zviad zedginize makroekonomikuri da finansuri urtiertkavsirebis modelireba saqartvelos magalitze

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1 avtoris stili culia ivane javaxisvilis saxelobis Tbilisis saxelmwifo universiteti ekonomikisa biznesis fakulteti zviad zedginize makroekonomikuri urtiertkavsirebis modelireba saqartvelos magalitze ekonomikis doqtoris akademiuri xarisxis mosapoveblad warmodgenili sadisertacio nasromi mecnier-xelmzrvaneli: profesori nor xaduri Tbilisi 25

2 Sesavali...5 თავი I. globaluri krizisi makroprudenciuli politikis ganvitareba...7 msoflio krizisi misi Sedegebi krizisis sazlevad 3 makroprudenciuili politikis ganvitareba...2 gatarebuli RonisZiebebi saqartvelos safinanso seqtoris ganvitareba globaluri krizisis gavlena...28 თავი II. makro urtiertkavsirebis modelirebis istoria arsebuli midgomebi...47 makro kavsirebis mimoxilva makro kavsirebis Tanamedrove midgomebi modeli SezRudvebiT sagiravno aqtivebze modeli xarjiani verifikaciit moralurobis riski I ( Running Away modeli) moralurobis riski II ( Unobserved Banker Effort bankis mier naklebi Zalisxmeva)...8 თავი III. makro- modeli saqartvelostvis...85 modelis mikroekonomikuri safuzveli Semosavlianobis mrudi makroprudenciuli politika makro kavsirebi sakredito portfeli ertoblivi motxovna ertoblivi miwodeba... 7 gacvliti kursi... 8 monetaruli politika...3 თავი IV. modelis empiriuli analizi...4 parametrizacia baiesianuri Sefaseba istoriuli analizi kalman filtris gamoyenebit modelis implusze reaqciis analizi...3 თავი V. prognozireba alternatiuli scenarebis analizi

3 prognozi sabaziso scenarit alternatiuli scenarebis analizi...5 skvna...54 A. narti...64 gamoyenebuli literatura...83 დიაგრამები diagrama I. kapitaliს Sedineba ganavitarebad qveynebsi wmin (mlrd ass dolari)... 3 diagrama I.2 centraluri bankebis aqtivebi (24 ian. )... 7 diagrama I.3 vali msp-stan mimartebasi %... 8 diagrama I.4 saqartvelos suverenuli obligaciebis spredi (procentis sabaziso punqtebsi) diagrama I.5 realuri msp-s zr (wliuri prcentebsi) diagrama I.6 umoqmedo sesxebis wili portfelsi (procentebsi) diagrama I.7 biujetis deficiti sagareo vali msp-s procentebsi (procentuli punqti) diagrama I.8 uzravi qonebis fasebis indeqsi (ian. 27 ) diagrama I.9 valdebulebebis struqtura (mln. lari gacvlit kursis efeqtis gamoricxvit)... 4 diagrama I. ekonomikaze gacemuli sesxebi (mlrd lari)... 4 diagrama I. sesxebis depozitebtan Tanafardoba diagrama I.2 kapitalis adeqvaturobis koeficientis cvlilebis kontributori faqtorebi diagrama I.3 levareji diagrama III. makroprudenciuli politikis mokidebuleba ekonomikis biznes ciklze... 4 diagrama IV. parametrebis baiesianuri Sefasebis Sedegebi... 2 diagrama IV.2 faqtiuri potenciuri msp diagrama IV.3 faqtobrivi potenciuli realuri msp-s zr Warbi msp. 25 diagrama IV.4 sesxebi msp-stan fardoba misi trendi diagrama IV.5 Warbi msp dekompozicia faqtorebis mixedvit

4 diagrama IV.6 sesxebis msp-stan fardobis dekompozicia diagrama IV.7 adgilobrivi motxovnis Soki diagrama IV.8 miwodebis Soki diagrama IV.9 kapitalis kontrcikluri buferis Soki diagrama IV. sakredito Soki... 4 diagrama IV. qveynis risk premiis Soki diagrama IV.2 sagareo motxovnis Soki diagrama IV.3 ucxouri saprocento ganakvetis Soki diagrama V. ZiriTadi cvladebis saprognozo dinamika diagrama V.2 cvladebis stoqasturi saprognozo dinamika... 5 diagrama V.3 alternatiruli saprognozo scenarebi ცხრილები cxrili II- bankis gamartivebuli sabalanso uwyisi cxrili II-2 arasafinanso kompaniis gamartivebuli sabalanso uwyisi... 5 cxrili IV- modelsi gamoyenebuli monacemebi cxrili A- modelsi gamoyenebuli cvladebi cxrili A-2 modelis parametrebi cxrili A-3 mdgradi wonasworobis parametrebi... 7 cxrili A-4 baiesianuri Sefasebis Sedegebi

5 Sesavali globalurma finansurma krizisma natlad warmoacina markoekonomikuri 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 seqtoris analizma mati dinamikuri urtiertkavsirebis gatvaliswinebis garese SesaZloa araswor skvnamde migviyvanos (mag. Blanchard Ariccia Maoro 22 23). safinanso seqtoris zemxedvelobis politikasi sistemuri Sesabamisi midgomebis xasiatis riskebis ararseboba arasatanadod Sefaseba krizisis ert-ert xelmsemwyob mizezad iqca. krizisis Semdgom makroekonomikistebis mier mzardi yuradreba etmoba makroprudenciuli politikis analizsa misi instrumentebis efeqtianad gamoyenebas. msoflios wamyvani institutebis kvlevebsi natlad iyo xazgasmuli (mag. Macroeconomic Asseement Group 2) rom politikis gamtarebeltatvis umtavres gamowvevas warmoadgens swori balansis cva erti mxriv krizisebis riskebis Semcirebasa Sesabamisi SesaZlo moxdenis makroprudenciuli politikis ekonomikur naxarjs Soris romelic normalur pirobebi un gairos qveyanam. am yovelives fonze gansakutrebul aqtualobas izens makroekonomikuri modelebis ganvitareba makroekonomikur ezrvneba. kavsirebs. kerzod makrofinansur gavanalizot romlebic winamdebare nasromsi seqtoris nasromi agebulia urtiertkavsirebs. kerzo gaitvaliswinebs modeli modeli Warbi finansur swored am sakitxis romelic moicavs SesaZleblobas kreditebisa izleva: (I) Sesabamisad leverejis zedmetad zrdis riskebi; (II) ganvaxorcielot makroekonomikuri prognozireba makroprudenciuli monetaruli politikis endogenurobis pirobebsi; (III) iyos gzamkvlevi makoroprudenciuli monetaruli politikis dgenistvis; (IV) gavaanalizot sxvasxva hipoteturi stres-scenarebi mati sapasuxo optimaluri politika; (V) 5

6 xeli SevuwyoT makroekonokuri politikis sxvasxva instrumentebis koordinacias. modeli ganekutvneba axal-keinzianuri modelebis klass mcire Ria tipis ekonomikisatvis dinamiuri stoqasturi Equilibrium DSGE) moicavs zogadi finansur wonasworobis modelirebas Tumca seqtors. igi efuzneba (Dynamic Stochastic General naxevradstruqturulia rac maxasiatebelia politikis analizistvis gankutvnili modelebistvis. modelis parametrebi Sefasebulia saqartvelos istoriul monacemebze. arnisnuli makro- analizistvis gankutvnili gamdidrebulia modeli msgavsia modelebis friqciebis monetaruli Tumca modelirebit. politikis matebit igi makroprudenciuli politika endogenurad aris warmodgenili kapitalis buferis kontrcikluri wesit. nasromi organizebulia Semdegnariad: I-Tavi warmoacens nasromsi smuli sakitxis mnisvnelovnebas globaluri krizisis misi saqartveloze gavlenisa makroprudenciuli politikis gaanalizebit; II-Tavi mimoixilavs nasromsi warmodgenili sakitxis Sesaxeb arsebul kvlevebs makro modelirebis ZiriTad midgomebs; III- TavSi arwerilia makro- modeli saqartvelostvis misi struqtura parametrizacia ZiriTadi Tvisebebi; IV V TavebSi warmodgenilia modeli misi ZiriTadi Sedegebi. kontr cikluri wesi gulisxmobs bankebistvis minimaluri sacavi kapitalis normis zr ekonomikuri bumis dros xolo mis Semcireba recesiis dros. 6

7 თავი I. globaluri krizisi makroprudenciuli politikis ganvitareba msoflio krizisi misi Sedegebi msoflio ekonomikaze mnisvnelovani gavlena iqonia globalurma finansurma krizisma romelic meore msoflio omis Semdeg yvelaze did gamowvevad iqca msoflios ekonomikuri garemostvis. krizisisgan gamowveuli nakargebi qveynebis mixedvit msp-is 6% 4% farglebsia mosalodnelia rom misi uaryofiti Sedegebis armofxvras kidev mravali weli swirdeba. krizisi ramdenime etapad ganvitar. 27 wlis sawyissi ass-s uzravi qonebis bazarze wyebuli problemebi maleve gaizar ganvitarebuli qveynebis finansur krizissi. msoflios umsxvilesi safinanso institutebis nakargebs sakredito pirobebis gamkacreba kreditebis Semcireba moyva ramac ekonomikuri aqtivobis Seferxeba ganapiroba. situacia mkvetrad gauares globalur ekonomikur krizissi gaizar 28 wlis seqtembersi rodesac msoflios ramdenime umsxvilesi safinanso instituti gakotr. Tavpirvelad ass-s safinanso bazrebze Zabuloba e.w. sabpraim ipotekuri sesxebis problemebs moyva. krizisis sawyissi misi gavlena msoflios ekonomikaze gansakutrebit ki ganvitarebadi mzardi ekonomikis mqone qveynebze sakmaod mokrzalebuli iyo. krizisis ZiriTad mizezs uzravi qonebis busti warmoadgen romlis warmoqmnas xeli Seuwyo axalma finansurma instrumentebma. am ukanasknels Tavis mxriv globalurma makroekonomikurma disbalansma Seuwyo xeli romelsac CineTis navtobis eqsportiori qveynebis mier marali nazogebi qmni. Sefaseba mirebulia msp-s mimdinare donis SerebiT im warmosaxvit donestan romelic finansur krizis garese iqnebo (BIS 84th Annual Report III Growth and Inflation: drivers and prospects). 7

