50%-ze meti umoqmedo gaxda1.
diagrama I.6 umoqmedo sesxebis wili portfelSi (procentebSi)
wyaro: saqarTvelos erovnuli banki
krizisis Sedegad mniSvnelovnad gauaresda makroekonomikuri garemo (mag.
xaduri 2009, 2010). krizisis uaryofiTi Sedegebi ZiriTadad 2009 wels
gamovlinda. qveyanaSi ekonomikuri aqtivoba 2009 wlis pirvel naxevarSi
8.5%-iT, xolo 2009 wels 4%-iT Semcirda. 2008 wlis bolos, laris
nominaluri gacvliTi kursi 16%-iT gaufasurda. amis miuxedavad inflacia
2009 wels mkveTrad Semcirda da saSualo wliurma inflaciam 2% Seadgina.
2008 wels dafiqsirebuli 10%-iani inflaciis Semdeg, samomxmareblo
fasebis Sesusteba erToblivi moTxovnis da globaluri fasebis Semcirebis
1sesxi klasificirdeba umoqmedoT imisda mixedviT Tu ramdenad kargad aris igi daculimsesxeblis kapitalisa da gadaxdis unariT. umoqmedo sesxebi aerTianebs sesxebis samqvekategorias, esenia arastandartuli, saeWvo da uimedo kategoriis sesxebi.
36
Sedegi iyo. realuri mSp-s vardnasTan erTad, mimdinare angariSis
deficitma 2008 wels 22%-s miaRwia, rac kapitalis Semodinebis Semcirebis
fonze makroekonomikuri daubalanseblobis da gacvliTi kursis damatebiT
devalvaciis riskebs zrdida. ekonomikuri aqtivobis vardnasTan erTad
saxelmwifo biujetSi sagadasaxado Semosavlebis Semcirebam 2009 wels 8%
Seadgina, xolo biujetis deficiti mSp-sTan SefardebiT 9.2%-mde gaizarda.
diagrama I.7 biujetis deficiti da sagareo vali mSp-s procentebSi (procentuli punqti)
wyaro: saqarTvelos finansTa saministro, avtoris sakuTari gamoTvlebi
krizisis uaryofiTi Sedegebis dasaZlevad, aRsaniSnavia centraluri bankis,
mTavrobis, saerTaSoriso safinanso institutebisa da partniori qveynebis
erToblivi Zalisxmeva. centraluri bankis mxridan krizisis dasaZlevad
bankebis likvidobiT uzrunvelyofa da monetaruli politikis Serbileba
moxda, mTavrobis mier fiskaluri stimulireba ekonomikuri vardnis
Semamsubuqebeli faqtori gaxda, xolo qveyanaSi Semcirebuli kerZo
kapitalis Semodineba donori saxelmwifoebis da saerTaSoriso
organizaciebis mier gacemulma grantebma Caanacvla.
37
2008 wlis agvistos Semdeg, komerciuli bankebidan depozitebis gadinebam
likvidobis, maT Soris ucxouri valutis banknotebis deficiti warmoSva.
finansuri stabilurobis SenarCunebisTvis mniSvnelovan amocanad iqca,
mosaxleobis ndobis SenarCuneba sabanko sistemisadmi. am mizniT,
saqarTvelos erovnulma bankma droulad uzrunvelyo sabanko sistemis
momarageba naRdi ucxouri valutiT1 da komerciuli bankebisaTvis
saTanado momsaxureba, raTa Tavidan aecilebina krizisis gamwvaveba.
aRniSnuli zomebi, krizisis sapasuxod gatarebuli pirveli RonisZieba iyo.
sabanko sistemis likvidobiT uzrunvelyofis mizniT, centraluri bankis
mier gamoyenebul iqna bolo instanciis sesxis instrumenti, romlis
farglebSic 2008 wlis seqtemberSi sam komerciul bankze 38.1 mln lari
gaica. aseve, Semcirebul iqna savaldebulo sarezervo moTxovnebi2,
gafarTovda centraluri bankis mier monetarul operaciebSi dasaSvebi
giraos baza da amoqmedda refinansirebis instrumenti, rac komerciul
bankebs saSualebas aZlevda maT xelT arsebuli fasiani qaRaldebis
giravnobiT esesxaT fuladi saxsrebi. amis garda, saqarTvelos erovnulma
bankma 2008 wlis seqtemberis bolos aamoqmeda specialuri sasesxo
instrumenti, romlis farglebSic 135.9 mln lari iqna komerciul bankebze
sesxad gacemuli eqvsi Tvis vadiT. SedrebiT ufro grZelvadiani
miznebisTvis centraluri bankis mier gamoyenebuli iyo monetaruli
politikis Serbileba, raTa erToblivi moTxovnis stimulireba moexdina da
xeli Seewyo ekonomikuri aqtivobis aRdgenas. (magaliTad saqarTvelos
erovnuli banki, 2008, wliuri angariSi).
krizisis Semdgom, ekonomikis vardnis da umuSevrobis Sesamsubuqeblad
mniSvnelovani faqtori iyo fiskaluri politkis mier ciklis
sawinaaRmdegod gatarebuli politika. kerZod, 2009 wels ekonomikaze
krizisis uaryofiTi Sedegebis Semcirebis mizniT, biujetis deficiti mSp-s
9.2 %-mde gaizarda, ramac xeli Seuwyo ekonomikis stimulirebas. deficitis
zrda didwilad kapitalur xarjebze modioda, rac aseve xels uwyobda
1unda aRiniSnos, rom ucxouri valutis fulis niSnebiT uzrunvelyofa ar SedissaqarTvelos erovnuli bankis regularul funqciebSi.2Tavdapirvelad, droebiTad SeCerebul iqna savaldebulo sarezervo moTxovnebikomerciuli bankebisTvis, xolo Semdgom amoqmedda krizisamdeli normebis SemcirebiT.
kerZod, 13%-dan Semcirebul iqna 5%-mde.
38
dasaqmebis da ekonomikuri aqtivobis aRdgenas. aseve, 25%-dan 20%-mde iqna
Semcirebul saSemosavlo gadasaxadis ganakveTi, ramac kerZo seqtors
damatebiTi fuladi resursi gamouTavisufla.
„tyupi krizisis“ uaryofiTi Sedegebis daZlevisTvis umniSvnelovanesi
faqtori iyo donorTa mier saqarTvelosTvis gamoyofili dafinanseba.
kerZod, agvistos omidan maleve, saerTaSoriso safinanso institutebisa1
da gareTianebuli erebis organizaciis mier gamogzavnil iqna erToblivi
misia daxmarebis saWiroebis Sesafaseblad. aRniSnuli misiis Sedegebze
dayrdnobiT, donorTa Sexvedraze 2008 wlis oqtomberSi miRebul iqna
erToblivi gadawyvetileba, 4.5 mlrd dolaris odenobiT qveynisTvis
daxmarebis gawevis Sesaxeb2. 2008 wlidan, biujetis xarjebis dafinansebis
mniSvnelovan wyaros saerTaSoriso safinanso institutebisa da donori
saxelmwifoebisgan miRebuli grantebi warmoadgenda.
saxelmwifos, saerTaSoriso sazogadoebis da kerZo seqtoris erToblivi
ZalisxmeviT krizisidan gamosvlis da ekonomikis gajansaRebis niSnebi 2010
wlidan gamoCnda. mTliani Sida produqti 6.4%-iT gaizarda da zrdaSi
ZiriTadi wvlili kapitalis formirebam Seitana, aseve maRali zrda
dafiqsirda eqsportze. met-naklebad dastabilurda uZravi qonebis bazari,
2008 – 2009 wlebSi uZravi qonebis fasebis 25%-35%-iT Semcirebis Semdeg,
2010 wels 10%-iT gaizarda (ix. diagrama I.8). sabanko seqtorma 2009 wlis
vardnis Semdeg zrda ganagrZo, pozitiuri tendenciebi dafiqsirda
depozitebis, sesxebis da sakredito portfelis xarisxis mimarTulebebiT.
1misiaSi monawileobdnen aziis ganviTarebis banki (ADB), evropis ganviTrebisa da
aRmSeneblobis banki (EBRD), evropis sainvesticio banki (EIB) da evro-komisia (EC).2 aRniSnuli Tanxa moicavs yvela donori organizaciis mier jamur daxmarebas, romelic
ramdenime wlis manZilze unda mieRo qveyanas grantebis saxiT.
39
diagrama I.8 uZravi qonebis fasebis indeqsi (ian. 2007 = 100)
wyaro: saqarTvelos erovnuli banki
krizisamdel periodSi saqarTvelos sabanko seqtoris swrafi zrda
valdebulebebis mxares, sazRvargareTidan nasesxebi saxsrebiT iyo
dafinansebuli. 2008 wlis agvistos mdomareobiT, sabanko seqtoris mTliani
valdebulebebis 30%-s ucxouri sabiTumo bazrebidan (wholesale markets)
moziduli saxsrebi Seadgenda, xolo 13%-s ararezidentebis depozitebi,
bankTaSorisi depozitebi da sxva valdebulebebi warmoadgenda. finansuri
krizisis dros, rodesac sakredito marJebi izrdeba da sabiTumo bazrebze
likvidobis deficiti warmoiqmneba, sabanko sistemisTvis valdebulebis
refinansirebis sirTuleebi erT-erT yvelaze mniSvnelovan risk faqtors
warmoadgens. saqarTvelos SemTxvevaSi, miuxedavad, imisa rom sabiTumo
bazrebidan moziduli resursi ZiriTadad grZelvadiani iyo xolo
msesxeblebis umetesobas saerTaSoriso safinanso institutebi da mSobeli
bankebi Seadgendnen, valdebulebebis refinansirebis sirTuleebi 2009 wels
sabanko sistemis erT-erT gamowvevad iqca (ix. diagrama I.9).
40
diagrama I.9 valdebulebebis struqtura (mln. lari, gacvliT kursis efeqtis gamoricxviT)
wyaro: saqarTvelos erovnuli banki, avtoris sakuTari gamoTvlebi
agvistos omisas, fizikuri pirebis mier bankebidan depozitebis gatana,
sabanko sistemisadmi ndobis Semcirebis faqtoriT iyo ganpirobebuli,
Tumca aRniSnuli procesi maleve dasrulda da amas ar hqonia masobrivad
panikuri xasiaTi, ramdenadac sabanko sistemis mier Seuferxebeli
momsaxureba mosaxleobis ganwyobaze pozitiurad moqmedebda. 2008 wlis
agvisto-seqtemberSi, fizikuri pirebis depozitebis klebam 15%-s
gadaaWarba, Tumca am periodSi gatanili depozitebis didi nawili wlis
bolos ukve daubrunda sabanko sistemas. 2009 welis pirvel naxevarSi
depozitebis Semcirebas ukve krizisis fonze ekonomikis mwvave recesia
ganapirobebda. kerZod, iuridiuli da fizikuri pirebis depozitebi
mimdinare saWiroebis xarjebis dasafinanseblad warimarTa. aRniSnuli
tendencia 2009 wlis bolos dasrulda da depozitebis moculobam kvlav
zrda ganagrZo.
valdebulebebis Semcireba sabanko sistemis leverejis Semcirebis
(deleveraging) saWiroebas ganapirobebs. 2008 wlis agvistos Semdeg, sabanko
sistemis valdebulebebis Semcireba sesxebis Semcirebis xarjze moxda (ix.
diagrama I.10), maT Soris bevri jansaRi msesxeblisTvisac sakredito
resursi miuwvdomeli darCa. bankebis mier gamkacrda sakredito
standartebi axal sesxebze, xolo arsebuli sesxebisTvis mkveTrad
SeizRuda restruqturizaciis pirobebi. valdebulebis mosazidad,
41
gaizarda depozitebis sargeblis ganakveTebi. aRniSnuli faqtorebi
uryofiTad moqmedebda ekonomikaze da recesiis gaRrmavebas uwyobda xels.
diagrama I.10 ekonomikaze gacemuli sesxebi (mlrd lari)1
wyaro: saqarTvelos erovnuli banki, avtoris sakuTari gamoTvlebi
finansuri Tu ekonomikuri krizisebis dros dakreditebis Warbad SezRudva,
bankebis procikluri qcevis ZiriTadi nawilia da msoflio masStabiT
mkveTrad gamoxatuli fenomenia iseve rogorc bolo krizis dros aseve
manamde arsebul SemTxvevebSic (mag., Leaven and Valencia 2008, Drehman et all 2010).
aRniSnuli faqtoris kompensacia ciklis sawinaaRmdego (countercyclical)
sazedamxedvelo politikiT unda moxdes. am mxriv, mniSvnelovani iyo
saqarTvelos erovnuli bankis mier sabanko sistemaSi savaldebulo
likvidobis da kapitalis adekvaturobis moTxovnebis Serbileba.
minimaluri likvidobis koeficienti krizisamdeli 30%-dan 20%-mde iqna
Semcirebuli, xolo riskebis mixedviT aqtivebis Sewonvisas, savaluto
riskis koeficienti 100%-dan 50%-mde Semcirda. aseve aRsaniSnavia, rom 2008
wlis bolos, saqarTvelos erovnuli bankis mier gamoyofil iqna 150 mln.
laris erT wliani sesxi, romelmac nawilobriv daakompensira bankebisTvis
valdebulebebis Semcireba. am yovelives fonze, 2009 wlis meore naxevridan
1sesxebi gaangariSebulia, gacvliTi kursis efeqtis gamoricxviT. dolariT gacemulisesxebis moculoba laris.
42
etapobrivad aRdga sesxebis gacema da restruqturizacia. met-naklebad
normalizda gamkacrebuli sakredito standartebi da Semcireba daiwyo
depozitebis sargeblis ganakveTebma.
globalurma finansurma krizisma mTeli msoflios masStabiT da maT
Soris saqarTveloSic, safinanso bazris monawileebsa da maregulireblebs
mniSvnelovani gamocdileba SesZina safinanso sistemis mdgradobis da
stabilurobis ukeTesad dacvisTvis. krizisis erT-erTi gakveTilia, rom
bankebma unda uzrunvelyon stabiluri da diversificirebuli dafinansebis
wyaroebi. amis kargi sazomia, sesxebis (romelic praqtikulad
aralikviduria) Sefardeba depozitebTan (romelic yvelaze stabiluri
dafinansebis saSualebad miiCneva), romelic saqarTveloSi krizis dros
mkveTrad gaizarda. 2009 wlis ianvarSi, sesxebis depozitebTan fardobam
180%-s gadaaWarba (იხ. diagrama I.11), rac saerTaSoriso praqtikis
gaTvaliswinebiT maRali maCvenebelia. unda aRiniSnos, rom aRniSnuli
maCveneblis zrda krizisamde gacilebiT adre daiwyo da bankebis mier
sabiTumo bazrebidan mozidul resursebze damokidebulebas asaxavda.
krizisis Semdgom wlebSi, sabanko sistemam warmatebiT moaxerxa
dafinansebis wyaroebis gajansaReba da depozitebis zrdasTan erTad,
sabiTumo bazrebis dafinanseba depozitebiT Caanacvla.
diagrama I.11 sesxebis depozitebTan Tanafardoba
wyaro: saqarTvelos erovnuli banki, avtoris sakuTari gamoTvlebi
43
krizis Semdeg wlebSi depozitebis zrda nawilobriv, ararezidentebis
depozitebis zrdiT dafinansda, romelic asave sayuradReboa. kerZod,
miuxedavad imisa, rom garkveuli doziT ararezidentebis depozitebi
valdebulebebis diversifikacias zrdis da amdenad aumjobesebs
valdebulebebis stabilurobas, maTi didi wili sabanko sistemaSi Tavidan
unda iqnes acilebuli ramdenadac krizis pirobebSi ararezidentebis
depozitebi mowyvladi wyaroa. ucxouri valutis depozitebi da miTumetes
ararezidentebis depozitebi krizisis pirobebSi SesaZloa damatebiTi
Sokis wyarod iqces. kerZod, sabanko sistemisadmi ndobis Sokis pirobebSi
ucxoeli investorebi, rogorc wesi zedmetad mgrZnobiareni arian, rac,
erTi mxriv, bankebis likvidobaze, xolo, meore mxriv, gacvliT kursze
zewolis mizezi SesaZloa gaxdes. krizisis Semdgom, saqarTvelos sabanko
sistemam warmatebiT gamoiyena ararezidentebisgan moziduli saxsrebi
valdebulebebis dasafinanseblad. Sesabamisad, mkveTrad gaizarda maTi
wili mTlian depozitebSi. 2012 wlidan ararezidentebis wili mTlian
depozitebSi stabiluria da 2013 wlis dekembris mdgomareobiT 15%
Seadgens (იხ. diagrama I.9). am mxriv aRsaniSnavia saqarTvelos erovnuli
bankis diskriminaciuli sazedamxedvelo midgoma, romelic ararezedentebis
depozitebis zrdas zRudavs1.
krizisis kidev erTi gakveTilia, rom Zalian mniSvnelovania sabanko
sistemas normalur periodSi hqondes kapitalis da likvidobis buferebi.
finansuri sirTuleebisas, is bankebi romlebic kargad kapitalizebulni
arian, mosalodnelia rom ufro didi albaTobiT gaagrZeleben operirebas
da grZelvadian periodSi ufro stabilur amonagebs moutanen aqcioner
investorebs. aseve, bankebis mimarT ndobis krizisis pirobebSi, swored
bankebis jansaRi likvidobis pozicia da buferebi aris maTi sirTuleebis
Semamsubuqebeli. bankebs TavisTavad uxdebaT riskis pirobebSi operireba,
ramdenadac finansuri Suamavloba gulisxmobs vadianobis transformacias,
Tumca stabiluri da diversificirebuli dafinansebis wyaroebi, maRali
1 Tuki komerciul banks mTlian depozitebSi 10% meti aqvs ararezidentebis wili, maSinigi valdebulia yoveli Semdegi moziduli ara-rezidentis depozitisTvis 100%-ianilikvidoba iqonios.
44
koncentraciis gareSe, bankebs riskebis ukeTesad kontrolis saSualebas
aZlevT (mag. BIS 82nd Annual Report, VI. Post-crisis Evolution of the Banking Sector).
2008 wlis krizisamde, sabanko sistema saqarTveloSi maRali kapitalis
pirobebSi operirebda, rac krizis dros daexmara mas danakargebis
STanTqmaSi. Sokis Semdgom aqtivebis xarisxis gauaresebam kapitalis
Semcireba ganapiroba, romelic riskis mixedviT Sewonili aqtivebis
Semcirebam daakompensira. Sedegad, sabanko seqtoris mier gancdili
danakargebis miuxedavad 2009 wels kapitalis adekvaturobis koeficienti
gaizarda (ix. diagrama I.12).
diagrama I.12 kapitalis adeqvaturobis koeficientis cvlilebis kontributori faqtorebi
wyaro: saqarTvelos erovnuli banki, avtoris sakuTari gamoTvlebi
unda aRiniSnos, rom riskis mixedviT Sewonili kapitalis adekvaturobis
koeficienti SesaZloa srulyofilad ar asaxavdes bankebis
gadaxdisunarianobas, ramdenadac riskis wonebi SesaZloa sazedamxedvelo
politikis miznebis mixedviT icvlebodes. aseve SesaZloa yoveli
konkretuli aqtivisTvis riskis wonebi gansxvavdebodes bankebis mixedviT,
gamomdinare maTi Sida Sefasebis sistemebisa. bankebis mdgradobis
SefasebisTvis alternatiuli indikatoria levereji, romelic gulisxmobs
aqtivebis jamuri moculobis (riskebis mixedviT Sewonvis gareSe)
Sefardebas saaqcio kapitalTan. levarejis maCvenebelis dinamika
45
SesabamisobaSia riskis mixedviT Sewonil maCvenebelTan, kerZod krizisis
Semdgom 2009 wels bankebis kapitalizaciis maCvenebeli gaumjobesda, rac
ara mxolod aqtivebis riskis wonebis cvlilebis Sedegia, aramed
kapitalTan SedarebiT ufro mkveTrad Semcirda aqtivebis moculoba.
Semdgom wlebSi, 2013 wlamde bankebis seqtoris leverejis maCvenebeli
gaizarda da dastabilurda krizisamdel niSnulze (ix. diagrama I.13). unda
aRiniSnos, rom levarejis bolo wlebSi zrdis miuxedavad, misi done
mniSvnelovnad CamorCeba ganviTarebuli qveynebis Sesabamis maCveneblebs.
diagrama I.13 levareji
wyaro: saqarTvelos erovnuli banki, avtoris sakuTari gamoTvlebi
riskis mixedviT Sewonili aqtivebis Semcireba, erTi mxriv, leverejis
Semcirebis (deleveraging) procesis, xolo meore, mxriv saqarTvelos
erovnuli bankis mier ciklis sawinaaRmdego (countercyclical) sazedamxedvelo
politikis mizniT riskis wonebis Semcirebis Sedegia. finansuri krizisis
Semdeg, bankebis mier leverejis Semcirebis procesi gardauvali da
bunebrivia, rasac saerTaSoriso praqtika adasturebs.
46
krizisis Semdeg dabali sakredito aqtivobas uaryofiTi gavlena aqvs
ekonomikis recesiidan gamosvlis procesze da mniSvnelovania, rom swori
sazedamxedvelo politikiT amis aRmofxvra moxdes. Tumca, krizisis
Semdgomi dabali sakredito aqtivobis ori mizezi unda ganvasxvaoT, erTi,
romelic sakredito resursis miwodebis SezRudviT aris ganpirobebuli -
es swored, rom aRrmavebs recesias da ciklis sawinaaRmdego
sazedamxedvelo politikiT unda moxdes ganeitraleba, xolo meorea,
recesiis fonze susti moTxovnis Sedegad Semcirebuli aqtivoba, romelic
recesiis Sedegia da ara ganmapirobebeli (mag. Takats, Upper 2013).
SejamebisTvis, unda aRiniSnos, rom saqarTvelos safinanso seqtori „tyupi“
krizisis fonze mniSvnelovani gamowvevis winaSe dadga, Tumca mdgradoba
gamoavlina da qveynis finansuri stabiluroba SeinarCuna. es met-wilad
ganpirobebul iyo saqarTvelos erovnuli bankis da mTavrobis mier
krizisis koordinirebulad da efeqtianad marTvis, monetaruli da
fiskaluri politikiT stimulirebis, krizisamde periodSi konservatiuli
sazedamxedvelo politikis da saerTaSoriso safinanso institutebis mier
uprecedento mxardaWeris Sedegad. safinanso seqtoris Semdgomi
gaumjobesebisa da grZelvadiani ganviTrebisTvis aucilebelia, rom
gaTvaliswinebul iqnes krizisisgan miRebuli yvela gakveTili da
msoflios saukeTeso praqtikis Sesabamisad warimarTos safinanso seqtoris
sazedamxedvelo CarCos srulyofa.
47
თავი II. makrofinansuri urTierTkavSirebis modelirebis
istoria da arsebuli midgomebi
1 makrofinansuri kavSirebis mimoxilva
finansuri seqtoris mniSvnelovnebis warmosaCenad makroekonomikisTvis
bolo wlebis globaluri finansuri krizisi da ganviTarebuli qveynebis
ekonomikuri tendenciebis analizi sruliad sakmarisia, Tumca
makrofinansuri kavSirebis istoria jer kidev didi depresiis periodidan
iRebs saTaves, romelic msoflio istoriaSi yvelaze mZime finansur
kriziss warmoadgens. didi depresiis periodi aSS-Si, 1929 wlis
oqtomberSi, safondo bazris kraxiT daiwyo, romelic Semdgom sabanko
krizisSi da 1933 wlis cnobili, sabanko ardadegebi (Banking Holiday) mohyva.
1929 - 1933 wlebSi, bankebis daaxloebiT 1/3 gakotrda, 1/3-iT Semcirda
fulis masa ekonomikaSi, nominaluri GDP 50%-iT, xolo realuri GDP 1/3-iT
Semcirda, umuSevrobam qveynis masStabiT 25%-s miaRwia. mas Semdeg
ekonomikis gajansaRebas 10 weli dasWirda, raTa krizisamdel dones
dabruneboda.
Friedman and Schwartz (1967) aRwers didi depresiis periods da aseve amtkicebs,
rom aSS-is im droindeli federaluri sarezervo sistemis (centraluri
banki) mcdarma politikam xeli Seuwyo finansuri Sokis ekonomikur
krizisSi gardaqmnas. kerZod, sabanko sistemisadmi mosaxleobis ndobis
dakargvis fonze, naRd fulze moTxovna gaizarda, xolo depozitebis
gadinebis sapasuxod bankebma moTxovna gazardes likvidur aqtivebze, rasac
bankebis mier sesxebis gamoTxova da fasiani qaRaldebis masiuri gayidva
mohyva. 1929 – 1933 wlebSi depozitebis naRd fulTan fardoba 11-dan 5-mde
Semcirda, rasac bankebis mier depozitebis rezervebTan Tanafardobis
Semcireba mohyva 13-dan 6-mde. Sedegad, fulis multiplikatori ekonomikaSi
6.5-dan 3.3-mde Semcirda. fulis multiplikatoris Semcirebis
dasakompensireblad federalurma sarezervo sistemam ar miawoda sakmarisi
fuli ekonomikas. ufro metic, centraluri bankis mier gamkacrda
moTxovnebi sagiravno aqtivebze, romelTa saSualebiTac komerciul bankebs
48
SeeZloT fuli esesxaT centraluri bankisgan. am yovelives Sedegad,
fulis masa mkveTrad Semcirda rasac deflacia da ekonomikuri krizisis
gamwvaveba mohyva1.
finansuri krizisis gadazrda did depresiaSi naTlad warmoaCens finansuri
friqciebis gavlenas realur ekonomikaze, rac Semdgom makrofinansuri
modelirebis sagani gaxda. am kuTxiT ori mniSvnelovani aspeqti unda iqnas
gaanalizebuli. pirveli, rom bankebis leverejis da sabalanso uwyisis
bunebrivi struqturis gaTvaliswinebiT, safinanso sistemis problemebi
aisaxeba ekonomikur agentebze, da meore, ufro globaluri sakiTxi,
rogoricaa arasafinanso kompaniebis (da zogadad ekonomikuri agentebis)
qceva finansuri Suamavlobis problemebidan gamomdinare, romelsac
SesaZloa mniSvnelovani makroekonomikuri Sedegebi hqondes.
pirveli Temis Sesaxeb, kargad aris axsnili milton fridmanis da ana
Svarcis imave kvlevaSi (Friedman and Scwartz (1967)), sadac maTi cnobili
hipoTeza iqna Camoyalibebuli, federaluri sarezervo sistemis
braleulobaze didi depresiis SesaZlo Tavidan acilebaSi. sabanko sistema,
romelic Tavidan likvidobis problemas ganicdida, maleve gadaxdis
uunarobaSi gadaizarda (kapitali dakarges). amis Teoriulad
sailustraciod ganvixiloT bankis tradiciuli sabalanso uwyisi
gamartivebuli saxiT. kerZod, valdebulebebis mxare moicema depozitebis
da bankis sakuTari kapitalis saxiT, xolo aqtivebis mxares gvaqvs fasiani
qaRaldebi (likviduri aqtivebi) da ekonomikaze gacemuli sesxebi
(aralikviduri aqtivebi) (იხ. cxrili II-1). depozitebis gadinebis sapasuxod,
banki pirvel rigSi likviduri aqtivebis, anu fasiani qaRaldebis, gayidvas
iwyebs2 , rac am ukanasknelze fasebis vardnas ganapirobebs da aqtivebis
gadafasebiT warmoqmnili danakargebi bankebis kapitalze uaryofiTad
1 es warmoadgens Friedman –Schwarz hipoTezis mixedviT ekonomikuri krizisis gaRrmavebis
erT-erT arguments. Tumca, Eichengreen (1992) kvlevaSi amtkicebs, rom federaluri sarezervosistemis mier ekonomikis arasaTanadod stimulirebis mizezs saerTaSoriso oqros
standarti warmoadgenda.2 aq ganvixilavT SemTxvevas, rodesac centraluri banki ar awvdis sakmaris likvidur
saxsrebs sabanko sistemas.
49
moqmedebs1 . aqtivebis gadafasebiT miRebuli danakargebi gansakuTrebiT
didia, rodesac grZelvadiani fasiani qaRaldebis masiuri gayidva xdeba.
sakuTari kapitalis sakmarisad Semcirebis Semdeg, banki iZulebuli xdeba
sesxebis Semcireba (gamoTxova da axali sesxebis aRar gacema) daiwyos, rac
ekonomikaSi fulis masas amcirebs, xolo Sedegad aqtivebis fasebi kidev
ufro metad mcirdeba da kapitalze ormagad uaryofiTi efeqti miiReba.
didi depresiis periodis analizi, naTlad warmoaCens rogor advilad
SeiZleba sabanko seqtoris likvidobis problema gadaxdis uunarobaSi
gadaizardos, centraluri bankis arasaTanado pasuxis pirobebSi.
cxrili II-1 bankis gamartivebuli sabalanso uwyisi
bankis sabalanso uwyisi
fasiani qaRaldebi (likviduri aqtivebi) depozitebi
sesxebi (aralikviduri aqtivebi) sakuT. kapitali
safinanso Suamavlobis problemebi, dakreditebis Semcirebis gziT
arasafinanso seqtorzec gavrcelda. sakredito SezRudvebis pirobebSi,
rodesac kompanias ar aqvs dafinansebis moZiebis alternatiuli saSualeba
garda bankisgan sesxis miRebisa, iZulebulia investiciebi Seamciros.
investiciebi mcirdeba firmebis mier rogorc sabrunavi saSualebSi, aseve
kapitalur aqtivebSi (იხ. cxrili II-2), rac fasebis Semcirebas ganapirobebs.
didi depresiis periodSi aRniSnuli procesis Sedegad, fasebi mkveTrad
Semcirda ara mxolod kapitalur aqtivebze, aramed sasaqonlo jgufebzec.
wminda Rirebulebis Semcirebis dasabalanseblad, rodesac likviduri
aqtivebis Semcireba arasakmarisi xdeba, firmebi iZulebulni arian
kapitaluri aqtivebis likvidacia daiwyon, rac am ukanasknelze fasebis
Semcirebas aZlierebs. fasebis Semcirebis gaTvaliswinebiT vali, romelic
nominalur gamosaxulebaSi Semcirda, realur erTeulebSi izrdeba. am
yovelives fonze, firmebis wminda Rirebuleba ori mizezis
1 msgavsi situacia iyo globaluri finansuri krizisi dros 2007 – 2008 wlebSi, rodesac
bankebis mier ipoTekuri sesxebiT garantirebuli fasiani qaRaldebis (MBS) myisieradgayidvis mcdelobisas fasebi mkveTrad Semcirda, xolo aman sabalanso uwyiszemniSvnelovani gadafasebis zarali warmoSva.
50
gaTvaliswinebiT mcirdeba: erTi, rom bankebis msgavsad aqtivebze fasebis
gadafaseba, wminda Rirebulebaze uaryofiT gavlenas axdens, xolo meore,
zogadi fasebis donis Semcireba ukve arsebuli valis realur
Rirebulebas zrdis1.
cxrili II-2 arasafinanso kompaniis gamartivebuli sabalanso uwyisi
ara-safinanso kompaniebis sabalanso uwyisi
samuSao kapitali (likviduri aqtivebi) vali realur gamoxatulebaSi
fiqsirebuli aqtivebi (aralikviduri
aqtivebi)
wminda Rirebuleba
am mxriv, didi depresiis periodi waagavda 2007 – 2008 wlebis globalur
finansur kriziss. safinanso Suamavlobis problemebi sabalanso uwyisis
arxebiT realuri ekonomikuri aqtivobis Semaferxebel faqtorad iqca.
Tumca, erTi mniSvnelovani gansxvaveba iyo, rom federaluri sarezervo
sistema warsulis gamocdilebiT amjerad aqtiuri sakredito politikiT
cdilobda safinanso Suamavlobis problemebis adekvatur pasuxs. kerZod,
manamde damkvidrebuli tradiciis sawinaaRmdegod, federaluri sarezervo
sistema kerZo seqtoris kreditori gaxda, rasac arasafinanso kompaniebis
uSualo dakreditebiTa da bankebis balansze arsebuli aralikviduri
aqtivebis giravnobis bazaze sesxebis gacemiT aRwevda. aseve, centralur
bankTan koordinaciiT kapitalis ineqcia moaxdina mTavrobam (bail-out). am
yovelivem xeli Seuwyo2 finansuri seqtoris stabilurobas da
ekonomikuri aqtivobis aRdgenas.
finansuri krizisebis da maTi ekonomikaze gavlenis analizi3 daedo
safuZvlad makrofinansuri kavSirebis Semdgom kvlevas da maT
modelirebas. didi depresiis droidan globalur krizisamde, finansuri
1aRniSnuli warmoadgens e.w. „fiSeris deflaciis efeqts“, romelsac qvemoT ufro
detalurad SevexebiT.2Tumca, arsebobs gansxvavebuli mosazrebebic aRniSnuli sakiTxTan dakavSirebiT, romcentraluri bankis da mTavrobis pasuxi ar iyo produqtiuli krizisidan daZlevis
kuTxiT.3istoriulad (bolo aswleulebis manZilze) finansuri krizisebis detaluri aRwerisTvis
ix. Reinhart and Rogoff (2009).
51
seqtoris ekonomikaze zemoqmedebis axsnis Teoriul safuZvels aRwers
Kiotaki and Moore (1997) kvleva, sadac Seswavlilia finansuri friqciebis
gavlena ekonomikur aqtivobaze. kerZod, kvlevis mixedviT finansuri
friqciebi xels uwyobs ekonomikaSi Sokebis efeqtis gaZlierebas,
inertulobas (persistentulobas, persistence) da maT gadacemas ekonomikis
sxvadasxva seqtorebze. Sedegad, vRebulobT, rom moklevadiani Sokebi
xSirad mSp-sa da aqtivebis fasebis xangrZlivi da didi fluqtuaciis wyaro
xdeba.
Kiotaki and Moore (1997) kvleva yuradRebas amaxvilebs im garemoebaze, rom
miwa, Senobebi da manqana danadgarebi ara mxolod warmoebis faqtorebia
ekonomikaSi, aramed sagiravno aqtivebis rolsac asrulebs, ris bazazec
firmas sesxis miReba SeuZlia bankisgan. informaciis asimetriuloba1
banksa da klients Soris sakredito SezRudvas ganapirobebs. kerZod, sesxis
maqsimaluri moculoba SemosazRvrulia sagiravno aqtivis RirebulebiT.
Tumca, meore mxriv, sagiravno aqtivebis fasebic damokidebulia ekonomikaSi
dakreditebis moculobaze, ramdenadac investiciebi am aqtivebis rogorc
warmoebis faqtorebis momgebianobas gansazRvravs da maT momaval
Rirebulebaze axdens gavlenas. sagiravno aqtivebis fasebisa da
dakreditebis moculobis swored es damokidebuleba warmoadgens
ekonomikaSi Sokebis efeqtis gaZlierebis, gaxangrZlivebis da sxva
seqtorebze gadacemis wyaros.
ufro konkretulad, aRniSnuli meqanizmi Semdegnairad muSaobs. ekonomikaSi
gvyavs firmebi, romlebic sakredito SezRudvas ganicdian, anu sesxuloben
sagiravno aqtivis Rirebulebis limitis aTvisebiT da Sesabamisad aqvT
maRali levereji, xolo aseve gvyavs formebi, romlebsac ar aqvT sesxebi
(sagiravno aqtivis Rirebulebis limiti ar aqvT aTvisebuli) da Sesabamisad
ar ganicdian sakredito SezRudvas. rodesac ekonomikaSi warmoiqmneba
droebiTi Soki, romelic firmebis wminda Rirebulebas amcirebs (an rac
igivea, maT sakuTrebaSi arsebuli aqtivebis Rirebulebas amcirebs, romlis
1informaciis asimetriuloba gulisxmobs, rom banks ar aqvs sruli informacia klientis
Sesaxeb. Sesabamad, sawinaaRmdegos SerCeva (adverse selection) da moralis riskisgan (Moralhazard) Tavis dasacavad banki sagiravno aqtivs iyenebs.
52
safuZvelzec sesxis aReba SeuZlia firmas), firmebi, romlebic sakredito
SezRudvas ganicdian banki umcirebT dakreditebas. firmebi iZulebulni
arian Seamciron sainvesticio xarjebi, maT Soris investiciebi kapitalur
aqtivebSi (romelic amave dros sesxis misaRebad sagiravno aqtivs
warmoadgens). Semcirebuli investiciebi konkretul periodSi, ganapirobebs
dabal Semosavlebs Semdgom periodebSi da aseve firmis Rirebulebis
Semcirebas, rac Semdgom periodebSi sakredito SezRudvebis
gaTvaliswinebiT kvlav gaurTulebT sesxis mozidvas. Sesabamisad,
vRebulobT situacias, rodesac ekonomikaSi arsebuli droebiTi Soki
firmebis ekonomikur aqtivobaze Semdgom periodebSic aisaxeba. sakredito
SezRudvebis gavleniT adgili aqvs Sokis efeqtis inertulobas
(persistentuloba, persistence) ekonomikaSi, rac empiriulad cxadad
dakvirvebadi faqtia. istoriulad krizisebis analizi cxadyofs, rom
Sokis Semdeg ekonomikuri aqtivobis aRdgenas garkveuli dro sWirdeba.
investiciebis Semcireba garda ekonomikuri aqtivobis Semcirebisa, aseve
sawarmoo faqtorebze moTxovnis Semcirebas ganapirobebs, rogorc imave
periodSi ise momaval periodebSic. moTxovnis Semcireba aisaxeba maT
fasebze, rac niSnavs, rom firmebi, romlebiv ar ganicdian sakredito
SezRudvas moTxovna unda gazardon sakmarisad, rom Caanacvlon sakredito
SezRudvebis mqone firmebisgan Semcirebuli moTxovna. Tavis mxriv,
warmoebis faqtorebze moTxovna damokidebulia e.w. „samomxmareblo
xarjze“ (user cost), romelic aqtivis flobis alternatiul Rirebulebas
warmoadgens. Sesabamisad, „samomxmareblo xarji“ sakmarisad unda
Semcirdes saimisod, rom firmebma SeZlon kapitaluri aqtivebis bazarze
arsebuli maragis aTviseba (magaliTad miwis SemTxvevaSi miwodeba
fiqsirebulia). imis gaTvaliswinebiT, rom „samomxmareblo xarji“ mcirdeba
ara mxolod t periodSi, aramed t+1, t+2,… periodebSi es niSnavs, rom aqtivis
mimdinare Rirebuleba mniSvnelovnad unda Semcirdes1. Tavis mxriv,
sakredito SezRudvis mqone firmebis sabalanso uwyisi mniSvnelovnad aris
1 e.w. „samomxmareblo xarji“ ( user cost) t periodisTvis ganisazRvreba, rogorc aqtivis
mimdinare fassa da Semdegi periodis (t+1) fasis dRevandeli Rirebulebis sxvaoba.
Sesabamisad, rodesac aqtivis t+1 periodis fasi mcirdeba, mimdinare fass ufro mkveTrad
uwevs Semcireba, raTa t-periodis „samomxmareblo xarji“ Semcirdes.
53
damokidebuli aqtivebis fasebze. kerZod, maRali leverejis pirobebSi,
aqtivebis fasebis Semcireba firmis wminda Rirebulebis mkveTr Semcirebas
ganapirobebs. sabalanso uwyisis gauaresebis Sedegad, sakredito
SezRudvebi mkacrdeba, rac firmis mier investiciebis kidev ufro
Semcirebas ganapirobebs. firmis wminda Rirebulebis da warmoebis
faqtorTa (aqtivebis) fasebis urTierTqmedebis zemoaRniSnuli cikli
Tavdapirveli Sokis gaZlierebas (propagation) ganapirobebs.
finansuri friqciebis gavleniT Sokebis inertulobis (persistence) da
gaZlierebis (propagation) efeqtebi, damokidebulia im firmebis leverejze
romelTac Soki exebaT. globaluri finansuri krizisis dasawyisSi, 2007 –
2008 wlebSi „sabpraim“ aqtivebis fasebis Semcireba maRali leverejis mqone
sainvesticio kompaniebs SeexoT, Sedegad uzarmazari gavlena hqonda maT
ekonomikur aqtivobaze, rasac ekonomikaze gaxangrZlivebuli da
gaZlierebuli uaryofiTi Sedegi mohyva. aseve, maRali leverejis
kompaniebs SeexoT Soki ruseTis krizis dros 1998 wels, rasac ekonomikaze
mniSvnelovani uaryofiT efeqti hqonda. amis sapirispirod, 2000-2001 wlebSi,
teqnologiuri firmebis aqciebis krizisis dros, Soki SeexoT SedarebiT
naklebi leverejis mqone kompaniebs (sapensio fondebi, Sinameurneobebi),
Sedegad miuxedavad aqciebis fasebis mniSvnelovani vardnisa amas ar
mohyolia ekonomikaze Sokis uaryofiTi efeqtis gaZliereba da xangrZlivad
SenarCuneba (mag. Kiotaki 1997).
makroekonomikaze sakredito SezRudvebis gavlenis kvlevas ufro
formaluri saxe mieca Bernanke, Gertlet, Gilchrist (1999) naSromSi, sadac
kapitaluri aqtivebisa da firmis wminda Rirebulebis urTierTgavlenis
cikli warmodgenilia e.w. „finansuri aqseleraciis efeqtiT“ (Financial
Accelerator). aRniSnuli efeqtis gaTvaliswinebam tradiciul makroekonomikur
modelebSi, SesaZlebeli gaxada im periodSi ekonomistebisTvis jer kidev
gamocanad darCenili sakiTxis axsna, Tu ratom SeiZleba erTi SexedviT
mcire Sokebi didi ekonomikuri meryeobis safuZveli gaxdes.
finansuri friqciebis makroekonomikuri gavlenis kidev erT mniSvnelovan
arxs warmodgens e.w. „fiSeris deflaciis efeqti“, romelic jer Christiano
54
Motto Rostagno (2003) kvlevaSi, xolo Semodgom imave naSromis ufro
modificirebul versiaSi Christiano Motto Rostagno (2010) iqna warmodgenili. es
ukanaskneli kvleva, makroekonomikur modelSi „finansuri aqseleraciis
efeqtTan“ erTad (romelic Bernanke, Gertlet, Gilchrist (1999) aris nasesxebi),
„fiSeris deflaciis“ efeqts iTvaliswinebs da ekonomikuri fluqtuaciebis
empiriuli axsnis ufro mdidar SesaZleblobas iZleva.
„fiSeris deflaciis efeqti“ (romelic irving fiSerma Tavis cnobil
kvlevaSi Fisher(1933) Camoayaliba) gulisxmobs, rom fasebis moulodneli
cvlilebis Sedegad icvleba firmis vali realur gamosaxulebaSi.
aRniSnuli efeqti aZlierebs ekonomikur cikls da ekonomikur meryeobas
uwyobs xels, radgan ekonomikuri recesiis dros fasebis done mcirdeba,
rac valis realuri tvirTis zrdas ganapirobebs. Sedegad mcirdeba
investiciebi, xolo es ukanaskneli recesiis gaRrmavebas ganapirobebs. amas
sapirispiro gavlena aqvs ekonomikuri ciklis bumis fazaSi, rodesac
fasebis zrda valis realur tvirTs amcirebs da investiciebis waxalisebis
gziT ekonomikuri aqtivobis zrdas ganapirobebs. aRniSnuli efeqti
gansakuTrebiT maRalia levarejis mqone firmisTvis, romelTaTvisac
„fiSeris deflaciis efeqti“ gaZlierebuli saxiT aisaxeba maT wminda
Rirebulebaze.
Sokebis makroekonomikuri gavlenis gaRrmavebisTvis „finansuri
aqseleraciis efeqtis“ damatebiT wyaros warmoadgens „fiSeris deflaciis
efeqti“. unda aRiniSnos, rom es ori arxi erTmaneTs ekonomikuri Sokis
mixedviT, an aZlierebs, an abaTilebs. Tuki Sokis gavleniT ekonomikuri
aqtivoba da fasebi erTi da imave mimarTulebiT icvleba, maSin finansuri
aqseleracia da fiSeris deflaciis efeqti urTierT gamaZlierebeli iqneba
(finansuri krizisebis gamomwvevi Sokebi umetesad am tips ganekuTvneba),
xolo rodesac Sokis gavleniT fasebi da ekonomikuri aqtivoba
sawinaaRmdego mimarTulebiT icvleba es ori efeqti erTmaneTs abaTilebs
(am tipis Sokebs ganekuTvneba miwodebis Sokebi mag. navTobis fasis
cvlileba).
55
2 makrofinansuri kavSirebis Tanamedrove midgomebi
bolo aTwleulebis manZilze samecniero literatura makroekonomikuri da
finansuri urTierTkavSirebis modelirebis kuTxiT stabilurad
viTardeboda. jer kidev 2000-ian wlebamde arsebuli kvlevebi, naTlad
warmoaCenda finansur bazarze arsebuli sakredito SezRudvebis gavlenas
erTobliv gamoSvebaze da makrofinansuri kavSirebis rols finansuri
krizisis ganviTarebisas. mas Semdeg warmoebuli kvlevebis raodenoba kidev
ufro metad gaizarda da koncentrirda politikis gamtarebelTa
saWiroebebze. miuxedavad amisa, es kvlevebi srulad ver iTvaliswinebs
yvela im empiriul dakvirvebasa Tu Taviseburebebs rac globaluri
finansuri krizisis Sedegad gamovlinda, Tumca isini mniSvnelovan
safuZvels qmnian Semdgomi kvlevebis warmoebisTvis da konkretul
saWiroebebze morgebuli modelis ganviTarebisTvis. mocemul TavSi
warmodgenilia marko-finansuri modelirebis arsebuli midgomebi da maTi
ZiriTadi principebi.
tradiciuli dinamikuri zogadi wonasworobis modelebi (DSGE), romlebic
monetaruli politikis analizisa da makroekonomikuri prognozirebisTvis
gamoyeneba, iqneba es standartuli realuri biznesciklis modelebi (Real
Business Cycle), Tu ufro Tanamedrove axali keinzianuri (New Keynesian)
modelebi, ama Tu im formiT iziarebs e.w. “Modigliani – Miller”-is Tvisebas (mag.
Smets, Wouters (2002), Chistiano, Eichebaum, Evans (2005)). zemoTaRniSnul
modelebSi es Tviseba gulisxmobs, rom ekonomikuri agentebi moqmedeben e.w.
sruli safinanso bazris pirobebSi (Complete Financial Markets) da sruli
SesaZlebloba aqvT SeuzRudavad ganaxorcielon nebismieri finansuri
kontraqti. aRniSnuli daSveba ugulebelyofs realurad finansur bazrebze
arsebul friqciebs (Financial Frictions), iseTebs rogoricaa asimetriuli
informacia, e.w. „Agency costs“ da sxva, romlebic gansakuTrebul
mniSvnelobas sZens finansuri instrumentebis gamoyenebas. zemoaRniSnul
standartuli modelebisTvis e.w. „Modigliani -Miller“-is Tvisebas ramdenime
mniSvnelovani Sedegi gaaCnia. esenia:
56
a) firmebis mesakuTreTa struqturas mniSvneloba ar aqvs. kerZod,
modelebSi rodesac Sinameurneobebi floben firmebs, xolo firmebi
floben kapitals, Sedegebis TvalsazrisiT imis ekvivalenturia, rom
Sinameurneobebi floben kapitals romelsac firmebze aqiraveben.
b) firmebis kapitalis struqturas mniSvenloba ar aqvs. es Tviseba
warmoadgens „Modigliani -Miller“-is ZiriTad saxes, romelic gulisxmobs,
rom finansuri friqciebis ararsebobis pirobebSi ori
firmas,romlebic mxolod leveraJiT gansxvavdeba, erTi da igive
Rirebuleba gaaCnia. kerZod, firmis Rirebulebaze gavlena ar aqvs
firma aqciebis gamoSvebiT moizidavs kapitals, Tu nawilobrivi
aqciebiT da nawilobriv valis aRebiT.
გ) finansur institutebs ar aqvT roli mocemul ekonomikaSi. aRniSnuli
Sedegi gamomdinareobs im garemoebidan, rom ramdenadac standartul
monetarul modelebSi ar gvaqvs informaciis asimetriuloba da sxva
friqciebi, finansuri Suamavlobis saWiroeba ar arsebobs. aseve, ar
arsebobs saWiroeba finansuri Suamavlobis erT-erTi ZiriTadi funqciis
vadianobis transformaciis an/da finansuri Suamavlobis saSualebiT
investorisTvis (depozitarisTvis) riskebis diversifikaciis servisis
gawevisTvis.
დ) firmebisa da SinameurneobebisTvis gvaqvs aqtivebis sruli bazari
(Complete Asset Markets). aqtivebis sruli bazari gulisxmobs, rom
ekonomikur agentebs saSuleba aqvT danaxarjis gareSe ganaxorcielon
SemTxveviT xdomilebaze damokidebuli kontraqtiT vaWroba. Tavis mxriv
SemTxveviT xdomilebaze damokidebuli kontraqti moiazrebs iseT aqtivs,
romelis momavali Rirebuleba damokidebulia SemTxveviTi xdomilebis
momaval mniSvnelobaze.
Sesabamisad, zemoaRniSnuli Sedegebi ganapirobebs, rom standartul
monetarul modelebSi simdidris gadanawilebas mniSvneloba ar aqvs.
ramdenadac, aqtivebis bazari srulia, xolo bazarze ar aris friqciebi,
resursebis alokacia efeqtianad warmoebs, Sedegad simdidris
gadanawilebas gavlena ar aqvs ekonomikis wonasworul mdgomareobaze.
57
Tumca, aRniSnuli Sedegi realobas xSirad ver asaxavs adekvaturad,
radgan gansakuTrebiT finansur bazrebze arsebuli SezRudvebi xSir
SemTxvevaSi xels uSlis resursebis efeqtian ganawilebas da
Sesabamisad simdidris ganawilebac gavlenas axdens zogad ekonomikur
mdgomareobaze.
aseve, standartuli monetaruli modelebis sisustes warmoadgens, rom
isini adekvaturad ver xsnian empiriul faqtebs, gansakuTrebiT
finansuri krizisis periodSi, rodesac sabanko krizisi
makroekonomikaze mniSvnelovan gavlenas axdens. ramdenadac,
standartul modelebSi, rogorc zemoT aRvniSneT, finansuri
Suamavlobis roli ar ikveTeba, Sesabamisad sabanko krizisis Sedegebis
axsna am tipis modelebiT did sirTules warmoadgens.
aqtivebis faswarmoqmna, „sapnis buSti“ da „axireba“, romlebic finansuri
seqtoris analizisTvis mniSvnelovan elementebs warmoadgens
tradiciuli monetaruli modelebis miRma rCeba. es yovelive ki
ganapirobebs, rom msgavsi tipis modelebi makroprudenciul da finansur
seqtorTan dakavSirebulpolitikis analizis saSualebas ar iZleva.
e.w. „Modigliani-Miller“-is Tvisebis mqone modelebis ZiriTad sisustes
warmoadgens, rom realuri ekonomikuri garemosgan gansxvavebiT maTSi ver
gaiTvaliswineba is fundamenturi garemoeba, romelic gulisxmobs, rom
damzogvelebi da investorebi sxvadasxva ekonomikuri agentebi arian.
Sesabamisad saWiroa bazari, sadac isini erTmaneTs Sexvdebian da ivaWreben.
damzogvelis rolSi igulisxmeba ekonomikuri agentebi, romelTac
danazogis naklebriskianad dabandeba surT, xolo investoris rolSi-
ekonomikuri agentebi, romlebic inovaciuri ideis gansaxorcieleblad mzad
arian isesxon damzogvelebisgan.
dinamikuri, stoqasturi zogadi wonasworobis standartul modelebSi
erTi da imave ekonomikuri agentebi (Sinameurneobebi) gvevlinebian, rogorc
damzogvelis ise investoris rolSi, rac gamoricxavs am oris interesTa
konfliqts da trivialurs xdis finansur bazars. Sesabamisad, aRniSnul
modelebSi gvaqvs bazari, sadac Teoriulad daSvebulia gasesxeba da
58
sesxeba, Tumca es procesi ar mimdinareobs wonasworobis pirobebSi
(equilibrium). kerZod, Sinameurneoba, romelic damzogvels da investors
erTdroulad warmoadgens, moqmedebs Semdegi sqemiT: igi moxmarebis
SezRudvis xarjze gamoaTavisuflebs resurs, romelsac Tavadve iyenebs
kapitalis warmoebisTvis, xolo am kapitals Semdgom yidis bazarze.
resursi, romelic man moxmarebis SezRudviT gamoaTavisufla, raTa
sargeblis saxiT momavalSi ufro maRal moxmarebas Sewvdes, warmoadgens
danazogs, xolo is procesi, romelic man awarmoa kapitalis Sesaqmnelad
warmoadgens investicias. damzogvelisa da investoris erT ekonomikur
agentSi warmodgeniT standartuli modelebi mniSvnelovan sirTuleebs
uvlis gverds, rac realur ekonomikaSi gvxvdeba.
Tanamedrove finansur samyaroSi, damzogveli da investori gansxvavebuli
ekonomikuri agentebi arian. damzogveli, romelic Tanxas gamoyofs,
sesxulobs investors, romelic damzogvelisgan damoukideblad eweva ama
Tu im saqmianobas, xolo garkveuli drois Semdgom sargeblis ganakveTiT
abrunebs sesxs. aRniSnul praqtikas saerTaSoriso donzec ki didi xnis
istoria aqvs. jer kidev, XІX saukuneSi aRniSnuli praqtika aqtiurad
gamoiyeneboda, rodesac britaneTis mcxovreblebi sargeblis miRebis
mizniT danazogs naviT agzavnidnen aTasobiT milis daSorebiT myof
argentinaSi, sadac potenciuri investori am Tanxas sarfianad abandebda da
Semdgom ukan abrunebda.
mizezebi, ratomac damzogveli da investori zemoaRniSnuli
ganmartebebiTerTmaneTisgan gansxvavdeba realur cxovrebaSi, Semdegia: a)
maT aqvT gansxvavebuli diskontirebis ganakveTi. amis mizezi magaliTad
SeiZleba iyos, rom adamianebi sasicocxlo ciklis gansxvavebul etapze
imyofebian. adamiani, romelic uaxlovdeba sapensio asaks, dazogvis maRali
motivacia gaaCnia. Sesabamisad, maRalia misi diskontirebis ganakveTi, xolo
adamiani, romelic Sromis unarianobis asakis adreul etapzea misi
diskontirebis ganakveTi ufro dabalia. b) gansxvavebuli midrekileba
riskebisadmi. adamianebi gansxvavebulad aRiqvamen riskebs, Sesabamisad,
arian adamianebi, romlebic ufro midrekilni arian riskisadmi da isini
mzad arian riskiani saqmianoba awarmoon, xolo arian adamianebi, romlebic
59
nakleb midrekilni arian riskebisadmi, Sesabamisad isini danazogebis
nakleb riskianad dabandebas aniWeben upiratesobas. g) gansxvavdeba
adamianebis midrekileba moxmarebis droSi Canacvlebisadmi (Intertemporal
substitution). adamianebis heterogenuloba dRevandeli moxmarebis momavali
moxmarebiT Canacvlebisadmi iwvevs maT gansxvavebul damokidebulebas
realuri sargeblis ganakveTis cvlilebisadmi. d) gansxvavdeba adamianebis
wvdoma teqnologiebisadmi da maTi unarebi. sxva sityvebiT rom vTqvaT,
zogierTi ufro dajildoebulia biznesis warmoebis unar-CvevebiT da mzad
arian investoris rolSi iyvnen, xolo zogierTni upiratesobas daqiravebiT
muSaobas aniWeben da danazogebis nakleb riskianad dabandebas
axorcieleben. es ukanasknelni damzogvelis rols iTavseben. aseve,
mniSvnelovani faqtorebia, rom aRiniSnos e) swor dros da swor adgilas
yofna mniSvnelovania biznes ideis warmatebiT gansaxorcieleblad, rac
damzogvelisa da investoris gansxvavebas ganapirobebs, da v) gansxvavebuli
molodinebi, rac adamianebs gansxvavebuli mimarTulebebiT ubiZgebT.
zemoaRniSnuli mizezebi safuZvlianad xsnis im garemoebas, rom realobaSi
damzogveli da investori gansxvavebuli ekonomikuri agentebi arian. ufro
metic, maT saqmianobaSi bunebrivad arsebobs interesTa konfliqti, radgan
resursebi, romlebic dazogvis saSualebiT iqna gamoTavisuflebuli da
investoris mier dabandebuli, sabolood qmnis amonagebs, romelic
damzogvelsa da investors Soris unda gadanawildes. Tuki erTis wili
gaizrdeba es meores xarjze moxdeba da piriqiT (e.w. „zero sum game“) 1 .
damzogvelsa da investoris Soris interesTa konfliqti aris ZiriTadi
garemoeba, romelic finansuri friqciebis modelSi gaiTvaliswineba
standartuli monetaruli modelebisgan gansxvavebiT.
aRniSnuli interesTa konfliqti gansakuTrebulad mniSvnelovani xdeba,
rodesac bazarze arsebobs informaciis asimetriuloba. kerZod, mxolod
investorma icis damzogvelisgan miRebuli kreditis realuri miznobriobis
Sesaxeb. informaciis asimetriuloba e.w. „sawinaaRmdego SerCevis“ (adverse
1aq ar igulisxmeba, is garemoeba, rom grZelvadianad investoris warmatebuli saqmianobadamzogvelisTvis ufro maRal Semosavals niSnavs da piriqiT.
60
selection) problemas aCens da e.w. „moralurobis risks“ warmoSobs (moral
hazard). kerZod, msesxebeli acnobierebs ra investoris realur
miznobriobas, srulad ver akvirdeba da bazarze arsebul investorTa
saSualo riskis mixedviT kompensaciisTvis marJas iTxovs. marJis
diferencirebis SeuZlebloba ganapirobebs, rom keTilsindisier investors
es xarji tvirTad awveba, xolo arakeTilsindisierisTvis piriqiT
wamaxalisebelia (ix. Akerlof 1970). Sesabamisad, bazridan ganidevnebian
keTilsindisieri investorebi, xolo arakeTilsindisierebis raodenoba
izrdeba (e.w. „sawinaaRmdegos SerCeva“). „moralurobis riski“ warmoiSveba
maSin, rodesac arakeTilsindisieri investori sesxs miiRebs da mas
aramiznobrivad gankargavs. es ukanaskneli gansakuTrebiT mniSvnelovani
xdeba Tu gaviTvaliswinebT, rom investoris pasuxismgebloba
SemosazRvrulia mxolod misi sakuTari kapitaliT, romelic zaralis
SemTxvevaSi sesxis mxolod nawils faravs (partial pledgability). aseve,
finansuri friqciebis kuTxiT kidev erTi mniSvnelovani faqtoria “fiSeris
valis deflaciis” efeqti. kerZod, ekonomikaSi savalo kontraqtebis
umetesoba nominalur erTeulebSia, rac standartul monetarul
modelebSi ar gaiTvaliswineba, Tumca nominalur da realur davalianebas
Soris sxvaoba ekonomikuri agentebisTvis gansakuTrebul mniSvnelobas
iZens ekonomikuri Sokebis dros, rodesac fasebis meryeoba izrdeba.
ekonomikaSi realurad arsebuli yvela es finansuri friqcia
mniSvnelovnad zRudavs bazris efeqtianobas da simdidris gadanawilebas
mniSvnelovans xdis ekonomikis agregirebuli maCveneblebisTvis. e.w.
„modigliani-miller“ tipis ekonomikisgan umTavresi gansxvavebaa, rom finansur
friqciebian modelebSi SezRudulia finansuri resursis gadanawileba,
araefeqtianidan ufro efeqtian ekonomikur agentebze. Sesabamisad
mniSvnelovani xdeba rogor iqneba gadanawilebuli finansuri resursebi.
aseve mniSvnelovania, rom ekonomikuri Sokebi finansur friqciebian
modelebSi xSirad iwveven simdidris ganawilebis gauaresebas im azriT,
rom finansuri resursebi naklebad iyris Tavs misi efeqtianad gankargvis
unaris mqone ekonomikuri agentebis xelSi.
61
standartul makroekonomikur modelebSi finansuri friqciebis
gauTvaliswineblobis Sedegebs makroekonomistebi ama Tu im formiT
yovelTvis acnobierebdnen. mravali ekonomistis mier iyo gamoTqmuli
mosazreba, rom e.w. “modigliani- miller” tipis modelebSi gamotovebuli iyo
mniSvnelovani meqanizmebi, romelTac realur ekonomikaSi hqondaT adgili.
amas amyarebda is garemoeba, rom msoflio istoriis manZilze arcTu
iSviaTi iyo finansuri da sabanko seqtoris krizisebi, aseve aSS-s didi
depresiis gamocdileba jer kidev 1930-iani wlebidan sZenda aqtualobas
finansuri friqciebis rols makroekonomikaSi.
unda aRiniSnos, rom am mimarTulebiT araerTi cnobili makroekonomikuri
kvleva iqna gamoqveynebuli, jer kidev gasuli saukunis adreul etapze,
romelTac kargi safuZveli Seqmnes maTi Semdgomi konsolidaciis da ukve
mogvianebiT, 1990-iani wlebis meore naxevarSi, met-naklebad srulyofili
finansuri friqciebiani makroekonomikuri modelebis asagebad.
XІX saukunis adreuli kvlevebidan finansuri friqciebis Tematikaze
safuZvelis SeqmnisaTvis aRsaniSnavia fiSeri (1933), romelSic
gaanalizebulia valze deflaciis gavlena da nominaluri sargeblis
ganakveTebis nulovani zRvaris problema. kerZod, rodesac ekonomikaze
valis tvirTi maRalia da sabanko seqtorSi Sokis Sedegad bankebi
cdiloben sesxebis swrafad Semcirebas, bankebis mxridan aqtivebis uecari
gayidva da sesxebis Semcireba, ekonomikur aqtivobas amcirebs da
deflacias ganapirobebs. Tavis mxriv, kerZo seqtoris vali, romelic
nominalur erTeulebSia deflaciis Sedegad realur zrdas ganicdis da
kompaniebis sabalanso uwyisze negatiur gavlenas axdens. deflaciis efeqts
kerZo seqtoris valze is garemoeba amZimebs, rom nominaluri sargeblis
ganakveTebis Semcireba SemosazRvrulia nulovani niSnuliT. Sesabamisad,
sakmarisad didi deflaciis pirobebSi realuri sargeblis ganakveTi
SesaZloa mkveTrad gaizardos, rogorc es 1930-ian wlebSi, aSS-s didi
depresiis periodSi moxda. fiSeris mier aRniSnul kvlevaSi valze
deflaciis uaryofiTi efeqtis analizi mogvianebiT e.w. „fiSeris
deflaciis“ efeqtiT gaxda cnobili. kristiano da sxvebi (2003, 2010)
„fiSeris deflaciis efeqts“ srulfasovnad ganixilaven ukve
62
finansurfriqciebian DSGE modelSi, romelzec Semdgom TavebSi gveqneba
saubari.
adreuli kvlevebidan, aseve mniSvnelovani wvlili Seitana keinzis (1936)
Sromam, sadac neoklaiskuri midgomisgan gansxvavebiT, centralur rols
TamaSobs erToblivi moTxovna da Sesabamisad ekonomikuri krizisebis
analizis marTvis TvalsazrisiT keinzis Teoriis gavlena mniSvnelovania.
aseve, minski (1957), romelic finansur arastabilurobas ganixilavs,
fridmani da Svarci (1963), romlebic wina planze ganixilaven sabanko
krizisis mniSvnelovnebas makroekonomikur WrilSi.
Tumca unda aRiniSnos, rom miuxedavad zemoaRniSnuli kvlevebisa,
romlebic adreul etapzeve miuTiTebda makroekonomikisa da finansuri
bazrebis urTierTkavSiris analizis saWiroebaze, jer kidev 2007-2008
wlebis globalur finansur krizisamde am problemebis simwvave saTanadod
ar iyo Sefasebuli. globaluri krizisis Semdgom, ekonomistebis didi
yuradReba daeTmo makrofinansuri urTierTkavSirebis analizs da
Sesabamisi modelebis ganviTarebaSi mniSvnelovani warmatebac iqna
miRweuli. Tumca, ekonomistebis jer kidev didi Zalisxmevaa saWiro, rom
Teoriuli modelebi morgebul iqnas konkretuli qveynebis specifikis
saWiroebebze da politikis gamtarebelTaTvis orientiris roli
Seasrulos. am mimarTulebiT, umTavres gamowvevas warmoadgens modelebis
imdagvarad daxvewa, rom politikis gamtarebelTaTvis, finansuri Tu
monetaruli instrumentebis gamoyenebisas ricxviTi pasuxebis miReba iyos
SesaZlebeli.
modelebis mimarT, romlebic bolo wlebSi ganviTarda am mimarTulebiT,
ZiriTadad ramdenime moTxovna iyo wayenebuli. maTgan umTavresi iyo, rom
modelebs unda moecvaT finansuri seqtori, sadac ar eqneboda adgili
Modigliani – Miller-is Tvisebas. aseve, modelSi nawilobriv mainc iqneboda
warmodgenili makroekonomikuri da finanasuri urTierTkavSirebis is
meqanizmebi, romlebic finansuri krizisis periodebSi istoriulad
gamovlinda da rac aranakleb mniSvnelovania modeli raodenobrivi
analizis Catarebis SesaZleblobas mogvcemda.
63
mimdinare etapisTvis arsebuli makroekonomikuri da finansuri
urTierTkavSirebis modelebi, warmoadgens tradiciuli dinamikuri zogadi
wonasworobis makroekonomikuri (DSGE) modelebis gafarToebas, modelSi
finansuri friqciebis CarTviTi gziT. Tanamedrove literaturaSi
gamosayofia ZiriTadad oTxi tipis modelebi:
I. modeli SezRudvebiT sagiravno aqtivebze (model with Collateral
Constraints);
II. modeli xarjiani verifikaciiT (Models with Costly-State Verification,
SemoklebiT CSV);
III. moralurobis riski I (“Running Away”, bankis mier aqtivebis mitaceba);
IV. moralurobis riski II (“Unobserved Banker Effort”, bankis mier naklebi
Zalisxmeva).
oTxive maTgani, sxvadasxva gziT aRwers im garemoebas, rom finansuri
Suamavlebis wminda Rirebulebis (kapitalis) Semcireba, saprocento
marJebis zrdas ganapirobebs da Sedegad mcirdeba ekonomikis dakrediteba
da investiciebi, rac 2007 - 2008 wlebSi krizisis realur ekonomikaze
gavlenis erT-erTi mTavari maxasiaTebeli iyo. I da II tipis modelebis
ZiriTadi maxasiaTebelia dakreditebisas bazarze arsebuli asimetriuli
informacia da msesxeblis monitoringis xarji, xolo III da IV modelebSi
finansuri Suamavlobis moralurobis riski (moral hazard) warmoadgens mTavar
maxasiaTebels.
3 modeli SezRudvebiT sagiravno aqtivebze
modeli SezRudvebiT sagiravno aqtivebze (Model with Collateral Constraints)
gulisxmobs, rom modelSi ZiriTad finansur friqcias sesxisTvis
sagiravno aqtivis aucilebloba warmoadgens. kerZod, gamsesxeblebs ar
SeuZliaT aiZulon sesxis dafarva potenciur klientebs Tuki sesxi ar
aris uzrunvelyofili. sesxisTvis sagiravno aqtivis aucilebloba
ganapirobebs, rom warmoebis faqtorebs (miwa, uZravi qoneba, manqana
64
danadgarebi) ormagi roli aqvT, erTi, rogorc warmoebisTvis aucilebeli
faqtorebi da meore, rogorc sesxis uzrunvelyofis saSualebebi. maTi
fasebis cvlileba gavlenas axdens sesxebis limitze da Sesabamisad
ekonomikur aqtivobaze, romelic Tavis mxriv warmoebis faqtorebze
moTxovnas ganapirobebs. aRniSnul modelSi warmoebis faqtorebis fasebisa
da ekonomikuri aqtivobis urTierTqmedeba qmnis makroekonomikuri da
finansuri urTierTkavSiris ZiriTad arxs, romelic gansakuTrebul
mniSvnelobas ekonomikuri ciklebis periodSi iZens. kerZod, aRniSnuli
meqanizmi ganapirobebs, rom izrdeba ekonomikuri ciklebis simwvave da maTi
xangrZlivoba, rac makroprudenciuli politikis gamtarebelTa mier
yuradRebis sagani unda gaxdes.
sagiravno aqtiviT SezRuduli modeli misi zemoaRniSnuli TvisebebiT,
Semotanil iqna Kiotaki and Moore (1995) kvlevaSi, sadac Teoriul kvlevaze
dayrdnobiT gaanalizebulia sakredito SezRudvebisa da erToblivi
ekonomikuri aqtivobis urTierTqmedeba biznes ciklebis fonze. aRniSnuli
kvleva inovaciurad warmoaCens makroekonomikuri da finansuri
urTierTkavSirebis am erT-erT ZiriTad arxs, Tumca nawilobriv eyrdnoba
manamde arsebul kvlevebs, iseTebs, rogoricaa Bernanke and Gertler (1989),
Kashyap, Scharfstein and Weil (1990), Shleifer and Vishny(1992), Scheinkman and Weiss
(1986) da sxv.. ideis doneze uzrunvelyofili dakreditebisa da sagiravno
aqtivis fasebis pozitiuri damokidebuleba jer kidev Veblan (1904, Chapter V)
kvlevaSi gvxvdeba.
Kiotaki and Moore (1995) kvlevis mixedviT, daSvebis Tanaxmad, ekonomikaSi
arsebobs ori tipis saqoneli, xangrZlivi moxmarebis aqtivi, romelis
raodenoba fiqsirebulia (mag. miwa) da xanmokle moxmarebis saqoneli,
romlis Senaxva SeuZlebelia (mag. xili, romelic miwaze modis). aseve
daSvebis Tanaxmad, ekonomika warmodgenilia ori gansxvavebuli tipis
agentiT, pirobiTad, fermeri da Semgrovebeli. orive maTgans mohyavs da
moixmares xils, Tumca gansxvavebulia maTi sargeblianobis funqciebi.
fermeri: [∑ ]
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Semgrovebeli: [∑ ]sadac, da R warmoadgens diskontirebis ganakveTebs, romlebic
akmayofileben Semdeg pirobas: 1 < <kvlevaSi heterogenurli ekonomikuri agentebi warmodgenilia
diskontirebis ganakveTebs Soris sxvaobiT da igi mniSvnelovan datvirTvas
atarebs. Semgroveblebi, romelTa diskontirebis ganakveTi ufro dabalia,
metad afaseben momaval moxmarebas vidre fermerebi Sesabamisad
Semgroveblebi realur cxovrebSi ganasaxiereben damzogvelebs, xolo
fermerebi warmoadgenen investorebs, romlebic sesxs iReben da awarmoeben.
fermeri da damgrovelic, orive erT periods andomebs xilis warmoebas
miwis gamoyenebiT, Tumca gansxvavebulia maTi warmoebis saSualebebi.
fermeris warmoebis funqcias Semdegi saxe aqvs:= ( + )sadac aseve daSvebis Tanaxmad, > ( − 1)sadac, miwis gamoyenebiT fermeri awarmoebs raodenobis xils.daSvebis
Tanaxmad, c warmoadgens aravaWrobadi saqonelis wils (xilis is nawili,
romelic ar eqvemdebareba transportirebas. misi gamoyeneba fermers
mxolod sakuTari moxmarebisTvis SeuZlia). Sesabamisad, fermers ar
SeuZlia -ze metis gayidva. aRniSnuli daSveba, saSualebas iZleva
sakredito SezRudva SenarCunebuli iqnes modelSi.
fermeris warmoebis teqnologiasTan dakavSirebiT ori mniSvnelovani
daSvebaa modelSi warmodgenili: (I) fermeri, romelmac t periodSi dawyo
warmoeba miwaze, mas da mxolod mas Seswevs unari xilis warmoeba
bolomde miiyvanos. (II) fermers sakuTari diskreciiT SeuZlia Sroma
Sewyvitos da aseT SemTxvevaSi t+1 periodSi xilis mosavali ver mova,
SenarCundeba mxolod miwa.
aRniSnuli daSvebebi gadamwyvetia, radgan saSualebas iZleba modelSi
warmodgenil iqnas sagiravno aqtivis SezRudva. kerZod, Tuki fermers didi
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odenobis vali gaaCnia, mas upiratesoba eqneba kreditors damajereblad
daemuqros warmoebis SewyvetiT da sesxi srulad aRar dafaros. amisgan
Tavis dasacavad, kreditori sesxis uzrunvelyofas sagiravno aqtiviT-miwiT
axdens. Tumca, miwa fermeris mier damuSavebis gareSe xils ver iZleva.
Sesabamisad, miwis salikvidacio Rirebuleba naklebia, vidre misi
Rirebuleba iqneboda fermeris xelSi. aRniSnulis gaTvaliswinebiT,
fermers upiratesoba aqvs kreditori daiTanxmos sesxis sruli raodenobis
nacvlad nawilobriv dafarvaze (mag. miwis salikvidacio fasamde sesxis
Semcireba). kreditorebma ician ra fermeris aRniSnuli upiratesoba,
uzrunvelyofen, rom gacemuli sesxis moculoba (sargeblis
gaTvaliswinebiT) ar aRematebodes sagiravno aqtivis salikvidacio fass.
Tuki t periodSi fermeris mier kreditorsadmi davalianebas -Ti
avRniSnavT, xolo sargeblis ganakveTs -iT, gveqneba rom:≤sadac, warmodgens miwis Rirebulebas t+1 periodisTvis.
fermerebis sabiujeto SezRudvas rac Seexeba, t periodSi maT Semosavals
saqonlis realizaciiT miRebuli Tanxa da moculobiT miRebuliT sesxi
warmoadgens. aRniSnuli SemosavliT, fermeri axorcielebs investicias
axali miwis SesaZenad, faravs warsul davalianebas da uzrunvelyofs
sakuTar moxmarebas. ( − ) + + − = +rac SeexebaT Semgroveblebs, kvlevis daSvebis Tanaxmad yvela maTganis
warmoebis funqcia identuria da gaaCnia masStabis klebadi ukugeba. kerZod,
t periodSi miwis gamoyenebiT, isini awarmoeben vaWrobad saqonels,
Semdegi funqciiT:= ( ), სადაც ≥ 0, < 0maTi, warmoebis teqnologia ar moiTxovs raime specifikur unarebs,
Sesabamisad maT arc sakredito SezRudvebi exebaT. maT sabiujeto
SezRudvas Semdegi saxe aqvs:
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( − ) + + = ( ) +sadac, warmoadgens moxmarebas, da vals t-1 da t periodebSi,
romlebic modelis wonasworobaSi uaryofiTia, rac aRniSnavs, rom
Semgroveblebi zogaven da fermerebis kreditorebs warmoadgenen.
aRniSnul modelSi, a, c da პარამეტრებზე დაშვებების გათვალისწინებით
ვღებულობთ, რომ:
= 1− 1 [( + ) − ]= 1
sadac, ( + ) − warmoadgens, fermeris wminda Rirebulebas, xolo− pirvelad Senatans (down payment) fermeris mier erTeuli miwis
SesaZenad. aqedan gamomdinareobs, rom aqtivze (miwaze) moTxovna
pirdapirproporciulad aris damokidebuli fermeris wminda Rirebulebaze.
Tuki davuSvebT, rom aqtivis fasebi izrdeba, Sesabamisad და
proporciulad izrdeba, maSin fermeris wminda Rirebuleba proporciulze
metad gaizrdeba, rasac leveraJi ganapirobebs. Sesabamisad vRebulobT, rom
aqtivze moTxovna mzardia misi fasebis zrdis paralelurad.
rac SeexebaT Semgroveblebs, maTi maRali diskontirebis ganakveTidan
gamomdinare isini damzogvelebi arian, maT ar aqvT sakredito SezRudva,
Sesabamisad maTi moTxovna ganisazRvreba, miwis zRvruli produqtiulobis
mimdinare Rirebulebis tolobiT miwis alternatiul danaxarjTan. kerZod
( ) = −sadac, − warmoadgens erTeuli miwis alternatiul Rirebulebas1.
1 SegaxsenebT, igive wevri, fermerisTvis warmoadgens pirvelad Senatans (down payment).
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Semgroveblebisa da fermerebis moTxovnis gaerTianebiT, aseve imis
gaTvaliswinebiT, rom miwis rogorc aqtivis, jamuri miwodeba bazarze
fiqsirebulia, vRebulobT, rom :
− 1 = 1 1 ( − ) , , ( ) = 1 1 ( − )u(K) warmodgens SemgroveblisTvis miwis flobis alternatiul
Rirebulebas, romelic zrdadia K-s mimarT. Tuki fermerebis moTxovna
miwaze gaizrdeba, aseve gaizrdeba miwis flobis alternatiuli
Rirebuleba SemgroveblebisTvis, da maT moTxovnas Seamcirebs, rac bazris
wonasworobas Seuwyobs xels.
aRniSnuli damokidebulebebi modelis erT-erTi mTavari sakvanZo
elementebia, romlebic markoekonomikuri da finansuri urTierTkavSiris
meqanizms aRweren. kerZod, modelSi miwaze fasebis Semcirebas
mniSvnelovani da myisieri gavlena aqvs sakredito SezRudvis mqone
fermerze. aseT dros levaraJis gavleniT, fermeris wminda Rirebuleba
aqtivebis gadafasebis efeqtiT mcirdeba, rac maTi mxridan investiciebis
kidev ufro met Semcirebas ganapirobebs da Tavis mxriv miwis fasebis
Semcireba Zlierdeba. Sokis efeqtis gaZlierebas swored es
urTierTdamokidebuleba ganapirobebs, romelic sagiravno aqtiviT
SezRuduli modelis ZiriTadi meqanizmia. swored aRniSnul process hqonda
adgili globaluri finansuri krizisis periodSi, rodesac ipoTekuri
sesxebiT uzrunvelyofili fasiani qaRaldebis (MBS) bankebis mxridan
swrafi gayidvis mcdelobisas finansurma kompaniebma aRniSnuli aqtivebis
safaso cvlilebidan mniSvnelovani zarali ganicada, xolo maTma
finansurma problemebma aqtivebze fasebis vardna kidev ufro gaaZliera.