8 marali nazogebis pirobebsi investiciebis atvisebas adgilobrivi ekonomika verar axerxeb Sesabamisad mat saertasoriso aqtivebis groveba uwevt. fiqsirebuli an amas isic martvadi amwvaveb kursis rom pirobebsi es qveynebi umetesad funqcionirebdnen adgilobriv valutas sakmarisad gamyarebis sasualebas ar azlevdnen rac centraluri bankis saertasoriso rezervebs zrdi. Sesabamisad didi odenobit investiciebi grzelvadian ganakvetebis iqna urisko Semcireba mimartuli aqtivebsi mohyva. es ganvitarebuli rasac procesi Sedegad qveynebis mati aviwroveb sargeblis ganvitarebuli qveynebis komerciul bankebs romeltac bali sargeblis ganakvetebis gamo Semcirebuli Semosavlianobis kompensacia ufro riskiani kreditebit uwevt. bankebma axali instrumentebis Seqmna iwyo romlebic erti SexedviT momgebiani struqturirebuli romlitac usafrtxo maralriskiani stanrtebit gacemuli Can. e.w instrumentebi aqtivebin riskiani (mat ipotekuri sekuritizacia armocn Soris is sasualeba bali sakredito sesxebin (e.w. subpraim sesxebin)) SerebiT balriskiani likviduri aqtivebis sintezireba gax uzravi qonebis SesaZlebeli. am instrumentebit seqtori bazars didi odenobis kreditebas awvdi ramacc ganapiroba fasebis xangrzlivi swrafi zr. fasebis mzardi tendencia spekulaciur molodinebsi gaizar rac Tavis mxriv kidev ufro amwvaveb fasebis zrdis tendencias2. riskiani aqtivebin balriskiani 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 bali riskis mqone fuladi nakadebis mireba yofiliyo SesaZlebeli. arnisnuli midgoma advilad arnisnuli gulisxmobs rom mag. sxvasxva ipotekuri sesxebis gaertianebas ert aqtivad romelic Semdgom SesaZloa gaiyidos investorze. am fasiani qaraldis ukan kvlav ipotekuri sesxebi dgas Tumca nacvlad ertisa ukve ramdenime. 2 Self-fulfilling expectations. 8

9 gavrcel bankebis saqmianobasi radgan igi erti SexedviT riskebisgan martivad zrvevis sasualebas warmodgen rac bankebistvis riskiani kreditebis mimzidvel sasualebas qmni. ekonomikuri ciklis armavlobis fazasi mocemuli instrumentebi martlac bali riskit xasiatdebo Tumca sistemuri riskis mimart Zalian mgrznobiareni armocndnen. bazris ekonomikur amocanas riskis Sefaseba kapitalis optimalurad ganawileba warmoadgens. Tumca rogorc armocn rtul instrumentebtan mimartebasi finansurma bazarma am funqciis Sesruleba ver SeZlo riskis martvis nacvlad matebiti riski Seqmna. amis upirvelesi mizezi axali instrumentebis gaumwvirvaloba iyo rac mati teqnikuri xasiatin gamomdinareob. warmoebuli sakredito instrumentebi romlebic e.w. sekuritizaciis struqturirebis Sedegad iyo mirebuli imdenad rtuli armocn rom mastan asocirebuli riskebis srulyofilad gaanalizeba bazrisatvis Zneli armocn. investorebi srulad mienden sareitingo saagentoebis Sefasebebs ramac bazris monawileebis e.w. jogur qcevas Seuwyo xeli. Tavis mxriv sareitingo saagentoebis mier riskebis Sefasebis mtavari mizezi misi procikluroba kompaniebis metodologiasi sistemuri araadekvaturad gax rac sareitingo makroekonomikuri riskebis gautvaliswineblobis Sedegi iyo. modelebi romlebic riskebis Sefasebisas stresuli scenarebis analizistvis gamoiyenebo umeteswilad ekonomikuri ciklis mxolod armavali fazis monacemebs eyrdnobo ver itvaliswineb im mizez-sedegobriv kavsirebs romelic ekonomikuri vardnis pirobebsi warmoisvebo. realurad ki is fasiani qaraldebi romlebic TiTqmis urisko aqtivebad iyo Sefasebuli gacilebit maralriskiani armocn. sakredito reitingebis procikluroba gulisxmobs rom ekonomikis bumis fazasi sareitingo Sefasebebi gawarbebulad maralia xolo ekonomikuri recesiis fazasi piriqit. ix. Turner 29 The Turner Review: A regulatory Response to the Global Banking Crisis Financial Services Authority UK 9

10 finansur bazarze riskebis grovebis ert-ert mizezs sazemxedvelo politikis xarvezebi warmoadgen ramac sekuritizaciis cudi praqtikis gamoyenebas Seuwyo xeli. safinanso seqtoris sazemxedvelo organoebma ver SeZles jerovnad epasuxat inovaciebis swrafi ganvitarebistvis. im sazemxedvelo organoebmac ki romlebic yvelaze ganvitarebul sakmaod sazemxedvelo praqtikas iyenebdnen rogorc armocn gvian gaacnobieres rom safinanso institutebi xsirad garesabalanso aqtivebis gamoyenebit cdilobdnen kapitalis matebiti motxovnistvis erwiat Tavi. sekuritizacia bankebs sasualebas azlev balansze arsebuli sesxebi garesabalanso uwyisze gaetanat finansur bazrebze gaeyit rac mat matebiti sakredito resursis mozidvis sasualebas azlev. bankebi sesxebis gacemis struqturirebit Semosavlebs Rebulobdnen. gayidvit marjas bankis balansze arsebuli sakomisio sesxi marali kapitalis motxovnis obieqtia Tumca misi sekuritizaciis gayidvis Semdeg is bankis savawro fasian qaraldebsi xvdeba rac Tavis mxriv nakleb kapitals moitxovs. sekuritazaciis Sedegad gamotavisuflebuli saxsrebi kapitali kvlav sesxebis gacemas xmardebo. es sazemxedvelo xarvezi bankebs sasualebas azlev riskebi kapitalis zrdis garese gaezart. safinanso leverejis2 seqtori pirobebsi pasuxismgeblobis SemTxvevaSi sxva funqcionirebs problema bankebis seqtorebtan axasiatebs3. mmartvelta SerebiT yvelaze mas e.w. Sesabamisad interesebi ar marali SezRuduli ararentabelobis aris yoveltvis sazogadoebriv interesebtan Sesabamisi. safinanso seqtoris swored es gansxvavebaa mati struqturirebuli regulirebis interesebi ert-erti xels uwyobs mizezi. bankebs kerzod garkveul arasworad riskebze magalitad Caprio Demirgüç-Kunt and Kane 28. leveraji warmoadgens kompaniis aqtivebis fardobas mis sakutar kapitaltan (anu aqtivebis fardoba aqtivebs klebuli valdebulebebtan). 3 arnisnuli gulisxmobs rom zaralis SemTxvevaSi bankistvis maqsimaluri nakargi SemosazRvrulia kapitalis odenobit. Sesabamisad aqtivebis SesaZlo kargvisas bankis kapitali zarals mxolod nawilobriv faravs (bazelis mixedvit kapitalizaciis sasualo done 8%-ia). 2

11 wavidnen rac SesaZloa ar iyos sazogadoebriv interesebsi. kriziss win uzrvo is garemoeba rom bankebma riskis Warbad areba finansur zemxedvelobis xolo praqtikasi nakargebis arsebuli xarvezebis realizaciis gasaxadebis gamxdelebze SemTxvevaSi gamoyeneba mteli iwyes tvirtva gavi. Tavis mxriv bankebis mmartvel menejerta kompensaciis sqemebi ar iyo sworad Camoyalibebuli rac mattvis grzelvadiani riskebis fasad moklevadiani sargebelis mirebis waxalisebas axden (mag. Benanke 29). yovelive aman finansur seqtorsi mnisvnelovani riskebis akumulireba ganapiroba rac ert-ert yvelaze mzime finansur krizissi gaizar. Tavpirvelad e.w. sabpraim ipotekuri sesxebis gakotrebebi gaizar rasac sareitingo kompaniebis mxrin msgavsi tipis aqtivebze sakredito reitingebis mnisvnelovani gauareseba mohyva. Sesabamisad armocn rom finansur institutebs SesaZenad (radgan marali egonat rom fasi hqont bali gaxdili riskis mqone am aqtivebis iyo). aqtivebis gafasebam mravali institutis sabalanso uwyisis gauareseba ganapiroba mati gaxdisunarianobaze safuzvliani ewvi warmosva. bankebis sakutari kapitali romelic msgavsi SemTxvevebisTvis nakargebis farvistvis bufers warmoadgens arar iyo sakmarisi. aseve mnisvnelovan sirtuleebs kapitalis waawydnen sawiroeba bankebi axali totaluri kapitalis xasiatis iyo mozidvisas mteli radgan sistemistvis. mtavrobebisa centraluri bakebis mxrin gatarebuli zomebis wyalobit nawilobriv warmatebit moxerx arnisnuli krizisis Sekaveba 28 wlis seqtembramde. aseve safinanso bazarze arsebob ganc rom arsebuli msxvili institutebis gakotrebas mtavroba ar usveb (sakmarisad didi institutebi iyvnen saimisod rom mtavrobas mati gakotreba esva too big to fail ). es ganc gaqarwyl 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 institutebis gakotrebis riskebi ramac finansur institutebs Soris undobloba gaacina.

12 mkvetrad Semcir forsirebuli bankta gayidva Soris iwyes vawroba (fire selling) bankebma riskiani leverejis aqtivebis ukontrolod Semcirebis procesi warimarta rac uzravi qonebis fasebis kidev ufro metad Semcirebas gamkacr ganapirobeb. ekonomikis am kreditebis yovelives fonze stanrtebi ramac uprecedentod ekonomikuri aqtivoba mnisvnelovnad SezRu. motxovnis Semcirebis gamo inflacia swrafad eca ramac e.w. fiseris deflaciis efeqti gamoiwvia. fasebis Semcirebam sesxebis farva kidev ufro gaartula. am yovelives fonze sakredito portfelis xarisxi ufro ufro uaresdebo. sizneleebis gamo sesxebis globalurma nakargma 4 trilioni ass dolari Seadgina. globaluri krizisi dramatulad Seexo ganvitarebadi ekonomikebis mqone qveynebs. kerzod globaluri garemos gauaresebis fonze mkvetrad Semcir kapitalis Sedineba arnisnul qveynebsi. aseve ganvitarebuli qveynebis mxrin motxovnis Semcireba uaryofitad aisaxa ganvitarebadi qveynebin eqsportze. arnisnulma mkvetrad gaauaresa mati mimdinare angarisi (ix. diagrama I.) gacvliti kursis devalvaciis winase ayena ganvitarebadi ekonomikis qveynebi. fiqsirebuli gacvliti kursis rejimis mqone qveynebis ekonomika kidev ufro didi sirtuleebis winase armocdnen. 2

13 diagrama I. kapitaliს Sedineba ganavitarebad qveynebsi wmin (mlrd ass dolari) wyaro: saertasoriso safinanso instituti (IIF). 2 krizisis sazlevad krizisis masstaburobis saxelmwifos mier centraluri bankebisa gatarebuli RonisZiebebi gamovlenastan uprecedento zomebi ertad iqna saertasoriso msoflios mirebuli. organizaciebis mravali mtavrobebis ertoblivi Zalisxmeva krizisis Zlevis ekonomikaze misi uaryofiti Sedegebis Sesustebas isaxav miznad. Tavpirvelad ass-si wyebuli krizisi maleve mtel msoflios moedo mravali qveynis institutebi gakotrdnen an sirtuleebis winase armocndnen. ganvitarebuli qveynebis kapitalis bazrebis urtiertgajawvulobis fonze krizisis sazlevad gatarebuli RonisZiebebis kompleqsurobis koordinaciis 3

14 sawiroeba Seiqmna. bankebis garcenisa (bailout) stimulirebis paketze samtavrobo xarjebma msoflio msp-s 5 % Seadgina. pirvel etapze mirebuli arsebul nazogebze gacemasa rac bankebsa mtavrobebis centraluri likviduri saxsrebis sakmarisi zomebi mier bankebis sainvesticio fartomasstabian mxrin fondebsi garantiebis sistemistvis miwodebas moicav. Tumca arnisnuli ar armocn krizisis ganvitarebis fonze maleve gax cnobili. mtavrobebma ufro mkacr zomebs mimartes rac xsir SemTxvevaSi institutebis garcenas (bailout) mati nacionalizaciisa nakargebis saxelmwifos mier farvas gulisxmob. Tavis mxriv msoflios ZiriTadma centralurma bankebma arakonvenciuri (unconventional) RonisZiebebis e.w. gatareba iwyes monetaruli politikis arxebis gasazliereblad. krizisis Zlevis umtavres winapirobas seqtorisadmi investorebis ndobis ardgena warmodgen. krizisis wyebin romelic safinanso seqtorsi likvidobis deficitis sakredito nakargebisa aqtivebis fasebis cemit arinisnebo Semdgom etapze seqtoristvis fuladi resursebis mozidvis problemebi safinanso warmoqmna mati gaxdis unarianobis problemebi gazar. im droistvis msoflios erterti umsxvilesi safinanso institutis Lehman Brothers -is gakotrebam ki krizisi yvelaze intensiur fazasi Seiyvana rodesac globaluri masstabit safinanso institutebisadmi ndoba gaqra. saxelmwifoebis Zalisxmeva mimartuli iyo safinanso seqtorisadmi ndobis ardgenistvis msoflios ganvitarebuli qveynebis mier uprecedento zomebis ertoblivad gatarebis Sedegad met-naklebi warmatebit ganxorciel ndobis krizisis (confidence crisis) Zleva. 28 wlis problemuri 3 oqtombers aqtivebis ass-s xmarebis kongresis mier mirebul iqna kanoni Sesaxeb (Troubled Asset Relief Program). arnisnuli RonisZiebis farglebsi 7 miliardi dolari iqna gamoyofili aralikviduri aqtivebis SesaZenad safinanso institutebin am gzit BIS 79th Annual Report 29. 4

15 mati nakargebis mtavrobam SemcirebisTvis. britanuli bankebis amave periodsi nacionalizaciis didi britanetis kompleqsuri programa gamoacxa. amas evrokavsiris wevri qveynebis mier sabanko seqtorisadmi garantiebis gacema zogiert SemTxvevaSi bankebis nacionalizacia mohyva. 28 wlis oqtombersi ndobis krizisi ukve lokalizebuli iyo. ass-s didi britanetis aseve belgiis germaniis irladniis holandiisa sxva qveynebis mier seqtorisadmi xmarebam gacemulma garantiebma kapitalis miwodebam sabanko sistemaze seqtoris stabilizacias Seuwyo xeli. kerzod am RonisZiebebis Sedegad safinanso institutebis valdebulebebi nawilobriv saxelmwifos valdebulebad iqca ramac investorebis mxrin ndobis ardgena riskis marjebis Semcireba ganapiroba. es ukanaskneli ki gansakutrebit mnisvnelovani iyo bankebis valdebulebebis refinansirebistvis ekonomikis kreditebis ardgenistvis. centraluri bankebis mxrin krizisis Tavpirveli pasuxi monetaruli politikis ganakvetebis koordinirebulad Semcireba iafi likvidobis miwodeba iyo. centraluri uzrunvelsayofad iyeneben. Tumca gacemis moklevadiani tradiciuli institutebis asimetriulobis mnisvnelovnad bankebi sargeblis krizisis arxebi gamo fonze miznebis instruments monetaruli politikis SeizRu2. safinanso problemebisa banktasoris politikis ganakvetebis mnisvnelovnad gaxdisunarianobis Seferx monetaruli fulad arauzruvelyofili informaciis bazrebze sesxebis vawroba sargeblis ganakvetebi mkvetrad gaizar. Sedegad ekonomikis krediteba gamkacr imis miuxevad Tu ramdenad Seamcires centralurma bankebma monetaruli politikis ganakvetebi3. am pirobebsi centralurma bankebma axali instrumentebis SemoReba iwyes ris sasualebitac ekonomikasi grzelvadiani sargeblis ganakvetebis Semcireba kreditebis waxaliseba iyo SesaZlebeli. BIS 79th Annual Report 29. იხ. 3 ix

16 centraluri bankebis stimulirebis mier gar tradiciuli pirveli nabiji monetaruli iyo rom arxit Serbil ekonomikis centralur bankebsi ukve arsebuli instrumentebit likvidobis miwodebis pirobebi. kerzod gaizar im sagiravno aqtivebis nusxa romlis bazazec safinanso instituts SeeZlo moculoba vadianoba centraluri im bankisgan safinanso esesxa gaezar institutebis nusxa sesxebis romlitac monetarul operaciebsi SeeZloT monawileoba mierot (Sesabamisad esesxat centraluri bankebisgan (counterparty financial institutions)). centralur banktan operaciebistvis Svebuli sagiravno aqtivebis nusxis gafartoebas gansakutrebuli mnisvneloba hqon ramdenac sagiravno aqtivebis mwiri moculoba ar gamxriyo miwodebis SemzRuvi. SesabamisobaSia centraluri bankebis mxrin likvidobis un arinisnos rom likvidobis miwodebis zr centraluri bankis mizantan kerzod mat ert-ert ZiriTad bolo instanciis msesxeblis (lender-of-last-resort) funqciastan Tumca krizisis periodsi gamoyenebuli masstabebi gacilebit arematebo tradiciulad gamoyenebul normebs. krizisis ekonomikaze uaryofiti efeqti maleve globalur recesiasi gaizar. msoflios wamyvani qveynebis centraluri bankebi monetaruli Semdgom politikis ganakvetebis nulovan nisnulamde Semcirebis SezRudulebi armocndnen rom matebit ekonomikis stimulireba moexdinat (zero-bound) Serbilebis Serbileba ramac (quantitative gulisxmobs e.w. easing) monetaruli sawiroeba centraluri bankis politikis raodenobrivi ganapiroba. raodenobrivi mier saxelmwifo fasiani qaraldebis SeZenas Ria operaciebit rac miznad isaxavs grzelvadiani sargeblis ganakvetebis Semcirebas Sesabamisad ekonomikuri agentebis kreditebis zrs ekonomikis stimulirebas. arnisnuli procesit izrdeba ekonomikasi mimoqceuli sarezervo fulis masa 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) 6

17 diagrama I.2 centraluri bankebis aqtivebi (24 ian. ) აშშ 3 ევროზონა დიდი ბრიტანეთი 2 იაპონია შვეიცარია 27M 27M5 27M9 28M 28M5 28M9 29M 29M5 29M9 2M 2M5 2M9 2M 2M5 2M9 22M 22M5 22M9 23M 23M5 23M9 წყარო: IFS International Financial Statistics monetaruli politikis gar saxelmwifoebma aqtiurad iwyes fiskaluri politkis gamoyeneba ekonomikis stimulirebistvis. fiskaluri stimulis sawiroebaze konsesusi msoflios masstabit Sedga. arnisnuli erti mxriv ekonomikaze monetaruli moqmedi uaryofiti politikit Sokis simwvavem uprecendento xolo stimulirebis meore mxriv fonze misi SesaZleblobis amowurvam ganapiroba. ganvitarebuli qveynebis suverenuli vali msp-stan mimartebasi 28 wlis Semdgom mnisvnelovnad gaizar (diagrama I.3). valis zr nawilobriv ekonomikis stimulirebisa safinanso institutebis garcenistvis gaweul xarjebs nawilobriv ki Semcirebul arsebuli sabiujeto valis done Semosavlebs biujetis ukavsrdeba. deficitis qveynebs zrdis romeltac SesaZleblobas ar azlevt ekonomikuri krizisi ufro mwvaved SeexoT (mag. IMF 23 Reassessing the role and Molities of Fiscal Policy in Advanced Economies 23). 7

18 diagrama I.3 vali msp-stan mimartebasi % წყარო: IFS International Financial Statistics fiskalur eqspansias centraluri bankebis mier monetaruli politikis Serbileba uwyob xels. kerzod ganvitarebuli qveynebis centraluri bankebis mier mtavrobis ganakvetebis Semcirebas efeqtianobas zrdi. obligaciebis ganapirobeb kerzod SeZena rac monetaruli saxelmwifo fiskaluri stimulis valze politikis fonze Semcir fiskaluri eqspansiis Sedegad sargeblis ganakvetebze zrdis zewola ertoblivi motxovnis SezRudvis riski (crowding out). aseve monetarulma stimulma Seamcira biujetsi Seuwyo kontrcikluri valis momsaxurebis fiskaluri politikis tvirti ramac xeli ganxorcielebas arnisnuli gamoixata imasi rom mtavrobebs miecat SesaZlebloba gaezart biujetis deficiti ekonomikuri recesiis sapasuxod. krizisis periodsi valis mosalodnelze metad zrm suverenuli riskebi warmosva. zogierti qveynebistvis miuxevad imisa rom krizisamde valis sakmaod bal nisnulze iyvnen safinanso sistemis gasarcenad xarjulma resursebma valis mkvetri zr ganapiroba. amas isic emata rom evrozonis calkeul qveynebsi warmosobili fiskaluri problemebis mogvareba evrozonis ertoblivi ZalisxmeviT mosalodnelze metad gawianur ramac investorta ndoba Seamcira. am ukanasknelma ki riskis marjebis zr ganapiroba ramac am qveynebis fiskaluri mdgradobis 8