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4 modeli xarjiani verifikaciiT
makroekonomikur modelSi finansuri seqtoris warmodgenis kidev erTi
cnobili midgomaa-modeli xarjiani verifikaciiT (Models with Costly-State
Verification, CSV), romelis ZiriTad ideas warmoadgens msesxebelsa da
gamsesxebels Soris arsebuli informaciis asimetriulobis gaTvaliswineba.
aRniSnuli midgoma srulad integrirebul iqna DSGE modelSi, Bernanke,
Gertler and Gilchrist, 1999 kvlevaSi, romelic SemdgomSi am Temaze warmoebuli
kvlevebisTvis bazisad iqca.
Bernanke, Gertler and Gilchrist, 1999 (SemoklebiT BGG)-Si, warmodgenilia e.w.
„finansuri aqseleratoris“ meqanizmi, romelic sakredito bazarze
arsebuli friqciebis Sedegad ekonomikaSi arsebuli Sokebis gaZlierebasa
da gaxangrZlivebas ganapirobebs. kerZod, „finansuri aqseleratoris“
meqanizmi Semdegia: sesxis saprocento marJa uaryofiTad aris
damokidebuli sesxis mimRebis wminda Rirebulebaze. Tavis mxriv
uaryofiTi damokidebuleba imis Sedegia, rom rodesac investoris wminda
Rirebuleba mcirea, sakuTari kapitaliT misi monawileoba proeqtis
dafinansebaSi aseve mcirea, rac amwvavebs potenciur interesTa konfliqts
investorsa da mis msesxebels Soris. gazrdili agentis xarjebi (agency costs)
saprocetno marJaze aisaxeba. kerZod, msesxeblebi maRal kompensacias
iTxoven arsebuli riskebis kompensirebisTvis. imis gaTvaliswinebiT, rom
investorTa wminda Rirebuleba procikluria (ramdenadac procikluria
mogeba, fasiani qaRaldebis fasebi da sxva), sesxis saprocento marJa
izrdeba ekonomikuri recesiis dros, xolo mcirdeba bumis periodSi.
aRniSnuli efeqti aisaxeba dakreditebis moculobaze da Sesabamisad
investiciebsa Tu xarjebze, rac aZlierebs da axangrZlivebs ekonomikur
ciklebs.
BGG modeli warmoadgens axal keinzianur dinamikur zogadi wonasworobis
(DSGE-NK) modelis modifikacias, romelic iTvaliswinebs „finansuri
aqseleraciis“ efeqts investiciebze. daSvebis Tanaxmad, modelSi
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warmodgenilia sami tipis ekonomikuri agentebi: (I) Sinameurneobebi,
romlebic usasrulod cxovroben, bazars awvdian Sromas, moixmaren
saqonels, floben fuls da zogaven Tanxas sargeblis momtan aqtivebSi. (II)
mewarmeebi, romlebic modelSi centralur rols asruleben, radgan
„finansuri aCqarebis“ meqanizmi swored maTze gadis. daSvebis Tanaxmad,
mewarmeebi warmoadgenen riskis mimarT neitralurad ganwyobil agentebs
(risk-neutral) da maTi sicocxlis xangrZlivoba sasrulia. kerZod, yovel
periodSi maTi argakotrebis albaTobas warmodgens , Sesabamisad maTi
sicocxlis mosalodneli xangrZlivoba saSualod periods Seadgens1.
(III) mesame tipis ekonomikuri agentebi arian gadamyidvelebi (retailers).
Sinameurneobebi da mewarmeebi erTmaneTisgan gamijnulia da isini
gvevlinebian damzogvelebisa da msesxeblebis rolSi. Sesabamisad,
gadamyidvelebi warmodgenilia modelSi fasebis sixistis
uzrunvelsayofad. modelSi aseve, gaiTvaliswineba saxelmwifo, rogorc
ekonomikuri agenti, romelic axorcielebs fiskalur da monetarul
politikas.
„finansuri aqseleratoris“ meqanizmis aRsawerad, modelSi Semotanilia
agentis problemebi (agency problem), romelic damzogvelsa da msesxebels
Soris interesTa konfliqtis Sedegia. Sesabamisad, finansuri kontraqtis
mizania agentis problemis minimizeba da swored es ganapirobebs mewarmis
wminda Rirebulebasa da erTobliv moTxovnas Soris damokidebulebas.
mewarmis wminda Rirebuleba ori wyaroTi icvleba, pirveli es aris mogeba,
romelsac igi Rebulobs ekonomikuri saqmianobiT. mogeba aseve icvleba
aqtivebis safaso cvlilebis Sedegad (capital gains). meore wyaros warmoadgens
Tavad mewarmis mier miwodebuli Sromis anazRaureba (modelSi, daSvebis
Tanaxmad, mewarmeebi garda ekonomikuri saqmianobisa Tavadac samuSao Zalas
warmoadgenen). mewarmis wminda Rirebuleba gadamwyvetia, mis mier moziduli
dafinansebisTvis. kerZod, wminda Rirebulebis zrda mewarmes met sakuTar
1mewarmeebis sicocxlis xangrZlivobis SezRudva ganpirobebulia yovel periodSi axali
mewarmeebis Semosvlis da gasvlis uzrunvelsayofad. γ albaTobis mudmivad SenarCunebauzrunvelyofs, rom mewarmeebis raodenoba wilobrivad ekonomikis mTlian agentebSi
mudmivia.
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resurs uCens da proeqtis dafinansebaSi sakuTari wilis zrdas
ganapirobebs, rac amcirebs SesaZlo interesTan konfliqts da agentis
problemis Semsubuqebas iwvevs. Sedegad, riskis marJa mcirdeba da mewarmis
mier moziduli saxsrebis moculoba izrdeba, rac agregirebul ekonomikur
aqtivobaze axdens gavlenas.
modelis makroekonomikuri bloki msgavsia standartuli dinamikuri zogadi
wonasworobis modelebisa da maT detalur aRweras gverds avuvliT. aq
mxolod im nawilze gavamaxvilebT yuradRebas, romelic makroekonomikuri
da finansuri urTierTkavSirebis mTavar arss warmoadgens.
modelSi, kapitalze amonagebi damokidebulia rogorc sistemur ise
idisinkretul (idiosyncratic)
მოდელში, კაპიტალზე ამონაგები დამოკიდებულია როგორც სისტემურ ისე
იდისინკრეტულ (idiosyncratic) riskze. j firmisTvis ex post kapitalze amonagebi
moicema , sadac warmoadgens j firmisTvis idiosinkretul Soks
erTeulovani saSualoTi ( ( ) = 1), xolo kapitalis saSualo
amonagebia (firmebis mixedviT saSualo amonagebi t+1 periodisTvis).
modelis daSvebis Tanaxmad, idiosinkretuli Soki mxolod mewarmisTvis
aris dakvirvebadi da masze informacia banks mxolod sakmarisi xarjis
gawevis Semdgom aqvs. aRniSnuli daSveba warmoadgens CSV modelebis ZiriTad
maxasiaTebels. igi pirvelad Townsend (1979) mier iqna gaanalizebuli,
romlis mixedviTac msesxeblebs garkveuli Tanxis (mag. auditoruli
momsaxurebis) gaRebis Semdgom SeeZloT mewarmis realur amonagebze sruli
informaciis miReba. aRniSnuli xarji, SesaZloa warmovidginoT, rogorc
gakotrebis legaluri mxaris uzrunvelyofis xarji (iuridiuli da
buRaltruli momsaxureba, aqtivebis likvidaciis xarjebi). daSvebis
Tanaxmad, aRniSnuli auditoruli xarji proporciulia firmis jamuri
Rirebulebis. kerZod, igi moicema Semdegi saxiT .
aRniSvnis Tanaxmad, j mewarmis wminda Rirebulebas warmoadgens,
romelic mas gaaCnia t periodis bolos (t+1 periodis dasawyisSi). mewarme
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sesxulobs1 Tanxas, romelsac igi amatebs sakuTar Tanxas da yidulobs
kapitals, , (anu afinansebs sakuTar biznes proeqts).
= −optimalur kontraqts, romelic finansur Suamavalsa da mewarmes Soris
ideba, ori ZiriTadi maxasiaTebeli gaaCnia. sargeblis ganakveTi2 da
idiosinkretuli Sokis zRvruli mniSvneloba, , iseTi, rom rodesac >mewarme srulad emsaxureba kontraqtiT gaTvaliswinebul pirobebs.
mniSvneloba ganisazRvreba Semdegi tolobidan:
=aRniSnuli tolodidan gamomdinareobs, rom SegviZlia Semdegnairad
warmovadginoT
= = ∗ = ∗ − 1sadac, warmoadgens j firmis wminda Rirebulebas, xolo = =
j firmis leveraJis dones. aRniSnuli damokidebuleba cxadyofs,
rom firmis leveraJis zrda, misTvis idiosinkratuli Sokis zRvars zrdis,
romelzec mewarme defotls acxadebs. anu maRali leveraJis pirobebSi
mewarmes meti iRbali Wirdeba raTa ar gakotrdes. idiosinkratuli Sokis
zRvrul niSnulze aseve zrdis mimarTulebiT moqmedebs valis saprocento
ganakveTis ( ) zrda.
rodesac, ≥ kontraqtis Tanaxmad mewarme banks uxdis −is tol
Tanxas, xolo darCenil Tanxas, romelic Seadgens − ,
inarCunebs. Tuki < , maSin mewarme srulad ver faravs sesxs da
1mewarme sesxulobs finansuri Suamavlisgan (banki), romelsac Tavis mxriv
Sinameurneobebisgan Rebulobs dafinansebas.2sargeblis ganakveTi Z moicavs ZiriTad Tanxasac Z = 1 + r (gross). igive exeba R ganakveTsac.
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defolts acxadebs. am ukanasknel SemTxvevaSi, finansuri Suamavali
auditis xarjis gawevis Semdeg mewarmis aqtivebs esakuTreba. kerZod,
mewarmis gakotrebis SemTxvevaSi bankis mier miRebuli Semosavali Seadgens(1 − ) , xolo mewarmes araferi rCeba.
wonasworobis piroba da - isTvis gulisxmobs, rom finansuri
Suamavlis mier mewarmeze gacemuli sesxis sargebelis ganakveTi toli unda
iyos Suamavlis mier moziduli saxsrebis alternatiuli Rirebulebis.
daSvebis Tanaxmad, mewarmeze gacemuli sesxis erTaderTi risk warmoadgens
idiosinkratuli riski, romelic srulad diversificirebadia. Sesabamisad,
wonasworobisas sesxis kontraqti unda akmayofilebdes Semdeg pirobas:
1 − + (1 − )∫ ( ) =sadac, warmoadgens finansuri Suamavlis mier moziduli saxsrebis
alternatiuli sargeblis ganakveTs. Sesabamisad, tolobis marjvena mxare
warmoadgens SuamavlisTvis mewarmeze gacemuli sesxis alternatiul
xarjs, xolo tolobis marcxena mxare- mewarmeze gacemuli sesxis
mosalodnel amonagebs. −is ganmartebidan gamomdinare, warmoadgens
mewarmis gakotrebis albaTobas.
zemoTmoyvanili gantolebis gamoyenebiT miiReba Semdegi damokidebuleba:
1 − + (1 − ) ( ) = ( − )sadac, sesxis mosalodneli amonagebi (tolobis marcxena mxare)
warmodgenilia -ze damokidebulebiT. realobaSi, garda idiosinkratuli
riskebisa ekonomikaSi didi doziT gvxvdeba sistemuri riskebi, romelTa
mniSvnelovnebas gansakuTrebiT finansuri krizisebi warmoaCens. sistemuri
riskebi, idiosinkretulisgan gansxvavebiT ar aris srulad
diversificirebadi. amdenad, damokidebulia -ზე (nacvlad -isa
romelic urisko sargeblis ganakveTs warmoadgenda), romelic
makroekonomikuri garemos paralelurad icvleba. Sesabamisad,
damokidebulia makroekonomikur faqtorebze, kerZod igi kontrciklurad
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icvleba. magaliTad, kapitalze amonagebis ( ) mosalodnelze dabali
donis SemTxveaSi, izrdeba mewarmisTvis sesxis sargeblis ganakveTi .
sageblis ganakveTis zrdas mewarmis gakotrebis albaTobis zrda
ganapirobebs, rac Tavis mxriv kapitalze dabali amonagebis Sedegia.
SejamebisTvis, aRniSnuli modelis mixedviT, makroekonomikuri garemos
gauaresebis fonze kapitalze dabali amonagebis zrda, iwvevs mewarmis
gakotrebis albaTobis zrdas, rac saprocento marJis zrdasac
ganapirobebs.
rogorc zemoT aRvniSne, BGG modeli makroekonomikuri da finansuri
urTierTkavSirebis modelirebis erT-erT sabaziso kvlevad iqca da
mogvianebiT araerTi sxva naSromis safuZveli gaxda. maTgan erT-erTi
yvelaze mniSvnelovani kvlevebia Christiano, Motto and Rostango 2010, 2013,
romlebmac kidev ufro gaamdidres finansuri BGG modeli sxva finansuri
friqciebis mocviT. kerZod, Christiano da sxvani (2010) kvlevaSi BGG modeli
gamdidrebulia e.w. „fiSeris valis deflaciis“ efeqtiT. maTi daSvebiT
modelSi, ekonomikuri agentebis bankebisadmi davalianeba warmodgenilia
nominalur erTeulebSi, Sesabamisad, fasebis donis cvlileba ex post
gavlenas axdens ekonomikuri agentebis mier valis momsaxurebis realur
tvirTze. aRniSnul meqanizms ewodeba e.w. „fiSeris deflaciis“ efeqti.
swored es efeqti warmoadgens zemoganxiluli finansuri aqseleratoris
efeqtTan erTad finansuri friqciebis mTavar wyaros, romelic msoflios
finansuri krizisebis istoriaSi farTod dakvirvebadi fenomenia.
5 moralurobis riski I (“Running Away” modeli)
makroekonomikuri da finansuri urTierTkavSirebis modelirebis erT -
erTi mniSvnelovani mimarTulebas warmoadgens Running Away-tipis modeli,
romelic fokusirebulia finansur SuamavlobaSi arsebuli moralurobis
riskis modelirebaze. kerZod, es problema momdinareobs bankebis (da
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zogadad finansuri Suamavlebis) SesaZleblobidan, rom maT mflobelobaSi
arsebuli aqtivebi miitacon an sakuTari keTildReobisTvis gamoiyenon.
aRniSnuli tipis modeli kargad aRwers globaluri finansuri krizisis
epizods, rodesac 2007 wlis Semdgom bankebis wminda Rirebulebis
(sakuTari kapitalis) Semcirebis Semdeg saprocento marJebi mkveTrad
gaizarda da finansuri Suamavloba Seferxda.
modelis ZiriTadi meqanizmi efuZneba garemoebas, rom bankebi sakuTari
kapitalis Semcirebis pasuxad amcireben mozidul depozitebs. amas akeTeben
imitom, rom, Tuki depozitebis isev Zvel dones SeinarCuneben sakuTari
kapitalis Semcirebis miuxedavad, es depozitarebisTvis negatiuri signali
iqneba, Sesabamisad ndobas dakargaven maT mimarT da danazogebs sxvagan
waiReben. depozitarebis aRniSnuli reaqcia, sworad ganWvretis Sedegia,
rom bankebis sakuTari kapitalis Semcireba maT leveraJs gazrdis da maT
met motivacias Seuqmnis aqtivebis mitacebisTvis (an gaflangvisTvis). am
molodinebis gasaneitraleblad, bankebis mier depozitebis Semcireba da
mozidul saxsrebze xarjis Sekveca maT mogebas gazrdis da depozitarebis
negatiur molodinebsac gaaneitralebs, radgan maRali mogebis pirobebSi
bankebi metad motivirebulni iqnebian saqmianobis patiosnad
gagrZelebisTvis.
aRniSnuli tipis modeli warmodgenilia Gertler, Kiotaki (2010) da Gertler, Karadi
(2009) naSromebSi, romlis gamartivebul versiasac aq mokled mimovixilav,
sadac modelis ZiriTadi principi SenarCunebulia, xolo arasaWiro
garTulebebs gverds avuvli.
modelSi warmodgenilia ori tipis ekonomikuri agentebi, esenia „bankirebi“
da „dasaqmebulebi“. TiToeuli tipis kategoriis agentebi absoliturad
erTmaneTis msgavsni arian da amasTan usasrulo raodenobis.
simartivisTvis ganvixilavT orperiodian models, Tumca zemo aRniSnul
naSromSi usasrulo periodiani SemTxvevebia warmodgenili. period 1-Si,
dasaqmebulebi, romelTagan TiToeuls daSvebis Tanaxmad ergoT
memkvidreobiT y saqoneli, Rebuloben gadawyvetilebas ramdeni moixmaron
da ramdeni dazogon depozitebis saxiT. bankirebi, romelTac aseve
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memkvidreobiT ergoT N N kapitali, Rebuloben depozitebs da abandeben
firmebis fasian qaRaldebSi s, rasac firma iyenebs kapitalis SesaZenad da
saqonels awarmoebs period 2-Si. imave period 2-Si, Sinameurneobebi
moixmaren wina periodSi depozitebis saxiT dazogil Tanxas da aseve
Rebuloben mogebas, romelic bankebisgan ergoT.
Sinameurneobebis sargeblianobis maqsimizaciis amocanaa Semdegi:
Sinameurneobis maqsimizaciis problemaperiodi 1 periodi 2
sabiujeto SezRudva c + d ≤ y ≤ +miznis funqcia , , ( ( ) + ( ))sadac, y warmoadgens pirvel periodSi dasaqmebulis mier miRebul
memkvidreobas, c da C warmoadgenen pirvel da meore periodis moxmarebas,
Sesabamisad, d aris depozitebis moculoba, და warmoadgenen depozitebis
sargeblianobis ganakveTs (Ziris CaTvliT) da bankebis mogebas, romelic
TiToeul Sinameurneobas ergo transferis saxiT, xolo ( ) + ( )warmoadgens Sinameurneobis sargeblianobis funqcias.
bankebis mogebis optimizaciis amocana gulisxmobs Semdegs:
bankis mogebis maqsimizacia
periodi 1 periodi 2
miiRos depoziti, d gaistumros depoziti (daricxuli
sargebliT),
SeiZinos fasiani qaRaldebi, s = N + d daibrunos sesxi firmisgan
(daricxuli sargebliT),
maqsimizacia ( − )sadac, d depozitebis moculobas, s SeZenili fasiani qaRaldebis (gacemuli
sesxebis), da depozitebze da sesxebze daricxul sargeblis
ganakveTebs warmoadgenen. − bankis mogebis aRwers, romelic mis
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Semosavlebsa da xarjebs Soris sxvaobas warmoadgens. zemoaRniSnuli
maqsimizaciis amocana aRwers bankis moqmedebas, moralurobis riskis
gauTvaliswineblad, romelsac mogvianebiT SemovitanT.
wonasworobis piroba gulisxmobs, rom unda sruldebodes Sinameurneobebis
sargeblianobis da bankis mogebis maqsimizaciis pirobebi, aseve saqonlisa
da depozitebis bazari unda iyos wonasworobaSi dadebiTi d, c da C-sTvis.
aRniSnuli modelis wonasworobis erT-erTi maxasiaTebelia, rom = . am
pirobis ilustracia martivia, Tu davuSvebT, rom depozitebze sargeblis
ganakveTi aRemateba sesxis sargeblis ganakveTs, maSin bankisTvis
optimaluri iqneba ar moizidos depozitebi da d = 0. Tuki piriqiT
davuSvebT, rom > , maSin banki usasrulod bevr depozits miiRebs (d =∞), Sesabamisad orive maTgani ewinaaRmdegeba wonasworobis pirobas,
romelsac Cven veZebT modelis farglebSi (d unda iyos dadebiTi ricxvi).
depozitisa da sesxis sargeblis ganakveTebis toloba niSnavs, rom
saprocento spredi aRniSnul ekonomikaSi nulis tolia, rac logikuria
imis gaTvaliswinebiT, rom finansuri Suamavlobis danaxarjebi modelSi
daSvebis Tanaxmad ara nulovania, xolo defolti ar xdeba. es yovelive
uzrunvelyofs, rom arsebuli daSvebebiT modelis wonasworoba
keTildReobis udanakargo resursebis ganawilebas gvaZlevs.
aRniSnul modelSi bazaris wonasworoba moTxovna da miwodebis
diagramebiT warvadginoT, unda aRvniSnoT, rom bankis moTxovna
depozitebze es aris horizontaluri wrfe = saxiT. Sinameurneobis
mier depozitebis miwodebis mrudi warmoadgens yoveli konkretuli -
sTvis d-s iseT mniSvnelobas, romelic sargeblianobis maqsimizacias
ganapirobebs. miwodebis mrudis analizi cxadyofs, rom N (bankebis
sakuTari kapitalis) Semcirebis SemTxvevaSi d izrdeba, raTa danazogebis
zrdam pirvelsa da meore periodebSi moxmarebis Tanabari gadanawileba
gamoiwvios.
unda aRiniSnos, rom zemoT moyvanili daSvebebis pirobebSi, finansuri
friqcia ar arsebobs, rac aseTi keTildReobis udanakargo wonasworobas
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iZleva da arc bankebis kapitalis da depozitebis uaryofiT
damokidebulebas aqvs adgili.
Gertler - Kiotaki modelis ZiriTadi daSveba gulisxmobs, rom bankebs aqvT
SesaZlebloba airCion, gakotrdnen, (aqtivebis nawili miiTvison) Tu
normalur pirobebSi gaagrZelon muSaoba. bankis mier gakotrebis arCevis
SemTxvevaSi, banki Rebulobs mis marTvaSi arsebuli aqtivebis θ wils,
xolo danarCeni depozitarebs rCeba. Sesabamisad, banki miiRebs ( + ),xolo depozitarebi (1 − ) ( + ). banki racionalurobis
gaTvaliswinebiT, gakotrebas ar airCevs im SemTxvevaSi, Tu misi es
gadawyvetileba ufro met mogebas moutans( + ) − ≥ ( + )aRniSnuli utolobis eqvivalenturi gardaqmna gvaZlevs(1 − )( + ) ≥es ukanaskneli miuTiTebs, rom banki irCevs argakotrebas, maSin da mxolod
maSin, rodesac amis gakeTeba depozitarebis misaRebs amcirebs (tolobis
marjvena mxare warmoadgens depozitarebis misaRebs argakotrebis
SemTxvevaSi, xolo tolobis marcxena mxare gakotrebis SemTxvevaSi).
aRniSnulis gaTvaliswinebiT, davaxasiaToT bankis moTxovna depozitebze.
modelSi yoveli banki depozitis saprocento ganakveTs ganixilavs rogorc
mocemulobas da wyvets ramdeni depoziti unda miiRos. yoveli periodis
dasawyisSi banki acxadebs misTvis sasurveli depozitis moculobas,
romelis mixedviTac Sinameurneobebi afaseben bankis gakotrebis
SesaZleblobas. wonasworobaSi arc erTi banki ar isurvebs iseTi
depozitis moculobas, romelic Sinameurneobebs misdami ndobas
daukargavs. winaaRmdeg SemTxvevaSi depozitarebi sxva bankSi Seinaxaven
danazogs. Sesabamisad, bankis moralurobis riskis gaTvaliswinebiT
wonasworoba Semdegi saxiT moicema ( + ) − , SezRudvis
gaTvaliswinebiT.
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amasTan, unda kmayofildebodes Sinameurneobebis keTildReobis
optimalurobis piroba, xolo saqonlisa da depozitebis bazarze moTxovna
da miwodeba erTmaneTs udrides raime dadebiTi c, C da d -Tvis.
wonasworobis pirobidan gamomdinareobs, rom finansuri friqciis
gaTaliswinebiT (bankis moralurobis riski), bankis mier depozitebze
moTxovna ukve aRar aris horizontaluri xazi. kerZod, horizontaluri
xazi = aris mxolod intervalze 0 ≤ ≤ ( ), xolo rodesac(1 − ) < < bankis moTxovna depozitebze aris mimarT klebadi
funqcia, xolo < (1 − ) bankis moTxovna depozitebze usasrulod
maRalia.
Sinameurneobebis mier depozitebis miwodeba, finansuri friqciis
pirobebSic analogiuria da saprocento ganakveTis mimarT zrdadi
funqciaa. finansuri friqciis yvelaze mniSvnelovani Sedegia, rom modelis
wonasworobaSi saprocento spredi nulovani aRar aris. kerZod, rogorc ki
N N bankis kapitali sakmarisad pataraa, bankis moralurobis riski
SemzRudveli xdeba depozitebis moculobisTvis, rac dadebiT saprocento
marJas ganapirobebs.
modelis ZiriTadi meqanizmi kargad aRwers globaluri finansuri krizisis
periods, rodesac 2007 wlamde bankebis maRali kapitalizacia mcire
saprocento spredebs ganapirobebda da Sesabamisad, finansuri Suamavloba
xels uwyobda resursebis maqsimalurad efeqtian gadanawilebas. 2007 wlis
Semdgom, finansuri krizisis fonze bankebis kapitalis Semcirebam
moralurobis riskisdan gamomdinare finansuri problemebi gaamwvava,
Sedegad saprocento marJebi mkveTrad gaizarda da finansuri Suamavloba
Seferxda ramac makroekonomikuri problemebi warmoSva.
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6 moralurobis riski II (“Unobserved Banker Effort”, bankis mier
naklebi Zalisxmeva)
sakredito bazarze moralurobis risks aRwers kidev erTi modeli,
romelic yuradRebas amaxvilebs ara bankis mier aqtivebis miTvisebis
unarze, rogorc es zemoganxiluli modelis SemTxvevaSi iyo, aramed bankis
mier aqtivebis aragulisxmier marTvaze. kerZod, bankis (da zogadad
finansuri Suamavlis) saqmianoba moiTxovs, rom man Zalisxmeva unda gaiRos,
raTa moiZios kargi sainvesticio proeqtebi da moziduli resursi
gonivrulad daabandos. amasTan, misi es Zalisxmeva didwilad
depozitarisTvis daukvirvebadia. mocemuli tipis modelSi, finansur
SezRudvas warmoadgens, rom bankirma SesaZloa sakmarisi Zalisxmeva ar
moaxmaros aqtivebis gonivrulad marTvas. bankebs unda hqondeT sakmarisi
motivacia, raTa sruli Zalisxmeva gaiRon. erT-erTi meTodi SesaZloa iyos,
rom bankis mier depozitebze gadaxdili sargebeli ar iyos damokidebuli
bankis mier miRebul mogebaze. es SesaZleblobas miscemT aqtivebis marTvis
yoveli zRvruli gaumjobesebidan, sruli sargebeli miiRon gazrdili
mogebis saxiT. amisTvis, bankebs unda gaaCndeT sakmarisi sakuTari kapitali,
raTa SesaZlebeli iyos depozitebis sargeblianoba damoukidebeli iyos
bankis mogebisgan. amis saWiroeba ganpirobebulia im garemoebiT, rom
bankebis sakredito portfeli yvelaze ukeTes SemTxvevaSic ki riskis
Semcvelia da riskebis sruli diversifikacia miuRwevadia, amdenad bankis
mxridan maqsimaluri Zalisxmevis pirobebSic ki banki zogjer danakargebs
(an aqtivebze mcire amonagebs) ganicdis. Sesabamisad, depozitebze
gadasaxdeli sargebeli damoukidebeli, rom iyos aqtivebis amonagebze,
bankma sakuTari kapitaliT unda uzrunvelyos depozitebis momsaxureba.
mocemuli tipis modeli, naTlad aCvenebs, rom, rodesac bankebs sakmarisad
maRali kapitali aqvT depozitebis sargeblianoba damoukidebelia bankis
sakredito portfelis momgebianobisgan, rac wonasworobaSi resursebis
efeqtian gadanawilebas ganapirobebs.
finansuri bazrebi mniSvnelovnad ferxdeba, rodesac bankebs, romelTa
aqtivebi stress ganicdis, mcire sakuTari kapitali aqvT raTa aqtivebis
danakargebi dafaron. aseT SemTxvevaSi, depozitarebsac uwevT danakargebis
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miReba. amis pasuxad, depozitarebi sxva bankebis mimarTac amkacreben
midgomas da maRal saprocento ganakveTebs iTxoven. amis Sedegad
vRebulobT, rom depozitebis sargeblianoba sesxebis sargeblianobaze
xdeba damokidebuli, rac bankebis motivacias amcirebs Zalisxmevis gaRebis
kuTxiT. es ukanaskneli ki bankebis aqtivebze momgebianobas amcirebs da
sabolood depozitebis sargeblianobac mcirdeba, rac danazogebis
moculobis Semcirebasa da investiciebis optimalur doneze naklebobas
ganapirobebs.
modelis ZiriTadi CarCo msgavsia wina TavSi ganxiluli modelisa,
gansxvavebulia mxolod moralurobis riski. am SemTxvevaSic, modeli
naTlad aRwers im garemoebas, rom 2007 wlis globalur krizisamde
bankebis maRali kapitalis maRali done, finansuri Suamavlobis
Seuferxebel muSaobas ganapirobebda da xels uwyobda iseT wonasworobas
rodesac resursebis ganawileba maqsimalurad efeqtiani iyo. krizisis
Semdgom, bankebis kapitalis Semcirebam, saprocento spredebis zrda da
Sesabamisad finansuri Suamavlobis Seferxeba ganapiroba. modelis CarCos
detalurad ar mimovixilav mxolod zogadi aRweriT Semovifarglebi.
modelis daSvebis Tanaxmad, ekonomikaSi warmodgenilia usasrulod bevri
Sinameurneoba, romelTagan TiToeuli Sedgeba aseve usasrulod bevri
„bankirebisa“ da „dasaqmebulebisgan“. modeli aris orperiodiani. bankirebi
pirvel periodSi memkvidreobiT Rebuloben garkveul kapitals, romelsac
mozidul depozitebTan erTad abandeben firmebis mier gamoSvebul fasian
qaRaldebSi. ekonomikaSi aris firmebis usasrulo raodenoba, romelTagan
TiToeuls mxolod erT sainvesticio proeqtze wvdoma aqvT. sainvesticio
proeqtTagan zogi aris pirobiTad kargi proeqti, romelSic investireba
iZleva maRal (fiqsirebul) amonagebs. pirvel periodSi investirebuli
erTeuli resursi meore periodSi iZleva amonagebs. danarCeni proeqtebi
warmoadgens pirobiTad cud proeqtebs da maTSi investireba iZleva
amonagebs, sadac < . Tavis mxriv da warmoadgenen egzogenurad
gansazRvrul sidideebs, romlebic teqnologiebzea damokidebuli.
depozitebis sargeblis ganakveTi warmoadgens urisko amonagebs (R).
Sinameurneobis sargeblianobis funqcias wina TavSi ganxiluli modelis
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saxe aqvs. Sesabamisad, maT sargeblianobis maqsimizaciis piroba
Semdegnairia:
, , ( ( ) + ( ))sabiujeto SezRudvebiT c + d = y da = +bankebi pirvel periodSi memkvidreobiT Rebuloben N NsakuTar kapitals,
romelTac isini depozitebTan erTad iyeneben firmis fasiani qaRaldebis
SesaZenad. modelisve daSvebiT firmebi imyofebian srulyofil
konkurenciaSi da banki srulad Rebulobs firmis mier sainvesticio
proeqtis amonagebs. albaToba imisa, rom bankis mier SeZenili fasiani
qaRaldi aris kargi sainvesticio proeqtis mqone firmis, moicema Semdegi
saxiT: ( ) = + , > 0sadac warmoadgens bankis mier firmis aqciis SeZenisas gaweul
Zalisxmevas. wonasworobisTvis modeli ganixilavs parametrebis iseT
mniSvnelobas, romelTaTvisac 0 < ( ) < 1.bankis mier fasiani qaRaldidan miRebuli amonagebis saSualo da dispersia
Semdegi saxiT moicema: ( ) = ( ) + (1 − ( ))( ) = ( )(1 − ( ))( − )unda aRiniSnos, rom ( ) = (1 − 2 ( ))(( − ) da ( ) > warmoadgens
uaryofiTs, Sesabamisad bankis mier Zalisxmevis zrdis Sedegad saSualo
amonagebi izrdeba xolo dispersia mcirdeba. modelSi ganxiluli analizi
gulisxmobs, rom ( ) > piroba kmayofildeba.
aRniSnuli modelis mTavari interesis sagans warmoadgens finansuri
friqcia, romelis mixedviTac depozitarisTvis ucnobia bankis mier
gaweuli Zalisxmeva ra gavlenas axdens modelis wonasworobaze.
83
im SeTxvevaSi, rodesac bankis mier gaweuli Zalisxmeva xilulia
depozitarisTvis, maSin gveqneba Semdegi suraTi. banksa da depozitars
Soris gaformebul kontraqts, axasiaTebs oTxi parametri. esenia: -
depozitis moculoba, - bankis meir investirebisas gaRebuli Zalisxmeva,
depozitis sargeblis ganakveT Tu kard bankSi anTavsebs Tanxas da
sargeblis ganakveT Tu cud bankSi anTavsebs Tanxas. bankis amocanaa,
airCios kontraqtisTvis aRniSnuli parametrebi Semdegi gamosaxulebis
maqsimizaciis mizniT:
( ) ( + ) − + 1 − ( ) ( + ) − − 12sabiujeto SezRudvebia: ( ) + [1 − ( )] =( + ) − ≥ 0, ( + ) − ≥ 0sadac, warmoadgens Zalisxmevis gaRebidan bankisTvis miRebul
sargeblianobis danaxarjs, xolo aRniSnavs bankis mflobelis moxmarebis
zRvrul sargebels. sabiujeto SezRudvebi warmoadgens pirobebs,
romlebic Sesabamisad uzrunvelyofen, rom depozitarebsa da bankebs Soris
Suamavali (mutual funds) srulyofili konkurenciis pirobebSia da nulovani
mogeba aqvs. amasTan depozitarebi Rebuloben R sargeblianobas bankis mier
nebismieri amonagebis miRebis SeTxvevaSi.
aRniSnuli daSvebebis pirobebSi, modelis wonasworoba gulisxmobs, rom, , , , , , , cvladebi unda akmayofilebdnen bankis zemoaRniSnul
maqsimizaciis pirobas da Sinameurneobebis sargeblianobis maqsimizaciis
pirobas dadebiTi , , , - Tvis.
wonasworobis aRniSnuli pirobis analizi (romlis teqnikur detalebsac
aq ar moviyvan) cxadyofs, rom depozitebis sargeblianobis ganakveTi
SesaZloa ar iyos damokidebuli bankis aqtivebis momgebianobaze ( = =), Tuki N bankebis sakuTari kapitali sakmarisad didia. im SemTxvevaSi,
84
rodesac bankis mier gaRebuli Zalisxmeva depozitarisTvis daukvirvebadia,
maSin wonasworoba am or SemTxvevaSi erTmaneTs emTxveva, mxolod maSin,
rodesac R (N + d) − R ≥ 0 da R (N + d) − R ≥ 0 sruldeba. anu bankis
aqtivebze nebismieri amonagebis realizebis SemTxvevaSi mas SeuZlia
depozitarebis momsaxureba. winaaRmdeg SemTxvevaSi, daukvirvebadi
Zalisxmevis wonasworobis d da R naklebia dakvirvebadi Zalisxmevis
wonasworobisaze da sargeblis ganakveTis marJac dadebiTia. aRniSnuli
Tviseba warmoadgens modelis ZiriTad meqanizms, romlis mixedviTac bankis
sakuTari kapitalis Semcireba uaryofiTad aisaxeba sargeblis ganakveTis
marJebze da finansuri Suamavloba ferxdeba, rac ekonomikis dakreditebisa
da investiciebis vardnas ganapirobebs.
85
თავი III. makro-finansuri modeli saqarTvelosTvis
postglobaluri finansuri krizisis periodSi makroekonomistebis
umniSvnelovanes gamowvevad iqca iseTi modelebis ageba, romlebic ara
mxolod axsnida warsul movlenebs, aramed sapasuxo RonisZiebebis
analizis saSulebas miscemda politikis gamtareblebs. rogorc xazgasmul
iqna msoflios wamyvani institutebis kvlevebSi (mag. Macroeconomic Assessment
Group, 2010), politikis gamtarebelTaTvis umTavres gamowvevas warmoadgens
balansis dacva, erTi mxriv, finansuri krizisebis SesaZlo moxdenis
riskebis Semcirebasa da im makropudenciuli politikis sazogadoebrivi
danaxarjs Soris, romelic normalur pirobebSi unda ganxorcieldes
finansuri krizisebis riskebis SemcirebisTvis. amdenad gansakuTrebul
mniSvnelobas iZens analitikuri CarCos Camoyalibeba, romelic swored am
tipis analizs Seuwyobs xels da politikis gamtareblebs balansis dacvis
saSualebas miscems.
winamdebare modeli swored zemoaRniSnuli Tvisebebis mqone,
makroekonomikuri da finansuri urTierTkavSirebis analizisTvis aris
gankuTvnili. kerZod, modeli ganixilavs finansuri da makroekonomikuri
cvladebis erTobliv kavSirebs, romlis saSualebiTac SesaZlebelia
gaanalizdes kerZo seqtoris dakreditebis zrda da sesxebis mSp–sTan
fardobis saprognozo dinamika saqmiani ciklebis gaTaliswinebiT. analizis
ZiriTadi Sedegia, SesaZlebeli iyos ekonomikaSi sesxebis zedmetad swrafi
zrdis da leveraJis Warbad dagrovebis riskebis identificireba da
Sesabamisi makroprudenciuli politikis dadgenisTvis orientireba. aseve,
modeli saSualebas iZleva gaanalizdes valutis SeusabamobiT gamowveuli
riskebi kerZo seqtorisTvis, romelic gansakuTrebul aqtualobas
ekonomikis maRali dolarizaciis pirobebSi iZens. modelis saSulebiT
aseve SesaZlebelia monetaruli politikisa da makroekonomikuri
prognozis analizi makroprudenciuli politikis endogenurobis pirobebSi
86
warimarTos, rac monetaruli da makroprudenciuli politikis
urTierTqmedebis gaanalizebis SesaZleblobas iZleva.
modeli ganekuTvneba axal-keinzianuri modelebis klass mcire da Ria tipis
ekonomikisaTvis da gafarToebulia finansuri seqtoris mocvis kuTxiT.
igi efuZneba dinamiuri, stoqasturi zogadi wonasworobis (Dynamic Stochastic
General Equilibrium, DSGE) modelirebas, Tumca naxevrad-struqturulia, rac
damaxasiaTebelia politikis analizisTvis gankuTvnili modelebisTvis.
modelis parametrebi Sefasebulia saqarTvelos istoriul monacemebze.
aRniSnuli makro-finansuri modeli msgavsia monetaruli politikis
analizisTvis gankuTvnili modelebisa, Tumca damatebiT igi gamdidrebulia
finansuri friqciebis modelirebiT. makroprudenciuli politika
endogenurad aris warmodgenili kapitalis buferis kontr-cikluri wesiT1.
modelis finansuri bloki aseve Seicavs saWiro igiveobebs kerZo seqtoris
sakredito davalianebis dinamikurad aRwerisTvis.
modelis mikroekonomikuri struqtura moicavs Sinameurneobebs, romlebic
gaweuli Sromis fasad Rebuloben Semosavals xelfasis saxiT. Sualeduri
produqciis mwarmoeblebs, romlebic monopolisturi konkurenciis
pirobebSi awarmoeben usasrulod diferencirebul saqonels, sabanko
seqtors da konkurentul finansur bazrebs, romlebic finansur Suamavlebs
warmoadgenen. modelSi warmodgenilia sagareo seqtori, romelTanac
qveyana vaWrobs da aseve komerciuli bankebi Rebuloben sesxebs, xolo
monetarul da makroprudenciul politikas Sesabamisi miznebiT
axorcielebs centraluri banki. modelis moqmedebis meqanizmi sqematurad
diagrama 1-zea warmodgenili.
1kontr–cikluri wesi gulisxmobs bankebisTvis minimaluri dasacavi kapitalis normiszrda ekonomikuri bumis dros, xolo mis Semcireba recesiis dros.
87
diagrama 1 – modelis sqematuri struqtura
modelSi finansuri seqtori warmodgenilia sabanko sistemiT, romelic
ekonomikis dakreditebas axdens. sabanko sistemis sakredito portfeli
modelSi warmodgenilia Tavisi struqturiT, valutebisa da sargeblis
ganakveTis vadianobis struqturebiT. sakredito portfelis momsaxurebis
tvirTi, kerZo seqtorisTvis ganisazRvreba sargeblis ganakveTsa da
dolarizaciidan gamomdinare gacvliT kursze, romelic mimdinare
makroekonomikuri faqtorebiT ganisazRvreba. Tavis mxriv, sakredito
portfelis zrda, romelsac bankebi prociklurad axorcieleben, kvlav
Warbi moTxovnis damatebiT maprovocirebeli xdeba. magaliTad, ekonomikuri
ciklis bumis fazaSi Warbi moTxovna Warb sakredito zrdas uwyobs xels,
romelic Tavis mxriv Warb moTxovnas ganapirobebs. amdenad, modelSi
warmodgenili es damokidebuleba erTobliv moTxovnasa da sakredito
zrdas Soris „finansuri aqseleratoris“ efeqts aRwers, romelic farTod
dakvirvebadi fenomenia msoflios finansuri krizisebis istoriaSi.
საოჯახომეურნეობები
შუალედურიმწარმოებლები
საბოლოოპროდუქტის
მწარმოებლები
ცენტრალურიბანკი
ბანკები
საგარეოსექტორი
შუალედურიპროდუქცია
მოხმარება
ფინანსურიპროდუქტები
სამუშაო ძალა
იმპორტულისაწარმოოფაქტორი
ვალი
მაკროპრუდენციული დამონეტარული პოლიტიკა
წმინდაექსპორტი
ფინანსურიპროდუქტები
88
makro-finansuri urTierTkavSiris kidev erTi mniSvnelovani arxia fiSeris
valis deflacia, romelic modelSi aseve warmodgenilia sakredito
portfelis realuri zrdis da inflaciis damokidebulebiT. kerZod,
erToblivi moTxovnis Semcirebis SemTxvevaSi, deflaciuri zewola
nominalurad gamosaxulebaSi fiqsirebuli valis tvirTs zrdis rac
damatebiT boWavs erTobliv moTxovnas. piriqiT xdeba, rodesac dadebiTi
moTxovnis Sokia. ufro detalurad modelis struqturaSi rogor aris
aRniSnuli arxi gaTvaliswinebuli, Semdgom TavebSi iqneba warmodgenili.
finansuri seqtoris analizisTvis modelSi erT-erTi mniSvnelovani
faqtoria gacvliTi kursi, romelsac didi yuradReba eTmoba. kerZod,
gacvliTi kursi, erTi mxriv, ekonomikis realur seqtorze
mastabilizirebel gavlenas axdens, xolo, meore mxriv, sesxebis
dolarizaciis fonze sakredito tvirTis cvlilebas iwvevs, rac
erTobliv moTxovnaze aisaxeba da aseve samomxmareblo fasebze gavlenas
axdens, rogorc importuli saqonlis fasebis, aseve mwarmoebelTa sesxebis
gavliT.
makroprudenciuli politika modelSi warmodgenilia kapitalis ciklis
sawinaaRmdego buferis dadgenis wesiT. makroprudenciuli politikis
mizania, saWiroebis SemTxevaSi SezRudos sabanko seqtoris dakrediteba
Warbi zrdisas da moamzados sabanko sistema bumis Semdgom daRmasvlis
fazaSi danakargebis gaZlebisaTvis da xeli Seuwyos dakreditebis mkveTri
Semcirebis Tavidan acilebas. monetaruli politika gansazRvravs
refinansirebis ganakveTs, romelic teiloris wesis msgavsad
ganisazRvreba. kerZod, refinansirebis ganakveTi dgindeba inflaciis
prognozisa da Warbi erToblivi gamoSvebis (mSp-s potenciuri donidan
gadaxra, igive mSp “gapi”) mixedviT.
modelis axali keinzianuri Tvisebebidan aRsaniSnavia erToblivi
moTxovnis da filipsis gantolebebi. kerZod, erToblivi moTxovna
warmodgenilia dinamiuri IS mrudiT, romelic ekonomikur aqtivobas
realur sargeblis ganakveTTan akavSirebs da iTvaliswinebs molodinebsa
da sxva faqtorebs. axali keinzianuri filifsis mrudi (New-Keynesian Phillips
89
Curve) erToblivi miwodebis mxares warmoadgens. igi inflacias
gansazRvravs Tavisive molodinebiT da erToblivi gamoSvebis potenciuri
donidan gadaxris (rogorc zRvruli xarjebis sazomis) mixedviT. Ria
ekonomikis pirobebSi kapitalis moZraobis SeuzRudveloba, nominaluri
gacvliTi kursis adgilobriv da ucxouri sargeblis ganakveTebs Soris
diferencialze damokidebulebas ganapirobebs. modelSi gacvliTi kursi
procentis paritetulis pirobis mixedviT ganisazRvreba.
modelis ZiriTadi nawilis mikroekonomikuri safuZveli msgavsia Teoriuli
DSGE modelebis safuZvlis, Tumca modeli aseve moicavs qcevis aRmwer
iseT damokidebulebebs, romlebic saqarTvelos ekonomikis Taviseburebebis
ukeT aRsawerad aris warmodgenili konkretuli mikroekonomikuri
safuZvlis modelSi cxadad warmodgenis gverdis avliT. politikis
analizis saWiroebidan da prognozirebis xarisxis gaumjobesebisa Tu
praqtikuli Tvisebebis realobaze ukeT morgebis mizniT naSromSi agebuli
modeli naxevrad-struqturulia rac farTod damaxasiaTebelia msgavsi
tipis mizniT agebuli modelebisTvis. Sesabamisad, naSromSi mokled
mimovixilavT modelis mikroekonomikur safuZvels da aqcents mxolod
modelis dayvanil formaze da mis gamoyenebaze gavakeTebT.
modeli seqtorebis mixedviT xuT ZiriTad blokad iyofa, esenia: (I)
finansuri seqtori, romelic modelSi warmodgenilia sabanko seqtoris
sakredito portfelis aRmweri dinamikuri gantolebiT da sargeblis
ganakveTis vadianobis struqturiT; (II) erToblivi moTxovnis dinamikuri IS
gantoleba; (III) filipsis mrudi, romelic inflacias gansazRvravs; (IV)
gacvliTi kursis gantoleba, romelic procentis paritetuli pirobiT aris
warmodgenili; (V) makroprudenciuli politikis da (VI) monetaruli
politikis formirebis wesi.
90
1 modelis mikroekonomikuri safuZveli
naSromSi warmodgenili modelis struqtura da misi mikroekonomikuri
safuZveli zogadi wonasworobis dinamikuri stoqasturi (DSGE) modelebis
msgavsia. Tumca, aqve unda aRiniSnos, rom naSromSi warmodgenili modeli
naxevrad-struqturuli (Semi-structural) modelebis klass ganekuTvneba.
Sesabamisad modeli moicavs qcevis aRmwer iseT damokidebulebebsac,
romlebic sasurveli empiriuli Tvisebebis mizniT aris modificirebuli
konkretuli mikroekonomikuri safuZvlis cxadad gaweris gareSe.
modelis ZiriTad daSvebas warmoadgens, rom ekonomikuri agentebi
racionaluri molodinebis safuZvelze iReben optimalur
gadawyvetilebebs. ekonomikur agentebad moiazrebian: a) Sinameurneobebi,
romlebic axdenen sakuTari sargeblianobis funqciis maqsimizacias
sabiujeto SezRudvebis pirobebSi; b) firmebi, romlebic awarmoeben
diferencirebul saqonels da aseve cdiloben mogebis maqsimizacias g)
centraluri banki, romelic makroprudenciul da monetarul politikas
warmarTvas Sesabamisi miznebis mixedviT. makroprudenciuli politikis
mizans, finansuri seqtoris prociklurobis ganeitraleba warmoadgens, rac
makroekonomikuri ciklis stabilizacias uwyobs xels. monetaruli
politika inflaciis TargeTirebis reJimiT warimarTeba, romelic adgens
monetaruli politikis ganakveTs misi miznis Sesabamisad.
modelSi daSvebis Tanaxmad, warmodgenilia Sinameurneobebis usasrulo
raodenoba i∈ (0,1), romlebic Semosavals iReben xelfasis saxiT Sualeduri
produqtis mwarmoebeli firmebisTvis samuSao Zalis miwodebis Sedegad.
maTi sargeblianobis funqcia dadebiTad aris damokidebuli moxmarebaze da
uaryofiTad muSaobaze. aseve, Sinameurneobebi agroveben danazogebs da
TiToeuli maTgani axdens sargeblis maqsimizacias sabiujeto SezRudvis
pirobebSi, romelic droSi gadanawilebasac (intertemporal) gulisxmobs.
daSvebis Tanaxmad, i-uri Sinameurneobis sargeblianobis funqcias Semdegi
saxe aqvs:
91
,1 − − ,1 +sadac, β diskontirebis faqtoria, - preferenciis Soki, , - i -uri
Sinameurneobis mier miwodebuli samuSao Zala, ხოლო , - i -uri
Sinameurneobis mier moxmarebuli sasaqonlo kalaTa.
Sinameurneobebi sakuTar dovlaTs droSi anawileben adgilobrivi da
ucxouri obligaciebis yidvis meSveobiT. maTi sabiujeto SezRudva Semdegi
saxiT moicema:
, + , + ,∗ ≤ , + (1 − ) , + ∗ ,∗ +sadac, , da ,∗ warmoadgens t-1 periodSi Sesyiduli im adgilobrivi da
ucxouri obligaciebis raodenobas, romelTac sargebeli t periodSi aqvT.
da ∗ sargeblis realuri ganakveTebia adgilobriv da ucxour
obligaciebze, – realuri gacvliTi kursi1, xolo warmoadgens wminda
erTjerad transfers/gadasaxads da Sualeduri produqtis mwarmoebeli
firmebis mogebis jams. garda amisa, Cven vuSvebT, rom adgilobrivi
obligaciebi riskiania da SesaZloa ganicadon defolti mcire
albaTobiT. es albaToba naSromSi riskis premiad moixsenieba da misi
arwera avtoregresiuli modeliT xdeba.
Sinameurneobebis optimizaciis problema lagranJianis saxiT Semdegnairad
Camoyalibdeba:
, , , , , , ,∗ ,1 − − ,1 +− , , + , + ,∗ − , − (1 − ) , − ∗ ,∗ −
sadac, , i-uri Sinameurneobis lagranJis mamravlia. pirveli rigis
pirobebi oTxive cvladis ( , , , , , , ,∗ ) mimarT Semdegi saxiT moicema:
1 ufro konkretulad aRniSnavs, erTi erTeuli ucxouri valutis realur Rirebulebasadgilobriv erTeulebSi.
92
, = , (3.1.1), = , (3.1.2), = (1 − ) ( , ) (3.1.3), = ∗ ( , ) (3.1.4)
unda aRiniSnos, rom (3.1.1) da (3.1.2) gantolebebi gansazRvravs moxmarebisa
da dasvenebas Soris optimalur gadanawilebas, xolo (3.1.3) da (3.1.4)
oileris gantolebas (Euler equation) warmoadgens, romelic moxmarebis droSi
optimalur gadanawilebas aRwers.
(3.1.3) da (3.1.4) gantolebebis gaerTianebiT miiReba saprocento ganakveTis
paritetuli pirobas realuri cvladebisTvis. kerZod, igi miuTiTebs, rom
adgilobrivi realuri saprocento ganakveTi warmoadgens realuri
ucxouri saprocento ganakveTis, realuri gacvliTi kursis mosalodneli
gaufasurebisa da risk premiis kompensirebas.
saboloo angraiSiT, Sinameurneobis yvela gadawyvetilebis gaerTianebiT
vRebulobT, rom oileris gantolebebidan gamomdinare, mTliani moxmareba
damokidebulia realur saprocento ganakveTze, risk premiasa da realur
gacvliT kursze (ix. amave Tavis 5-e qveTavi).
Sualeduri produqtis mwarmoeblebi daSvebis Tanaxmad, monopolisturi
konkurenciis pirobebSi arian da Sesabamisad, aqvT unari daaweson
diferencirebuli fasebi diferencirebul saqonelze. Tumca, aseve daSvebis
Tanaxmad, adgili aqvs fasebis sixistes (msgavsad Calvo (1983)-is). kerZod,
daSvebis mixedviT, firmebis 1 − ∈ (0,1) nawili axerxebs optimalurad
daawesos axali fasi saqonelze maSin, roca darCenili θ nawili fass
inarCunebs araoptimalur doneze. Sualeduri produqtis mwarmoebeli
TiToeuli firma ∈ (0,1) awarmoebs saqonels masStabze mudmivi ukugebis
mqone teqnologiiT:
93
, ( ) = ( ) ( )sadac, egzogenuri teqnologiuri progresia, ( ) - j-uri firmis mier
daqiravebuli samuSao Zala, ( ) - importirebuli warmoebis faqtori,
xolo λ∈ (0,1) ki - samuSao Zalis wili warmoebis funqciaSi. rodesac
firmebs ar ZaluZT optimalurad daaweson fasi, isini cvlian mas
meqanikuri indeqsaciis wesis mixedviT:
, ( ) = , , , ( )indeqsaciis wesSi CarTulia importirebuli inflacia, radgan firmas ar
SeuZlia moaxdinos optimizacia sruli masStabiT da maSin mas
importirebul inflaciaze dayrdnobiT (adgilobrivTan erTad) fasis
cvlilebis aproqsimacia mainc ZaluZs, radgan warmoebis funqcia iyenebs
warmoebis importirebul faqtorebsac. am azriT fasebis sixiste xdeba
Sedegi ara firmebis fizikuri uunarobisa Secvalon fasi, aramed
kvalifikaciis naklebobisa gadawyviton optimizaciis, an gaurkvevlobis
pirobebSi, romelSic isini imyofebian. Sedegad, Sualeduri produqtis
mwarmoebeli j-uri firmis droSi gadanawilebis optimizaciis amocanas
Semdegi saxe aqvs:
,∗ ( ), , ( ), , ( ) , ( ) , ( ) − , ( ) − , ( )moTxovnis (3.1.12) SezRudvisa da fasebis dawesebis SezRudvis pirobebSi,
romelsac Semdegi saxe aqvs:
, ( ) = ,∗ ( ) 1 −, , , ( )
94
sadac, ,∗ ( )- axlad optimizirebul fass, xolo 1 − da Sesabamisad,
optimaluri fasis dadgenisa da meqanikuri indeqsacis gamoyenebis
albaTobebs warmoadgnes. aRniSnavs maTematikuri lodinis operators
dafuZnebuls nulovani periodis informaciaze, - stoqastur
diskontirebis faqtors, - nominalur xelfass da ki - realur gacvliT
kurss. lagranJianis formiT optimizaciis amocanas Semdegi saxe eqneba:
,∗ ( ), , ( ), , ( ) ⎩⎪⎨⎪⎧
⎝⎜⎜⎛ ,∗ ( ) ,, ,, , ( ) − , ( )
− , ( ) − ( ) , ( ) − ( ) ( )− ( ) ⎣⎢⎢⎢
⎢⎡ , ( ) − ⎝⎜⎛ ,∗ ( ) ,, ,,, ⎠⎟
⎞ , ⎦⎥⎥⎥⎥⎤⎠⎟⎟⎞⎭⎪⎬⎪⎫
sadac, ( ) da ( ) moTxovnis SezRudvasa da teqnologiur SezRudvasTan
asocirebuli lagranJis mamravlebia j-uri firmisTvis. maSasadame, pirveli
mamravlis interpretacia zRvruli mogebaa (damatebiT miRebuli mogeba
moTxovnis SezRudvis Semsubuqebisas), xolo meore mamravlis - zRvruli
danaxarji (damatebiT dazogili danaxarji warmoebis SezRudvis
Semsubuqebisas).
teqnikuri detalebis damatebiTi konkretikis gareSec advilia
davrwmundeT, rom mogebis maqsimizaciidan (an ekvivalenturad -
danaxarjebis minimizaciidan) gamomdinareobs, rom realuri zRvruli
danaxarjebi damokidebulia realur xelfassa da realur gacvliT kursze.
garda amisa, Tu gamoviyenebT Sinameurneobebis optimizaciis amocanis
pirveli rigis pirobas, firmebis optimizaciis pirveli rigis pirobas
P_ ,∗ ( ) -is mimarT, fasebis erToblivi dinamikis kanonsa da saqonlisa da
Sromis bazarze wonasworobis pirobebs, maSin miviRebT, , rom adgilobrivi
inflacia damokidebulia Tavis lagze, momavlis molodinebze (lidebze),
95
importirebul inflaciaze, realur gacvliT kurssa da adgilobriv
ekonomikur aqtivobaze1.
saboloo pruduqciis mwarmoebeli firmebi Sualedur produqcias CES
(Constant Elasticity of Substitution) teqnologiiT gardaqmnian saboloo
produqciad da mas Sinameurneobebze yidian. Sualeduri produqcia, Tavis
mxriv, warmoebis pirvel etapze erT kalaTaSi erTiandeba:
, = ∫ , ( ) (3.1.5)
sadac, , ( ) warmoadgens t periodSi Sualeduri produqciis mwarmoebeli j-
uri j ∈ (0,1)firmis mier warmoebul adgilobrivi saqonlis raodenobas.
warmoebis Semdeg etapze erTiandeba sxvadasxva qveyanaSi warmoebuli
sxvadasxva tipis Sualeduri saqoneli:
, = ∫ , ( ) (3.1.6)
sadac
, ( ) = ∫ , ( , ) (3.1.7)
da , ( , ) warmoadgens ucxouri saqonlis raodenobas, warmoebuls -uri ( ∈(0,1)) mwarmoeblis mier -ur ( ∈ (0,1)) qveyanaSi. δ >1 warmoadgens sxvadasxva
tipis saqonelTa Soris Canacvlebis elastiurobas da γ>1 ki - ucxour
qveyanaTa Soris Canacvlebis elastiurobas.
1firmis optimizaciis amocanidan axal-keinzianuri filipsis mrudi miRebulia Gali (2008) –
is mixedviT.
96
warmoebis bolo etapze erTiandeba adgilobrivi da ucxouri produqciis
kalaTebi saboloo produqtis misaRebad:
= ( , ) + (1 − ) , (3.1.8)
sadac, α∈[0,1] adgilobrivi produqciis mimarT mikerZoebis sazomia, xolo
η>0 ki Canacvlebis elastiurobas aRwers adgilobriv da ucxour saqonels
Soris.
saboloo produqtis mwarmoebeli firmisTvis optimizaciis amocanas
Semdegi saxe aqvs:
, ( ), , ( , ) ≡ − , ( ) , ( ) , ( , ) , ( , )(3.1.5), (3.1.6), (3.1.7) da (3.1.8) pirobebis gaTvaliswinebiT.
aRniSnuli optimizaciis amocanidan da wminda konkurenciidan
gamomdinareobs, rom adgilobrivi fasebis indeqsi moicema , =∫ , ( ) , xolo ucxouri fasebis indeqsi , = ∫ , ( ) ,
sadac , ( ) = ∫ , ( , ) , xolo , ( , ) warmoadgens -uri qveynidan
importirebuli -uri saqonlis fass. fasebis mTliani indeqsi moicema:
= ( , ) + (1 − )( , )SevniSnoT, rom, roca η=1, maSin mTliani inflacia (anu fasebis mTliani
indeqsis zrdis tempi) adgilobrivi da importirebuli inflaciebis
saSualo Sewonils warmoadgens1:= , + (1 − ) , (3.1.9)
aseve zemoTmoyvanili optimizacis amocanidan gamomdinareobs, rom
saboloo produqtis mwarmoebeli firmis moTxovnas adgilobrivi
mwarmoeblis Sualedur produqtze, Semdegi forma gaaCnia:
1rodesac η→1 miRebuli SedegisTvis logariTmis gamoyeneba da pirveli rigis sxvaobebiTwarmodgena aRniSnul Sedegs gvaZlevs.
97
, ( ) = , ( ), , (3.1.10)
dasasruls, modelSi monetaruli da makroprudenciuli politika
formirdeba sazogadoebrivi keTildReobis maqsimizaciiT. keTildReobis
danakargebi Sedegia im cvladebis meryeobisa, romlebic zegavlenas axdens
ekonomikuri agentebis sargeblianobaze. kerZod, monetaruli politika
miznad isaxavs, rom Seamciros inflaciisa da mSp-is gadaxra TavianTi
wonasworuli donidan, aseve Seamciros sargeblis nominaluri ganakveTebis
meryeoba. Tavis mxriv makroprudenciuli politikis mizania dakreditebis
donis meryeobis Semcireba da stabiluri ekonomikuri zrdis xelSewyoba.
kerZod, monetaruli politikis mizania mosalodneli keTildReobis
danakargebis funqciebis minimizacia,1 romelsac Semdegi saxe aqvs:= ∑ ( ( ) − ) + + ( − ) (3.1.11)
sadac, , > 0 parametrebia, romlebic sazogadoebis keTildReobisTvis
Sesabamisi cvladebis fardobiT mniSvnelovnebas gansazRvravs.
inflaciis miznobrivi maCvenebelia, - mSp-s gadaxra potenciuri donidan,
- nominaluri saprocento ganakveTi, xolo - neitraluri nominaluri
ganakveTia.
makroprudenciuli politikis mizania, mosalodneli keTildReobis
danaxarjis Semdegi funqciis minimizeba:= ∑ + . [3.1.12]
sadac, da parametrebi gansazRvraven, Sesabamisad sabanko dakreditebis
mSp-sTan fardobis ( ) da mSp-s ( ) wonasowruli donidan gadaxrebis
fardobiT mniSvnelovnebas sazogadoebrivi keTildReobisTvis.
zemoaRwerili struqturis garda, models igulisxmeba, rom ekonomikis
yvela seqtori wonasworobaSia. modelis amonaxsnis gawrfiveba-
galogariTmebis Sedegad miiReba modelis qceviTi gantolebebi, romlebic
1keTildReobis danakargebis funqcia - ingl. Welfare loss function danakargebis funqciaSinominaluri ganakveTis CarTvis magaliTi ixileT vudfordis (2003) naSromSi.
98
momdevno qveTavebSia ganxiluli. amasTan unda aRiniSnos, rom modeli
makroprudenciuli da monetaruli politikis analizSi fraqtikuli
gamoyenebis mizniT naxevrad-struqturulia da qcevis aRmweri gantolebebi
sasurveli empiriuli Tvisebebis mizniT modificirebulia.
2 Semosavlianobis mrudi
sargeblis ganakveTi da misi droiTi struqtura, ufro zogadad ki
Semosavlianobis mrudi, makroekonomikuri da finansuri politikis
TanakveTis areals warmoadgens. monetaruli da makroprudenciuli
politikis mosalodneli cvlilebebi, romelic ekonomikis realur
seqtorze damokidebulebiT icvleba, aisaxeba Semosavlianobis mrudze.
Tavis mxriv, Semosavlianobis mrudi, finansuri aqtivebis fasebsa da maT
amonagebs gansazRvravs.
naSromSi warmodgenil modelSi Semosavlianobis mrudi cxadad
warmodgenilia samTviani1, erTwliani da samwliani vadianobis sargeblis
ganakveTebiT, rogorc adgilobrivi ise ucxouri2 valutis aqtivebisTvis.
orive maTganSi ZiriTad saprocento ganakveTs moklevadiani sargeblis
ganakveTi warmoadgens. adgilobrivi valutis SemTxvevaSi, moklevadian
ganakveTs, rogorc monetaruli politikis ZiriTad instruments
centraluri banki fasebisa da ufro zogadad, makroekonomikuri
stabilizaciis miznis mixedviT adgens, xolo ucxouri valutis
SemTxvevaSi moklevadian ganakveTis londonis bankTaSorisi sesxebis
(LIBOR) erTTviani sargeblis ganakveTi warmoadgens. es ukanaskneli, Tavis
mxriv, damokidebulia aSS-s federaluri sarezervo sistemis monetaruli
politikis ZiriTad ganakveTze, romelic aSS-s ekonomikis stabilizaciis
miznebiT dgindeba. Semosavlianobis mrudis grZelvadiani ganakveTebi
1ufro zustad, monetaruli politikis ZiriTad instruments erT kviriani refinansirebisganakveTi warmoadgens, romelic modelSi kvartaluri sixSiriT aris warmodgenili.Sesabamisad, igi didi sizustiT emTxveva sam Tvian sargeblis ganakveTs.2ucxour valutis saprocento ganakveTebi gulisxmobs aSS dolaris sargeblis ganakveTebssaqarTvelos adgilobriv bazarze.
99
modelSi warmodgeba, rogorc momavlis moklevadiani ganakveTebis
mosalodneli mniSvnelobebis ariTmetikuli saSualo da riskis premiis
jami. es ukanaskneli moixsenieba rogorc likvidurobis premia da igi
Tavisi SinaarsiT investorisTvis, romelic grZelvadian aqtivs flobs,
momavalTan asocirebuli gaurkvevlobis kompensacias gulisxmobs.
likvidobis riskis premia gansxvavdeba vadianobebis mixedviT da igi
izrdeba vadianobis zrdasTan erTad.
SejamebisTvis unda iTqvas, rom Semosavlianobis mrudi aerTianebs
makroekonomikur da finansur arxebs. centraluri banki, romelic
iTvaliswinebs ra fundamentur makroekonomikur faqtorebs, monetaruli
politikis miznebidan gamomdinare adgens moklevadian saprocento
ganakveTs. moklevadiani ganakveTebi gadaecema grZelvadian ganakveTebs,
romelic, rogorc zemoT ukve vaxseneT arbitraJis SeuZleblobis daSvebas
efuZneba. amdenad, momavlis makroekonomikuri faqtorebis molodinebi aseve
asaxulia Semosavlianobis mrudze.
detalurad, rom aRvweroT, adgilobrivi valutisTvis Semosavlianobis
mrudi warmodgenilia Semdegnairad. -warmoadgens moklevadian saprocneto
ganakveTs (sam Tviani vadianobis), romelic monetaruli politikis
ZiriTadi instrumentia da centraluri bankis mier dgindeba (detalurad
ixileT merve qveTavSi monetaruli politikis Sesaxeb). erTwliani
sargeblis ganakveTi ganisazRvreba, rogorc monetaruli politikis
ganakveTis mosalodneli mniSvnelobebis saSualosa da droSi cvladi
likvidobis riskis premiis jami. samwliani sargeblis ganakveTi, ,
ganisazRvreba, rogorc erTwliani sargeblis ganakveTebis mosalodneli
mniSvnelobebis saSualosa da droSi cvladi Sesabamisi riskis premiis
jamis saxiT.
= ( ) ( ) ( ) + 1 (3.2.1)
= + 3 (3.2.2)
100
sadac, ( ), ( ) da ( ) aRniSnaven monetaruli politikis ganakveTis
racionalur molodinebs t+1, t+2 da t+3 periodebisaTvis1, xolo ( ) da( ) warmoadgenen, Sesabamisad, oTxi da rva kvartalebis Semdgomi
periodebisTvis arsebuli erTwliani sargeblis ganakveTis racionalur
molodinebs t periodSi arsebul informaciaze dayrdnobiT.
(3.2.1) da (3.2.2) -is eqvivalenturad aigeba realuri sargeblis ganakveTebis
mrudi. kerZod,
= ( ) ( ) ( ) + 1 (3.2.3)
= + 3 (3.2.4)
sadac, da aRniSnavs sargeblis realur ganakveTs, Sesabamisad
erTwliani da samwliani vadianobis aqtivebisTvis. warmoadgens
moklevadian realur sargeblis ganakveTs, romelic fiSeris gantolebiT
ganisazRvreba nominaluri sargeblis ganakveTisa ( ) da mosalodneli
inflaciis ( ) gaTvaliswinebiT:
= − (3.2.5)
aRsaniSnavia, rom (3.2.3) da (3.2.4)-Si gamoyenebulia igive likvidobis riskis
premia, romelic maT nominalur eqvivalentebSia ((3.2.1) da (3.2.2)), rac
niSnavs, rom riskis premiis cvlileba erTnairad axdens gavlenas, rogorc
nominalur, ise realuri sargeblis ganakveTebze. mdgradi
wonasworobisTvis Semosavlianobis mrudebi analogiurad Caiwereba imis
gaTvaliswinebiT, rom TiToeuli vadianobis saprocento ganakveTi da
riskis premia mdgradi wonasworobis Sesabamisia.
modelSi aseve warmodgenilia ucxouri valutis Semosavlianobis mrudi,
romlis saWiroebac finansuri seqtoris dolarizaciiT aris
ganpirobebuli. kerZod, 2014 wlis dekembris mdgomareobiT bankebis mier
1modeli agebulia kvartaluri sixSiris monacemebze, Sesabamisad t periodi aRniSnavskvartals.
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kerZo seqtorze gacemuli sesxebis dolarizacia 61%-ia1. ucxouri
valutisTvis, sargeblianobis mrudi adgilobrivi valutis analogiurad
ganisazRvreba, Tumca ori mniSvnelovani gansxvavebiT. moklevadiani
sargeblis ganakveTi gansazRvrulia londonis bankTaSorisi sesxebis
bazarze (LIBOR) arsebuli ganakveTisa da qveynis riskis premiis jamiT.
kerZod, dolaris moklevadiani ganakveTi saqarTvelos adgilobriv
bazarze, _ , Semdegnairad formirdeba:
_ = ∗ + + ∗ (3.2.6)
sadac, ∗ warmoadgens londonis bankTaSorisi sesxebis bazarze (LIBOR)
erTTviani sargeblis ganakveTs, xolo -iT aRniSnulia qveynis riskis
premia, romelsac sxva Tanabar pirobebSi investorebi iTxoven qarTul
aqtivebSi investirebisTvis. mniSvnelovania aRiniSnos, rom
gansxvavdeba (3.2.1), (3.2.2) -Si gamoyenebuli likvidobis riskis premiisgan,
romelic momavalTan dakavSirebuli gaurkvevlobis risks asaxavda.
meore gansxvavebas warmoadgens, rom ucxouri valutis sargeblianobis
mrudis TiToeuli vadianobisTvis amonagebi gamosaxuli unda iyos
adgilobrivi valutis erTeulebSi, maSasadame sargeblis ganakveTTan
erTad gaTvaliswinebuli unda iyos gacvliTi kursis cvlilebac.
aRniSnuli ganpirobebulia im garemoebiT, rom erTobliv moTxovnaze
sargeblis ganakveTi gavlenas, dazogvasa da investirebas/moxmarebas Soris
arCevanis gziT axdens, amdenad ucxouri valutis sesxis SemTxvevaSi
ekonomikuri subieqtebi gadawyvetilebis miRebisas ucxouri valutis sesxis
faqtobriv tvirTs iTvaliswineben, romelic sargeblis ganakveTTan erTad
gacvliTi kursis cvlilebasac moicavs. aRniSnulis gaTvaliswinebiT,
dolaris moklevadiani (samTviani) sargeblis ganakveTi laris erTeulebSi,_ , Semdegi saxiT moicema:_ _ = _ + 4 ∗ (Δ ) (3.2.6)
1 wyaro: saqarTvelos erovnuli banki.
102
sadac, (Δ ) warmoadgens laris dolarTan mimarTebaSi nominaluri
gacvliTi kursis cvlilebis1 racionalur molodins t - periodSi arsebul
informaciaze dayrdnobiT. gacvliT kursis mosalodneli cvlileba
gawliurebulia oTxze gamravlebiT, raTa Sesadari iyos wliuri
procentisa.
laris erTeulebSi gamosaxuli dolaris erTwliani da samwliani
sargeblis ganakveTebi (3.2.1) da (3.2.2) -is analogiurad ganisazRvreba _ -
is mosalodneli mniSvnelobebiTa da riskis premiiT (gantolebebis sruli
aRweisTvis ixileT danarTi). unda aRiniSnos, rom modelSi daSvebis
Tanaxmad adgilobrivi da ucxouri valutis sargeblianobis mrudebi
erTidaigive vadianobis riskis premiebs iyenebs, rac emyareba im mosazrebas,
rom gacvliTi kursis riski _ -is meSveobiT ukve asaxulia dolaris
moklevadian ganakveTebSi (gantoleba 3.2.6), amdenad Semosavlianobis mrudi
adgilobrivi Tu ucxouri valutisTvis aRar ganasxvavebs likvidobis
riskis premias.
Tavis mxriv, qveynis riskis premia, , modelSi warmodgenilia rogorc
mdgradi wonasworuli mniSvnelobis da misgan gadaxris jamis saxiT, es
ukanaskneli avtoregresiuli procesiT aRiwereba, xolo mdgradi
wonasworuli mniSvneloba kalibrirebulia qveynis zogadi fundamenturi
faqtorebis gaTvaliswinebiT2. amis msgavsad aris modelSi warmodgenili
livkidobis riskis premiebic (detalizaciisTvis ixileT danarTSi
gantolebebis sruli sia).
1modelSi gamoyenebuli aRniSvniT, warmoadgens lari/dolaris nominaluri gacvliTikursis logariTmul mniSvnelobas romelic aszea gamravlebuli. SesabamisadΔ +1warmoadgens t+1 periodSi procentulad laris gaufasurebis pirveli rigismiaxloebiT mniSvnelobas.
2ixileT Tavi 4, modelis parametrizaciis Sesaxeb.
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3 makroprudenciuli politika da makrofinansuri kavSirebi
modelSi gaTvaliswinebuli makropurdenciuli politkis mTavar
instruments kapitalis kontrcikluri buferi warmoadgens. amdenad
makroprudenciuli politika modelSi warmodgenilia kontrcikluri
buferis dadgenis wesiT, romlis mixedviTac misi politikis ZiriTad
mizans finansuri seqtoris prociklurobis ganeitraleba warmoadgens.
saqmiani ciklis aRmavlobis dros, rodesac mSp-s gadaxra misi potenciuri
donidan izrdeba, es sabanko seqtoris mxridan sakredito pirobebis
Semsubuqebas da sesxebis Warbi zrdis provocirebas axdens. es ki erTobliv
moTxovnaze aisaxeba, rac spiralur efeqts qmnis rogorc es ganxiluli
iyo makro-finansuri urTierTkavSirebis mimoxilvaSi (ixileT Tavi 2, 1-li
qveTavi). amdenad makroprudenciuli politika cdilobs SezRudos sesxebis
Warbi zrda ekonomikis realuri seqtoris Warbi zrdis SemTxvevaSi, xolo
waaxalisos igi recesiis Jams, amiT xels uwyobs makroekonomikur
stabilurobas.
modelSi kapitalis kontrcikluri buferis dadgena xdeba Semdegi wesiT= ∗ + (1 − ) ∗ + ∗ ∗ + (1 − ) ∗ ∗ +∗ (3.3.1)
sadac, aris kapitalis kontrcikluri buferi, romelic bankebis riskis
mixedviT Sewonili aqtivebis proporciulad moicema, misi grZelvadiani
wonasworuli done, - mTliani Sida produqtis potenciuridan gadaxra,
- sesxebis mTlian Sida produqtTan fardobis gadaxra misi wonasworobis
donidan, xolo makroprudenciuli politikis Soks warmoadgens. da
parametrebi, makroprudenciuli politikis prioritetebs gansazRvravs
ekonomikis stabilizaciis xelSewyobisa da kerZo seqtoris leveraJis
optimalur doneze SenarCunebas Soris. kontrcikluri buferis dadgenis
wesSi mniSvnelovani parametria , romelic makroprudenciuli
politikis prioritetebis cvalebadobas uzrunvelyofs ekonomikuri
mdgomareobis mixedviT. modelSi arawrfivad aris damokidebuli
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saqmian ciklsa da kerZo seqtoris leveraJze. kerZod, sanam kerZo seqtoris
leveraJi dabalia (anu sesxebis mSp-sTan fardoba CamorCeba wonasworul
maCvenebels) parametri (3.3.1) gantolebaSi izrdeba, Sesabamisad
makroprudenciuli politika kontrcikluri miznebidan gamomdinare adgens
kapitalis bufers da xels uwyobs uSualod ekonomikis stabilizacias. im
SemTxvevaSi rodesac kerZo seqtoris dakrediteba maRalia, parametri
mcirdeba, Sedegad makroprudenciuli politikisTvis ufro prioritetuli
xdeba kerZo seqtoris leveraJis SezRudva da mcirdeba mis mier saqmiani
ciklis daregulirebis miznebiT gamoyenebis SesaZlebloba.
parametris konkretuli saxe diagrama III.11-ze aris gamosaxuli.
diagrama III.1 makroprudenciuli politikis damokidebuleba ekonomikis biznes ciklze
diagramidan Cans, rom rodesac sesxebis mSp-sTan fardoba izrdeba,
makroprudenciuli politika ufro prioritetulad miiCnevs kerZo
seqtoris leverejis sakiTxs, cb^cycle koeficienti nols uaxlovdeba da
1 = 2 ∗ −5sadac, - warmoadgens sesxebis mSp-sTan fardobis mimdinare dones, xolo (∙) e.wcomplementary error function.
0 1 2 3 4 5 6 7 8 9 10 11
0
0.2
0.4
0.6
0.8
1
sesxebis mSp-sTan fardobis gadaxra wonasworobidan, pp
CBcycle
105
makroprudenciuli politika kerZo seqtoris valis stabilizaciis
miznebidan gamomdinare dgindeba, xolo rodesac sesxebis mSp-sTan
fardobis gadaxra wonasworouli donidan zRvrul 10 procentian niSnuls
aRemateba makroprudenciuli politika srulad valis stabilurobaze
zrunavs. makroprudenciuli politikis cvalebadi preferencia aseve xSirad
ganpirobebulia sareitingo kompaniebisa Tu saerTaSoriso organizaciebis
zewolisagan iseTi RonisZiebebis gatarebaze, romelic kerZo seqtoris
davalianebis Semcirebisken iqneba mimarTuli. rodesac levereji ar
warmoadgens safrTxes da sesxebis mSp-sTan fardobis gadaxra misi
wonasworobis donidan 2 procentiani zRvruli niSnulis farglebSia,
parametri erTTan axlosaa da kapitalis kontrcikluri buferi
saqmiani ciklis (mSp-s potenciuri dinidan gadaxris) mixedviT dgindeba1 .
kapitalis kontrcikluri buferi, Tavis mxriv, gulisxmobs, rom
sazedamxedvelo politikis farglebSi safinanso seqtoris maregulirebel
komerciul bankebs riskis mixedviT Sewonili aqtivebis proporciulad
kapitalis odenobas uwesebs, romelic maT damatebiT unda iqonion.
aRniSnuli buferi komerciul banks dakreditebis xarjs uzrdis riTac
zRudavs sesxebze moTxovnas.
makropurdenciuli politikis gadacemis meqanizmi modelSi Semdegnairad
aris warmodgenili. gantoleba (3.3.2) aRwers dakreditebis moculobis
damokidebulebas kapitalis kontrciklur buferze da ekonomikis saqmian
ciklze. kerZod, sesxebis mSp-sTan fardobis gadaxra misi wonasworobis
mdgomareobidan2 ( ) damokidebulia inflaciis ( ) gadaxraze misi
miznobrivi donidan, mTliani Sida produqtis gadaxraze misi potenciuri
donidan ( ) da kapitalis kontrcikluri buferis gadaxraze misi
neitraluri donidan. misi neitraluri done gulisxmobs im niSnuls,
1zRvruli maCveneblebi aRebulia kapitalis kontrcikluri buferis dadgenis wesis Sesaxeb
bazelis komitetis mier SemuSavebuli sagzao rukis Sesabamisad, Guidance for national authoritiesoperating the countercyclical capital buffer, 2010.2 SegaxsenebT, sesxebis mSp-sTan fardobis trendi gulisxmobs misi istoriul trends,romelic ekonomikis mdgradi zrdis Sesabamisia da finansuri Suamavlobis mdgradfunqcionirebas ganapirobebs.