19 SenarCuneba gaartula. problemebi hqont ver axerxebdnen evrozonis is qveynebi romeltac fiskaluri ertian savaluto zonasi yofna zruvt radgan gacvliti kursis devalvaciit moexdinat ekonomikis koreqtireba (adjustment). arnisnuli garemoeba evrozonis wevri zogierti qveynis gamoyofis sasisroebas warmosob rac matebit asusteb investorta ganwyobas. globaluri krizisis pasuxad saertasoriso safinanso organizaciebma(ifi)mkvetrad gazar finanseba sesxebi garantiebi. kerzod mas Semdeg rac gamoaskarav krizisis sruli masstabi misi uaryofiti gavlena msoflio ekonomikaze xmarebis miznit msoflio bankis jgufi (World Bank Group) saertasoriso savaluto fondi (IMF) sxvebi aqtiurad CaerTvnen Tavisi mantis Sesabamisad. msoflio bankis jgufis xmareba Tavpirvelad sasualosemosavlian RonisZiebebi qveynebze gaatara fokusirebuli xolo romelis Semdgom farglebsic iyo ufro sesxebis zrze fartomasstabiani xmareba yvela jgufis qveynebs SeexoT. saertasoriso savaluto fondis mier 29-2 wlebsi garantia iqna gacemuli 29 mlrd. ass dolaris Tumca faqtobrivad atvisebuli iqna 67 mlrd. ass dolari. aseve moculobiti iyo msoflio bankis mier gacemuli garantiebi gacemuli Tanxebi (imave periodsi 29 mlrd. 8 mlrd. ass dolari Sesabamisad) 2. saertasoriso safinanso institutebis xmareba miznad isaxav mxarwera armoecina wevri qveynebistvis rata SeemcirebinaT krizisis uaryofiti gavlena mat ekonomikaze SeenarCunebinaT makroekonomikuri stabiluroba. kerzod miznobriobis kutxit sam ZiriTad mimartulebas moicav: pirveli ) ecva yvelaze ekonomikis mqone qveynebi; 2)grZelvadiani infrastruqturuli proeqtebis finanseba gagrzelebuliyo 3) SeenarCunebina kerzo seqtoris wamyvani wvlili qveynis ekonomikur zrsi. romelic moicavs IBRD IDA IFC MIGA. magalitad The world Bank Group s Response to the Global Economic Crisis Independent Evaluation Group

20 3 makroprudenciuili politikis ganvitareba finansurma krizisma mnisvnelovani gamowvevebis winase ayena safinanso sistemis arsebuli struqtura misi sazemxedvelo politika. msoflios sxvasxva qveyanasi rigi RonisZiebebi gaatares rata erti mxriv SeekavebinaT krizisis uaryofiti efeqti xolo meore mxriv iwyes reformirebis safinanso seqtoris sazemxedvelo grzelvadiani procesi. reforma politikis miznad isaxav sazemxedvelo praqtikasi manamde arsebuli sisusteebis armofxvras RonisZiebebis ganxorcielebas romelta Sedegac ufro Zlieri mdgradi safinanso sistema un Camoyalibebuliyo (mag. BIS 2 8st Annual Report V. Financial Regulatory Reform: Accomplishments Pitfalls Prospects). am yovelives fonze makroekonomistebis bolo mzardi wlebsi yuradreba politikis etmoba gamtareblebisa regulirebis metodebis makroekonomikur analizs (mag. Blanchard Dell Ariccia & Maoro 22 23). debatebi ZiriTad fokusirebulia makroprudenciul instrumentebsa mati efeqtianad gamoyenebis gzebze aseve makroprudenciuli monetaruli politikis urtiertkavsirsa am yvelafertan kavsirebul sirtuleebze. makroprudenciuli politika stabilurobis gulisxmobs iset monitorings sazemxedvelo Sefasebas politikis gatarebas romelic mimartuli iqneba sistemuri riskebis armofxvrasa seqtoris prociklurobis (ciklis ganeitralebaze. makroprudenciuli romlis erti mizania egzogenuri Sokebis mxriv mimart mimartulebit politika gazardos xolo meore prevenciuli mxriv procyclical) mzardi xasiatisaa sistemis SezRudos medegoba disbalansis warmoqmna aqtivebisa kreditebis bazarze rac krizisebis ert-erti ZiriTadi maxasiatebelia. bazarze disbalansis Sesamcireblad gansakutrebuli mnisvneloba eniweba ciklis 2

21 sawinaarmdego (countercyclical) politikis gatarebas am mxriv riskebis warmoqmnis xelseslas. makroprudenciuli politikis erti-erti sakitxi romlis mnisvneloba finansurma krizisma natlad warmoacina aris sazemxedvelo politikasi sistemuri midgomis aucilebloba. sistemuri xasiatis riskebis arasatanadod Sefaseba krizisis ert-erti gamomwvevi mizezi iyo. bankebis maregulirebeli organoebi rogorc wesi fokusirebulni iyvnen e.w. ideosiknaratul - konkretuli bankistvis maxasiatebel riskebze. sistemuri xasiatis riskebi mtlianad safinanso sistemas uqmnis safrtxes ara mxolod izolirebulad romelime konkretul instituts. sistemuri riskebi ramdenime kategoriad SeiZleba iyos. pirveli egzogenuri Sokebi romeltac magalitad ekonomikuri vardna ganekutvneba sagareo Soki sxva. am tipis Sokebi gulisxmobs Cvengan moukidebeli movlenis aris e.w. gamdebi efeqtebi (contagion) moxdenas. meore es romelic saertasoriso masstabit seqtoris marali integraciit aris ganpirobebuli. mesame kategorias warmoadgens disbalansis groveba romelic endogenuri xasiatis riskia igi xsirad bazris monawileta mati maregulireblebis centraluri bankebisa xelisuflebebis uyuradrebobit grovdeba. amis magalitia msoflio krizisic rodesac politikis sargeblis finansurma sazemxedvelo erti ganakvetebma mxriv politikam Semcirebuli meore uzravi mxriv qonebis monetaruli aragonivrulma fasebis busti waaxalisa. sistemuri riskis xasiatis mixedvit gansxvavebulia midgomebi TiToeul SemTxvevaSi egzogenuri makroprudenciulma Sokebis mimart politikam un makroprudenciulma gamoiyenos. politikam Tuki sistemis medegoba un akontrolos gazardos gamdebi riskebisa disbalansis sasisroebis SemTxvevebSi. mati winaswari prevencia am tipis riskebis warmoqmnis xelsesla un ganaxorcielos. krizisis Semdgom am mimartulebit didi yuradreba gamaxvil ara erti instrumentis nergva iwyo sazemxedvelo politikasi romelic 2

22 sistemuri riskebis armofxvrisken aris mimartuli. sistemuri riskebis umtavres wyaros safinanso seqtoris procikluri xasiati warmoadgens. sistemis asimetriuloba prociklurobis qmnis. kerzod safuzvels rodesac bazarze informaciis ekonomikuri vitareba gauaresebulia (recesiis dros) sagiravno aqtivis fasebi (uzravi qoneba firmebis kapitali) mcirdeba uaresdeba firmebis sabalanso uwyisi Sesabamisad momgebiani sainvesticio xolo rodesac ekonomikuri proeqtebic pirobebi ki Znelad gaumjobesebulia finansdeba (ekonomikuri armavlobis fazasi) sagiravno aqtivis fasebi matulobs firmebi advilad axerxeben finansebis moziebas es kidev ufro zrdis ekonomikur aqtivobas. ekonomikuri ciklebis aset kavsirs aqseleracia ewodeba. un itqvas rom gar aqseleraciisa arsebobs sxva faqtorebi rac finansur seqtors prociklurobas szens (mag. Borio sxvani 2; Gertler Kiotaki 2; Rajan 25). Tanamedrove kvlevebit itvleba rom prociklurobis matebit wyaros warmoadgens ekonomikuri riskebis cvlilebis mimart safinanso bazris monawileta araadekvaturi pasuxi. sxvasxva faqtori xsirad ganapirobebs ekonomikuri bumis dros riskebis arasatanadod xolo recesiis dros gawarbebulad Sefasebas. seqtoris mnisvnelovani wyaro prociklurobis iyo aseve ganmapirobebeli safinanso zemxedvelobis ert-erti politika romlis armofxvrazec krizisis Semdgom aqtiurad iwyo musaoba. kerzod sesxebis SesaZlo stanrtulad nakargebis itvaliswinebs mimart imas rom rezervebis SesaZlo nakargebis praqtika rezervi mibmulia sesxebis momsaxurebis defaqto vagacilebaze. Sesabamisad ekonomikuri ciklis armavlobis fazasi banks SesaZlo nakargebis mcire rezervi swirdeba xolo ciklis Rmaval fazasi (ekonomikuri stagnaciis periodi) rodesac cudi xarisxis sesxebi Tavs gamoavlens izrdeba SesaZlo nakargebis rezervi. aseve bazel II-is mixedvit motxovnebi sabanko zemxedvelobis bazelis komiteti SeimuSavebs gansazrvravs sabanko zemxedvelobisa kanonmdeblobis sauketeso praqtikas romelsac rekomenciebis saxit awvdis msoflios qveynebis safinanso seqtoris maregulirebel organoebs. bazel II warmoadgens meore Taobis SeTanxmebas romelic praqtikulad ukve 2 2 wlebsi Canacvl bazel III-iT. 22