106
romelsac sabanko seqtori saSualod inarCunebs dakreditebis mdgrad
dones.= ∗ − ∗ ( − ) + ∗ − ∗ ( − ) + ∗ (Δ − Δ ) +∗ (3.3.2)
unda aRiniSnos, λ parametri aRwers kapitalis adekvaturobis koeficientis
1 procentuli punqtiT zrdis gavlenas sesxebze. igi damokidebulia
safinanso seqtoris mikroekonomikur struqturasa da kerZo seqtoris mier
sesxebis moTxovnis elastiurobaze saprocento ganakveTis mimarT. (3.4.2)
gantolebaSi warmoadgens egzogenur Soks sakredito portfelze.
makrofinansuri urTierTkavSirebis warmosadgenad, modelSi
gansakuTrebuli datvirTva aqvs parametrs, romelic sesxebis saqmian
ciklze damokidebulebas aRwers. kerZod, igi warmoadgens finansuri
seqtoris prociklurobis sazoms, romelic Tavis mxriv, sagiravno aqtivis
fasebis prociklurobisa da informaciis asimetriulobiT aris
ganpirobebuli (ixileT amave Tavis 1-li qveTavi). sabanko seqtoris
dakreditebis tempis biznes ciklze dadebiTi damokidebuleba modelSi
warmodgenili „finansuri aqseleraciis“ meqanizmis nawilia. es ukanaskneli
ki gulisxmobs, rom bankis mier gacemuli sesxis marJa damokidebulia
ekonomikis biznes ciklze. kerZod, ekonomikuri recesiis Jams, rodesac
mcirdeba aqtivebis fasebi mcirdeba ra sesxis mimRebis wminda Rirebuleba,
es aisaxeba investoris mier proeqtis Tanadafinansebis SesaZleblobaSi da
Sedegad izrdeba bankis mier sesxis riskisTvis gaTvaliswinebuli marJa. es
ukanaskneli ki sesxebze moTxovnis Semcirebasa da dakreditebis Senelebas
iwvevs. piriqiT xdeba ekonomikuri bumis Jams, romelic sesxebis zrdis
waxalisebas ganapirobebs.
„finansuri aqseleraciis“ meqanizmis srulad warmodgenisTvis modelSi
aseve gaTvaliswinebulia sesxebis Warbi zrdis gavlena ekonomikur
aqtivobaze. Warbi sesxebis zrda Tavis mxriv gulisxmobs, sesxebis mSp-sTan
fardobis gadaxras misi wonasworobis donidan ( ), romelic gavlenas
107
axdens aseve mTliani Sida produqtis gadaxraze misi potenciuri donidan
(aRniSnuli gantoleba detalurad ixileT Semdeg TavSi). amdenad, SeiZleba
iTqvas, rom modelis mikroekonomikur safuZvelSi sakredito bazris
SezRudvebis Sesaxeb iribad warmodgenili daSvebebis saSualebiT modeli
iTvaliswinebs „finansuri aqseleratoris“ meqanizms, romlis Sedegadac
finansuri seqtori ekonomikaSi arsebuli Sokebis gaZlierebasa da
gaxangrZlivebas ganapirobebs.
finansuri friqciebis makroekonomikuri gavlenis kidev erTi mniSvnelovani
arxia e.w. „fiSeris deflaciis efeqti“, romlis warmodgenasac modeli
cdilobs. kerZod, e.w. „fiSeris deflaciis efeqti“ gulisxmobs, rom
inflacia cvlis valis realur tvirTs nominaluri moculobis
ucvlelobis pirobebSic ki. ekonomikuri recesiis dros, rodesac
inflaciis done mosalodnelze naklebia, es valis realuri tvirTis
damZimebas ganapirobebs, rac investiciebze aisaxeba da recesiis
gaRrmavebas uwyobs xels. ekonomikuri bumis dros, izrdeba ra inflaciis
done mosalodnelze metad, igi amcirebs valis realur tvirTs rac
ekonomikaSi investiciebis zrdas ganapirobebs. amdenad e.w. „fiSeris
deflaciis efeqti“ aZlierebs ekonomikur meryeobas recesiisa Tu bumis
periodebSi1.
(3.3.2) gantolebis mixedviT, sesxebis tvirTi damokidebulia inflaciaze
romlis Tanaxmadac inflaciis zrda miznobrivi maCveneblis miRma,
sakredito portfelis tvirTis Semcirebas uzrunvelyofs. amdenad,
miznobrivze maRali inflacia sakredito tvirTis Semsubuqebis
ganapirobebs da ekonomikur gamoSvebas zrdis, xolo miznobrivze dabali
inflacia piriqiT, sesxebis momsaxurebis tvirTis zrdas da ekonomikuri
gamoSvebis Semcirebas ganapirobebs.
1amis sapirispirod, ekonomikis stabilurobas uwyobs xels, rodesac ekonomikaSi gvxvdebamiwodebis Soki da sapirispiro mimarTulebiT moZraobs gamoSveba da fasebis done. esufro xSirad Ria da mcire zomis ekonomikis mqone qveynisTvis aris damaxasiaTebeli,
romelic sagareo Sokis zegavlenas ganicdis.
108
4 sakredito portfeli
modelSi sesxebis mSp-sTan fardobis dinamikur analizs mniSvnelovani
yuradReba eTmoba. kerZod, rogorc 3.3 TavSi iqna aRwerili, igi gamoiyeneba
kapitalis kontrcikluri buferis dadgenisas da masze damokidebulebiT
makroprudenciuli politika kerZo seqtoris Warbi dakreditebis
SezRudvas axdens. sesxebis mSp-sTan fardoba ( ) Semdegi saxiT moicema
= − ( + ) (3.4.4)
sadac, - sesxebis, - mTliani Sida produqtis, xolo - samomxmareblo
fasebis indeqsis logariTmul mniSvnelobebs aRniSnaven. unda aRiniSnos,
rom mSp deflatoris magivrad samomxmareblo fasebis donea gamoyenebuli,
rac gulisxmobs daSvebas, rom maTi dinamika saSualod erTmaneTs unda
emTxveodes. aqve ganvmartoT sesxebis mSp-sTan fardobis wonasworobidan
gadaxra, romlic Semdegnairad moicema:
sadac= − (3.4.5)
sadac, sesxebis mSp-sTan fardobis wonasworobis dones warmoadgens.
Tavis mxriv, igi aRiwereba, misi zrdis tempiT (Δ , romelic
avtokorelaciis koeficientiT miiswrafvis misi grZelvadiani
mniSvnelobisken (Δ ). kerZod, sesxebis mSp-sTan fardobis wonasworobis
dinamikisa da misi wonasworobis zrdis tempis gantolebas Semdegi saxe
aqvT:Δ = 4 ∗ ( − ) (3.4.6)
Δ = ∗ Δ + (1 − ) ∗ Δ + ∗ (3.4.7)
sadac, Δ - sesxebis mSp-sTan fardobis mdgradi zrdis temps warmoadgens(misi konkretuli mniSvnelobis SefasebisTvis ixileT pirveli qveTavi).
109
5 erToblivi moTxovna
modelSi, moTxovnis mxare warmodgenilia dinamiuri IS mrudiT, romelic
ekonomikur aqtivobasa da realur saprocento ganakveTs akavSirebs, aseve
iTvaliswinebs molodinebisa da sxva faqtorebis gavlenas erTobliv
moTxovnaze. aRniSnuli damokidebuleba gamoiyvaneba mikroekonomikuri
safuZvlidan, romelic zemoT iqna moyvanili da standartulad
damaxasaiTebelia msgavsi tipis modelebisTvis1.
moTxovnis mruds Semdegi saxe aqvs:= ∗ ( ) + ∗ − ∗ + ∗ + ∗ − ∗(Δ − Δ ) + ∗ ∗ ∗ + ∗ + ∗ (3.5.1)
sadac, y , warmoadgens gamoSvebis Warb moculobas, r - realuri saprocento
ganakveTis da - qveynis riskis premiis gadaxrebs maTive wonasworobis
doneebidan. z warmoadgens realuri efeqturi gacvliTi kursis gadaxras
misi wonasworobis donidan, xolo y∗ - Warb sagareo gamoSvebas. makro-
finansuri urTierTkavSirebis warmosadgenad gansakuTrebuli datvirTva
aqvs saqmiani ciklis dakavSirebas finansur ciklTan. aRniSnuli kavSiri
warmodgenilia erToblivi moTxovnis damokidebulebiT sesxebis mSp-sTan,
fardobis wonasworobidan gadaxrasTan ( ). ε aRniSnavs moTxovnis Soks,
romelsac standartuli normaluri ganawileba gaaCnia da igi
skalirebulia parametriT, romelic Tavis mxriv moTxovnis Sokis
standartul gadaxras asaxavs.
1 standartuli tipis dinamiuri IS mrudis detaluri gamoyvanisTvis ix. Gali (2008), sagareo
ekonomikuri aqtivobisa da gacvliTi kursis gantolebaSi warmosadgenad – Gali and Monaccelli(2005), xolo inerciulobis Tvisebis aRsawerad (lagis SemotanisTvis) – Smets and Wouters(2003).
110
6 erToblivi miwodeba
modelSi miwodebis mxare warmodgenilia axali keinzianuri filifsis
mrudiT, romlis mixedviTac inflaciis mTavari ganmsazRvrelia
inflaciuri molodinebi da Warbi adgilobrivi gamoSveba. inflaciis
miznobriv doneze SenarCuneba monetaruli politikis Sedegia, rac
teiloris principis SesrulebiT miiRweva. axali keinzianuri filifsis
mrudis mikroekonomikuri safuZveli gulisxmobs, rom ekonomikuri
agentebis racionaluri molodinebis pirobebSi monopolistur
konkurenciaSi myofi firmebi zrunaven mogebis maqsimizaciisTvis da
iTvaliswineben iseT faqtorebs, rogoricaa importuli Sualeduri
saqonelis fasebi da sixiste faswarmoqmnisas. amasTan, mTliani inflacia
garda Sualeduri importuli saqonlis fasebisa, uSualodac aris
importul fasebze damokidebuli, romelsac samomxmareblo kalaTaSi
mniSvnelovani wvlili aqvs. kerZod, inflaciis gantolebas Semdegi saxe
aqvs:
= ∗ + ∗ + 1 − − ∗ + ∗ + ∗ + ∗(3.6.1)
sadac, - inflacias, - inflaciur molodins, xolo - importul
inflacias aRniSnavs, warmoadgens Warb adgilobriv gamoSvebas, xolo -Ti realuri efeqturi gacvliTi kursis wonasworobidan gadaxra aris
aRniSnuli. aRniSnavs miwodebis Soks, romelsac standartuli normaluri
ganawileba gaaCnia da igi skalirebulia parametriT, romelic Tavis
mxriv mowodebis Sokis standartul gadaxras asaxavs.
axali keinzianuri midgomis Tanaxmad, inflaciaze mniSvnelovani gavlena
aqvs racionalur molodinebs, romelic Tavis mxriv ekonomikuri agentebis
Sors mWvretelobazea damokidebuli. modelSi warmodgenili daSvebis
Tanaxmad, inflaciuri molodinebi racionaluri da adapturi molodinebis
sinTeziT ganisazRvreba, kerZod ki Semdegi saxe aqvs:
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= ∗ ( ) + (1 − ) ∗ 4 (3.6.2)
sadac, inflaciis mosalodneli mniSvneloba ( ) damokidebulia
racionalur molodinebze parametris mixedviT, xolo 1 − warmoadgens
adapturi molodinebis wonas. inflaciuri molodinebis aRniSnuli wesiT
modelireba gulisxmobs, rom daSvebis Tanaxmad ekonomikuri agentebis
wils racionaluri, xolo 1 − nawils adapturi molodinebi aqvT.
modelSi warmodgenili inflaciis gantolebis Tanaxmad importuli
fasebis gadmocema inflaciaze ZiriTadad ori gziT xdeba. pirveli, es aris
importuli saqoneli, romelic adgilobrivi warmoebis Sualedur saqonels
warmoadgens (igi asaxulia parametrSi, romelic realuri efeqturi
gacvliTi kursis gavlenas zomavs inflaciaze), xolo meore, es aris
saboloo moxmarebis importuli saqoneli, romelic uSualod
samomxmareblo kalaTis nawilia. gantolebaSi parametri
kalibrirebulia importuli saqonlis wilis Sesabamisad samomxmareblo
kalaTaSi. mimdinare SefasebiT misi wili 30%-is farglebSia. Tavis mxriv
importuli inflaciis gantolebas Semdegi saxe aqvs:
= + Δ − Δ (3.6.3)
sadac, - saqarTvelos savaWro partniorebis saSualo Sewonil inflacias,
xolo Δ da Δ , Sesabamisad, laris dolarTan mimarTebiT nominaluri
gacvliTi kursisa da wonasworobis realuri efeqturi gacvliTi kursis
cvlilebebs aRniSnaven.
7 gacvliTi kursi
naSromSi warmodgenili modeli morgebulia mcire da Ria tipis ekonomikas,
sadac mcuravi gacvliTi kursis reJimi moqmedebs. Sesabamisad, gacvliTi
kursi erT-erT centralur rols asrulebs, ise rogorc monetaruli
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politikis gadacemis, aseve makroekonomikuri stabilizaciisa da finansur
seqtorze gavlenis moxdenis mimarTulebiT.
gacvliTi kuris modelSi warmodgenilia procenti paritetuli pirobiT.
aRniSnuli piroba gulisxmobs, rom investori rodesac adgilobriv
bazarze axorcielebs investicias, misi mosalodneli amonagebi unda
utoldebodes am investiciis alternatiul danaxarjs, rac moicema sagareo
saprocento ganakveTis (i∗), mosalodneli gaufasurebisa da adgilobriv
ekonomikasTan dakavSirebuli riskis premiis (prem ) jamis saxiT. gacvliTi
kursis gantolebas Sedegi saxe aqvs:= ∗ + 4 ∗ ( − ) + + ∗ (3.7.1)
sadac, s nominaluri gacvliTi kursia, gacvliTi kursis mosalodneli
mniSvneloba, prem –Ti aRniSnulia qveynis suverenuli riskis premia, xolo
ε gacvliTi kursis Soks aRniSnavs, romelsac standartuli normaluri
ganawileba gaaCnia da igi skalirebulia parametriT, romelic Tavis
mxriv gacvliTi kursis Sokis standartul gadaxras asaxavs.
gacvliT kursis mosalodneli mniSvneloba modelSi Semdegi saxiT
aRiwereba:
= ∗ ( ) + (1 − ) ∗ ( + 2 ∗ (Δ + − )/4) (3.7.2)
aRniSnuli wesis Tanaxmad, gacvliTi kursis molodini formirdeba
racionaluri da adapturi molodinebis sinTezis gziT. kerZod, (3.7.2)
gantolebaSi, parametri warmoadgens racionaluri molodinebis, xolo 1 −Sesabamisad adapturi molodinebis wils. gantolebaSi + 2 ∗ (Δ + −)/4 wevri aRniSnavs wina periodis gacvliTi kursis trendiT
gaTvaliswinebuli cvlilebas, romelic adapturi molodinebis SemTxvevaSi
eqneboda bazris monawileebs.
(3.7.1) -is msgavs pirobas unda akmayofilebdes grZelvadiani wonasworobis
realuri cvladebic, rac realuri saprocento ganakveTebis paritetuli
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pirobiT aris cnobili (detaluri ganxilvisTvis ixileT danarTi A
gantolebebis srulis siisTvis).
8 monetaruli politika
monetaruli politika modelSi teiloris wesiT aris warmodgenili,
romelic refinansirebis saprocento ganakveTs mosalodneli inflaciis
miznobriv maCvenebelTan SesabamisobiT adgens. kerZod, monetaruli
politikis wess Semdegi saxe aqvs:= ∗ + (1 − ) ∗ ( + ( 4 ) − ) + ∗ + ∗ (3.8.1)
sadac, monetaruli politikis ganakveTia, – misi neitraluri done. –
inflaciis miznobrivi maCvenebeli, xolo ( 4 ) – momavali wlis
mosalodneli inflaciaa. – monetaruli politikis Soks aRniSnavs. sxva
Sokebis msgavsad masac standartuli normaluri ganawileba gaaCnia.
monetaruli politikis Soki gantolebaSi skalirebulia parametriT,
romelic monetaruli politikis Sokis standartul gadaxras asaxavs.
neitraluri ganakveTi modelSi warmodgenilia realuri ganakveTis
wonasworobis donisa da inflaciis jamis saxiT. kerZod:= + 4 (3.8.1)
zemoT ganxilul ZiriTad gantolebebTan erTad modeli kidev mraval
gantolebas Seicavs, romelTagan nawili igiveobaa, xolo nawili
avtoregresiuli procesiT moicema1. gantolebebis detaluri aRwerisTvis
ixileT danarTi A.
1 mag. sagareo seqtoris prognozebi, rogoricaa savaWro partniorebis mosalodneliekononikuri aqtivoba, inflacia da saprocetno ganakveTebi umjobesia sxva analitikuriwyaroebidan (saerTaSoriso savaluto fondi, msoflio banki, Bloomberg da sxva....)moviZioT nacvlad modelis farglebSi damoukidebeli Sefasebisa. amdenad maTigantolebebi ZiriTadad teqnikuri xasiaTisaa da modelSi egzogenurad xdeba maTiprognozebis gaTvaliswineba.
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თავი IV. modelis empiriuli analizi
1 parametrizacia da baiesianuri Sefaseba
am TavSi warmodgenilia modelis parametrebis kalibracia da baeisianuri
Sefasebis Sedegebi, aseve monacemTa zogadi aRwera, romelic empriuli
analizisTvis aris gamoyenebuli. modelis parametrebi SeZleba daiyos sam
ZiriTad kategoriad: (I) es aris parametrebi, romlebic gansazRvraven
modelis mdgrad mdgomareobas (steady state); (II) modelis qceviTi
gantolebebis (behavioral equations) parametrebi, romlebic moklevadian
dinamikas gansazRvraven; (III) Sokebis standartuli gadaxrebi, romlebic
modelis stoqastur Tvisebebs gansazRvraven.
mdgradi wonasworobis aRmweri parametrebi kalibrirebulia saqarTvelos
bolo 10 – 15 wlis istoriul monacemebze dayrdnobiT da asaxavs qveynis
ekonomikur trendebs. kerZod, mdgradi wonasworobis parametrebi moicavs
ekonomikuri zrdis bunebriv dones, miznobriv inflacias, riskis premiisa
da saprocento ganakveTebis wonasworul doneebs, aseve finansuri blokisa
da sagareo seqtoris trendis parametrebs.
modelSi mTliani Sida produqtis bunebrivi zrdis wliuri tempi Seadgens
5%-s romelic Seesabameba istoriulad mSp-s saSualo zrdis temps (mSp-s
potenciuri zrdis empiriuli SefasebisTvis ixileT mag., ananiaSvili 2010).
wliuri inflaciis miznobrivi maCvnebeli 2009 – 2014 wlebSi 6%, 2015 – 2016
wlebSi 5%, xolo grZelvadiani miznobrivi maCvenebeli 3%-ia. realuri
efeqturi kursis wonasworuli gamyareba 3%-ia, rac gamomdinareobs balasa-
samuelsonis efeqtidan da gulisxmobs qveynis savaWro partniorebTan
mimarTebaSi produqtiulobis zrdis sam-procentuli punqtiT sxvaobas.
aRniSnuli aseve Seesabameba realuri efeqturi kursis istoriul dinamikas.
riskis premia aRebulia qveynis suverenuli obligaciebis amonagebisa da
aSS-s saxelmwifo fasiani qaRaldebis amonagebs Soris sxvaobis mixedviT
da oTx-procentul punqts Seadgens. realuri sapocento ganakveTis
wonasworuli done ganisazRvreba realuri saprocento ganakveTebis
paritetuli pirobiT (Uncovered Interest Parity), romelis mixedviT igi
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damokidebulia sagareo realuri saprocneto ganakveTis, qveynis
riskpremiisa da realuri efeqturi kursis gamyarebis wonasworul
maCveneblebze. aRniSnulis gaTvaliswinebiT, realuri saprocento
ganakveTis wonasworuli done wliuri 1.7 %-ia.
modelSi finansuri seqtoris mdgradi wonasworobis parametrebs
warmoadgens sesxebis mSp-sTan fardobis zrdis tempi, rac sabanko seqtoris
penetraciis dones asaxavs ekonomikaSi. modelSi aseve gamoiyeneba
kapitalis adekvaturobis done da saprocento ganakveTebis droiTi
struqturis parametrebi. sesxebis mSp-sTan fardoba mdgradi
wonasworobisas wliurad sam-procentuli punqtiT izrdeba, rac
warmodgens aRniSnuli maCveneblis istoriul saSualo mniSvnelobas.
kapitalis adekvaturobis minimaluri moTxovna modelSi 12%-ia, rac
Seesabameba istoriulad bankebisTvis kapitalis adekvaturobis minimalur
moTxovnebs.
sagareo seqtoris blokSi modeli iyenebs saqarTvelos ZiriTadi savaWro
partniorebis inflaciis, saprocento ganakveTisa da gacvliT kursis
wonasworobis aRmwer parametrebebs. savaWro partniorebis saSualo
inflacia da laris realuri efeqturi gacvliTi kursi miiReba TiToeuli
savaWro partniori qveynis Sesabamisi maCveneblebis SewonviT. modelSi
warmodgenilia 5 savaWro partniori qveyana, Sesabamisi wonebiT. esenia: aSS
- 35%, TurqeTi - 23%. evrozona - 22%, ukraina - 12%, ruseTi - 8%. savaWro
partniorebis wonebi asaxavs saqarTvelos savaWro brunvaSi1 TiToeuli
maTganis wvlils istoriulad. ucxouri realuri saprocento ganakveTad
modelSi gamoyenebulia londonis bankTaSoris sesxebis bazarze (LIBOR)
dolaris moklevadiani ganakveTis Sesabamisi realuri ganakveTi, romlis
wonasworuli mniSvneloba istoriul saSualoze dayrdnobiT aRebulia
0.7%-is tolad. TiToeuli savaWro partnioris wonasworuli inflacia
aRebulia maTi monetaruli politikis Sesabamisad, gacxadebuli miznobrivi
maCveneblis mixedviT, xolo valutis gacvliTi kursis wonasworuli
1savaWro brunvebi koreqtirebulia sasaqonlo jgufebis (commodities) gaTvaliswinebiT,romelTa faswarmoqmna aSS dolarSi xdeba. amdenad aSS-s wona asaxavs dolarismniSvnelovnebas savaWro brunvaSi da ara uSualod aSS-sTan saqarTvelos vaWrobismoculobas.
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dinamika gamomdinareobs myidvelobiTi unaris paritetis mixedviT
(Purchasing Power Parity, PPP). mdgradi wonasworobis parametrebis
mniSvnelobebi detalurad SegiZliaT ixiloT danarTSi cxrili A-3.
saqarTvelos msgavsi, an ufro zogadad, ganviTarebadi qveynebisTvis,
romlebic mniSvnelovan struqturul cvlilebebs ganicdian istoriis
mokle manZilze, unda aRiniSnos, rom rTulia modelis qceviTi
gantolebebis parametrebis SefasebisTvis klasikuri ekonometrikuli
midgoma iqnes gamoyenebuli. monacemebi zog SemTxvevaSi an ar arsebobs, an
mokle istorias faravs, rac modelis zomidan gamomdinare arasakmaris
safuZvels iZleva wminda empiriuli kvlevisTvis.
aseT SemTxevaSi, kalibrirebuli1 modelis upiratesoba calsaxaa. garda
mwiri monacemTa istoriisa, romelic kalibraciis upiratesobas
gansazRvravs, gasaTvaliswinebelia, rom gansakuTrebiT bolo ori
aTwleulis manZilze modelirebis kuTxiT ekonomistebSi mniSvnelovani
codna dagrovda. codnisa da gamocdilebis gamoyeneba ufro metad im
qveynebis praqtikidan aris sasargeblo, romlebic saqarTvelos
ganviTarebis msgavs etaps gadiodnen2.
warmodgenili naSromis midgomaa, baeisianuri (Bayesian) Sefasebis meTodiT
ganisazRvros modelis parametrebi da gamoyenebul iqnes kalibracia
parametrebis baiesianuri SefasebebisTvis saWiro apriori mniSvnelobebis
gansazRvrisaTvis. baiesianuri Sefasebis gamoyeneba saqarTvelos specifikis
ukeT gaTvaliswinebis mizniT gansakuTrebiT mniSvnelovania, radgan
finansuri seqtoris qceviTi gantolebebisa Tu makroprudenciuli
politikis mamoZravebeli parametrebis kalibraciisTvis naklebi Teoriuli
codna arsebobs, radgan maTi Sesabamisi ekonomikuri Teoria jer kidev ar
aris srulad gamokvleuli. baiesianuri Sefasebis meTodis gamoyenebas aseve
didi upiratesoba aqvs modelSi warmodgenili Sokebis standartuli
1 kalibracia gulisxmobs modelis parametrebis gansazRvras ekonomikuri Teoriis, sxvaqveynebis gamocdilebis da eqspertuli Sefasebebis gamoyenebiT. Semdgom, kalibrirebuli
modelis validacia istriul monacemebze da kontr-faqtiuri (counterfactual) analizi,
modelis Sefasebis empiriul safuZvelsac iZleva.2 iseTi qveynebi rogoricaa, axali zelandia, kanada, CexeTi, norvegia, israeli da sxvaintensiurad iyeneben kalibrirebul modelebs bolo ori aTwleulis manZilze.
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gadaxrebisa da avtoregresiuli parametrebis SefasebisTvis, romelTa
kalibracia am parametrebis ZiriTadad, teqnikuri xasiaTis daniSnulebis
gamo Zalzed rTulia. amis sapirispirod, modelis iseTi ZiriTadi
struqturuli parametrebisTvis, romelTa miRma makroekonomikuri Teoria
dgas da mravali qveynis gamocdilebisa Tu mecnieruli gamokvlevaTa
safuZvelze SesaZlebelia sarwmuno mniSvnelobis gansazRvra, kalibraciis
meTodis upiratesoba calsaxaa, yvela sxva alternativasTan SedarebiT.
baiesianuri Sefasebis meTodi emyareba e.w. „subieqturi albaTobis
paradigmas“, romelic albaTobas ganixilavs rogorc subieqturad aRqmul
ganuzRvrelobas xdomilebis Sesaxeb. standartuli statistikuri midgoma
gulisxmobs, rom albaToba warmoadgens xdomilebis moxdenis sixSires
grZelvadian periodSi. mag. monetis agdebis SemTxvevaSi TiToeuli mxaris
mosvlis albaToba tolia maTi mosvlis sixSirisa usasrulod ganmeorebis
SemTxvevaSi. amisgan gansxvavebiT, baiesianur midgomaSi ar arsebobs
usasrulod ganmeorebadi movlenis cneba, aramed albaToba wamoadgens
subieqturad aRqmul fsons ama Tu im xdomilebis moxdenisa. movlenis
Sedegis yoveli dadgomisas, Tavdapirveli, apriori albaToba, ganaxldeba
axali informaciiT. amdenad es aris midgoma romelSic axali monacemebiT
(monacemebiT) xdeba sawyisi informaciis ganaxleba da amdenad sawyisi
subieqturi codna erwymeba monacemebs.
ufro konkretulad, rom aRvweroT statistikis mizans warmoadgens,
monacemTa SerCevis safuZvelze imsjelos populaciis ucnob parametrze.
mag. SerCevis saSualo gamoiyeneba populaciis ucnobi saSualos
Sesafaseblad, an regresiuli analizisas populaciis ucnob koeficients
vafasebT monacemTa SerCevis regresul analizze dayrdnobiT. klasikurad,
statistikaSi Sefasebisas gamoiyeneba maqsimumis dasajereobis meTodi
(Maximum Likelihood), romelic gulisxmobs, rom populaciis ucnobi
parametri aris mudmivi sidide. baiesianuri midgomis mTavar
ganmasxvavebels klasikuri midgomisagan, swored is warmodgens, rom igi
ucnob parametrs ganixilavs rogorc SemTxveviT sidides, romelsac gaaCnia
Tavisi albaTuri ganawileba.
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baiesianur Sefasebis meTods gaaCnia Semdegi ZiriTadi ingredientebi.
pirveli, es aris, Sesafasebeli ucnobi parametris aprioruli ganawileba
(prior distribution), romelic monacemebis gamokvlevamde, Teoriul
codnas, mkvlevaris xelT arsebul yvela informaciasa Tu mis subieqtur
aRqmas eyrdnoba. magaliTad apriorul ganawilebas SeiZleba qondes
normaluri ganawilebis saxe, romlis saSualo ucnobi parametris
apriorul mniSvnelobas warmoadgens, xolo aprioruli ganawilebis
dispersia misi gaurkvevlobis dones gansazRvravs. kerZod, rac ufro didia
dispersia miT ufro naklebad aris mkvlevari darwmunebuli ucnobi
parametris apriorul mniSvnelobaSi. mcire dispersia, aprioruli
mniSvnelobis sizusteze miuTiTebs. apriorul ganawilebas SeiZleba
hqondes normaluri ganawilebisgan gansxvavebuli saxec, magaliTad, mudmivi
(uniform) ganawileba, gausis Sebrunebuli (inverse Gaussian) ganawileba an sxva.
aprioruli ganawilebis SerCeva populaciis Sesafasebeli parametris
bunebidan gamomdinare unda moxdes.
meore ZiriTad ingredients warmoadgens, monacemebidan informaciis miReba,
romelic klasikuri maqsimumis dasajerobis (Maximum likelihood) meTodis
gamoyenebas gulisxmobs. kerZod, igi gulisxmobs gansazRvros ucnobi
parametrebis yvelaze albaTuri mniSvnelobebi, romelic mocemul
monacemebs Seesabameba. baiesianuri Sefasebis meTodis mesame
umniSvnelovanes ingredients warmoadgens aprioruli ganawilebisa da
monacemTa statistikuri analiziT miRebuli Sedegebis Serwyma, romlis
Sedegadac miiReba post-apriori (posterior distribution) ganawileba. es
ukanaskneli miiReba baiesis (Bayes) Teoremis safuZvelze, romelic
gulisxmobs, rom parametrebis post-apriori Sefaseba mimdinare monacemebis
mocemulobis pirobebSi, damokidebulia apriorul informaciaze da miiReba
misi SewonviT monacemTa maqsimumis dasajerobis meTodiT miRebul
SedegebTan. faqtobrivad, SeiZleba iTqvas, rom post-aprioruli Sefaseba
warmoadgens aprioruli informaciisa da monacemTa statistikuri
analiziT miRebuli Sedegebis sinTezs.
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zemoaRniSnulis gaTvaliswinebiT, baiesianuri Sefasebis meTodi,
SesaZlebelia mokled, Semdegnairad aRvweroT; baiesianuri meTodiT
Sefasebis dros monacemebi erwymeba ekonomikur Teoriasa da eqspertul
codnaze dafuZnebul apriorul informacias da Sedegad miiReba post-
aprioruli ganawileba (posterior distribution), romlis moda (an
mediana) warmoadgens Sesafasebeli ucnobi parametris wertilovan
Sefasebas. aprioruli informacia gaiTvaliswineba apriorul informaciaSi
Cadebuli dasajerobis donis Sesabamisad.
modelis makro-finansuri kavSirebis aRmweri parametrebis baiesianuri
Sefasebebi mocemulia დიაგრამა 4.1-ze. kerZod, diagramaze warmodgenilia
Sedegi parametrebis Sefasebebi: , romelic aRwers „fiSeris valis
deflaciis“ efeqtis gavlenas sesxebis tvirTze, - aRwers dakreditebis
biznes ciklze gavlenas, rac finansuri aqseleratoris erTi nawilia,
xolo α - aRwers dakreditebis gavlenas erTobliv moTxovnaze da igi
finansuri aqseleratoris meore mniSvnelovani nawilia. da α
parametrebi erToblivad aRweren dakreditebisa da erToblivi moTxovnis
urTierTqmedebis spirals, romelic makroekonomikuri da finansuri
urTierTkavSirebis erT-erT mniSvnelovan arxs warmoadgens. diagramaze
aseve warmodgenilia parametri, romelic modelSi makroprudenciuli
politikis ZiriTadi instrumentis, kapitalis sawinaaRmdego buferis
gavlenas asaxavs dakreditebaze. – parametri aRwers gacvliTi kursis
cvlilebis gavlenas kerZo seqtoris sakredito tvirTze, rac
dolarizaciis efeqts asaxavs, xolo α - aseve aRwers erTobliv
moTxovnaze dolarizaciis Sedegad gacvliTi kursis cvlilebis efeqts,
sabalanso uwyisis gavliT.
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diagrama IV.1 parametrebis baiesianuri Sefasebis Sedegebi
lurji wyvetili xazi aRniSnavs apriorul ganawilebas (prior
distribution), xolo wiTeli vertikaluri mis saSualo mniSvnelobas,
romelic Sesafasebeli parametris apriorul mniSvnelobas warmoadgens.
mwvane vertikaluri xazi parametris post-apriori (priori) wertilovani
Sefaseba.
finansuri aqseleratoris parametrebis Sefasebebi gviCvenebs, rom
aprioruli informaciis Sesabamisad, ikveTeba makroekonomikuri da
finansuri urTierTkavSiris spiraluri efeqti rac mosalodneli iyo.
kerZod, sesxebis Warbi erToblivi moTxovnis 1 procentuli punqtiT zrda
sesxebis mSp-sTan Tanafardobis 0.4 procentuli punqtiT zrdas
ganapirobebs, rac dakreditebis prociklur xasiaTze miuTiTebs. Tavis
mxriv, sesxebis mSp-sTan fardobis zrda 1 procentuli punqtiT 0.1
procentuli punqtiT zrdis Warb erTobliv moTxovnas.
fiSeris valis deflaciis aRmweri parametris Sefaseba gviCvenebs, rom
sesxebis tvirTze inflaciis gavlena 0.3-is farglebSia. kerZod, inflaciis
1 procentuli punqtiT zrda sakredito tvirTis mSp-sTan SefardebiT 0.3
procentuli punqtiT Semcirebas ganapirobebs. parametris Sefaseba
0 0.5 10
1
2
3
prior: normal =0.4 =0.1maximised poster: 0.293181
start: 0.4
0 0.5 10
1
2
3
CB
prior: normal =0.2 =0.1maximised poster: 0.258485
start: 0.2
0 0.2 0.40
2
4
s
prior: normal =0.15 =0.075maximised poster: 0.172723
start: 0.15
0 0.01 0.02 0.030
20
40
60
bs
prior: normal =0.01 =0.005maximised poster: 0.00731878
start: 0.01
0 0.2 0.4 0.6 0.80
1
2
3
y
prior: normal =0.5 =0.1maximised poster: 0.372199
start: 0.5
0.05 0.1 0.150
10
20
30
LtY
prior: normal =0.1 =0.01maximised poster: 0.0952737
start: 0.1
121
miuTiTebs, rom kapitalis sawinaaRmdego buferis 1 procentuli punqtiT
zrda sesxebis mSp-sTan fardobis 0.3 procentuli punqtiT Semcirebas
ganapirobebs. rac SeexebaT, dol da α parametrebis Sefasebebs, rogorc
diagramazea naCvenebi maTi mniSvnelobebi Sesabamisad 0.2 da 0.1 Seadgens,
rac niSnavs, rom laris dolarTan mimarTebiT nominaluri gacvliTi
kursis 1 procentiani gaufasureba sesxebis mSp-sTan fardobis 0.2
procentuli punqtiT zrdas, xolo sabalanso efeqtis gavleniT erToblivi
moTxovnis 0.1 procentuli punqtiT SezRudvas ganapirobebs1. amasTan, unda
aRiniSnos, rom es Sefasebebi asaxavs mxolod mimdinare periodSi (myisier)
gavlenebs, xolo grZelvadiani efeqtebi aseve damokidebulia modelis
dinamikur struqturaze. impulsis sapasuxo funqciebis detaluri
analizisTvis ixileT 3.3 Tavi.
modelis parametrebis Sefasebebi srulad warmodgenilia danarTSi,
cxrili A-4-Si, sadac parametris dasaxelebis gaswvriv mocemulia
aprioruli ganawileba da misi maxasiaTeblebi (μ - saSualos, xolo σ-
standartul gadaxra), baiesianuri Sefasebis mTavari Sedegi- wertilovani
Sefaseba da post-aprioruli ganawilebis standartuli gadaxra.
parametrebi Sefasebulia saqarTvelosTvis, kvartalur monacemebze
dayrdnobiT 2002 – 2014 wlebisTvis. kerZod, modelis empiriuli
analizisTvis gamoyenebulia Semdegi cvladebi: realuri mSp,
samomxmareblo fasebis indeqsi, monetaruli politikis ganakveTi,
adgiobrivi da ucxouri valutis sesxebis saprocento ganakveTebi, sesxebis
mSp-sTan fardoba, riskis premia da laris gacvliTi kursebi aSS dolaris,
evros, liris, rublisa da grivnis mimarT. ucxouri monacemebidan,
gamoyenebulia msoflios Warbi erToblivi gamoSveba, londonis
bankTaSoris sesxebis bazarze (LIBOR) dolaris erTTviani ganakveTi,
savaWro partniori qveynebis fasebis indeqsebi da gacvliT kursebi.
1aRniSnuli efeqti gulisxmobs, gacvliTi kursis mxolod sabalanso uwyisis efeqtisgavlenas da igi ar moicavs wminda eqsportze pozitiuri gavlenas. gacvliTi kursis
erTobliv moTxovnaze gavlenis srulad aRwerisTvis gaTvaliswinebul unda iqnes 5parametris mniSvneloba, romelic realuri efeqturi gacvliTi kursis gavlenas aRwers
erTobliv gamoSvebaze.