23 kapitalis adekvaturobis midgomit ciklis gamoirceo. bumis sakredito kapitalis dros ciklis uzrunvelyofistvis rac motxovnebi kidev Rmavlobisas ufro xasiatis Serbilebulia amwvavebs rodesac kapitalis motxovnebi mkacrdeba rac procikluri sakredito arnisnul krediteba process. Semcirebulia kidev ufro zruvs kreditebas Sesabamisad es yovelive aferxebs ekonomikis gajansarebas. makroprudenciuli politikis farglebsi safinanso seqtoris regulireba biznesciklze mokidebuli xdeba. kerzod kapitalis adekvaturobis sesxebis SesaZlo nakargebis mimart rezervebis normebi ciklis sawinaarmdego xasiatis xdeba. arnisnuli idea gulisxmobs rom kapitalis motxovnebi un gamkacrdes SeizRudos sakredito Sesustdes Rmavlobis Sesabamisad sakredito portfelis fazasi uzrunvelyos ciklis Warbad rata bumis zr xolo waaxalisos mastabilizebeli periodsi motxovnebi kreditebis funqcia. rata zr. makroprudenciuli zemxedvelobis politikit sistemuri riskebis regulirebis SemTxvevaSi gansakutrebul aqtualurobas izens analitikuri metodebi rac sazemxedvelo normebis optimalurad dgenistvisaa sawiro. magalitad raodenobrivad rogor un iqnes Sefasebuli sakredito Tu biznesciklebi aseve rogor un kalibrirdes makroprudenciuli politikis ZiriTadi instrumentebi sxva. makroprudenciuli politikis instrumentebi sakmaod mravalferovania Tumca or ZiriTad kategoriad iyofa. pirvel kategorias ganekutvneba instrumentebi romeltac instrumentebi gamiznulia armosafxvrelad. orientirebuli ganzomilebis droiti meore es aris instrumentebi mqone ganzomileba sistemis riskebis (drois gaacnia. yvelaze kategoriis prociklurobis ganawilebis konkretul instrumentebin am SezRudvaze periodsi). fartod droiti gamoiyeneba kapitalis ciklis sawinaarmdego buferi (Countercyclical Capital Buffer) Loan-toValue (sesxis fardoba giraos fastan) Debt-to-Income (valis momsaxurebis tvirti) rezervebis Dynamic Provisioning (sesxebis dinamikuri wesi). SesaZlo riskebis nakargebis ganawilebis mimart SezRudvaze orientirebuli instrumentebis gamoyeneba gulisxmobs matebit kapitalsa 23

24 likvidur aqtivebze motxovnas sistemurad mnisvnelovani bankebistvis (Systemically Important Financial Institutes) aseve SezRudvebs bankis araziritad (araprofilur) saqmianobaze sxva. makroprudenciuli politika gansakutrebul yuradrebas utmobs sistemuri mnisvenlobis mqone bankebs romlebic sakmarisad didebia rom mtavrobam mati gakotreba usvas (too big to fail). aset SemTxvevaSi matebiti usafrtxoebis normebia sawiro rom erti romelime bankis mxrin mtlianad finansur sistemas ar emuqros safrtxe gasaxadis gamxdelebs ar awvet tvirtad. ciklis buferis (countercyclical buffer) sawinaarmdego mizania kapitalis buferis gamoyenebis gzit miarwios makroprudenciuli politikis ZiriTad mizans erti mxriv SezRudos sabanko seqtori kreditebis Warbi zrdisgan (romelic xsirad sistemuri riskis warmoqmnastan aris kavsirebuli (mag. Drehmann Borio Tsatsaronis 2; Drehmann sxvani 2)) xolo meore nakargebis kapitalis mxriv moamzados gazlebistvis. buferi bumis kerzod uzrunvelyofs Semdgom instrumentis sabanko Rmasvlis farglebsi seqtors hqondes fazasi Seqmnili sakmarisi kapitali rata kreditebis Warbi zrdis Semdgom stresis periodsi ar Seferxdes ekonomikistvis sawiro kreditebis procesi. es ukanaskneli mnisvnelovan faqtors warmoadgens makroekonomikuri stabilurobistvis rac TavisTavad mnisvnelovani faqtoria imistvis rom safinanso seqtoris matebiti nakargebi iqnes Tavin acilebuli2. gar imisa rom ciklis sawinaarmdego kapitalis buferi emsaxureba sabanko seqtoris cvas stresis periodsi igi aseve asrulebs sistemuri riskebis grovebis Semaferxebel funqcias (lean against the wind). kerzod kapitalis xarji buferis gamoyenebit SevamciroT SesaZlebelia motxovna gavzardot rodesac ikveteba kreditebis rom warsul tendenciebtan SerebiT kreditebis tempi Warbia. Tumca un arinisnos rom kapitalis sawinaarmdego buferistvis Warbi kreditebis matebiti informaciistvis ixiletfsb 23 Progress and Next steps Towards Ending Too-Big-ToFail (TBTF). 2 magalitad BIS 2 (Guidelines for National Authorities Operating the Countercycylical Capital Buffer). 24

25 Semaferxebeli funqcia ar aris ZiriTadi mis mtavar funqcias SesaZlo stresis pirobebsi mdgradobis zr 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 amis mixedvit adginos bankebistvis kapitalis matebiti odenoba romelic mat un iqonion. gamocemuli rekomenciebis Tanaxmad kapitalis buferis bazelis mier konkretuli nisnulis dgenistvis gamoiyeneba kerzo seqtorze gacemuli sesxebis mspstan fardobis analizi (credit-to-gdp gap). kerzod credit-to-gdp ramdenad gaxrilia Tavisi istoriuli trendin potenciurad sistemuri riskis doneze miutitebs Sesabamisad kapitalis buferi masze yrdnobit ganisazrvreba. arnisnuli indikatori istoriulad kargad arwers sistemuri riskebis grovebas (mag. Drehmann sxvebi 2). makroprudenciuli politikis mnisvnelovani instrumentebia: sesxis Loan-to- Value (LTV) Debt-to-Income (DTI) koeficienti. msoflios bevr qveyanasi aqtiurad gamoiyeneba LTV macveneblistvis maqsimaluri zrvris weseba. arnisnuli SezRudva miznad isaxavs sistemuri riskebis Semcirebas rac Tan sdevs uzravi qonebis fasebis bustis warmoqmnas. kerzod LTV-s ze zrvris weseba uzrunvelyofs imas rom sesxis moculoba iyos mcire sagiravno uzravi qonebis fastan SerebiT rac zruvs uzravi qonebis fasebis spekulaciur zrs amcirebs aqseleraciis efeqts (mag. Crowe Dell Ariccia Igan Rabanal 2; Drehmann Juselius 22). zogiert SemTxvevaSi LTV-s regulireba diskriminaciulia uzravi qonebis nisnulebis mixedvit (mag. mkacri pirobebi uwesdebat komerciuli spekulaciuri miznit qonebis SeZenis SemTxvevaSi masin roca SeRavaTebia sacxovrebeli gamoiyeneba nisnulebit agretve DTI yidvisas). koeficientis praqtikasi regulireba. LTV-sTan es ertad ukanaskneli gulisxmobs rom valis yoveltviuri momsaxurebis moculoba msesxeblis 25

26 wmin gankargvad SemosavalTan mimartebit ar un arematebodes wesebul zrvars. ert-erti fartod gavrcelebuli makroprudenciuli instrumentia aseve Dynamic Provisioning romelic pirvelad jer kidev globalur finansur krizisamde espanetsi iqna SemoRebuli (mag. Saurina 29) xolo krizisis Semdeg gansakutrebuli popularoba SeiZina msoflios mraval nergili. Dynamic Provisioning gamoyeneba qveyanasi iqna sabanko sistemistvis sakredito ciklis sakredito mixedvit. nakargebis miznad Tanabar kerzod Dynamic Provisioning isaxavs ganawilebas itvaliswinebs rezervis buferis wesebas bankistvis sakredito ciklis bumis periodsi rodesac stanrtuli kriteriumebit sesxebis xarisxi kargia mcire nakargebia mosalodneli. Sesabamisad es instrumenti xels uwyobs sesxis nakargebis zrvruli naxarjis stabilurobas sakredito ciklis fazasi. Dynamic Provisioning-is sxvasxva buferis instrumentebi ertmanets avsebs kontrcikluri kapitalis makroprudenciuli miznebis uzrunvelsayofad radgan nakargebis rezervi gankutvnilia mosalodneli sakredito nakargebis xolo kapitalis buferi ki moulodneli nakargebis safarad (mag. Wezel Chan-Lau & Columba 22). makroprudenciuli kavsirebuli politika sistemuri gar riskebis sakredito ciklis ganeitralebisa aseve mastan mnisvnelovan yuradrebas utmobs riskebis ganawilebisa stresis SemTxvevaSi riskebis erti bankin meore bankze SesaZlo gavrcelebis armofxvras. kerzod globaluri krizisis fonze Lehman Brothers-is seqtembersi natlad warmoacina externalities) rac kavsirebulia is gakotrebam uaryofiti globalurad 28 gareefeqtebi sistemuri wlis (negative mnisvenlobis mqone bankis gakotrebastan. amastan safinanso institutebi romelebic sistemurad mnisvnelovnia institutebtan Canacvlebadobis Tavisi gajawvulobisa gatvaliswinebit zomis kompleqsurobis globalur kargad asparezze acnobiereben makroeprudenciuli instrumentebis detaluri mimoxilvisa analizistvis sxvasxva qveynis magalitze ixilet Lim sxvani 2. ra mati sxva Znelad TavianTi efeqtianobis 26

27 gakotrebis mzime Sedegebs zogadi ekonomikuri garemostvis uyalibdebat molodini rom mtavroba ar usvebs mat gakotrebas (too big to fail) ertgvar saxelmwifo garantias floben. es faqtori ki moralurobis risks (Moral hazard) privilegias warmosobs aniwebs mat zrdis mati riskebisadmi arakonkurentul midrekilebas 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 Sesabamisad gasaxadis gamxdelebis tvirts (mag. BIS 23 Global systemically important banks: upted assessment methodology and the higher loss absorbency requirement). zemoarnisnuli problemis mogvarebistvis makroprudenciuli politika miznad isaxavs Seamciros sistemuri bankebis gakotrebis albatoba gakotrebis SemTxvevaSi SezRudos sistemistvis uaryofit efeqti. kerzod 2 wlis noembersi bazelis komitetma gamosca metodologiis sabaziso CarCo romlis institutebi mixedvitac un iqnes sistemuri mnisvnelobis identificirebuli mqone uwesdet matebiti kapitalis buferi nakargebis mimart mdgradobis zrdistvis. bazelis komiteti aseve yuradrebas amaxvilebs safinanso institutebis gakotrebis meqanizmis efeqtianobis aucileblobaze. meqanizmma un uzrunvelyos aucileblobis SemTxveaSi institutis gakotreba- proceduris warmartva isetnairad rom ar gamoiwvios mtlianad safinanso sistemis paralizeba an/ tvirtad ar awves gasaxadis gamxdelebs (mag. Financial Stability Board. (2). Key Attributes of Effective Resolution Regimes for Financial Stability). krizisebis prevenciisa ZlevisTvis safinanso seqtoris makroprudenciuli regulirebis politika Zalzed mnisvnelovania Tumca igi SesaZloa ar iyos sakmarisi. krizisis Semdeg ekonomistebma gansakutrebuli yuradreba utmes ciklis sawinaarmdego fiskaluri monetaruli politikis rols stabilurobistvis (mag. Blanchard Basel Committee on Banking Supervision 23 Global systemically important banks: upted assessment methodology and the higher loss absorbency requirement. 27