122
modelSi gamoyenebuli monacemTa detaluri aRwerisTvis ixileT cxrili
IV-1.
cxrili IV-1 modelSi gamoyenebuli monacemebi
cvladi aRwera
mTliani Sida produqti, mudmiv (2003 wlis) fasebSi.inflacia (samomxareblo fasebis indeqsis mixedviT)
kvartaluri gawliurebuli, procentebSi.saqarTvelos erovnuli bankis monetaruli politikisganakveTi, procentebSi.sesxebis nominalur mSp-sTan fardoba, procentebSi.
kapitalis adekvaturobis koeficienti, procentebSi.saqarTvelos suverenuli obligaciebi spredi (JPMorganEMBI), procentul punqtebSi.laris nominaluri gacvliTi kursi dolarTan
mimarTebaSi GEL/USD.∗ londonis bankTaSoris sesxebis (LIBOR) dolaris erTTviani ganakveTi, procentebSi.∗ msoflios Warbi mTliani Sida produqti (saerTaSorisosavaluto fondis Sefaseba), procentebSi.
USD/EUR evros nominaluri gacvliT kursi dolarTanmimarTebaSi.
TRL/USD liris nominaluri gacvliTi kursi dolarTanmimarTebaSi.
RUB/USD rublis nominaluri gacvliT kursi dolarTanmimarTebaSi.
UAH/USD grivnis nominaluri gacvliTi kursi dolarTanmimarTebaSi.aSS inflacia (samomxmareblo fasebis indeqsis mixedviT),wliuri, procentebSi.evrozonis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.TurqeTis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.ruseTis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.ukrainis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.
123
2 istoriuli analizi kalman filtris gamoyenebiT
parametrizaciis Semdgomi etapia istoriul monacemTa interpretacia da
daukvirvebadi faqtorebis Sefaseba. es etapi warmoadgens modelis
empiriuli Tvisebebis Semowmebis saukeTeso gzas.
am mizniT naSromSi gamoyenebulia kalmanis filtri (Kkalman filter), romelic
msgavsi tipis samecniero literaturaSi farTodaa gavrcelebulia.
faqtobrivad, igi warmoadgens daukvirvebadi faqtorebis mqone modelisTvis
Sefasebis erT-erT yvelaze mZlavr meTods. am meTodis Tanaxmad, modelis
gawrfivebuli forma dakavSirebulia dakvirvebad monacemebTan, romlebic
mocemulia cxrili IV-1. modelis daukvirvebad faqtorebsa da Sokebs
kalmanis filtri afasebs umcires kvadratTa meTodis gamoyenebiT. sxva
sityvebiT rom vTqvaT, kalman filtri, algoriTmis Tanaxmad poulobs
daukvirvebad monacemebisa da Sokebis yvelaze mosalodnel mniSvnelobebs,
im pirobiT, rom modelis gantolebebi dakmayofildes da moergos
dakvirvebad monacemebs. aqve, mniSvnelovania aRiniSnos, rom Sokebis
raodenoba aRemateba dakvirvebadi cvladebis raodenobas.
kalmanis filtriT analizis procesSi gamoyenebulia modelis Sefasebuli
paramterbi, romelic mocemulia amave Tavis pirvel qveTavSi (aseve ixileT
cxrili A-3 და A-4). kalmanis filtis Sedegebze, mniSvenlovani gavlena aqvs
modelis Sokebis stadnartul gadaxrebs da maT SefardebiT zomebs. mag.
Sokebs, romelTac dabali standartuli gadaxra aqvT modelis sxva
SokebTan SedarebiT, mosalodnelia, rom mcire wvlils Seitanen
istoriuli monacemebis axsnaSi.
diagrama IV.2 uCvenebs modelis mier potenciuri mSp-is istoriuli
monacemebis Sefasebas. unda aRiniSnos, rom modeli savsebiT logikurad
miuTiTebs 2006 – 20081 wlebSi saqmiani ekonomikuri ciklis aRmavlobis
fazas, xolo 2009 – 2010 wlebSi ekonomikis recesias, romelic globaluri
finansuri krizisisa da ruseT-saqarTvelos omis ekonomikaze gavleniT iyo
ganpirobebuli.
1 2008 wlis mesame kvartalamde.
124
diagrama IV.2 faqtiuri da potenciuri mSp
diagrama IV.3 warmodgens faqtiuri da potenciuri mSp-s zrdis tempebs, aseve
sxvaobas maT Soris, romelsac Warb mSp-s vuwodebT. rogorc diagramidan
Cans, modelis Sefasebis Tanaxmad, 2008 wlis krizisamde, mSp-s potenciuri
zrdis tempi 7%-is farglebSi iyo, xolo 2008 wlis Semdeg saSuaload 5%-
ia. maRali potenciuri zrdis tempi, 2008 wlamde, ekonomikis struqturuli
reformebis Sedegad produqtiulobis maRali zrdis tempiTa Ria
ekonomikis fonze mkveTri zrdis efeqtiT iyo ganpirobebuli. globaluri
finansuri krizis Semdgom, ekonomikis potenciuri zrdis tempis Semcireba
SeiniSneba msoflios masStabiT, maT Soris centraluri da aRmosavleT
evropis sxva qveynebiSic1.
1 mag. IMF, 2015, Global Economic Output, Chapter 3.
125
diagrama IV.3 faqtobrivi da potenciuli realuri mSp-s zrda, Warbi mSp
modelis saSualebiT daukvirvebadi monacemebis Sefasebis mniSvnelovani
Sedegia sesxebis mSp-sTan fardobis potenciuri donis Sefaseba. diagrama
IV.4 uCenebs sesxebis mSp-sTan fardobis faqtiur da potenciur
mniSvnelobebs istoriuload 2002 wlis I kvartalidan 2014 wlis IV
kvartalis CaTvliT. rogorc diagramidan Cans sakredito cikli didwilad
emTxveva ekonomikis saqmian cikls, Tumca mcire lagiT. 2003 – 2005 wlebSi,
ekonomikis swrafi zrdis fonze dakreditebis done CamorCeboda mis
potenciur dones, xolo 2006 wlidan sesxebis mSp-sTan fardoba swrafad
izrdeba. 2007 – 2008 wlebSi dakrediteba mniSvnelovnad aRemateboda mis
potenciur dones, rac aseve erT-erTi mizezi gaxda ekonomikis gadaxurebisa
da uZravi qonebis fasebis buStis warmoqmnis. krizisis Semdgom 2009 – 2011
wlebSi dakreditebis done mcirdeboda mSp-sTan mimarTebaSi, rac post-
krizisul periodSi finansuri sqtoris gadaWarbebuli sifrTxilis Sedegi
iyo. 2012 wlidan dakreditebis done stabilurad izrdeba da igi
mniSvnelovani meryeobis gareSe miuyveba potenciur dones.
126
diagrama IV.4 sesxebi mSp-sTan fardoba da misi trendi
makroekonomikuri da finansuri urTierTkavSirebis isotriuli analizis
kuTxiT, mniSnelovania kalman filtris Sedegebze dakvirveba, romelic
diagrama IV.5 da diagrama IV.6-zea warmodgenili. kerZod, diagrama IV.5
waroadgens ekonomikis saqmiani ciklis (Warbi mSp) ganpirobebl faqtorebs
(3.5.1) gantolebis mixedviT. aRniSnulis gaTvaliswinebiT, Warbi mSp
warmoadgenilia rva kontributori wevris mixedviT, rogorc es
gantolebaSia. makro-finansuri kavSrebis aRsawerad am wevrebidan
gamosayofia finansuri aqseleratoris da sabalanso uwyisis efeqtebi.
pirveli mTgani vuwodeT (3.5.1) gantolebaSi sesxebis mSp-sTan fardobis
wevrs, radgan modelSi misi saSualebiT aRiwereba sakredito ciklis
gavlena ekonomikis realur seqtorze. sabalanso uwyisis efeqti
warmoadgens dolarizaciis fonze lari/dolari gacvliTi kuris
cvlilebiT gamowveul efeqts. igi models warmodgenilia lari/dolari
gacvliTi kursis trendisgan gansxvavebuli cvlilebis wevriT, romelic
mSp-ze axdens gavlenas.
ekonomikis saqmian ciklze finansuri aqseleratorisa da sabalanso uwyisis
kontribuciebis analizi cxadyofs, rom finansuri seqtori prociklur
gavlenas axdens ekonomikur gamoSvebaze da zrdis mis meryeobas saqmiani
127
ciklis periodSi. kerZod, 2003-2005 wlebSi, rodesac ekonomikis gamoSveba
CamorCeboda mis potenciur dones, finansuri aqseleratoris efeqts
uaryofiTi wvlilil hqonda. 2006 – 2008 wlebSi dakreditebis donis
swrafma zrdam xeli Seuwo ekonomikis gadaxurebas, xolo postkrizisul
periodSi finansuri aqseleratoris gavlena uaryofiTi iyo ekonomikaze.
aseve, mcired, Tumca uaryofiTi gavlena iqonia 2013-2014 wlebSi finansuri
seqtoris Senelebulma aqtivobam mSp-s potenciuridan CarmoCenaze (ix.
diagrama IV.5). Tavis mxriv finansuri seqtoris Seneleba, sagareo Sokis
fonze ekonomikaSi gazrdili riskebis pasuxi iyi. aRniSnul wlebSi mSp-s
potenciuridan CarmoCena sagareo faqtorebma ganapiroba, kerZod
saqarTvelos ZiriTad savaWro partnior qveynebSi gamwvavebuli ekonomikuri
krizisi gaxda saqarTveloSi ekonomikuri zrdis Senelebis mTavari
faqtori.
diagrama IV.5 Warbi mSp dekompozicia faqtorebis mixedviT
diagrama IV.6-ze warmaodgenilia sesxebis mSp-sTan fardobis
wonasworobidan gadaxris ganmapirobebeli faqtorebi (3.3.2) gantolebis
mixedviT. makrofinansuri kavSirebis aRsawerad gansakuTrebiT
mniSvnelovania procikluri nawili, fiSeris deflaciisa da sabalanso
efeqtebi. procikluri nawili aRniSnavs saqmiani ciklis gavlenas
128
dakreditebaze, romelic (3.3.2) gantolebaSi parametriT moicema. fiSeris
deflaciis efeqti aRniSnavs inflaciis gavlenas sakredito tvirTze,
romelsac (− π) parametri aRwers, xolo sabalanso efeqti ewodeba
gacvliTi kursis cvlilebis gavlenas sakredito tvirTze. gantolebaSi
igi warmodgenilia parametriT.
diagrama IV.6 uCvenebs, rom finansuri seqtoris aqtivobis mniSvenlovani
ganmapirobebelia ekonomikis saqmiani cikli. kerZod, 2006 – 2008 wlebSi
dakreditebis donis swraf zrdas xels uwyobda ekonomikis saqmiani cikli,
xolo 2010 wlidan igi mis Senelebas ganapirobebda. Tuki aRniSnul
garemoebas diagrama IV.5-ze warmodgenil SedegebTan erTianobaSi
gavaanalizebT, miviRebT, rom erTi mxriv, ekonomikis saqmiani cikli
ganapirobebs sakredito aqtivobas, xolo, meore mxriv, es ukanaskneli
kvlav ekonomikis aqtivobaze aisaxeba. ekonomikis realuri da finansuri
seqtorebis swored es urTierTdamokidebuleba ganapirobebs
makroekonomikuri Sokebis Sedegad meryeobis zrdasa da gaRmavebas.
aRniSnuli Sedegi srulad TanxedraSia finansuri aqseleratoris
meqanizmTan, romelic Bernanke, Gertler and Gilchrist, 1999 SromaSi iqna pirvelad
warmodgenili da markofinansuri urTierTkavSirebis erT-erT mTavar
meqanizms warmoadgens.
makrofinansuri kavSirebis meore ZiriTadi meqnanizmi, fiSeris valis
deflaciis efeqti, aseve ikveTeba diagrama IV.6 warmodgenili Sedegebis
mixedviT. kerZod, 2005 – 2006 da 2009 – 2010 wlebSi fiSeris deflaciis
efeqti sakredito ciklis gaRrmavebas ganapirobebda. 2009 wels, krizis
Semdgom, SezRuduli erToblivi moTxovnis fonze inflacia miznobrivze
dabali iyo, ramac nominalur moculobaSi fiqsirebuli kreditebis
faqtobrivi tvirTi gazarda, xolo 2010 wels inflaciis mniSvnelovnad
zrdam, sakredito tvirTis Semcireba ganapiroba. 2011 – 2014 wlebSi
inflacia CarmorCeboda miznobriv dones, rac sakredito tvirTze
uaryofiTad aisaxeboda. rogorc diagramidan Cans, fiSeris deflaciis
efeqti sakredito ciklis gaRrmavebas yovelTvis ar ganapirobebs. kerZod,
moToxvnis Sokis dros, rodesac ekonomikuri zrda da inflacia erTi
mimarTulebiT moZraobs, mxolod maSin axdens fiSeris deflaciis efeqti
129
ekonomikuri ciklis gaRrmavebas. miwodebis Sokis pirobebSi, ki, rodesac
inflacia ekonomikuri Senelebis paralelurad izrdeba, fiSeris
deflaciis efeqti sakredito ciklis da Sesabamisad ekonomikis saqmiani
ciklis normalizebas uwyobs xels. aqve unda aRiniSnos, rom fiSeris
deflaciis efeqti inflaciis ekonomikaze gavlenis mxolod erTi nawilia
da ar unda gavakeTT daskvna, rom maRali inflacia kargia ekonomikisTvis,
Tundac is sakredito tvirTis Semcirebas ganapirobebdes. maRali
inflaciis uaryofiTi gavlena ekonomikaze farTo konsesus warmoadgens
ekonomista Soris da mis detalur ganxilvas gverds avuvliT, ramdenadac
igi scildeba naSromSi ganxilul Tematikas.
diagrama IV.6 sesxebis mSp-sTan fardobis dekompozicia
saqarTveloSi finansuri seqtoris deloarizacia istoriulad maRali iyo,
rac didwilad 90-ani wlebis hiperinflaciisa damoukidebeli monetaruli
politikis arsebobis mokle istoriis fonze, mTavrobisadmi mosaxleobis
dabali ndobis Sedegia. 2000 wlidan moyolebuli finansuri seqtoris
dolarizaciis Semcirebis tendenciis miuxedavad, misi done kvlav maRalia.
2014 wlis dekembris monacemebiT bankebis sasexo portfelis 61% dolariT
deniminirebulia. finansuri seqtoris dolarizacia gacvliTi kursis
130
SeusabamobiT gamowveul risks qmnis1, rac ekonomikis realuri seqtoris
mowyvladobas zrdis gacvliT kursis cvlilebis mimarT. diagrama IV.6-ze
moyvanili Sedegebi adastuerbs, rom gacvliTi kursis cvlilebas
mniSvenlovani gavlena aqvs kerZo seqtoris sakredito tvirTze. kerZod,
sayuradReboa misi wvlili ekonomikis Senelebis periodebSi. 2009 wels,
rodesac ekonomiuri gamoSveba Semcireda, gacvliTi kursis gaufasurebam
damatebiT uaryofiTi gavlena iqonia sakredito tvirTze. msgavsi gavlena
hqonda 2014 welsac. sagareo Sokis Sedegad gacvliTi kursis gaufasurebam
sakredito zrda ganapiroba.
gacvliTi kursis cvlilebis Sedegad dolarizebuli msesxeblebis
sakredito tvirTze gavlena sabolood kvlav ekonomikur gamoSvebaze
aisaxeba. kerZod, erTi mxriv, sesxebis momsaxurebis faqtobrivad gazrdili
xarjebi, xolo, meore mxriv, valdebulebebis zrdis Sedegad Semcirebuli
wminda simdidre uayrofiad aisaxeba rogorc erTobliv moxmarebaze aseve
investiciebze. aRniSnuli efeqtis wvlili diagrama IV.5-ze warmodgenilia
sabalnso uwyisis efeqtiT, romelic miuTiTebs, rom misi gavlena
ekonomikur gamoSvebaze procikluria. kerZod, 2008 wlamde igi ekonomikis
gadaxurebas, xolo krizis Semdgom mis Senelebas uwyobda xels.
sabalanso uwyisis efeqti warmoadgens gacvliT kursis ekonomikaze
gavlenis mxolod erT mxares. kerZod, igi ganpirobebulia finansuri
seqtoris dolarizaciiT. aqve unda aRiniSnos, rom es ar aris mxolod
erTaderTi arxi, romliTac gacvliTi kursi ekonomikaze aisaxeba. misi
tradiciuli gavlena ekonomikaze gulisxmobs, rom kursis meryeoba sagareo
Sokis STaTqmas ganapirobebs, rac xels uwyobs ekonomikuri gamoSvebis
stabilurobas. diagrama IV.5-ze aRniSnuli efeqti gacvliT kursis
saxelwodebiT aris warmodgenili, romelis mixedviTac gacvliT kurss
ekonomikis damastabilurebeli gavlena aqvs. kerZod, 2005 – 2007 wlebSi igi
ekonomikis gadaxurebas zRudavda, xolo 2010 – 2011 da 2013 – 2014 wlebSi
ekonomikur zrdas uwyobda xels.
1Currency Induced Credit Risk (CICR) – warmoiqmneba, maSin redesac ekonomikuri subieqtis
sakredito davalianebis da Semosavlis valuta ar emTxveva erTmaneTs.
131
3 modelis implusze reaqciis analizi
modelis moqmedebis meqnizmisa da misi dinamikuri Tvisebebis Seswavlis
saukeTeso gzas, impulsze modelis reaqciaTa dakvirveba warmoadgens1.
impulsze reaqciaTa funqcia warmoadgens modelis mTavari cvladebis
pasuxs sxvadasxva Sokebze. aRniSnuli Sokebis analizi, saSualebas iZleva
davakvirdeT, rogor xdeba amaTuim sagareo da adgilobrivi Sokebis
gadacema ekonomikaSi da rogoria modelis mixedviT sapasuxo monetaruli
da makroprudenciuli politika. aRniSnuli tipis analizs eqsperimentis
daniSnuleba aqvs da mxolod hipoTeturi scenaris simulirebas
warmoadgens.
simulaciis dasawyisSi iTvleba, rom ekonomika imyofeba grZelvadian
wonasworobaSi da Semdeg igi ganicdis erTi periodis xangrZlivobis Soks
(mocemul SemTxvevaSi mxolod erTperiodiani Sokebis analizia
warmodgenili). unda aRiniSnos, rom realobaSi ekonomika arasdros
imyofeba wonasworobaSi da amasTan, ganicdis mravali Sokisgan erTdroul
zemoqmedebas, Tumca, modelis Tvisebebis Sesaswavlad miRebulia, rom
Sokebis efeti rac SeiZleba martivi xerxiT iqnas gaanalizebuli. amdenad,
TiToeuli Sokis efeqti individualurad aris ganxiluli. Sokebis
nebismieri kombinaciisas jamuri efeqti calkeuli efeqtebis SejamebiT
miiReba, rasac modelis wrfivi saxe uzrunvelyofs2.
hipoTeturi Sokebi arCeulia globaluri da adgilobrivi ekonomikuri
garemos aqtualuri Tematikis mixedviT. kerZod, impulsis sapasuxo
funqciebis analizisTvis gamoyenebulia iseTi Sokebi, rogorebicaa
adgilobrivi ekonomikis moTxovnisa da miwodebis Sokebi, qveynis riskis
premiis Soki, sakreidto da makroprudenciuli politikisa da aseve
sagareo seqtoris Sokebi, kerZod ki londonis bankTaSorisi sesxebis
bazarze aSS dolaris saprocento ganakveTisa da saqarTvelos savaWro
1 zogjer amas, impulsis sapasuxo funqcis analizsac uwodeben (impulse reponse finaction (IRF)).2unda RniSnos, rom models arawrfivi saxe mxolod sakmarisad maRali Skebis SemTxevaSiaqvs, rodesac sesxebis mSp-sTan fardobis gadaxra wonasworulidan kritikul zRvarsaRwevs. am TavSi ganxiluli SokebisTvis impulsis zoma, moicema erTi procentuli punqtistolad, rac mkveTrad naklebia aRniSnul kritikul zRvarze.
132
partniori qveynebis moTxovnis Sokebi. Sokebi SesaZloa iyos, rogorc
dadebiTi, aseve uaryofiTi. am konkretul analizSi Sokebis niSani mxolod
pirobiTad aris arCeuli da ar asaxavs saprognozo scenars an raime
mosalodnel movlenas. aseve unda aRiniSnos, rom mcire SokebisTvis
modelis wrfivi saxis gaTvaliswinebiT Sokis niSanis cvlileba impulsze
reaqciis simetriulad gansxvavebul Sedegs mogvcems.
adgilobrivi moTxovnis Soki. es Soki asaxavs, erToblivi moTxovnis
egzogenur zrdas 1 procentuli punqtiT. realobaSi aRniSnuli Soki
SesaZloa iyos biznes ganwyobis, saxelmwifos daugegmavi xarjebis
an/da msxvili masStabis sainvesticio proeqtis Sedegi.
riskis premiis Soki. aRniSnuli Soki gulisxmobs qveynis risk premiis
100 sabaziso punqtiT zrdas egzogenurad. risk premiis zrda umetes
SemTxvevaSi sakredito reitingis gauaresebis Sedegia, rac Tavis
mxriv qveyanaSi ekonomikuri arastabilobis zrdis, an/da gazrdili
geopolitikuri riskebis Sedegi SiZleba iyos. aseve savaWro partnior
qveynebSi ekonomikuri, Tu politikuri riskebi xSirad aisaxeba
adgilobrivi ekonomikaze, rac 2013-wlidan saqarTvelos
ekonomikisTvis mniSvnelovan gamowvevas warmoadgens.
miwodebis Soki. es Soki gulisxmobs, inflaciis zrdas 1 procentuli
punqtiT, rac Sedegia inflaciaze moqmedi miwodebis Sokis. aRniSnuli
tipis Soki, umetes SemTxvveaSi ukavSirdeba enrogomatareblebis, an/da
sxva sasaqonle jgufebis fasebis zrdas saeraSoriso bazrebze.
saqarTvelo, iseve rogorc yvela Ria mcire zomis ekonomomika
mniSvnelovnad aris damokidebuli saeraSoriso fasebze da inflaciis
meryeobis didi nawili swored aRniSnul Soks ukavSirdeba.
133
sakredito Soki. aRniSnuli Soki gulisxmobs sesxebis mSp-sTan
fardobis egzogenurad zrdas 1 procentuli punqtiT. am Sokis buneba
waagavs globalur finansur krizisamde periodSi, mravali qveynis
finansuri seqtoris problmebas, romelTac Warbi sakredito zrda
hqonda. ganviTarebad qveynebSi am Soks egzogenuri saxe hqonda,
ramdenadac Warb sakredito zrdas saerTaSoriso bazrebze arsebuli
tendenciebi gansazRvravda.
makroprudenciuli politikis Soki. es Soki gulisxmobs, rom
davakvirdeT kapitalis kontrcikluri buferis 1 procentuli
punqtiT zrdis gavlenas sxva cvladebze.
aSS dolaris saprocento ganakveTis Soki. aRniSnuli Soki
gansakuTrebiT aqtualuria, aSS-s federaluri sarezervo bankis mier
gamocxadebuli politikis kvaldakval, romelis mixdviTac igi
gamodis Serbilebuli monetaruli politkidan. aRniSnuli
gulisxmobs, 2007 wlidan nulovan niSnulze SenarCunebuli
saprocento ganakveTebis etapobriv zrdas da raodenobrivi
Serbilebis farglebSi Sesyiduli fasiani qaRaldebis fortfelis
Secmirebas. am yovelives Sedegi unda iyos aSS dolaris saprocento
ganakveTebis zrda. impulsis reaqciis analizi am SokisTvis
gulisxmobs, londonis bankTaSorisi sesxebis bazarze aSS dolaris
saprocento ganakveTis 100 sabaziso punqtiT zrdas.
ucxouri moTxovnis Soki. aRniSnuli Soki gulisxmobs, ucxouri
gamoSvebis 1 procentiT Semcirebas, rac qveynis eqsportze moTxovnis
Semcirebas ganapirobebs. 20014-2015 wlebSi ruseT - ukrainis omis da
navTobis fasebis Semcirebis fonze regionSi Semcirebuli
Semosavlebi saqarTvelos ekonomikisTvis sagareo moTxovnis
Semcirebis naTeli magaliTia.
134
diagrama IV.7-ze warmodgenilia adgilobrivi moTxovnis Sokis simulacia.
rogorc diagramazea aRniSnuli Sokis fonze izrdeba gamoSveba bunebriv
donesTan SedarebiT. zrda aRemateba erT procentul punqts (romelic
scenaris daSveba iyo), radgan lagisa da lidis arseboba gantilebaSi
uzrunvelyofs meqanizms, romliTac xdeba sawyisi Sokis gaZliereba.
gamoSvebis zrda ganapirobebs aRmaval wnexs inflaciaze, ris pasuxadac
centraluri banki amkacrebs monetarul politikas. monetaruli politikis
ganakveTis zrda realuri saprocento ganakveTis zrdas iwvevs, rac Tavis
mxriv nominaluri da realuri gacvliTi kursis gamyarebaze aisaxeba.
inflaciaze erToblivi moTxovnis gavlenas monetaruli politikis
gamkacrebis fonze gacvliTi kursis gamyarebas zRudavs.
mniSvnelovania davakvirdeT modelis finansuri blokis muSaobis meqnizms.
erToblivi moTxovnis Soki sakredito aqtivobis Warb zrdas uwyobs xels
da rogorc diagramazea moyvanil Sedegebzea asaxuli, izrdeba sesxebis
mSp-sTan fardobis gadaxra wonasworuli donidan, ris pasuxadac
optimaluri makroprudenciuli politika kapitali kontrcikluri buferi
gamkacrebis saWiroebas ganapirobebs. aRniSnul SemTxvevaSi,
makroprudenciuli da monetaruli politikis miznebi TanxvedraSia
ramdenadac finansuri aqsleratoris meqanizmi erTdroulad ganapirobebs
inflaciur zewolasa da kerZo seqtoris leverejis zrdas. modelSi
makroekonomikuri stabilizaciis meqanizms monetaruli da
makroprudenciuli politikis instrumentebi warmoadgnen. kerZod,
saprocento ganakveTisa da kapitali kontrcikluri buferis zrda
uzrunvelyofs, erToblivi moTxovnisa sakredito aqtivobis SezRudvas,
rac, Tavis mxriv, amcirebs inflaciur zewolas da ekonomikis wonasworul
doneze dabrunebas ganapirobebs.
saprocento ganakveTebisa da kapitalis kontrcikluri buferis dadgenis
wesSi warmodgenili lagi, maTi cvlilebebis gluv xasiaTs ganapirobes.
aRniSnulis gaTvaliswinebiT, saprocento ganakveTebi da kapitalis
kontrcikluri buferi 5 – 10 kvartalis ganmavlobaSi wonasworulze
maRal niSnulze narCundeba, rac erTblivi moTxovnis wonasworulze met
135
Semcirebasac ganapirobebs. monetaruli da makproprudenciuli politikebis
Semdgomi Serbileba gacvliTi kursis gaufasurebasa erToblivi moToxvnis
gaZlierebas ganapirobes, rasac sabolood wonasworobaSi abrunebs
ekonomikas.
unda aRiniSnos, rom monetaruli da makroprudenciuli politikis
gansazRvris wesebSi lagebis arseboba aRwers maT istoriul xasiaTs, rac
damaxasiaTebelia, ara mxolod saqarTvelos, aramed msoflios masStabiT
mravali qveynisTvis. Tumca, maTi daniSnuleba mxolod empriuli Tvisebebis
gasaumjobeseblad ar aris. prognozi, romelze dayrdnobiTac aRniSnuli
politikis gadawyvetilebebi miiReba, Tavis mxriv eyrdnoba Sefasebebs
mimdinare ekonomikuri mdgomareobisTvis damaxasiaTebeli daukvivebadi
monacemebis Sesaxeb, mag. mSp, realuri saprocento ganakveTebisa da
gacvliT kursebis gadaxrebs TavianTi wonasworuli doneebidan,
infalciisa da sxva faqtorebis mosalodnel mniSvnelobebs da sxva. aseve,
prognozi damokidebulia im mizez-Sedegobriv damokidebulebebze,
romlebic modelSia gaTvaliswinebuli. drois cvlilebasTan erTad,
icvleba informaciac da gamodis axali statistikuri monacemebi, romlebic
modelSi gaTvaliswinebis Semdgom aisaxeba prognozis ganmsazRvrel
TiToeul faqtorze, amdenad kvartalidan kvartalamde prognozi icvleba
da Sesabamisad, didia is gaurkvevloba, romelic prognozs axlavs Tan. es
yovelive ki ganapirobebs, rom monetaruli da makroprudenciuli politika
unda iyos Tanmimdevruli da iTvaliswinebdes im riskebs, romlebic
ekonomikis mimdinare mdgomareobis Sefasebas axlavs Tan.
136
diagrama IV.7 adgilobrivi moTxovnis Soki
diagrama IV.8 –ze warmodgenilia miwodebis Sokze modelis sapasuxo
reqciis Sedegebi. miwodebis Soki gulisxmobs, inflacize egzogenuri Sokis
moqmedebas 1 procentuli punqtis toli odenobiT, ris Sedegadad, erTi
mxriv, izrdeba inflaciis gadaxra miznobriv maCveneblidan, xolo, meore
mxriv, mcirdeba erToblivi moTxovna potenciur donesTan SedarebiT.
centraluri banki myisierad pasuxobs gazrdil inflaciur molodinebs
monetaruli politikis gamkacrebiT. nominaluri saprocento zrda, iwvevs
realuri saprocento ganakveTis zrdasac, rac kidev ufro amwvavebdes
erTobliv moTxovnaze uaryofiT gavlenas, Tumca zRudavs inflaciaze
Sokis gadacemas da misi meore raundis efeqtebs. monetaruli politkis
gamkacreba nominaluri gacvliTi kursis gamyarebas ganapirobebs pirveli 2-
3 kvartalis ganmavlobaSi, xolo Semdeg igi ufasurdeba, rasac Sokis
Sedegad ekonomikuri aqtivobis Semcireba ganapirobebs. nominlurTan
0 20 40
0
0.5
1
Output Gap
0 20 400
0.05
0.1
Overall Inflation (% QoQ)
0 20 40
0
0.2
0.4
Loan-to-GDP GAP
0 20 400
0.1
0.2
Policy rate
0 20 400
0.05
0.1
0.15
Real Interest rate
0 20 40
0
0.1
0.2
0.3
Countercyclical capital buffer deviation
0 20 40
-1
-0.5
0
Exchange rate
0 20 40
-1
-0.5
0Real exchange rate gap
0 20 400
0.2
0.4
0.6
Cumulative output
137
SedarebiT ufro mkveTrad myardeba realuri efeqturi gacvliTi kursi,
radgan nominaluri gamyarebis garda, gazrdili inflacia aseve
ganapirobebs mis gamyarebasa da kunkurentunarianobis Semcirebas.
rogorc simulaciis Sedegebi cxadyofs, ekonomikaSi miwodebis Soki
sesxebis mSp-sTan fardobis wonasworul donesTan SedarebiT Semcirebas
iwvevs. unda aRiniSnos, rom masze ori faqtori moqmedebs. erTi mxriv,
inflaciis zrda fiSeris valis deflaciis efeqtis arxiT, sakredito
tvirTs amcirebs, xolo, meore mxriv, Semcirebuli ekonomikuri aqtivoba
finansuri aqseleratoris meqanizmiT sakredito aqtivobis Semcirebas
iwvevs. aRniSnulis pasuxad, centraluri banki makroprudenciuli
politikiT sakredito aqtivobis waxalisebas axdens, ra mizniTac igi
amcirebs kapitalis kontrciklur bufers. unda aRiniSnos, rom miwodebis
Sokis SemTxvevaSi, monetaruli da makroprudenciuli politikebi
urTierTsawinaaRmdego mimarTulebiT moqmedebs, rac maTi miznebidan
gamomdinare interesTa konfliqts warmoqmnis. miuxedavad amisa, miwodebis
Sokis gavlena etapobrivad miileva da 5-10 kvartalis Semdgom, ekonomika
kvlav wonasworul mdgomareobas ubrundeba.
138
diagrama IV.8 miwodebis Soki
diagrama IV.9-ze warmodgenilia kapitalis kontrcikluri buferis Sokis
analizis Sedegebi. aRniSnuli Soki gulisxmobs kapitalis konctrcikluri
buferis egzogenur zrdas 1 procentuli punqtiT.
rogorc diagramezea warmodgenili, aRniSnuli Sokis gavleniT mcirdeba
sakredito aqtivoba da sesxebis mSp-sTan fardoba wonasworul dones
daaxloebiT 0.2 procentuli punqtiT amcirebs, rac kidev ufro mcire,
Tumca uaryofiT gavlenas axdens erTobliv gamoSvebaze. aRsaniSnavia, rom
aRniSnuli Sokis gavleniT ufasurdeba nominaluri da realuri efeqturi
gacvliTi kursebi, rac inflaciaze zrdis zewolas qmnis, Tumca maTi
efeqti inflaciaze maleve miileva da susti erToblivi moTxovna mis
Semcirebas ganapirobebs. deflaciuri zewolis gasaneitraleblad
monetruli politikis ganakveTi mcirdeba, rasac mcire lagiT mihyveba
realuri saprocnto ganakveTic. am yovelives ZalisxmeviT, kapitalis
0 20 40
-0.6
-0.4
-0.2
0
Output Gap
0 20 40
0
0.5
1
Overall Inflation (% QoQ)
0 20 40
-0.8-0.6-0.4-0.2
0Loan-to-GDP GAP
0 20 40-0.2
0
0.2
0.4
Policy rate
0 20 40-0.1
0
0.1
0.2
0.3
Real Interest rate
0 20 40
-0.6
-0.4
-0.2
0Countercyclical capital buffer deviation
0 20 40
0
0.5
1Exchange rate
0 20 40-1
-0.5
0
0.5
Real exchange rate gap
0 20 40
-0.8-0.6
-0.4-0.2
0Cumulative output
139
kontrcikluri buferis Sokis efeqti 5-10 kvartali Semdgom srulad
miileva da ekonomika mniSvnelovani meyeobebis gareSe ubrundeba
wonasworul dones.
diagrama IV.9 kapitalis kontrcikluri buferis Soki
modelis makrofinansuri urTierTkavSirebis meqanizmis aRsawerad kidev
erTi saintereso magaliTia sakredito Sokis analizi, romelic diagrama
IV.10-zea warmodgenili. aRniSnuli Soki gulisxmobs, rom sakredito
aqtivobis egzogenuri zrdis Sedegad sesxebis mSp-sTan fardoba 1
procentuli puntqiT izrdeba. rogorc diagramazea aRniSnuli, sakredito
aqtivobis zrda erToblivi gamoSvebis zrdas ganapirobebs potenciur
donesTan SedarebiT. gadaxra maqsismums 2-3 kvartalis Semdeg aRwevs da
daaxloebiT 0.15 procentuli punqtis farglebSia. unda aRiniSnos, rom
sakredito Sokis gamoSvebaze gavlena damokidebulia ekonomikis
gaxsnilobaze. kerZod, rac ufro Ria ekonomika aqvs qveyanas, miT naklebad
0 20 40-0.06
-0.04
-0.02
0
Output Gap
0 20 40
-0.01
0
0.01
0.02
Overall Inflation (% QoQ)
0 20 40
-0.2
-0.1
0Loan-to-GDP GAP
0 20 40
-0.02
-0.01
0
Policy rate
0 20 40
-0.02
-0.01
0
0.01
Real Interest rate
0 20 400
0.20.40.60.8
Countercyclical capital buffer deviation
0 20 400
0.05
0.1
Exchange rate
0 20 400
0.05
0.1
Real exchange rate gap
0 20 40
-0.06
-0.04
-0.02
0Cumulative output
140
eqvemdebareba erToblivi gamoSveba Sida faqtorebis stimulirebas,
ramdenadac gazrdili xarjebis mniSvnelovani nawili importze moTxovnas
zrdis.
sakredito Sokis pasuxad, centraluri banki makroprudenciuli politikis
gamkacrebas axorcilebs da kapitalis kontrcikluri buferi myisierad
izrdeba daaxloebiT 0.5 procentuli punqtiT, rac uzrunvelyofs
sakredito Sokis ganeitralebas. Tavis mxriv, gamoSvebis gadaxra
potenciuri donidan inflaciaze zewolis safrTxes qmnis, rasac
monetaruli politika mcired, Tumca gamkacrebiT pasuxobs. aRniSnuli ki
nominaluri da realuri gacvliTi kursebis gamyarebas ganapirbebs, rac
saboloo jamSi erToblivi moTxovnis potenciuridan gadaxris SeboWvas
ganapirobebs. 5-10 kvartalis Semdeg ekonomikaze Sokis moqmedebis efeqti
TiTqmis srulad miileva da ekonomika Tavis wonasworul dones ubrundeba.
diagrama IV.10 sakredito Soki
0 20 40
0
0.05
0.1
0.15
Output Gap
0 20 40
-0.02
0
0.02
0.04Overall Inflation (% QoQ)
0 20 400
0.20.40.60.8
Loan-to-GDP GAP
0 20 40
0
0.02
0.04
0.06
Policy rate
0 20 40
0
0.02
0.04
0.06
Real Interest rate
0 20 400
0.2
0.4
Countercyclical capital buffer deviation
0 20 40-0.3
-0.2
-0.1
0
Exchange rate
0 20 40-0.3
-0.2
-0.1
0Real exchange rate gap
0 20 400
0.05
0.1
0.15Cumulative output
141
diagrama IV.11-ze warmodgenilia qveynis riskis premiis Soki, romelic
gulisxmobs, rom qveynis riskis premia egzogenurad izrdeba 1 procentuli
punqtiT. aRniSnuli Sokis myisieri Sedegia gacvliT kursis gaufasureba,
amdenad riskis premiis Soks meorenairad SegviZlia gacvliTi kursis Sokic
vuwodoT.
aRniSnuli Sokis gavleniT mcirdeba gamoSveba, romelic CamorCeba mis
potenciur dones, xolo izrdeba inflaciis gadaxra samizne maCveneblidan.
nominaluri da realuri gacvliTi kursebis gaufasureba nawilobriv
abalansebs gamoSvebaze Sokis uaryofiT gavlenas, Tumca zrdis inflaciaze
zewolas da miuxedavad susti erToblivi moTxovnisa, igi swrafad izrdeba
da maqsmialuri gadaxra saminze maCveneblidan daaxloebiT 0.6 procentuli
punqtia. unda aRiniSnos, rom Sokis pasuxad monetaruli politika
mkacrdeba rac mimarTulia inflaciuri zewolis ganetiralebisken, xolo
makroprudenciuli politika Serbilebis miamrTulebiT icvleba, romelic
sakredito aqtivobis aRdgenisa da gamoSvebis wasaxaliseblad icvleba.
aRniSnuli Sokis buneba yvelaze kargad aRwers 2014-2015 wlebSi
saqarTvelos savaWro regionSi navTobis fasis vardnisa da ruseT-ukrainis
omis gavleniT gazrdil riskebs, rac regionis TiToeuli qveynisTvis
gacvliTi kursis gaufasurebasa da infalciur zewolaSi gadaizarda,
miuxedavad gamoSvebis Semcirebisa potenciur donesTan SedarebiT.
142
diagrama IV.11 qveynis risk premiis Soki
Ria mcire zomis ekonomikisTvis mniSvnelovan Soks warmoadgens sagareo
moToxvnis Soki, romelic diagrama IV.12--ze warmodgenilia. kerZod, scenari
iTvaliswinebs sagareo moTxovnis egzogenur zrdas 1 procentuli punqtiT.
rogorc diagramazea aRniSnuli, sagareo moTxovnis zrda dadebiTad
aisaxeba gamoSvebis zrdaze da 3-4 kvartalis lagiT adgilobrivi
gamoSvebis gadaxra potenciuri donidan maqsimalur mniSnelobas da
daaxloebiT 0.4 procentuli punqtis farglebSia. adgilobriv ekonomikaze
sagareo) gamoSvebis maRali gavlena saqarTvelos ekonomikis regionis
ekonomikaSi maRal integraciaze miuTiTebs, rac ara mxolod saqonlisa da
momsaxurebis vaWrobis arxs, aramed fuladi gzavnilebisa da investiciebis
arxebsac moicavs.
sagareo moToxvnis dadebiTi Soki nominaluri da realuri gacvliTi
kursebis gamyarebas ganapirobebs ramdenime kvartalis lagiT, rac
0 20 40-0.4
-0.2
0
Output Gap
0 20 40
0
0.2
0.4
0.6
Overall Inflation (% QoQ)
0 20 400
0.5
1Country risk premium
0 20 40-0.1
0
0.1
0.2
Policy rate
0 20 40-0.1
00.10.20.3
Real Interest rate
0 20 40-0.3
-0.2
-0.1
0Countercyclical capital buffer deviation
0 20 400
0.5
1
Exchange rate
0 20 400
0.20.40.60.8
Real exchange rate gap
0 20 40-0.4
-0.2
0Loan-to-GDP GAP
143
inflaciis mizmobrivTan niSnulTan Semcirebas uwyobs xels. unda
aRiniSnos, rom inflacia erToblivi moTxovnis zrdis, xolo gacvliTi
kursi Semcirebis mimarTulebiT moqmedebs. sawyis periodSi inflaciaze
gacvliTi kursis gavlena Warbobs erToblivi moTxovnis gavlenas, Tumca
daaxloebiT 5 kvartalis Semdeg gacvliT kursis gavlena miileva da
inflacia mcired aWarbebs miznobriv dones. mniSvnelovania aRiniSnos, rom
gacvliTi kursis inflaciaze myisier da maRal gadacemas ramdenime
faqtori ganapirobebs. kerZod, importuli saqonlis wili samomxareblo
kalaTaSi 30 %-is farglebSia, rac maRali maCvenebelia, Tumca amas garda
mniSvnelovnia importuli Sualeduri saqonlisa da momsaxurebis wili
adgilobriv warmoebaSi da sesxebis dolarizaciis maRali done. kerZod,
importis fardoba mSp-sTan 2014 wlis monacemebiT, 50% -is farglebSia,
xolo amave periodisTvis ekonomikaze gacemuli sesxebis saSualod 60%
dolariT denominirebulia. dazustebisTvis aseve mniSvnelovania aRiniSnos,
rom inflaciaze moqmdebs nominaluri efeqturi gavliTi kursi da ara
romelime konkretuli valutis mimarT. diagramaze warmodgenili
nominaluri gacvliTi kursi, warmoadgens laris dolarTan mimarTebaSi
gavcliT kurss, da radganac daSvebis Tanaxmad Soki mxolod erTobliv
moTxovnas exeba da ara savaWro partniori qvynebis valutis kursebs
dolarTan mimarTebaSi, amdenad laris dolarTan gacvliTi kursis
dinamika emTxveva laris nominaluri efeqturi gacvliTi kursis dinamikas,
rac realobaSi yovelTvis ese araa. kerZod, 2014-2015 wlebSi sagareo
moTxovnis Soks Tan sdevda savaWro partniri qveynebis valutebis
gaufasureba dolarTan mimarTebaSi, ramac laris nominaluri efeqturi
kursi mniSvnelovnad daicva gaufasurebisgan da Sesabamisad inflaciaze
zewolac SedarebiT mcire iyo.
144
diagrama IV.12 sagareo moTxovnis Soki
sagareo seqtoris Sokebis analizis kidev erT mniSvenlovan SemTxvevas
warmoadgens aSS-s dolaris saprocneto ganakveTis Soki. aRniSnuli Soki,
bolo wlebSi gansakuTrebul aqtualobas iZens, ramdenadac ganviTarebadi
da mzardi ekonomikis mqone qveynebisTvis globalur gamowvevad iqca aSS-s
mier Serbilebuli monetaruli politikidan gamosvla. diagrama IV.13-ze
warmodgenilia ucxouri saprocento ganakveTebis Sokis gavlena modelSi
warmodgenil ZiriTad cvladebze. Soki gulisxmobs, londonis
bankTaSorisi sesxebis bazarze aSS dolaris arsebuli ganakveTebis zrdas
1 procentui punqtiT.
modelis mier simulciis Sedegi cxadyofs, rom sagareo saprocento
ganakveTebis zrda iwvevs gamoSvebis Semcirebas mis potenciur donesTan
SedarebiT. Semcireba ramdenime kvartalis lagiT xdeba da maqsimalur
mniSvnelobas 0.4 pocentul punqts aRwevs. gamoSvebis Semcirebis mTavar
wyaros investiciebis Semodinebis Semcireba, an/da gadineba warmoadgens,
0 20 40
0
0.2
0.4Output Gap
0 20 40-0.2
-0.1
0
0.1Overall Inflation (% QoQ)
0 20 400
0.1
0.2
Loan-to-GDP GAP
0 20 400
0.5
1Foreign Demand gap
0 20 40-0.05
0
0.05
0.1
0.15
Policy rate
0 20 40-0.1
0
0.1
Real Interest rate
0 20 400
0.1
0.2
Countercyclical capital buffer deviation
0 20 40
-1
-0.5
0Exchange rate
0 20 40
-1
-0.5
0Real exchange rate gap
145
rasac dolaris urisko aqtivebze (igulisxmeba aSS-s saxazino obligaciebi
da sxva maRal reitinguli aqtivebi) sargeblianobis zrda ganapirobebs.
ucxouri saprocneto ganakveTebis zrda, aseve negatiurad aisaxeba gacvliT
kursze. laris nominaluri da realuri gacvliTi kursebi ufasurdeba, rac
inflaciaze zrdis zewolas. gamoSvebis Semcirebis miuxedavad, inflacia
myisierad izrdeba da miznobriv niSnuls 1 procentuli punqtiT aRemateba.
aRniSnulis pasuxad, zomeirad mkacrdeba monetaruli politika, raTa
inflaciaze moqmedi faqtorebi gaaneitralos. amis sapirispirod,
centraluri banki arbilebs makroprudenciul politikas, rac miznad
isaxavs sakredito aqtivobis xelSewyobas, raTa aRmofxvras gamoSvebis
CamorCena potenciuri donidan. monetaruli da makroprudenciuli
politikebis gavleniT, inflacia da erToblivi gamoSveba etapobrivad
ubrundeba wonasworul dones da 5-10 kvartalis Semdgom ekonomikaze Sokis
efeqti miileva.
diagrama IV.13 ucxouri saprocento ganakveTis Soki
0 20 40
-0.4
-0.2
0Output Gap
0 20 40
00.2
0.40.6
0.8Overall Inflation (% QoQ)
0 20 40
-0.4
-0.2
0Loan-to-GDP GAP
0 20 400
0.5
1Foreign Interest Rate
0 20 400
0.2
0.4
0.6Policy rate
0 20 400
0.2
0.4
0.6
Real Interest rate
0 20 40
-0.4
-0.2
0Countercyclical capital buffer deviation
0 20 400
0.5
1
1.5Exchange rate
0 20 400
0.5
1
Real exchange rate gap
146
თავი V. prognozireba da alternatiuli scenarebis analizi
1 prognozi sabaziso scenariT
naSromSi agebuli modelis erT-erT ZiriTad daniSnulebas prognozireba
da makroprudenciuli politikis analizi warmoadgens. kerZod,
prognozirebis amocana gulisxmobs sagareo da adgilobrivi ekonomikis
egzogenur faqtorebze garkveuli daSvebebis pirobebSi Sefasebul iqnas
iseTi cvldebis saprognozo dinamika, rogoricaa sesxebis mSp-sTan
fardoba, mSp-is zrda, inflacia, saprocento ganakveTebi da gacvliTi
kursi. modelSi makroprudenciuli politikis gansazRvra konkretuli
wesis mixedviT xdeba, romlis parametrebic istoriuli analiziT
ganisazRvreba. Tumca, modelis praqtikaSi danergvisiTvis da
makroprudenciuli Tu monetaruli politikis analizisTvis,
mniSvenlovania politikis gamtarebelTa xedva modelSi srulad iyos
warmodgenili, rac maTi preferenciebisa da prioritetebis asaxvasac
gulisxmobs. amis gaTvaliswinebiT, winamdebare kvleva sabaziso CarCos
warmoadgens, romlis morgeba da adaptireba SesaZloa saWiroebisamebr
moxdes konkretuli institutisa da ekonomikuri saWiroebis mixedviT.
naSromSi warmodgenili midgomis mTavar maxasiaTebels endogenuri
makroprudenciuli da monetaruli politika warmoadgens. es gulisxmobs,
rom makroprudenciuli da monetaruli politika garkveul wesebze
dayrdnobiT dgindeba imdagvarad, rom ekonomikis dakrediteba, gamoSveba da
inflacia saSualovadian periodSi daubrundes TavianT wonasworul
doneebs. prognozirebis amocanisTvis umniSvnelovanes faqtors warmoadgens
mimdinare ekonomikuri viTarebis Sefaseba, romelic gulisxmobs
ekonomikaze moqmedi Sokebis identificirebasa da wonasworobidan gadaxris
Sefasebas. prognozi ki warmoadgens ekonomikis mimdinare weritilidan
wonasworulze gadanacvlebis traeqtoriis Sefasebas, romelic Tavis mxriv
makroprudenciul da monetarul politikazea damokidebuli. amdenad,
modelis struqturaze dayrdnobiT, prognozis nawils warmoadgens
kapitalis kontrcikluri buferis da saprocento ganakveTebisTvis saWiro
traeqtoriis Sefaseba, romelsac ekonomikis mdgrad wonasworobaSi
gadayvanas optimalurad axorcielebs. aqedan gamomdinare, am tipis analizs
147
mniSvnelovani rolis Sesruleba SeuZlia makroprudenciuli da
monetaruli politikis analizisTvis.
kvlevis ZiriTad mizans saqarTvelosTvis makrofinansuri modelis ageba
warmoadgens, Tumca amave kvlevis farglebSi gvinda sailustraciod
prognozic warmovadginoT, romlis mizani ara movlenebis SesaZlo
ganviTarebis gamocnobaa, aramed agebuli modelis SesaZleblobis
demonstrireba warmoadgens.
struqturuli modelis saSualebiT prognozirebisTvis mniSvnelovan
elements warmoadgens daSvebebi, romlebsac igi efuZneba. yoveli
prognozisTvis gamoiyeneba daSvebebi ise faqtorebze, rogoricaa:
ekonomikis sawyisi cikluri pozicia, sagareo seqtoris saprognozo
maCveneblebi1 da ekonomikis grZelvadiani wonasworobis maCveneblebi.
sawyisi cikluri poziciis Sefaseba xdeba kalmanis filtris meTodiT
(romlis Sedegebic warmodgenili iyo IV Tavis me-2 qveTavSi). sagareo
faqtorebis mxriv, mniSvnelovania aSS dolaris saprocento ganakveTebi,
saqarTvelos savaWro partniorebis ekonomikuri zrda, maTi inflacia da
gacvliTi kursebi dolarTan mimarTebaSi (detalurad modelSi
gamoyenebuli cvladebis Sesaxeb ixileT damarTi AA cxrili A-1).
prognozisTvis aseve mniSvenlovania ekonomikis mdgradi wonasworobis
grZlevadiani maCveneblebi, iseTebi, rogorebicaa ekonomikis gamoSvebis
bunebrivi zrdis done, inflaciis miznobrivi maCvenebeli, riskis premiis,
realuri saprocento ganakveTebisa da efeqturi gacvliTi kursis
wonasworuli maxasiaTeblebi. naSromSi warmodgenli prognozis ZiriTadi
daSvebebia:
mSp-s potenciuri zrdis tempi 4%, realuri gacvliTi kursis
wonasworuli gamyarebis tempi 2%-ia, rac konvergenciis fonze
produqtiulobis zrdis diferencialis daSvebas efuZneba, xolo
qveynis riskis premiis wonasworuli done 4%-ia.
1unda aRiniSnos, rom modelSi sagareo seqtori egzogenurad aris warmodgenili.saerTaSoriso kvleviTi institutebis mier mniSvenlovan sagareo faqtorebze prognozebisxelmisawvdomoba SesaZlebels xdis modeli damatebiT garTulebis gareSe SevinarCunoT.
148
inflaciis miznobrivi maCvenbeli 5%-ia, Tumca igi etapobrivad
mcirdeba 3%-mde grZelvadian periodSi1.
sagareo seqtoris daSvebebi emyareba saerTaSoriso savaluto
fondisa da blumbergis mier warmoebul konsesus-prognozebs.
diagrama V.1-ze warmodgenilia makrekonomikuri da finansuri cvladebis
saprognozo dinamika 2015 – 2018 wlebisTvis.
diagrama V.1 ZiriTadi cvladebis saprognozo dinamika
diagramaze warmodgenili Sedegebidan, gansakuTrebiT mniSvnelovania
sesxebis mSp-sTan fardobis dinamika, romelic mimdinare periodSi
1saqarTvelos parlamentis mier damtkicebuli monetaruli politikis Sesaxeb ZiriTadimimarTlebebis Sesabamisad.
GDP
14Q3 15Q3 16Q3 17Q3 18Q3
-5
0
5
GDP Gr.Potential Gr.GDP Gap
Loan-to-GDP
14Q3 15Q3 16Q3 17Q3 18Q3
40
45
50
Loan-to-GDPLoan-to-GDP trend
Inflation
14Q3 15Q3 16Q3 17Q3 18Q3
2
3
4
5
6
7
Inflation.Target
Counter-cyclical policy
14Q3 15Q3 16Q3 17Q3 18Q3
10
11
12
13
14
Interest Rates
14Q3 16Q3 18Q3 20Q3
5
10
15
20
Gel rateFX rate
Exchange Rates
14Q3 15Q3 16Q3 17Q3 18Q3-35
-30
-25
-20
-15
-10
REERTrend
149
wonasworulTan SedarebiT Warbia da mosalodnelia, rom igi TandaTanobiT
dauaxlovdes wonasworul dones da mcired CamorCes kidec. aRniSnuli
maCveneblis Semcirebas, sakredito aqtivobis Seneleba warmoadgens,
romelic, Tavis mxriv, sagareo Sokis Sedegad ekonomikuri zrdis
Senelebisa da gacvliTi kursis gaufasurebis fonze, finansuri
SuamavlobisTvis gacvliTi kursis SeusabamobiT gamowveuli riskebis
Sedegia. amis pasuxad, mniSvenlovania makroprudenciuli politikis
reagireba, romlis mixedviTac mkacri makroprudenciuli politika unda
SenarCundes garkveuli periodis ganmavlobaSi, xolo Semdgom sakredito
aqtivobis Semcirebis kvaldakval saWiroa makroprudenciuli politikis
Serbileba, rac kontrcikluri kapitalis buferis Semcirebas gulisxmobs.
makroekonomikur faqtorTagan, mniSvenlovania aRiniSnos, rom inflacia
miznobriv maCvenebels aRemateba, romlis pasuxad monetaruli politika
gamkacrebulia, miuxedavad ekonomikuri gamoSvebis CamorCenisa misi
potenciuri donidan. aRniSnuli, erTi mxriv, asaxavs, sagareo Sokis fonze
gacvliTi kursis gaufasurebis gavlenas, romelic inflaciis zrdis
mimarTulebiT moqmedebs sesxebis dolarizaciis gamo, xolo, meore mxriv,
sagareo Soki ekonomikuri aqtivobis SezRudvas ganapirobebs. prognozis
Tanaxmad, saSualovadian periodSi inflacia miznobriv maCvenebels
ubrundeba, rac monetaruli politikis ZiriTadi instrumentis, saprocento
ganakveTebis Semcirebis saSualebas iZleva, xolo sagareo Sokis aRmofxvra
erToblivi gamoSvebis potenciurTan daaxloebas ganapirobebs. aseve,
aRsaniSnavia, realuri efeqturi kursis prognozi, romelis mixedviTac
mosalodnelia misi gamyareba da wonasworul donesTan daaxloeba.
mniSvnelovania aRiniSnos, rom zemoT warmodgenili prognozi momavali
Sokebisagan abstragirebas axdens. aRniSnuli gulisxmobs, rom prognoziT
warmodgenilia maCveneblebis saSualo mniSvnelobebis traeqtoria da ar
iTvaliswinebs maT stoqastur Tvisebebs. saprognozo dinamikis stoqasturi
analizisTvis, aseve SesaZlebelia modelSi warmodgenili sxvadasxva
Sokebis siamulacia. diagrama V.2--ze warmodgenilia sabazo prognozis e.w.
„fan-CarTebi“, romlebic prognozis stoqastur ganawilebas asaxaven.
aRniSnuli Sedegi saprognozo periodSi Sokebis simulaciiT miiReba.
150
Sokebis generireba albaTur ganawilebaze dayrdnobiT xdeba. es
ukanaskneli ki istoriul monacemebze dayrdnobiT aris Sefasebuli.
diagrama V.2 cvladebis stoqasturi saprognozo dinamika
2 alternatiuli scenarebis analizi
makroprudenciuli da monetaruli politikis analizisTvis gansakuTrebiT
mniSvnelovania, makroekonomikuri da finansuri Sokebis gavlenis Sefaseba
saprognozo cvladebze. warmodgenili modeli saSualebas iZleva
SevafasoT Sokebis gavlena saprognozo cvaldebze da SeviswavloT
makroprudenciuli da monetaruli politikis swori pasuxi, ama Tu im
scenarSi. msgavsi tipis analizi, garda politikis gamtarebelTaTvis, aseve
potenciuri investorebisTvis da kerZo seqtorisTvisac sainteresoa,
151
ramdenadac maT eqnebaT swori molodinebi makroekonomikuri politikis
reagirebaze, ama Tu im egzogenuri Sokis pasuxad.
am mizniT, kvlevaSi warmodgenilia alternatiruli saprognozo scenarebi,
romlebic gulsixmobs adgilobrivi da sagareo Sokebis zemoqmedebas. unda
aRiniSos, rom sabaziso scenaris msgavsad, scenarebi hipoTeturia da ar
isaxavs miznad movlenebis realuri ganviTarebis aRweras, aramed modelis
SesaZlo gamoyenebis demonstrirebas warmoadgens. alternatiuli
saprognozo scenarebi, iseve rogorc sabaziso scenari, saWiro daSvebebis
cvlilebebiT SesaZloa adaptirdes da gamoyenebuli iqnas nebismieri
institutis mier saWiroebisamebr, konretuli kvlevis farglebSi.
alternatiuli scenarebi ganixilavs, pozitiur da negatiur Sokebs. kerZod,
pozitirui Soki gulisxmobs adgilobrivi gamoSvebis mosalodnelze
mkveTr zrdas, investorTa ganwyobis sabaziso scenariT gaTvaliswinebulze
ufro swrafi gaumjobesebis meSveobiT. aRniSnulis mzezi mravali
SesaZloa iyos, iseve rogorc sagareo, aseve Sida faqtorebidan. mag.
evrokavSirTan Tavisufali da yovlismomcveli Tavisufali savaWro
sivcris SeTanxmebis fonze, vizaliberalizaciis miRwevam SesaZloa qveynis
sainvesticio garemoze mosalodnelze maRali gavlena iqonios, rac
investiciebis zrdas Seuwyobs xels. Sida faqtorebidan, fiskaluri Tu
monetaruli politikis stimuli, SesaZloa samomxmareblo ganwyobis
maprovocierebli aRoCndes, ramac moklevadian periodSi erToblivi
gamoSvebis mosalodnelze maRali zrda ganapirobos. amis sapirispirod,
negatiuri Soki gulisxmobs, sagareo Sokis gaRmavebas, romelic erTnairad
aisaxeba qveynis riskis premiis zrdasa da qveynis eqsportis SezRudvaze.
aRniSnulis mizezi, SesaZloa saqarTvelos savaWro regionSi
geopolitikuri riskebis damatebiT gamwvaveva, an/da aSS-is federaluri
sarezervo bankis mier Serbilebuli monetaruli politikidan
mosalodnelze swrafi gamosvla gaxdes.
diagrama V.3-ze warmodgenilia sabaziso da alternatiuli saprognozo
scenarebis Sedegebi. rogorc Sedegebidan Cans, pozitiuri scenaris
SemTxvevaSi, erToblivi gamoSvebis maRali zrda pozitiruad aisaxeba
152
sakredito aqtivobaze da sesxebis mSp-sTan fardoba aRemateba sabaziso
scenariT miRebul Sedegebs. makroprudenciuli politika, romelic
modelSi kapitalis kontrcikluri buferiT aris warmodgenili, pozitiur
scenarSi naklebad mcirdeba, rac makroprudenciuli politikiT ekonomikis
waxalisebis nakleb saWiroebaze miuTiTebs.
monetaruli politikis kuTxiT, gansakuTrebiT sainteresoa pozitiuri
scenaris gavlena inflaciaze. es ukanaskneli miuxedavad sabazosTan
SedarebiT maRali gamoSvebisaa, praqtikulad ufro mcirea vidre sabaziso
SemTxvevaSi. aRniSnul garemoebas ori faqtori ganapirobebs, romlebic
SinaarsiT msgavsia, Tumca, amave dros gansxvavebulic. pirveli faqtoria,
rom mimdinare inflacia miwodebis mxridan moqmedi Sokis gavlenas
ganicdis, rac dolarizaciis fonze gacvliTi kursis gaufasurebis
Sedegia. Sesabamisad, pozitiuri Sokis pirobebSi, rodesac realuri
efeqturi gacvliTi kursi myardeba da aRmoifxvreba miwodebis Soki es
aneitralebs inflaciaze moqmed miwodebis Soks. meore faqtors
warmoadgens, rom efeqtur gacvliT kurss inflaciaze maRali gadacema
gaaCnia (mag. mdivniSvili, 2014), rac damaxasiaTebelia Ria da mcire zomis
ekonomikebisTvis, romlebic aramxolod samomxmareblo, aramed warmoebis
Sualeduri saSulebebisTvisac importze arian damokidebulni.
pozitiuri scenaris SemTxvevaSi, inflaciis sabazosTan SedarebiT dabali
maCvenebeli, monetruli politikisTvis Serbilebis SesaZleblobas aCens.
amdenad monetaruli politikis ganakveTi mcired, Tumca naklebia sabaziso
scenariT prognozirebul maCvenebelTan.
negatiuri scenaris SemTxvevaSi, riskis marJis zrda da savaWiro
partniorebis ekonomikuri mdgomareobis gauareseba, ekonomikis erTblivi
gamoSvebis Sesustebas ganapirobebs. aRsaniSnavia, rom negatiuri Sokis
dros sakredito aqtivoba sustdeba, rac finansuri aqseleratoris
meqanizmis gaTvaliswinebiT logikuria, xolo makroprudenciuli politika
Serbilebas saWiroebs, raTa isedac Semcirebuli sakredito aqtivoba
waaxalisos.
153
monetaruli politikis kuTxiT, sainteresoa, rom inflaciaze gadacema ar
aris didi, rasac sabazosTan SedarebiT ufro Serbilebuli monetruli
politika ganapirobebs. kerZod, erToblivi moTxovnis Sesusteba, inflaciis
Semcirebis mimarTulebiT ubiZgebs, xolo erToblivi moTxvnis waxalisebis
mizniT, Serbilebuli monetaruli politika gacvliTi kursis arxiT,
inflaciaze Semcirebis mimarTulebiT moqmed zewolas aneitralebs.
diagrama V.3 alternatiruli saprognozo scenarebi
GDP
14Q3 15Q3 16Q3 17Q3
830
835
840
Loan-to-GDP
14Q3 15Q3 16Q3 17Q338
40
42
44
46
48
Inflation
14Q3 15Q3 16Q3 17Q3
2
3
4
5
6
7
Counter-cyclical policy
14Q3 15Q3 16Q3 17Q39
10
11
12
13
14
Interest Rates
14Q3 15Q3 16Q3 17Q34
5
6
7
8
Baseline Positive Negative
Exchange Rates
14Q3 15Q3 16Q3 17Q3
-25
-20
-15
-10
154
daskvna
naSromSi agebulia saqarTvelosTvis makrofinansuri modeli, romelic
SesaZleblobas iZleva: (I) gavaanalizoT kerZo seqtoris Warbi
dakreditebisa da Sesabamisad, leveraJis zedmetad zrdis riskebi; (II)
ganvaxorcieloT makroekonomikuri prognozireba makroprudenciuli da
monetaruli politikis endogenurobis pirobebSi; (III) iyos gzamkvlevi
makroprudenciuli da monetaruli politikis dadgenisTvis; (IV)
gavaanalizoT sxvadasxva hipoTeturi Sokebis gavlena da maTi sapasuxo
optimaluri politika; (V) xeli SevuwyoT makroekonokuri politikis
sxvadasxva instrumentebis koordinacias.
modeli ganekuTvneba axal-keinzianuri modelebis klass mcire da Ria tipis
ekonomikisaTvis da gafarToebulia finansuri seqtoris mocvis kuTxiT.
igi efuZneba dinamiuri, stoqasturi zogadi wonasworobis (Dynamic Stochastic
General Equilibrium, DSGE) modelirebas, Tumca naxevradstruqturulia, rac
damaxasiaTebelia politikis analizisTvis gankuTvnili modelebisTvis.
modelis parametrebi Sefasebulia saqarTvelos istoriul monacemebze.
aRniSnuli makro-finansuri modeli msgavsia monetaruli politikis
analizisTvis gankuTvnili modelebisa, Tumca damatebiT igi gamdidrebulia
finansuri friqciebis modelirebiT da makroprudenciuli politika
endogenurad aris warmodgenili kapitalis buferis kontr-cikluri wesiT.
modelis finansuri bloki aseve Seicavs damatebiT saWiro igiveobebs,
kerZo seqtoris sakredito davalianebis dinamikurad aRwerisTvis.
modelis mikroekonomikuri struqtura moicavs Sinameurneobebs, romlebic
gaweuli Sromis fasad Rebuloben Semosavals xelfasis saxiT, Sualeduri
produqciis mwarmoeblebs, romlebic monopolisturi konkurenciis
pirobebSi awarmoeben usasrulod diferencirebul saqonels, sabanko
seqtors da finansur bazrebs, romlebic finansur Suamavlebs
warmoadgenen. modelSi warmodgenilia sagareo seqtori, romelTanac
qveyana vaWrobs da aseve komerciuli bankebi Rebuloben sesxebs, xolo
155
monetarul da makroprudenciul politikas Sesabamisi miznebiT
axorcielebs centraluri banki.
modeli seqtorebis mixedviT xuT ZiriTad blokad iyofa, esenia: (I)
finansuri seqtori, romelic modelSi warmodgenilia sabanko seqtoris
sakredito portfelis aRmweri dinamikuri gantolebiT da sargeblis
ganakveTis vadianobis struqturiT; (II) erToblivi moTxovnis dinamikuri IS
gantoleba; (III) filipsis mrudi, romelic inflacias gansazRvravs; (IV)
gacvliTi kursis gantoleba, romelic procentis paritetuli pirobiT aris
warmodgenili; (V) makroprudenciuli politikisa da monetaruli
politikis formirebis aRmweri gantolebebi.
modelSi finansuri seqtori warmodgenilia sabanko sistemiT, romelic
ekonomikis dakreditebas axdens adgilobrivi da ucxouri valutis
sesxebiT, xolo sargeblis ganakveTs modelSi gaaCnia Tavisi vadianobis
struqtura. sakredito portfelis momsaxurebis tvirTi, kerZo
seqtorisTvis ganisazRvreba sargeblis ganakveTsa da arahejirebuli
msesxeblebisTvis ucxouri valutis sesxebidan gamomdinare gacvliT
kursze damokidebulebiT. Tavis mxriv, sakredito portfelis zrda,
romelsac bankebi prociklurad axorcieleben, kvlav saqmiani ciklis
gamaZlierebeli xdeba. magaliTad, ekonomikuri ciklis bumis fazaSi Warbi
moTxovna Warb sakredito zrdas uwyobs xels, romelic Tavis mxriv kvlav
Warb moTxovnas aZlierebs. amdenad, modelSi warmodgenili es
damokidebuleba erTobliv moTxovnasa da sakredito zrdas Soris
„finansuri aqseleratoris“ efeqts aRwers, romelic farTod dakvirvebadi
fenomenia msoflios finansuri krizisebis istoriaSi.
finansuri seqtoris analizisTvis modelSi erT-erTi mniSvnelovani
faqtoria gacvliTi kursi, romelsac didi yuradReba eTmoba. kerZod,
gacvliTi kursi, erTi mxriv, ekonomikis realur seqtorze
mastabilizirebel gavlenas axdens, xolo, meore mxriv, arahejirebuli
msesxeblebis dolarizaciis fonze sakredito tvirTis cvlilebas iwvevs,
rac erTobliv moTxovnaze aisaxeba da aseve samomxmareblo fasebze
156
gavlenas axdens, rogorc importuli saqonlis fasebis, aseve mwarmoebelTa
sesxebis gavliT.
makroprudenciuli politika modelSi kapitalis ciklis sawinaaRmdego
buferis dadgenis wesiT aris warmodgenili. makroprudenciuli politikis
mizania, Warbi zrdisas SezRudos sabanko seqtoris dakrediteba da
moamzados sabanko sistema bumis Semdgom daRmasvlis fazaSi danakargebis
gaZlebisaTvis da xeli Seuwyos dakreditebis mkveTri Semcirebis Tavidan
acilebas. monetaruli politika gansazRvravs refinansirebis ganakveTs,
romelic teiloris msgavsi wesiT ganisazRvreba. kerZod, refinansirebis
ganakveTi dgindeba inflaciis prognozisa da gamoSvebis potenciuri
dinidan gadaxris mixedviT.
modelis axali keinzianuri Tvisebebidan aRsaniSnavia erToblivi
moTxovnis da filipsis gantolebebi. kerZod, erToblivi moTxovna
warmodgenilia dinamiuri IS mrudiT, romelic ekonomikur aqtivobas
realur sargeblis ganakveTTan akavSirebs da iTvaliswinebs molodinebsa
da sxva faqtorebs. axali keinzianuri filifsis mrudi (New-Keynesian Phillips
Curve) erToblivi miwodebis mxares warmoadgens. igi inflacias
gansazRvravs Tavisive molodinebiT da gamoSvebis potenciuri donidan
gadaxris mixedviT. Ria ekonomikis pirobebSi kapitalis moZraobis
SeuzRudveloba, nominaluri gacvliTi kursis adgilobriv da ucxouri
sargeblis ganakveTebs Soris diferencialze damokidebulebas
ganapirobebs. modelSi gacvliTi kursi procentis paritetulobis pirobis
mixedviT ganisazRvreba.
modelis ZiriTadi nawilis mikroekonomikuri safuZveli msgavsia Teoriuli
DSGE modelebis safuZvlis, Tumca modeli aseve moicavs qcevis aRmwer iseT
damokidebulebebs, romlebic saqarTvelos ekonomikis Taviseburebebis ukeT
aRsawerad aris warmodgenili konkretuli mikroekonomikuri safuZvlis
modelSi cxadad warmodgenis gverdis avliT. politikis analizis
saWiroebidan da prognozirebis xarisxis gaumjobesebisa Tu praqtikuli
Tvisebebis realobaze ukeT morgebis mizniT, naSromSi agebuli modeli
naxevradstruqturulia, rac farTod damaxasiaTebelia msgavsi tipis
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mizniT agebuli modelebisTvis. naSromSi mokled mimoxiluli iyo
modelis mikroekonomikuri safuZveli da aqcenti modelis dayvanil
formasa da mis gamoyenebazea gakeTebuli.
finansuri seqtoris mniSvnelovnebis warmosaCenad makroekonomikisTvis
bolo wlebis globaluri finansuri krizisi da ganviTarebuli qveynebis
ekonomikuri tendenciebis analizi sruliad sakmarisia, Tumca
makrofinansuri kavSirebis istoria jer kidev didi depresiis periodidan
iRebs saTaves, romelic msoflio istoriaSi yvelaze mZime finansur
kriziss warmoadgens. Friedman and Schwartz, 1967 aRwers didi depresiis
periods da aseve amtkicebs, rom aSS-is im droindeli federaluri
sarezervo sistemis (centraluri banki) mcdarma politikam xeli Seuwyo
finansuri Sokis ekonomikur krizisSi gardaqmnas. finansuri krizisis
gadazrda did depresiaSi naTlad warmoaCens finansuri friqciebis
gavlenas realur ekonomikaze, rac Semdgom makrofinansuri modelirebis
sagani gaxda.
makrofinansurma analizma gansakuTrebuli aqtualoba SeiZena globaluri
finansuri krizisis Semdgom, romelmac naTlad warmoaCina
makroekonomikuri da finansuri urTierTkavSirebis siRrmiseuli analizis
saWiroeba. kerZod, krizisma cxadyo, rom cal-calke makroekonomikurma da
finansuri seqtoris analizma maTi dinamikuri urTierTkavSirebis
gaTvaliswinebis gareSe, SesaZloa araswor daskvnamde migviyvanos.
safinanso seqtoris zedamxedvelobis politikaSi sistemuri xasiaTis
riskebis arasaTanadod Sefaseba da Sesabamisi midgomebis ararseboba,
finansuri krizisis erT-erT xelmSemwyob mizezad iqca. amdenad, krizisis
Semdgom makroekonomistebis mier mzardi yuradReba daeTmo
makroprudenciuli politikis analizsa da misi instrumentebis efeqtianad
gamoyenebas. msoflios wamyvani institutebis kvlevebSi naTlad iqna
xazgasmuli (mag. Macroeconomic Asseement Group, 2010), rom politikis
gamtarebelTaTvis umTavres gamowvevas swori balansis dacva warmoadgens,
finansuri krizisebis SesaZlo moxdenis riskebis Semcirebasa da Sesabamisi
makroprudenciuli politikis ekonomikur danaxarjs Soris, romelic
normalur pirobebSi unda gaiRos qveyanam. naSromSi wamodgenili
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makrofinansuri modeli, swored am tipis analizis xelSewyobas isaxavda
miznad.
bolo aTweulebis manZilze, msoflios masStabiT am Tematikaze miZRvnil
mniSvnelovan kvlevebis analizze dayrdnobiT, naSromSi warmodgenili da
Seswavlili iyo, finansuri friqciebis moqmedebis meqanizmi da maTi
makroekonomikuri gavlena. am kvlevebis mTavar mizans warmoadgenda, imis
axsna, Tu rogor SeiZleba erTi SexedviT mcire Sokma ekonomikis didi
meryeoba gamoiwvios, rogorc es msoflio krizisebis istoriis araerT
SemTxvevaSi momxdara.
winamdebare naSromSi gansakuTrebuli yuradReba aris gamaxvilebuli iseT
kvelebze, rogoricaa mag. Bernanke, Gertlet, Gilchrist 1999; Kiotaki, Moore 1997;
Gertler, Kiotaki, 2010; Christiano Motto Rostagno, 2003, 2010 da sxva. aRniSnuli
kvlevebi aRweren makrofinansuri urTierTkavSrebis meqanizmebs, romlebic
mocemuli kvlevis farglebSi agebuli modelis safuZvels warmoadgebs,
amdenad maTi analizi Zalzed mniSvnelovania. kerZod, makrofinansuri
kavSirebis Tematikaze miZRvnili Sromebidan gamokveTilia ori
mniSvnelovani arxi, esenia: „finansuri aqseleratoris“ meqanizmi da
„fiSeris valis deflaciis efeqti“.
„finansuri aqseleratoris“ meqanizmi Semdegia: sesxis saprocento marJa
uaryofiTad aris damokidebuli sesxis mimRebis wminda Rirebulebaze.
Tavis mxriv, uaryofiTi damokidebuleba imis Sedegia, rom rodesac
investoris wminda Rirebuleba mcirea, aseve mcirea misi sakuTari
kapitaliT monawileoba proeqtis dafinansebaSi, rac amwvavebs potenciur
interesTa konfliqts investorsa da mis kreditors Soris. gazrdili
agentis xarjebi saprocetno marJaze aisaxeba. kerZod, msesxeblebi maRal
kompensacias iTxoven arsebuli riskebis kompensirebisTvis. imis
gaTvaliswinebiT, rom investorTa wminda Rirebuleba procikluria
(ramdenadac procikluria mogeba, fasiani qaRaldebis fasebi da sxva),
sesxis saprocento marJa izrdeba ekonomikuri recesiis dros, xolo
mcirdeba bumis periodSi. aRniSnuli efeqti aisaxeba dakreditebis
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moculobaze da Sesabamisad investiciebsa Tu xarjebze, rac aZlierebs da
axangrZlivebs ekonomikur ciklebs.
finansuri friqciebis makroekonomikuri gavlenis meore mniSvnelovan arxs
warmodgens e.w. „fiSeris deflaciis efeqti“, romelic gulisxmobs, rom
fasebis moulodneli cvlilebis Sedegad icvleba firmis vali realur
gamosaxulebaSi. aRniSnuli efeqti, aZlierebs ekonomikur cikls da
ekonomikur meryeobas uwyobs xels, radgan ekonomikuri recesiis dros
fasebis done mcirdeba, rac valis realuri tvirTis zrdas ganapirobebs.