28 Dell Ariccia & Maoro 22 23). kerzod ciklis sawinaarmdego fiskaluri politika romlis mizania ekonomikuri ciklis stabilizacia amcirebs sakredito nakargebs recesiis dros aseve aferxebs sistemuri riskebis grovebas ciklis bumis fazasi. monetaruli politika sawinaarmdegoa Tavisi tradiciuli misi ZiriTadi miznebi - SinaarsiT fasebis ciklis stabilurobis ekonomikuri zrdis grzelvadiani stabilizacia TavisTavad uwyobs xels safinanso seqtoris stabilurobas. Tumca bolo periodsi araerti kvleva miezrvna monetaruli politikisa safinanso zemxedvelobis politikis urtiertmoqmedebis Seswavlas (mag. Borio 24; Blanchard Dell Ariccia & Maoro 22 23) romelmac konfliqturi natlad situaciebic warmoacina rodesac rom politikis SesaZloa arsebobdes gamtareblebs uwevt arcevanis gaketeba sxvasxva miznebs Soris. aseve finansurma krizisma warmoacina rom monetaruli politikis dgenisas yuradreba un mieqces ekonomikuri ciklis analizs farto konteqstit mat Soris aqtivebis fasebis dinamikas rata Semcirdes fasebis bustis warmoqmnis SesaZlebloba. 4 saqartvelos safinanso seqtoris ganvitareba globaluri krizisis gavlena saqartvelos safinanso seqtori wlebsi saqartvelos safinanso sistemam ganvitarebis dramatuli procesi ganvlo romelic 99 wlin Sesabamisi qveynis moukideblobis mopovebin iwyo. sakanonmdeblo normatiuli bazis Camoyalibeba saqartvelos erovnuli bankis Seqmna win uzrvo pirveli komerciuli bankebis Camoyalibebas 992 wels. im droisatvis arsebulma saqartvelos erovnuli banki 99 wels Camoyalib sabwota kavsiris dros arsebuli saxelmwifo bankis bazaze. 28

29 arasrulyofilma sabanko kanonmdeblobam praqtikulad regulirebis qaoturma sistemam waaxalisa. gaizar 994 komerciuli bankebis raodenobis qveyanasi komerciuli bankebis wels (magalitad saqartvelos erovnuli banki swrafi ricxvi 26 zr 226 -mde saqatvelos sabanko seqtoris ganvitarebis strategia wlebistvis) wlebsi sabanko sistemis transformacia rtuli ekonomikuri politikuri krizisis politikuri destabilizaciis procentit Semcir fonze mimdinareob. fonze amave mtliani periodsi Si Si produqti 72 moisala sagareo vawrobis kavsirebi. am yovelives Tan ertvo saqartvelos erovnuli bankis moukideblobis SezRudviTa gauazrebeli fulad - sakredito politikit gamowveuli hiperinflacia. Sedegad 994 wels komerciuli bankebi sirtuleebis winase armocndnen rac bankebis masobriv gakotrebasi gaizar. gar funmenturi ekonomikuri faqtorebisa bankebis gakotreba didwilad e.w. piramiduli sistemis (romelsac im droisatvis arsebuli bankebi xsirad iyenebdnen) rrvevitac iyo ganpirobebuli. 995 wlin saqartvelos safinanso sistemam xelaxla Camoyalibeba iwyo. saqartvelos parlamentis mier mirebul iqna kanonmdebloba romelic erti mxriv gansazrvrav ganamtkiceb mis saqartvelos moukideblobas erovnuli bankis fulad sakredito mants politikis warmartvis kutxit xolo meore mxriv aniweb mas met Zalauflebas komerciuli bankebis saqmianobis regulirebis kutxit. sabanko zemxedvelobis politika efuzna bazelis komitetis mier SemuSavebul principebs. SemoRebul iqna romelic itvaliswineb sabanko saqmianobis regulirebis wesebi kapitalis ufro mkacr motxovnebs aqtivebis klasifikaciis xvewas riskebis ufro zustad Sefasebis miznit sabanko saqmianobasi interesta konfliqtis gamijvnas bankebis auditoruli saqmianobis mowesrigebas. arnisnuli mag. licenzirebistvis wesebuli wlistvis 5 ass dolars Seadgen. 2 ix. IMF 993 Economic Reviews 9 Georgia. motxovna reformis minimalur Sedegad sawesdebo komerciuli kapitalze

30 bankebis raodenoba mkvetrad Semcir mati ricxvi 997 wlistvis ukve 53-s Seadgen (mag. kakulia 2). saqartvelos sabanko sistemis stabiluri ganvitareba 997 wlin iwyo wlebsi sesxebis wliuri zrdis tempi sasualod 38%-s Sedgen xolo sakredito portfelis msp-stan fardoba 3.6%-n 26%-mde gaizar. amave periodsi 8%-n 25%-mde gaizar farto fulis Sefardeba msp-stan xolo sabanko aqtivebma 27 wlis bolos 42% Seadgina. un arinisnos rom mkvetri zrdis temps bali sawyisi pirobebic uwyob xels Tumca sabanko seqtoris ganvitarebis arnisnuli tendencia mnisvnelovanwilad ekonomikasi sabanko seqtoris rolis amarlebas asaxav. am periodsi mkvetrad gaizar mosaxleobis xelmisawvdomoba momsaxurebaze sabanko sistema ukve stavazob momxmarebels Tanamedrove bankistvis maxasiatebel yvela saxis stanrtul momsaxurebas. sabanko seqtoris swraf ganvitarebas xeli Seuwyo ekonomikis motxovnam finansur momsaxurebaze. saqartvelos ekonomika gansakutrebit mzardi tendenciit wlebsi xasiatdebo. msp-s zr amave periodsi sasualod 9% Seadgen. fulad-sakredito fiskaluri politikis mowesrigebam qveyanasi armofxvra 99-ian wlebsi arsebuli hiperinflacia gaumjobes mnisvnelovnad fiskaluri gaumjobes disciplina. am makroekonomikuri yovelives Sedegad stabiluroba gaizar Semosavlebi struqturuli reformebis Sedegad Semcir Crdilovani ekonomika ramac erti mxriv gazar motxovna Suamovlobisadmi xolo meore mxriv gaaumjobesa bankebistvis riskebis martvis efeqtianoba. ucxouri kapitalis monawileoba arsebitad mnisvnelovani iyo saqartvelos sabanko sistemis ganvitarebistvis. 27 wlis bolostvis 8 komerciuli bankin 4-Si ucxouri kapitalis monawileobit funqcionireb romelta xvedriti wili sabanko seqtoris mtlian aqtivebsi 8% awarbeb. ucxouri investiciebin gansakutrebit institutebis monawileoba mnisvnelovani iyo. kerzod saertasoriso mat Soris safinanso iyvnen iseti Tumca un arinisnos rom am periodsi ekonomika nawilobriv gaxurebas ganicdi (mag. mimdinare angarisis deficiti msp-s 2% mde gaizar). 3

31 organizaciebi rogorebic arian: evropis rekonstruqciisa ganvitarebis banki (EBRD) saertasoriso safinanso organizacia (IFC) armseneblobis sakredito (KFW) wesebuleba sxva. arnisnuli institutebis investiciebi saqartvelos sabanko sistemasi erti mxriv martvis sauketeso praqtikis nergvas xolo meore mxriv sabanko sistemisadmi sandoobis amarlebas emsaxurebo ramac xeli Seuwo sabanko sistemis ganvitarebas. sabanko seqtoris aqtivebis zr ZiriTad kerzo seqtoris kreditebaze modio. 27 wlis dekembristvis wmin sesxebis wili mtlian aqtivebsi 6%-s Seadgen. rgobriv WrilSi sesxebi ZiriTad msp-s prociklur seqtorebze vawrobis (33%) mrewvelobis (%) mseneblobis (8%) seqtorebze modio. sesxebze mosaxleobis xelmisawvdomobis uzravi qonebaze fasebis zrstan ertad mkvetrad gaizar Sinameurneobebis kreditebac. 27 wlis bolostvis fizikur pirebze gacmuli sesxebi mtliani sakredito portfelis 34%-s Seadgen aqen 7% samomxmareblo xolo 3% ipotekur sesxebze modio. sakredito portfelis zrstan ertad Semcir sesxebis sargeblis ganakvetebi spredi rac sabanko sistemis efeqtianobis zrs asaxav. bankebis Serwymisa konsoliciis gaaqtiurebit gaizar sabanko seqtoris koncentracia. 27 wlis bolos komerciuli bankebis raodenoba 8-mde Semcir xolo matgan umsxvilesi 6 banki mtliani sabanko aqtivebis 87% flob. komerciuli bankebis sabalanso uwyisis zr valdebulebebis mxares metwilad depozitebit saxsrebi aseve finansdebo mnisvnelovan nawils Tumca sazrvargaretin Seadgen. 27 wlis nasesxebi bolostvis depozitebis wili mtlian valdebulebebsi 6% (aqen 3% banktasoris depozitebze Seadgen. modis) swrafi xolo nasesxebi zrdis periodsi saxsrebi valdebulebebis sabanko seqtori 34% kargad kapitalizirebuli iyo rasac sabanko seqtorsi ucxouri investiciebistvis mimzidveli garemo uwyob xels. 27 wlis dekembersi kapitalis adekvaturobis koeficienti 6%-s xolo umoqmedo sesxebis wili mtlian sesxebsi 3%-s Seadgen. depozitebis sesxebis sargeblis ganakvetebs Soris sxvaoba. 3

32 garmavali seqtoris ekonomikis ganvitareba mqone qveynebis marali msgavsad dolarizaciis saqartvelos pirobebsi sabanko mimdinareob. ekonomikasi dolarizaciis marali done erti mxriv 99 -iani wlebis hiperinflaciis saxelmwifo institutebisadmi jer kidev bali ndobis xolo meore mxriv istoriulad mkvidrebuli zogadi fsiqologiuri faqtorit aris ganpirobebuli romelic dolars usafrtxo valutis statuss aniwebs. 22 wlis bolos depozitebis dolarizaciis koeficienti Tavis istoriul maqsimums 85%-s arwev xolo mas Semdgom periodsi Semcirebis depozitebis 63% tendenciit iyo xasiatdeba. dolarit 27 wlis denominirebuli. dekembersi valdebulebebis dolarizacias aseve xels uwyob sazrvargaretin nasesxeb saxsrebze mokidebulebis zr sabanko sistemasi. arnisnulis gatvaliswinebit marali iyo agretve kerzo seqtorze gacemuli sesxebis dolarizacia rac msesxeblebistvis valutis seqtoris SeusabamobiT marali gamowveul dolarizacia dresac riskebs qveynis qmni. stabilurobis ert-ert umtavres gamowvevas warmoadgens (dolarizaciis masstabebze istoriulad mis gamomwvev faqtorebze Zlevis gzebze ixilet kakulia m. 2). saqartvelos safinanso seqtoris ganvitareba sabanko seqtoris dominirebit mimdinareob. arasabanko safinanso seqtori kapitalis bazari susti ganvitarebit xasiatdebo. 27 wlis bolos bazarze 5 mikrosafinanso 5 sazrveo 24 sakredito kavsiri arsebob jamuri aqtivebit msp-s axloebit 2%-s xolo safondo birjis kapitalizacia ki msp-s 3%-s Seadgen. tyupi krizisi saqartvelos makro garemo globalurma finansurma krizisma 28 wlis agvistosi rusetis agresiam mnisvnelovani gavlena moaxdina safinanso seqtorze mtlianad ekonomikaze. msofliosi ekonomikuri krizisis fonze mkvetrad gauares investorta ganwyoba rac msoflios masstabit ganvitarebadi qveynebis valutis SeusabamobiT gamowveuli sakredito riski (Currency Induced Credit Risk) kavsirebulia ekonomikis dolarizaciis donestan kerzod igi wamoiqmneba rodesac msesxeblebs valdebulebebi aqvt ucxouri valutit (an ucxour valutaze indeqsirebuli) xolo Semosavlebi adgilobrivi valutit. 32

33 saerto fenomeni iyo. investorta ganwyobis gauareseba kapitalis Sedinebis mkvetri SemcirebiT gamoixata. arnisnul periodsi mnisvnelovnad gaizar sapredi asaxav. qveynis suverenuli investorebi fulis amjobinebdnen ramac ganvitarebuli qveynebis ganapiroba. obligaciebze arnisnuli SerebiT rac urisko investiciebis suverenul talra gazrdil aqtivebsi riskpremiums gantavsebas ganvitarebadi qveynebin qaraldebsi ganacvleba fasian saqartvelos eqsportze motxovnis SemcirebiT kerzo kapitalis (rogorc pirpiri ucxouri investiciebis ise savalo kapitalis mxriv) Semodinebis mkvetrad SemcirebiT Seexo. 28 wlamde saqartvelos ekonomikuri zr ZiriTad ucxouri kapitalis SemodinebiT iyo ganpirobebuli Sesabamisad arnisnul klebas mnisvnelovani uaryofiti gavlena hqon ekonomikur zrze. diagrama I.4 saqartvelos suverenuli obligaciebis spredi (procentis sabaziso punqtebsi) wyaro: blumbergi amis gar 28 wlis agvistosi rusetis federaciastan SeiaraRebuli samxedro konfliqtis Sedegad qveyanam mnisvnelovani nakargi ganica ganadgur infrastruqturis nawili omis Sedegad mravali mosaxle izulebit gaadgilebuli armocn. globaluri krizis fonze rusetis agresiis Sedegad qveynis ekonomikam finansurma seqtorma mnisvnelovani rtyma ganica. 29 wels msp realur gamosaxulebasi 4%iT Semcir ramacsabanko sistemisa erovnuli valutisadmi 33

34 mosaxleobis Semcirebuli ndobis fonze sabanko savaluto panikis warmoqmnis sasisroeba Seqmna. diagrama I.5 realuri msp-s zr (wliuri prcentebsi) wyaro: saqstati e.w. tyupi krizis likvidobis gavlena deficitit qveynis gamovlin. sabanko 28 seqtorze wlis Tavpirvelad agviston erti wlis Semdeg kerzo seqtoris depozitebi 2%-iT xolo jamuri aqtivebi %-it Semcir. aqtivebis aseve mnisvnelovani Semcirebis iyo sabanko xarjze kapitalis seqtoris zarali adekvaturobis Tumca koeficienti ar Semcirebula. sabanko seqtoristvis gansakutrebit mnisvnelovani iyo mdgomareoba uzravi qonebis bazarze sakredito qonebasi radgan portfelis investireba warmoadgens igi am seqtortan kavsirebuli 3%-s Seadgen. amas finansur safinanso aqtivebsi seqtoris gar jamuri ramdenac investirebis funqciasac sesxebi uzrav alternativas itavsebs amdenad uzravi qonebis fasebi qveynis ekonomikuri ciklis ganmapirobebel faqtors warmoadgens gansakutrebul rols TamaSobs qveynis stabilurobistvis. uzrav qonebaze fasebis vardnis SemTxvevaSi izrdeba sesxebis riskianoba safrtxes uqmnis komerciuli bankebis sakredito portfelis xarisxs. 28 wlamde qveyanasi arsebulma sakredito bumma uzravi qonebis bazarze investiciebis mozrvavebam xeli Seuwyo uzravi qonebis fasebis 34

35 bustis warmoqmnas 28 wlis agvistos Semdeg motxovnis mkvetrma Semcirebam investorta ndobis kargvam uzrav qonebaze fasebis vardna mtlianad seqtoris paralizeba gamoiwvia. komerciuli bankebis mier sakredito stanrtebis gamkacrebam kreditebis SezRudvam maral riskiani developeruli samseneblo kompaniebi proeqtebistvis sawiro finansebis garese tova. uzravi qonebis bazarze Seqmnili problemebi bankebis sakredito portfelze aisaxa. 29 wels bankebis mier samseneblo seqtorze gacemuli sesxebis 5%-ze meti umoqmedo gax. diagrama I.6 umoqmedo sesxebis wili portfelsi (procentebsi) wyaro: saqartvelos erovnuli banki krizisis Sedegad mnisvnelovnad gauares makroekonomikuri garemo (mag. xaduri 29 2). krizisis uaryofiti Sedegebi ZiriTad 29 wels gamovlin. qveyanasi ekonomikuri aqtivoba 29 wlis pirvel naxevarsi 8.5%-iT xolo 29 wels 4%-iT Semcir. 28 wlis bolos laris nominaluri gacvliti kursi 6%-iT gaufasur. amis miuxevad inflacia 29 wels mkvetrad Semcir sasualo wliurma inflaciam 2% Seadgina. 28 wels fiqsirebuli %-iani inflaciis Semdeg samomxmareblo fasebis Sesusteba ertoblivi motxovnis globaluri fasebis Semcirebis sesxi klasificirdeba umoqmedot imis mixedvit Tu ramdenad kargad aris igi culi msesxeblis kapitalisa gaxdis unarit. umoqmedo sesxebi aertianebs sesxebis sam qvekategorias esenia arastanrtuli saewvo uimedo kategoriis sesxebi. 35

36 Sedegi iyo. realuri msp-s vardnastan deficitma 28 wels 22%-s miarwia ertad mimdinare angarisis rac kapitalis Semodinebis Semcirebis fonze makroekonomikuri ubalanseblobis gacvliti kursis matebit devalvaciis riskebs zrdi. ekonomikuri aqtivobis vardnastan ertad saxelmwifo biujetsi sagasaxado Semosavlebis Semcirebam 29 wels 8% Seadgina xolo biujetis deficiti msp-stan SefardebiT 9.2%-mde gaizar. diagrama I.7 biujetis deficiti sagareo vali msp-s procentebsi (procentuli punqti) wyaro: saqartvelos finansta saministro avtoris sakutari gamotvlebi krizisis uaryofiti Sedegebis sazlevad arsanisnavia centraluri bankis mtavrobis saertasoriso safinanso institutebisa partniori qveynebis ertoblivi Zalisxmeva. centraluri bankis mxrin krizisis sazlevad bankebis likvidobit uzrunvelyofa monetaruli politikis Serbileba mox mtavrobis Semamsubuqebeli kapitalis mier fiskaluri faqtori gax Semodineba donori stimulireba xolo qveyanasi saxelmwifoebis ekonomikuri Semcirebuli vardnis kerzo saertasoriso organizaciebis mier gacemulma grantebma Caanacvla. 36

37 28 wlis agvistos Semdeg komerciuli bankebin depozitebis gadinebam likvidobis mat Soris ucxouri valutis banknotebis deficiti warmosva. stabilurobis mosaxleobis ndobis SenarCunebisTvis SenarCuneba mnisvnelovan sabanko amocanad sistemisadmi. am iqca miznit saqartvelos erovnulma bankma droulad uzrunvelyo sabanko sistemis momarageba satanado nardi valutit ucxouri momsaxureba rata Tavin komerciuli aecilebina bankebisatvis 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 28 wlis seqtembersi sam komerciul bankze 38. mln lari gaica. aseve Semcirebul iqna savaldebulo sarezervo motxovnebi 2 gafartov centraluri bankis mier monetarul operaciebsi sasvebi giraos baza amoqmed refinansirebis instrumenti rac komerciul bankebs sasualebas azlev mat xelt arsebuli fasiani qaraldebis giravnobit esesxat fuladi saxsrebi. amis gar saqartvelos erovnulma bankma 28 wlis seqtemberis bolos aamoqme specialuri sasesxo instrumenti romlis farglebsic 35.9 mln lari iqna komerciul bankebze sesxad gacemuli miznebistvis eqvsi centraluri Tvis bankis vadit. mier SedrebiT ufro gamoyenebuli grzelvadiani iyo monetaruli politikis Serbileba rata ertoblivi motxovnis stimulireba moexdina xeli Seewyo ekonomikuri aqtivobis ardgenas. (magalitad saqartvelos erovnuli banki 28 wliuri angarisi). krizisis Semdgom ekonomikis vardnis umusevrobis Sesamsubuqeblad mnisvnelovani faqtori iyo sawinaarmdegod gatarebuli fiskaluri politika. politkis kerzod 29 mier wels ciklis ekonomikaze krizisis uaryofiti Sedegebis Semcirebis miznit biujetis deficiti msp-s 9.2 %-mde gaizar ramac xeli Seuwyo ekonomikis stimulirebas. deficitis zr didwilad kapitalur xarjebze modio rac aseve xels uwyob un arinisnos rom ucxouri valutis fulis nisnebit uzrunvelyofa ar Sedis saqartvelos erovnuli bankis regularul funqciebsi. 2Tavpirvelad droebitad SeCerebul iqna savaldebulo sarezervo motxovnebi komerciuli bankebistvis xolo Semdgom amoqmed krizisamdeli normebis SemcirebiT. kerzod 3%-n Semcirebul iqna 5%-mde. 37