Sedegad mcirdeba investiciebi, xolo es ukanaskneli recesiis gaRrmavebas
ganapirobebs. amas sapirispiro gavlena aqvs ekonomikuri ciklis bumis
fazaSi, rodesac fasebis zrda valis realur tvirTs amcirebs da
investiciebis waxalisebis gziT ekonomikuri aqtivobis zrdas ganapirobebs.
aRniSnuli efeqti gansakuTrebiT maRalia levarejis mqone firmisTvis,
romelTaTvisac „fiSeris deflaciis efeqti“ gaZlierebuli saxiT aisaxeba
maT wminda Rirebulebaze.
unda aRiniSnos, rom es ori arxi erTmaneTs ekonomikuri Sokis mixedviT, an
aZlierebs, an abaTilebs. Tuki Sokis gavleniT ekonomikuri aqtivoba da
fasebi erTi da imave mimarTulebiT icvleba, maSin finansuri aqseleracia
da fiSeris deflaciis efeqti urTierTgamaZlierebeli iqneba (finansuri
krizisebis gamomwvevi Sokebi umetesad am tips ganekuTvneba), xolo
rodesac Sokis gavleniT fasebi da ekonomikuri aqtivoba sawinaaRmdego
mimarTulebiT icvleba, es ori efeqti erTmaneTs abaTilebs (am tipis
Sokebs ganekuTvneba miwodebis Sokebi mag. navTobis fasis cvlileba).
saqarTvelos ekonomikuri istoridan swored es efeqtebia aRwerili
naSromSi agebuli modelis mier. kerZod, naSromSi warmoadgenilia
modelis saSualebiT kamlan filtris Sedegebi, romlebic daukvirvebadi
faqtorebis Sefasebis erT-erT yvelaze mZlavr meTods warmoadgens. kalman
filtris gamoyenebiT Sefasebulia iseTi faqtorebis, rogorebicaa mSp-s
gadaxra misi potenciuri donidan, sesxebis mSp-sTan fardobis mdgradi
wonasworobis done, realuri gacvliTi kursisa da saprocento
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ganakveTebis bunebrivi doneebi. aseve modelSi gamoyenebuli TiToeuli
faqtoris ganmapirobebeli sxva faqtorebi.
unda aRiniSnos, rom modeliT kalman filtris analizi logikurad xsnis
saqarTvelosTvis saqmiani ekonomikuri ciklis aRmavlobisa da recesiis
fazebs, 2008 wlis tyupi krizisis gavlenas ekonomikaze, aseve Sefasebas
axdens makrofinansuri kavSirebis gavlenisa ekonomikaze. kerZod,
ekonomikis saqmian ciklze finansuri aqseleratorisa da sabalanso uwyisis
kontribuciebis analizi cxadyofs, rom finansuri seqtori prociklur
gavlenas axdens ekonomikur gamoSvebaze da zrdis mis meryeobas saqmiani
ciklis periodSi. kerZod, 2003-2005 wlebSi, rodesac ekonomikis gamoSveba
CamorCeboda mis potenciur dones, finansuri aqseleratoris efeqts
uaryofiTi wvlilil hqonda. 2006 – 2008 wlebSi dakreditebis donis
swrafma zrdam xeli Seuwo ekonomikis gadaxurebas, xolo postkrizisul
periodSi finansuri aqseleratoris gavlena uaryofiTi iyo ekonomikaze.
aseve, mcired, Tumca uaryofiTi gavlena iqonia 2013-2014 wlebSi finansuri
seqtoris Senelebulma aqtivobam mSp-s potenciuridan CarmoCenaze. Tavis
mxriv finansuri seqtoris Seneleba, sagareo Sokis fonze ekonomikaSi
gazrdili riskebis pasuxi iyo, romelic ZiriTadad savaWro partnior
qveynebSi gamwvavebuli ekonomikurma krizisma ganapiroba.
kalman filtris saSualebiT ganxorcielebuli istoriuli analizi, aseve
cxadyofs „fiSeris valis deflaciis“ efeqtis gavlenas ekonomikaze.
kerZod, 2005 – 2006 da 2009 – 2010 wlebSi fiSeris deflaciis efeqti
sakredito ciklis gaRrmavebas ganapirobebda. 2009 wels, krizisis Semdgom,
SezRuduli erToblivi moTxovnis fonze inflacia miznobrivze dabali
iyo, ramac nominalur moculobaSi fiqsirebuli kreditebis faqtobrivi
tvirTi gazarda, xolo 2010 wels inflaciis mniSvnelovnad zrdam,
sakredito tvirTis Semcireba ganapiroba. 2011 – 2014 wlebSi inflacia
CarmorCeboda miznobriv dones, rac sakredito tvirTze uaryofiTad
aisaxeboda. rogorc Sedegebidan gamoCnda, fiSeris deflaciis efeqti
sakredito ciklis gaRrmavebas yovelTvis ar ganapirobebda. kerZod,
moToxvnis Sokis dros, rodesac ekonomikuri zrda da inflacia erTi
mimarTulebiT moZraobs, mxolod maSin axdenda fiSeris deflaciis efeqti
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ekonomikuri ciklis gaRrmavebas. miwodebis Sokis pirobebSi, ki, rodesac
inflacia ekonomikuri Senelebis paralelurad izrdeboda, fiSeris
deflaciis efeqti sakredito ciklis da Sesabamisad ekonomikis saqmiani
ciklis normalizebas uwyobda xels.
modelis parametrebi Sefasebulia baiesianuri moTodiT, xolo
parametrebis apriori mniSvnelobebis gansazRvrisaTvis gamoyenebulia
kalibrirebuli mniSvnelobebi. saqarTvelosTvis, romelic ganviTarebadi
qveynebis msagvsad mniSvnelovan struqturul cvlilebebs ganicdis,
istoriis mokle manZilze, rTulia modelis SefasebisTvis klasikuri
ekonometrikuli midgoma iqnes gamoyenebuli. monacemebi zog SemTxvevaSi, an
ar arsebobs, an mokle istoria aqvs, rac modelis zomidan gamomdinare
arasakmaris safuZvels iZleva wminda empiriuli kvlevisTvis.
kalibrirebuli modelis upiratesoba calsaxaa. garda mwiri monacemTa
istoriisa, romelic kalibraciis upiratesobas gansazRvravs,
gasaTvaliswinebelia, rom gansakuTrebiT bolo ori aTwleulis manZilze
modelirebis kuTxiT ekonomistebSi mniSvnelovani codna dagrovda.
codnisa da gamocdilebis gamoyeneba ufro metad im qveynebis praqtikidan
aris sasargeblo, romlebic saqarTvelos ganviTarebis msgavs etaps
gadiodnen.
modelis moqmedebis meqnizmisa da misi dinamikuri Tvisebebis Seswavlis
mizniT, naSromSi warmodgenili iyo modelis impuslze reaqciis analizi.
aRniSnulma analizma, saSualeba mogvca Segveswavla, Tu rogor xdeba ama
Tu im sagareo da adgilobrivi Sokebis gadacema ekonomikaSi da rogoria
modelis mixedviT sapasuxo monetaruli da makroprudenciuli politika.
Sokebi arCeul iqna globaluri da adgilobrivi ekonomikuri garemos
aqtualuri Tematikis mixedviT. kerZod, analizisTvis gamoyenebuli iyo
iseTi Sokebi, rogorebicaa adgilobrivi ekonomikis moTxovnisa da
miwodebis Sokebi, qveynis riskis premiis Soki, sakreidto da
makroprudenciuli politikisa da aseve sagareo seqtoris Sokebi, kerZod
ki londonis bankTaSorisi sesxebis bazarze aSS dolaris saprocento
ganakveTisa da saqarTvelos savaWro partniori qveynebis moTxovnis Sokebi.
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impulsze reaqciis analizis Sedegebi warmoaCens, modelis mier Sokebze
logikur reagirebas, rac, erTi mxriv, modelis dabalansebul dinamikur
Tvisebebze miuTiTebs, xolo, meore mxriv, saSualebas iZleva SeviswavloT
Sokebis ekonomikuri gavlena saqarTvelos magaliTze. mniSvenlovania
aRiniSnos, rom impulsis reaqciis analiziT gamovlinda makroprudenciuli
da monetaruli politikis urTierTSemavsebeli rolic da interesTa
konfliqtis SemTxvevbi. kerZod, moTxovnis da sakredito Sokebis dros,
monetaruli da makroprudenciuli politika erTnairad pausxobs da
erTmaneTis gavlenas aZlierebs ekonomikaze, xolo miwodebis, riskis
marJisa da ucxouri gamoSvebis Sokebis pirobebSi interesTa konfliqts
qmnian da ekonomikaze erTmaneTis efeqts aneitraleben. aRniSnuli tipis
analizi, ukiduresad mniSvenlovania monetaruli da makroprudenciuli
politikis koordinaciis uzurvelsayofad.
unda aRiniSnos, rom yvela Sokis SemTxvevaSi, modeli uzrunvelyofs, rom
swori monetaruli da makroprudenciuli politikis pasuxad, ekonomika 5-10
kvartalis periodSi praqtikulad ubrundeba Tavis wonasworul
mdgomareobas mniSvenlovani meryeobebis gareSe.
naSromSi agebuli modelis erT-erT ZiriTad daniSnulebas pognozireba da
makroprudenculi Tu monetaruli politikis analizi warmoadgens. am
mizniT, kvlevaSi sailustraciod warmodgenili iyo prognozis sabaziso da
alternatiuli scenarebi. unda aRiniSnos, rom prognozis mizans ara
movlenebis SesaZlo ganviTarebis gamocnoba, aramed agebuli modelis
SesaZleblobis demonstrireba warmoadgens.
ekonomikis sawyisi cikluri poziciis, sagareo seqtoris saprognozo
maCveneblebisa da ekonomikis grZelvadiani wonasworobis maCveneblebze
dayrdnobiT, warmodgenilia makroekonomikuri da finansuri cvaldebis
saprognozi dinamika 2015 – 2018 wlebisTvis. saprognozo cvaldebis
stoqasturi analizisTvis, naSromSi aseve warmodgenili iyo prognozi
Sokebis SesZlo gavleniT, rac prognozis stoqasturi ganwilebiT
moicemoda marao grafikis gamoyenebiT.
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prognozis sabaziso scenarTan erTad, aseve ganvixilavdi or alternatiul
scenars, pirobiTi saxelwodebebiT- pozitiuri da negatiuri. pozitiuri
scenari gulisxmobs, adgilobrivi gamoSvebis mosalodnelze mkveTr zrdas,
investorTa ganwyobis sabaziso scenariT gaTvaliswinebulze ufro swrafi
gaumjobesebis meSveobiT. negatiuri scenari gulisxmobs, savaWro regionSi
geopolitikuri riskebis damatebiT gamwvavebis, an/da aSS-is federaluri
sarezervo bankis mier Serbilebuli monetaruli politikidan
mosalodnelze swrafi gamosvlis fonze, sagareo Sokis gaRmavebas,
romelic erTnairad aisaxeba qveynis riskis premiis zrdasa da qveynis
eqsportis SezRudvaze.
aRniSnuli prognozis mTavar maxasiaTebels endogenuri makroprudenciuli
da monetaruli politika warmoadgens. es SesaZlebeli gaxda
makroprudenciuli da monetaruli politikis modelSi gaTvaliswinebiT,
romlebic garkveul wesebze dayrdnobiT dgindeba imdagvarad, rom
ekonomikis dakrediteba, gamoSveba da inflacia saSualovadian periodSi
daubrundes TavianT wonasworul doneebs. prognozi, Tavis mxriv,
makroprudenciul da monetarul politikazea damokidebuli. prognozi
erTgvarad makroprudenciuli da monetaruli politikisTvis gzamkvlevvis
rols asrulebs, ramdenadac prognosis gviCvenebs kapitalis kontrcikluri
buferisa da saprocento ganakveTebis saprognozo traeqtorias, romelsac
ekonomika optimalurad mihyavs wonasworobaSi.
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A. danarTi
cxrili A-1 modelSi gamoyenebuli cvladebi
saxeli aRwera
realuri mTliani Sida produqti (100*log).mTliani Sida produqtis bunebrivi done (100*log).Δ mTliani Sida produqtis kvartaluri bunebrivi zrda,gawliurebuli (procentebSi).Warbi mTliani Sida produqti (gapi), (procentebSi).
samomxmareblo fasebis indeqsi (100*log).kvartaluri inflacia, gawliurebuli (procentebSi).4 wliuri inflacia (procentebSi).mosalodneli kvartaluri inflacia, gawliurebuli(procentebSi).kvartaluri importuli inflacia, gawliurebuli(procentebSi).ucxouri samomxmareblo fasebis indeqsi.ucxouri kvartaluri inflacia dolarebSi gamosaxuli,gawliurebuli (procentebSi).sesxebis mSp-sTan fardoba (procentebSi).sesxebis mSp-sTan fardobis gadaxra wonasworobisdonidan.sesxebis mSp-sTan fardobis wonasworobis done.Δ sesxebis mSp-sTan fardobis wonasworobis zrdis tempi,kvartaluri gawliurebuli.kapitalis kontrcikluri buferi (procentebSi).kapitalis kontrcikluri buferis mgrZnobiaroba sesxebismSp-sTan fardobis mimarT.laris 3 Tviani sargeblis realuri ganakveTi(procentebSi).laris 1 wliani sargeblis realuriganakveTi(procentebSi).laris 3 wliani sargeblis realuriganakveTi(procentebSi).laris sargeblis saSualo realuri ganakveTi(procentebSi).monetaruli politikis ganakveTi (procentebSi).monetaruli politikis neitraluri ganakveTi(procentebSi).laris 1 wliani sargeblis nominaluri ganakveTi(procentebSi).laris 3 wliani sargeblis nominaluri ganakveTi(procentebSi).laris sargeblis nominaluri saSualo ganakveTi(procentebSi).
165
_ dolaris 3 Tviani sargeblis ganakveTi (procentebSi)._ _ dolaris 3 Tviani sargeblis ganakveTi, larSigadamoyvanili (procentebSi)._ _ dolaris 1 wliani sargeblis ganakveTi, larSigadamoyvanili (procentebSi)._ _ dolaris 3 wliani sargeblis ganakveTi, larSigadamoyvanili (procentebSi)._ _ dolaris 3 Tviani sargeblis realuri ganakveTi(procentebSi)._ _ dolaris sargeblis saSualo nominaluri ganakveTi(procentebSi)._ _ dolaris 1 wliani sargeblis realuriganakveTi(procentebSi)._ _ dolaris 3 wliani sargeblis realuriganakveTi(procentebSi)._ _ dolaris sargeblis saSualo realuri ganakveTi(procentebSi).∗ ucxouri sargeblis ganakveTi, Libor 3 Tviani (procentebSi).∗ ucxouri sargeblis ganakveTis bunebrivi done(procentebSi). 3 Tviani sargeblis realuri ganakveTis bunebrivi done(procentebSi). 1 wliani sargeblis realuri ganakveTis bunebrivi done(procentebSi). 3 wliani sargeblis realuri ganakveTis bunebrivi done(procentebSi).sargeblis nominaluri efeqturi ganakveTi (procentebSi).sargeblis realuri efeqturi ganakveTi (procentebSi). sargeblis realuri efeqturi ganakveTis bunebrivi done(procentebSi). sargeblis realuri efeqturi ganakveTis gadaxrabunebrivi donidan (procentebSi).qveynis suverenuli riskis marJa (procentebSi).1 1 wliani likvidobis marJa (procentebSi).3 3 wliani likvidobis marJa (procentebSi).qveynis suverenuli riskis marJis bunebrivi done(procentebSi).1 1 wliani likvidobis marJis bunebrivi done (procentebSi).3 3 wliani likvidobis marJis bunebrivi done (procentebSi).qveynis suverenuli riskis marJis bunebrivi donidangadaxra (procentebSi).laris nominaluri gacvliTi kursi dolarTan
mimarTebaSi, GEL/USD, (100*log).Δ laris dolarTan mimarTebiT nominaluri gacvliTikursis kvartaluri gaufasurebis tempi, gawliurebuli(procentebSi).laris nominaluri gacvliTi kursis mosalodneli
166
mniSvneloba dolarTan mimarTebaSi, GEL/USD, (100*log).evros nominaluri gacvliT kursi dolarTan mimarTebaSi,USD/EUR, (100*log).liris nominaluri gacvliTi kursi dolarTan
mimarTebaSi, TRL/USD, (100*log).rublis nominaluri gacvliT kursi dolarTan
mimarTebaSi, RUB/USD, (100*log).grivnis nominaluri gacvliTi kursi dolarTan
mimarTebaSi, UAH/USD, (100*log).Δ evros dolarTan mimarTebiT nominaluri gacvliT kursisgamyarebis tempi, procentebSi.Δ liris dolarTan mimarTebiT nominaluri gacvliT kursisgaufasurebis tempi, procentebSi.Δ rublis dolarTan mimarTebiT nominaluri gacvliTkursis gaufasurebis tempi, procentebSi.Δ grivnis dolarTan mimarTebiT nominaluri gacvliTkursis gaufasurebis tempi, procentebSi.laris realuri efeqturi gacvliTi kursis indeqsi
(100*log).Δ laris realuri efeqturi gacvliTi kursis gaufasureba(procentebSi). laris realuri efeqturi gacvliTi kursis bunebrividone.Δ laris realuri efeqturi gacvliTi kursis bunebrivigaufasureba (procentebSi). laris realuri gacvliTi kursis gadaxra bunebrividonidan (procentebSi).aSS-s samomxmareblo fasebis indeqsi.evrozonis samomxmareblo fasebis indeqsi.TurqeTis samomxmareblo fasebis indeqsi.ruseTis samomxmareblo fasebis indeqsi.ukrainis samomxmareblo fasebis indeqsi.aSS-s inflaciis tempi, procentebSi.evrozonis inflaciis tempi, procentebSi.TurqeTis inflaciis tempi, procentebSi.
ruseTis inflaciis tempi, procentebSi.ukrainis inflaciis tempi, procentebSi.∗ ucxouri Warbi mTliani Sida produqti (procentebSi).spredi laris fuladi bazris ganakveTsa da sesxebisganakveTs Soris (procentebSi).
laris fuladi bazris ganakveTsa da sesxebis ganakveTsSoris spredis bunebrivi done (procentebSi).laris fuladi bazris ganakveTsa da sesxebis ganakveTsSoris spredis gadaxra bunebrivi donidan (procentebSi).
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cxrili A-2 modelis parametrebi
saxeli mniSvneloba aRwera
0.26 sesxebis mSp-sTan fardobisinerciulobis parametri.
0.29 sesxebis mSp-sTan fardobiselastiuroba inflaciis TargeTidangadaxris mimarT.
0.37 sesxebis mSp-sTan fardobiselastiuroba mSp-s potenciuri donidangadaxris mimarT.
0.25 sesxebis mSp-sTan fardobiselastiuroba kapitalis kontrcikluribuferis mimarT.
0.17 sesxebis mSp-sTan fardobiselastiuroba lari/dolaris gacvliTikursis cvlilebis misive grZlevadianitrendidan gadaxris mimarT.
0.45 kapitalis kontrcikluri buferisinerciulobis parametri.
0.14 kapitalis kontrcikluri buferisreaqciis parametri mSp-s potenciuridonidan gadaxris mimarT.
0.90 kapitalis kontrcikluri buferisreaqciis parametri sesxebis mSp-sTanfardobis drendidan gadaxris mimarT.
0.10 IS gantolebaSi mSp-s potenciuridonidan gadaxris inerciulobisparametri.
0.40 IS gantolebaSi mSp-s potenciuridonidan gadaxris winmswrebi wevrisparametri.
0.15 IS gantolebaSi mSp-s potenciuridonidan gadaxris realuri saprocentoganakveTis elastiurobis parametri.
0.20 IS gantolebaSi riskis premiiswonasworuli donidan gadaxris mSp-spotenciuri donidan gadaxraze gavlenisparametri.
0.15 IS gantolebaSi mSp-s potenciuridonidan gadaxris elastiurobisparametri realuri efeqturi gacvliTikursis mimarT.
0.01 IS gantolebaSi mSp-s potenciuridonidan gadaxraze dolarizaciidagamomdinare lari/dolaris kursiscvlilebiT gamowveuli sabalansouwyisis efeqtis parametri.∗ 0.15 IS gantolebaSi mSp-s potenciuri
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donidan gadaxris elastiuroba savaWropartniorebis mSp-s mimarT.
0.09 IS gantolebaSi mSp-s potenciuridonidan gadaxris elastiurobasakredito tvirTis mimarT.
0.75 realur efeqtur saprocento ganakveTSilaris realuri ganakveTis wona.
0.40 laris 3 Tvemde vadianobis saprocentoganakveTis wona saSualo realursaprocento ganakveTSi.
0.30 laris 1 wliani vadianobis saprocentoganakveTis wona saSualo realursaprocento ganakveTSi.
0.30 laris 3 wliani vadianobis saprocentoganakveTis wona saSualo realursaprocento ganakveTSi.
0.30 ucxouri valutis 3 Tvemde vadianobissaprocento ganakveTis wona saSualorealur saprocento ganakveTSi.
0.30 ucxouri valutis 1 wliani vadianobissaprocento ganakveTis wona saSualorealur saprocento ganakveTSi.
0.40 ucxouri valutis 3 wliani vadianobissaprocento ganakveTis wona saSualorealur saprocento ganakveTSi.
0.24 filipsis mrudSi mosalodneliinflaciis parametri.
0.33 filipsis mrudSi importuli inflaciisparametri.
0.78 filipsis mrudSi inflaciiselastiurobis parametri mSp-spotenciuri donidan gadaxris mimarT.
0.20 filipsis mrudSi inflaciiselastiurobis parametri realuriefeqturi gacvliTi kursis mimarT.
0.28 inflaciis molodinebis formirebaSimomavalze orientirebulobis parametri.
0.80 monetaruli politikis dadgenis wesSilagis parametri.
2.21 monetaruli politikis dadgenis wesSireaqciis parametri inflaciisTargeTidan gadaxraze.
0.22 monetaruli politikis dadgenis wesSireaqciis parametri mSp-s potenciuridonidan gadaxraze.
0.50 erTwliani likvidobis riskis premiisinerciulobis parametri.
0.50 samwliani likvidobis riskis premiis
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inerciulobis parametri.
0.70 sakredito marJis wonasworulidangadaxris inerciulobis parametri.
0.50 gacvliTi kursis molodinebismomavalze orientirebulobis parametri.
0.72 riskis premiis wonasworulidangadaxris inerciulobis parametri.
0.35 aSS dolaris wona efeqturi gacvliTikursis gamoTvlisTvis.
0.22 evros wona efeqturi gacvliTi kursisgamoTvlisTvis.
0.23 Turquli liris wona efeqturigacvliTi kursis gamoTvlisTvis.
0.08 rusuli rublis wona efeqturigacvliTi kursis gamoTvlisTvis.
0.12 ukrainuli hrivnis wona efeqturigacvliTi kursis gamoTvlisTvis.
0.61 mSp-s potenciuri zrdis tempisinerciulobis parametri. 0.42 realuri efeqturi gacvliTi kursiswonasworuli cvlilebis tempisinerciulobis parametri. 0.74 wonasworuli realuri saprocentoganakveTis inerciulobis parametri.∗ 0.82 wonasworuli ucxouri realurisaprocento ganakveTis inerciulobisparametri.
0.38 sesxebis mSp-sTan fardobis zrdiswonasworuli donis inerciulobisparametri.
0.55 suverenuli riskis premiiswonasworuli donis inerciulobisparametri.
0.44 sakredito marJis wonasworuli donisinerciulobis parametri.
0.50 erTwliani vadianobis likvidobispremiis wonasworuli donisinerciulobis parametri.
0.50 samwliani vadianobis likvidobispremiis wonasworuli donisinerciulobis parametri.∗ 0.85 sagareo gamoSvebis inerciulobisparametri.∗ 0.96 sagareo nominaluri ganakveTisinerciulobis parametri.
0.78 aSS inflaciis lagis parametri.
0.88 evrozonis inflaciis lagis parametri.
0.76 TurqeTis inflaciis lagis parametri.
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0.65 ruseTis inflaciis lagis parametri.
0.58 ukrainis inflaciis lagis parametri.
0.82 dolari/evros gacvliTi kursiscvlilebis lagze damokidebulebisparametri.
0.73 dolari/liris gacvliTi kursiscvlilebis lagze damokidebulebisparametri.
0.80 dolari/rublis gacvliTi kursiscvlilebis lagze damokidebulebisparametri.
0.65 dolari/grivnis gacvliTi kursiscvlilebis lagze damokidebulebisparametri.
6.80 sesxebis mSp-sTan fardobis Sokisstandartuli gadaxra.
1.47 kapitalis kontrcikluri buferisSokis standartuli gadaxra.
0.24 IS mrudSi erToblivi moTxovnis Sokisstandartuli gadaxra.
0.94 filipsis mrudSi inflaciis Sokisstandartuli gadaxra.
1.98 monetaruli politikis dadgenis wesSisaprocento ganakveTis Sokisstandartuli gadaxra.
0.38 erTwliani vadianobis likvidobisriskis premiis Sokis standartuligadaxra.
0.42 samwliani vadianobis likvidobis riskispremiis Sokis standartuli gadaxra.
1.35 sagareo saprocento ganakveTis Sokisstandartuli gadaxra.
2.92 sakredito marJis Sokis standartuligadaxra.
13.3 procentis paritetul pirobaSigacvliTi kursis Sokis standartuligadaxra.
0.87 riskis premiis Sokis standartuligadaxra.
0.39 wonasworuli mSp-s zrdis Sokisstandartuli gadaxra. 0.32 wonasworuli realuri efeqturigacvliTi kursis cvlilebis Sokisstandartuli gadaxra.∗ 0.67 ucxouri realuri saprocentoganakveTis Sokis standartuli gadaxra.
0.18 sesxebis mSp-sTan fardobiswonasworuli donis cvlilebis Sokis
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standartuli gadaxra.
0.75 riskis premiis wonasworuli donisSokis standartuli gadaxra.
0.67 sakredito marJis wonasworuli donisSokis standartuli gadaxra.
0.32 erTwliani vadianobis likvidobispremiis wonasworuli donis Sokisstandartuli gadaxra.
0.32 samwliani vadianobis likvidobispremiis wonasworuli donis Sokisstandartuli gadaxra.∗ 0.15 ucxouri gamoSvebis Sokis standartuligadaxra.∗ 0.87 ucxouri saprocento ganakveTis Sokisstandartuli gadaxra.
1.80 aSS-s inflaciis Sokis standartuligadaxra.
1.66 evrozonis inflaciis Sokisstandartuli gadaxra.
2.20 TurqeTis inflaciis Sokisstandartuli gadaxra.
2.59 ruseTis inflaciis Sokis standartuligadaxra.
2.89 ukrainis inflaciis Sokis standartuligadaxra.
1.42 dolari/evro gacvliTi kursis Sokisstandartuli gadaxra.
1.32 lira/dolari gacvliTi kursis Sokisstandartuli gadaxra.
1.65 rubli/dolari gacvliTi kursis Sokisstandartuli gadaxra.
0.89 hrivna/dolaris gacvliTi kursis Sokisstandartuli gadaxra.
cxrili A-3 mdgradi wonasworobis parametrebi
saxeli mniSvneloba aRweraΔ 5 mSp-s mdgradi wonasworobiszrdis tempi (procentebSi)Δ -3 mdgradi wonasworobis realuriefeqturi gacvliTi kursisgaufasurebis tempi (procentebSi)
3 suverenuli riskis mdgradiwonasworobis done (procentebSi)Δ 10 sakredito portfelis mdrgadiwonasworobis zrdis tempi
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(procentebSi)
12 mdgradi wonasworobissavaldebulo kapitalisadekvaturobis done(procentebSi)
3 inflaciis grZelvadianimiznobrivi maCvenebeli(procentebSi)
2 Inflaciis grZelvadianimiznobrivi maCvenebeli(procentebSi)1 1 likvidobis marJis mdgradiwonasworuli done (procentebSi)3 3 likvidobis marJis mdgradiwonasworuli done (procentebSi)
12 laris spredis mdgradiwonasworuli done (procentebSi)∗ 0.7 ucxouri sargeblis realuriganakveTis mdgradi wonasworulidone (procentebSi)
2 aSS-s inflaciis grZelvadianimiznobrivi done
2 evrozonis inflaciisgrZelvadiani miznobrivi done
5 TurqeTis inflaciisgrZelvadiani miznobrivi done
4 ruseTis inflaciis grZelvadianimiznobrivi done
4 ukrainis inflaciis grZelvadianimiznobrivi doneΔ 0 USD/EUR wonasworobis dinamikaΔ 3 TRY/USD wonasworobis dinamikaΔ 2 RUB/USD wonasworobis dinamikaΔ 2 UAH/USD wonasworobis dinamika
modelis gantolebaTa sruli sia
finansuri bloki
- sesxebis tvirTis damokidebuleba ekonomikis realur seqtorze= ∗ − ∗ ( − ) + ∗ − ∗ ( − ) + ∗ (Δ − Δ )+ ∗
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- sesxebis mSp-sTan fardobis gadaxra wonasworobis mniSvnelobisgan= −Δ = 4 ∗ ( − )makroprudenciuli politika
- kapitalis kontrcikluri buferis gansazRvris wesi= ∗ + (1 − ) ∗ + ∗ ∗ + (1 − ) ∗ ∗ +∗- კაპიტალის კონტრციკლური ბუფერის სესხების მშპ-სთან ფარდობის გადახრაზე
რეაგირების წონა
= 2 ∗ −5erToblivi moTxovna
- Warbi mTliani Sida produqti= −- IS mrudi= ∗ ( ) + ∗ − ∗ + ∗ + ∗ − ∗ (Δ − Δ )+ ∗ ∗ ∗ + ∗ + ∗
- realuri efeqturi saprocento ganakveTis gadaxra wonasworuli
mniSvnelobidan
= − - realuri efeqturi saprocento ganakveTi
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= ∗ + (1 − ) ∗ _ _- adgilobrivi valutis realuri sargeblis saSualo ganakveTi= ∗ + ∗ + ∗ +- lariT gamosaxuli ucxouri valutis realuri sargeblis saSualo
ganakveTi _ _ = ∗ + ∗ + ∗ _ _ +- fiSeris gantoleba = −
miwodebis mxare
- filipsis mrudi= ∗ + ∗ + 1 − − ∗ + ∗ + ∗ + ∗- inflaciis molodinis formireba= ∗ ( ) + (1 − ) ∗ 4- importuli inflacia = + Δ − Δ
monetaruli politika
- monetaruli politikis ganakveTis dadgenis wesi= ∗ + (1 − ) ∗ ( + ( 4 ) − ) + ∗ + ∗- neitraluri ganakveTis done
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= + 4Semosavlianobis mrudi
- erT wliani sargeblis nominaluri ganakveTi= ( + ( ) + ( ) + ( ))/4 + 1- erTwliani sargeblis nominaluri ganakveTi= ( + ( ) + ( ))/3 + 3- erTwliani sargeblis realuri ganakveTi= ( + ( ) + ( ) + ( ))/4 + 1- erTwliani sargeblis realuri ganakveTi= ( + ( ) + ( ))/3 + 3- erTwliani likvidobis riskis premia1 = ∗ 1 + 1 − ∗ 1 + ∗- erTwliani likvidobis riskis premia
3 = ∗ 3 + 1 − ∗ 3 + ∗- ucxouri valutis nominaluri sargeblis ganakveTi_ = ∗ + + ∗- lariT gamosaxuli ucxouri valutis nominaluri sargeblis ganakveTi_ _ = _ + 4 ∗ (Δ )- lariT gamosaxuli ucxouri valutis erTwliani sargeblis
nominaluri ganakveTi
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_ _ = ( _ _ + ( _ _ ) + ( _ _ ) + ( _ _ ))/4 + 1- ucxouri valutis samwliani sargeblis nominaluri ganakveTi lariT
gamosaxuli_ _ = ( _ _ + ( _ _ ) + ( _ _ ))/3 + 3- fiSeri gantoleba lariT gamosaxuli ucxouri valutis realuri
sargeblis ganakveTisTvis _ _ = _ _ −- lariT gamosaxuli ucxouri valutis erTwliani sargeblis realuri
ganakveTi_ _ = ( _ _ + ( _ _ ) + ( _ _ ) + ( _ _ ))/4 + 1- lariT gamosaxuli ucxouri valutis samwliani sargeblis realuri
ganakveTi_ _ = ( _ _ + ( _ _ ) + ( _ _ ))/3 + 3efeqturi saprocento ganakveTebi
- adgilobrivi valutis sargeblis nominaluri saSualo ganakveTi= ∗ + ∗ + ∗ +- lariT gamosaxuli ucxouri valutis sargeblis nominaluri saSualo
ganakveTi _ _ = ∗ + ∗ + ∗ _ _ +- efeqturi nominaluri sargeblis ganakveTi= ∗ + (1 − ) ∗ _ _- efeqturi nominaluri sargeblis ganakveTi= ∗ + (1 − ) ∗ _ _
177
- sakredito marJa = +- sakredito marJis gadaxra wonasworobis donidan
= ∗ + ∗procentis paritetuli piroba= ∗ + 4 ∗ ( − ) + + ∗- mosalodneli gacvliTi kursi= ∗ ( ) + (1 − ) ∗ ( + 2 ∗ (Δ + − )/4)- riskis premia = +- riskis premiis gadaxra wonasworobis donidan= ∗ + ∗
efeqturi gacvliTi kursi
- realuri efeqturi gacvliTi kursi= + −- realuri efeqturi gacvliTi kursis gadaxra wonasworobis donidan = − - sagareo fasebis done (savaWro partniorebis mixedviT saSualo
Sewonili)= ∗ + ∗ ( + ) + ∗ ( + ) + ∗ ( + ) +∗ ( + )
178
mdgradi wonasworobis gantolebebi
- bunebrivi mSp zrdaΔ = ∗ Δ + 1 − ∗ Δ + ∗- realuri gacvliTi kursis wonasworuli gamyarebis tempiΔ = ∗ Δ + (1 − ) ∗ Δ + ∗ - realuri saprocento ganakveTebis paritetuli piroba = ∗ + (1 − ) ∗ ( ∗ + + Δ )- erTwliani realuri saprocento ganakveTis wonasworobis done = ( + ( ) + ( ) + ( ))/4 + 1- samwliani realuri saprocento ganakveTis wonasworobis done = ( + ( ) + ( ))/3 + 3- efeqturi realuri saprocento ganakveTis wonasworobis done = ∗ + + + + (1 − ) ∗ + + +
- ucxouri realuri saprocento ganakveTis wonasworobis done∗ = ∗ ∗ + (1 − ∗) ∗ + ∗ ∗ ∗- sesxebis mSp-sTan fardobis wonasworobis dinamika
Δ = ∗ Δ + (1 − ) ∗ Δ + ∗- suverenuli riskis premiis wonasworobis done= ∗ + 1 − ∗ + ∗- sakredito marJis wonasworobis done= ∗ + 1 − ∗ + ∗- erTwliani vadianobis likvidobis premiis wonasworobis done1 = ∗ 1 + 1 − ∗ 1 + ∗- samwliani vadianobis likvidobis premiis wonasworobis done3 = ∗ 3 + 1 − ∗ 3 + ∗
179
igiveobebi = + 4= + 4= + 4= + 4= + 4= + 4= + 4= + Δ4 = + Δ 44 = + + +4= + Δ 4= + Δ4= + Δ4= + Δ4Δ = 4 ∗ ( − )Δ = 4 ∗ ( − )
Warbi sagareo gamoSveba
180
∗ = ∗ ∗ + ∗ ∗ ∗
sagareo nominaluri saprocento ganakveTi
∗ = ∗ ∗ ∗ + (1 − ∗) ∗ ( ∗ + ) + ∗ ∗ ∗
savaWro partniori qveynebis inflacia= ∗ + (1 − ) ∗ + ∗= ∗ + 1 − ∗ + ∗= ∗ + 1 − ∗ + ∗= ∗ + 1 − ∗ + ∗= ∗ + 1 − ∗ + ∗savaWro partniori qveynebis gacvliTi kursebiΔ = ∗ Δ + 1 − ∗ Δ + ∗Δ = ∗ Δ + 1 − ∗ Δ + ∗Δ = ∗ Δ + 1 − ∗ Δ + ∗Δ = ∗ Δ + 1 − ∗ Δ + ∗cxrili A-4 baiesianuri Sefasebis Sedegebi
parametri apriori ganawileba( , ) Sefasebuli mniSvnelobawertilovani
Sefasebastandartuli gadaxra
Normal (0.3 , 0.15 ) 0.26 0.20Normal (0.4 , 0.1) 0.29 0.13Normal (0.5 , 0.1) 0.37 0.27Normal (0.2 , 0.1) 0.25 0.14
Normal (0.15 , 0.075) 0.17 0.08
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Normal (0.5 , 0.1 ) 0.45 0.24Normal ( 0.2 , 0.1 ) 0.14 0.06
Normal (1 , 0.2) 0.90 0.34Normal (0.2 , 0.1) 0.10 0.08Normal (0.6 , 0.1) 0.40 0.18Normal ( 0.2 , 0.1 ) 0.15 0.29Normal (0.5 , 0.25 ) 0.20 0.13Normal ( 0.1 , 0.05 ) 0.15 0.12Normal (0.01 , 0.005) 0.01 0.01∗ Normal (0.15 , 0.05 ) 0.15 0.09Normal (0.1 , 0.01) 0.09 0.05Normal ( 0.3 , 0.1 ) 0.24 0.28Normal ( 0.3 , 0.1 ) 0.33 0.22Normal ( 0.9 , 0.1 ) 0.78 0.30Normal ( 0.15 , 0.1 ) 0.20 0.15Normal ( 0.3 , 0.1 ) 0.28 0.05Normal (0.75 , 0.2 ) 0.80 0.38Normal ( 2.5 , 0.5 ) 2.21 0.80Normal (0.2 , 0.1) 0.22 0.09
Normal (0.5 , 0.25 ) 0.50 0.15Normal (0.5 , 0.25) 0.50 0.15Normal ( 0.65 , 0.2) 0.70 0.30Normal (0.6 , 0.2 ) 0.50 0.28Normal ( 0.6 , 0.2 ) 0.72 0.27Normal (0.5 , 0.2 ) 0.61 0.36 Normal (0.5 , 0.2 ) 0.42 0.23 Normal (0.5 , 0.2 ) 0.74 0.14∗ Normal (0.9 , 0.1 ) 0.82 0.03Normal (0.5 , 0.1 ) 0.38 0.24Normal (0.5 , 0.1 ) 0.55 0.32Normal (0.5 , 0.1 ) 0.44 0.18Normal (0.5 , 0.25 ) 0.50 0.37Normal (0.5 , 0.25 ) 0.50 0.20∗ Normal (0.9 , 0.1 ) 0.85 0.10∗ Normal (0.9 , 0.1 ) 0.96 0.34Normal ( 0.9 , 0.1 ) 0.78 0.20Normal ( 0.9 , 0.1 ) 0.88 0.18Normal ( 0.9 , 0.1 ) 0.76 0.28Normal ( 0.9 , 0.1 ) 0.65 0.25Normal ( 0.9 , 0.1 ) 0.58 0.44Normal ( 0.9 , 0.1 ) 0.82 0.40Normal ( 0.9 , 0.1 ) 0.73 0.25
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Normal ( 0.9 , 0.1 ) 0.80 0.31Normal ( 0.9 , 0.1 ) 0.65 0.12Inv.gamma (8 , 3) 6.80 4.59
Inv.gamma (1 , 0.5) 1.47 0.43Inv.gamma (0.3 , 0.1) 0.24 0.09Inv.gamma (1 , 0.5) 0.94 0.39
Inv.gamma (1.5 , 0.7) 1.98 0.59Inv.gamma (0.5 , 0.3) 0.38 0.44Inv.gamma (0.5 , 0.3) 0.42 0.57Inv.gamma (1 , 0.5) 1.35 0.15Inv.gamma (2 , 1) 2.92 2.41Inv.gamma (9 , 5) 13.3 4.78Inv.gamma (2 , 1) 0.87 1.10
Inv.gamma (0.3 , 0.1) 0.39 0.21 Inv.gamma (0.2 , 0.1) 0.32 0.48∗ Inv.gamma (1 , 0.5) 0.67 0.60Inv.gamma (0.3 , 0.2) 0.18 0.59Inv.gamma (0.5 , 0.3) 0.75 0.24Inv.gamma (0.5 , 0.3) 0.67 0.58Inv.gamma (0.5 , 0.3) 0.32 0.45Inv.gamma (0.5 , 0.3) 0.32 0.65∗ Inv.gamma (0.2 , 0.1) 0.15 0.07∗ Inv.gamma (1 , 0.5) 0.87 0.32Invgamma (1 , 0.5) 1.80 0.62Inv.gamma (1 , 0.5) 1.66 0.89Inv.gamma (1 , 0.5) 2.20 1.45Inv.gamma (1 , 0.5) 2.59 0.97Inv.gamma (1 , 0.5) 2.89 0.37Inv.gamma (1 , 0.5) 1.42 1.43Inv.gamma (1 , 0.5) 1.32 0.98Inv.gamma (1 , 0.5) 1.65 1.25Inv.gamma (1 , 0.5) 0.89 1.39
183
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