38 saqmebis ekonomikuri aqtivobis ardgenas. aseve 25%-n 2%-mde iqna Semcirebul sasemosavlo gasaxadis ganakveti ramac kerzo seqtors matebiti fuladi resursi gamoutavisufla. tyupi krizisis faqtori iyo uaryofiti donorta mier Sedegebis ZlevisTvis saqartvelostvis umnisvnelovanesi gamoyofili finanseba. kerzod agvistos omin maleve saertasoriso safinanso institutebisa garetianebuli erebis organizaciis mier gamogzavnil iqna ertoblivi misia xmarebis sawiroebis Sesafaseblad. arnisnuli misiis Sedegebze yrdnobit donorta Sexvedraze 28 wlis oqtombersi mirebul iqna ertoblivi gawyvetileba 4.5 mlrd dolaris odenobit qveynistvis xmarebis gawevis Sesaxeb2. 28 wlin biujetis xarjebis finansebis mnisvnelovan wyaros saertasoriso safinanso institutebisa donori saxelmwifoebisgan mirebuli grantebi warmoadgen. saxelmwifos saertasoriso sazogadoebis kerzo seqtoris ertoblivi ZalisxmeviT krizisin gamosvlis ekonomikis gajansarebis nisnebi 2 wlin gamocn. mtliani Si produqti 6.4%-iT gaizar zrsi ZiriTadi wvlili kapitalis formirebam Seitana aseve marali zr fiqsir eqsportze. met-naklebad stabilur uzravi qonebis bazari wlebsi uzravi qonebis fasebis 25%-35%-iT Semcirebis Semdeg 2 wels %-it gaizar (ix. diagrama I.8). sabanko seqtorma 29 wlis vardnis Semdeg zr ganagrzo pozitiuri tendenciebi fiqsir depozitebis sesxebis sakredito portfelis xarisxis mimartulebebit. misiasi monawileobdnen aziis ganvitarebis banki (ADB) evropis ganvitrebisa armseneblobis banki (EBRD) evropis sainvesticio banki (EIB) evro-komisia (EC). 2 arnisnuli Tanxa moicavs yvela donori organizaciis mier jamur xmarebas romelic ramdenime wlis manzilze un miero qveyanas grantebis saxit. 38

39 diagrama I.8 uzravi qonebis fasebis indeqsi (ian. 27 ) wyaro: saqartvelos erovnuli banki krizisamdel periodsi valdebulebebis saqartvelos mxares sabanko sazrvargaretin seqtoris nasesxebi swrafi saxsrebit zr iyo finansebuli. 28 wlis agvistos mdomareobit sabanko seqtoris mtliani valdebulebebis 3%-s ucxouri sabitumo bazrebin (wholesale markets) moziduli saxsrebi Seadgen xolo 3%-s ararezidentebis depozitebi banktasorisi depozitebi sxva valdebulebebi warmoadgen. krizisis dros rodesac sakredito marjebi izrdeba sabitumo bazrebze likvidobis deficiti warmoiqmneba sabanko sistemistvis valdebulebis refinansirebis sirtuleebi ert-ert yvelaze mnisvnelovan risk faqtors warmoadgens. saqartvelos SemTxvevaSi miuxevad imisa rom sabitumo bazrebin moziduli resursi ZiriTad grzelvadiani iyo xolo msesxeblebis umetesobas saertasoriso safinanso institutebi msobeli bankebi Seadgendnen valdebulebebis refinansirebis sirtuleebi 29 wels sabanko sistemis ert-ert gamowvevad iqca (ix. diagrama I.9). 39

40 diagrama I.9 valdebulebebis struqtura (mln. lari gacvlit kursis efeqtis gamoricxvit) wyaro: saqartvelos erovnuli banki avtoris sakutari gamotvlebi agvistos omisas fizikuri pirebis mier bankebin depozitebis gatana sabanko sistemisadmi ndobis Semcirebis faqtorit iyo ganpirobebuli Tumca arnisnuli procesi maleve srul amas ar hqonia masobrivad panikuri xasiati ramdenac sabanko sistemis mier Seuferxebeli momsaxureba mosaxleobis ganwyobaze pozitiurad moqmedeb. 28 wlis agvisto-seqtembersi fizikuri pirebis depozitebis klebam 5%-s gaawarba Tumca am periodsi gatanili depozitebis didi nawili wlis bolos ukve ubrun sabanko sistemas. 29 welis pirvel naxevarsi depozitebis Semcirebas ukve krizisis fonze ekonomikis mwvave recesia ganapirobeb. mimdinare kerzod sawiroebis iuridiuli xarjebis fizikuri safinanseblad pirebis warimarta. depozitebi arnisnuli tendencia 29 wlis bolos srul depozitebis moculobam kvlav zr ganagrzo. valdebulebebis Semcireba sabanko sistemis leverejis Semcirebis (deleveraging) sawiroebas ganapirobebs. 28 wlis agvistos Semdeg sabanko sistemis valdebulebebis Semcireba sesxebis Semcirebis xarjze mox (ix. diagrama I.) resursi mat Soris miuwvdomeli bevri rca. sesxebze jansari bankebis stanrtebi axal xolo SeizRu restruqturizaciis msesxeblistvisac sakredito mier sakredito arsebuli pirobebi. gamkacr sesxebistvis valdebulebis mkvetrad mosazid 4

41 gaizar depozitebis sargeblis ganakvetebi. arnisnuli faqtorebi uryofitad moqmedeb ekonomikaze recesiis garrmavebas uwyob xels. diagrama I. ekonomikaze gacemuli sesxebi (mlrd lari) wyaro: saqartvelos erovnuli banki avtoris sakutari gamotvlebi Tu ekonomikuri krizisebis dros kreditebis Warbad SezRudva bankebis procikluri qcevis ZiriTadi nawilia msoflio masstabit mkvetrad gamoxatuli fenomenia iseve rogorc bolo krizis dros aseve manamde arsebul SemTxvevebSic (mag. Leaven and Valencia 28 Drehman et all 2). arnisnuli faqtoris sazemxedvelo kompensacia politikit saqartvelos erovnuli likvidobis un bankis kapitalis ciklis moxdes. mier sawinaarmdego am sabanko adekvaturobis mxriv (countercyclical) mnisvnelovani sistemasi iyo savaldebulo motxovnebis Serbileba. minimaluri likvidobis koeficienti krizisamdeli 3%-n 2%-mde iqna Semcirebuli xolo riskebis mixedvit aqtivebis Sewonvisas savaluto riskis koeficienti %-n 5%-mde Semcir. aseve arsanisnavia rom 28 wlis bolos saqartvelos erovnuli bankis mier gamoyofil iqna 5 mln. laris ert wliani sesxi romelmac nawilobriv akompensira bankebistvis valdebulebebis Semcireba. am yovelives fonze 29 wlis meore naxevrin sesxebi gaangarisebulia gacvliti kursis efeqtis gamoricxvit. dolarit gacemuli sesxebis moculoba laris. 4

42 etapobrivad ardga sesxebis gacema restruqturizacia. met-naklebad normaliz gamkacrebuli sakredito stanrtebi Semcireba iwyo depozitebis sargeblis ganakvetebma. globalurma finansurma krizisma mteli msoflios masstabit mat Soris saqartvelosic safinanso bazris monawileebsa maregulireblebs mnisvnelovani gamocdileba SesZina safinanso sistemis mdgradobis stabilurobis uketesad cvistvis. krizisis ert-erti gakvetilia rom bankebma un uzrunvelyon stabiluri diversificirebuli finansebis wyaroebi. amis aralikviduria) kargi sazomia Sefardeba sesxebis depozitebtan (romelic (romelic praqtikulad yvelaze stabiluri finansebis sasualebad miicneva) romelic saqartvelosi krizis dros mkvetrad 8%-s gaizar. 29 wlis ianvarsi sesxebis depozitebtan fardobam gaawarba gatvaliswinebit (იხ. marali diagrama I.) macvenebelia. rac un saertasoriso arinisnos rom praqtikis arnisnuli macveneblis zr krizisamde gacilebit adre iwyo bankebis mier sabitumo bazrebin krizisis Semdgom finansebis mozidul wlebsi wyaroebis resursebze sabanko gajansareba mokidebulebas sistemam warmatebit depozitebis asaxav. moaxerxa zrstan ertad sabitumo bazrebis finanseba depozitebit Caanacvla. diagrama I. sesxebis depozitebtan Tanafardoba wyaro: saqartvelos erovnuli banki avtoris sakutari gamotvlebi 42

43 krizis Semdeg wlebsi depozitebis zr nawilobriv ararezidentebis depozitebis miuxevad zrdit imisa valdebulebebis finans rom romelic garkveuli diversifikacias asave dozit sayuradreboa. ararezidentebis zrdis amdenad kerzod depozitebi aumjobesebs valdebulebebis stabilurobas mati didi wili sabanko sistemasi Tavin un iqnes acilebuli ramdenac krizis pirobebsi ararezidentebis depozitebi mowyvladi wyaroa. ucxouri valutis depozitebi mitumetes ararezidentebis depozitebi krizisis pirobebsi SesaZloa matebiti 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 valdebulebebis gamoiyena ararezidentebisgan moziduli saxsrebi safinanseblad. Sesabamisad mkvetrad gaizar mati wili mtlian depozitebsi. 22 wlin ararezidentebis wili mtlian depozitebsi stabiluria Seadgens (იხ. diagrama 23 wlis dekembris mdgomareobit 5% I.9). am mxriv arsanisnavia saqartvelos erovnuli bankis diskriminaciuli sazemxedvelo midgoma romelic ararezedentebis depozitebis zrs zruvs. krizisis kidev erti gakvetilia rom Zalian mnisvnelovania sabanko sistemas normalur periodsi hqondes kapitalis likvidobis buferebi. sirtuleebisas is bankebi romlebic kargad kapitalizebulni arian mosalodnelia rom ufro didi albatobit gaagrzeleben operirebas grzelvadian periodsi ufro stabilur amonagebs moutanen aqcioner investorebs. aseve bankebis mimart ndobis krizisis pirobebsi swored bankebis jansari likvidobis pozicia buferebi aris mati sirtuleebis Semamsubuqebeli. bankebs TavisTavad uxdebat riskis pirobebsi operireba ramdenac Suamavloba gulisxmobs vadianobis transformacias Tumca stabiluri diversificirebuli finansebis wyaroebi marali Tuki komerciul banks mtlian depozitebsi % meti aqvs ararezidentebis wili masin igi valdebulia yoveli Semdegi moziduli ara-rezidentis depozitistvis %-iani likvidoba iqonios. 43

44 koncentraciis garese bankebs riskebis uketesad kontrolis sasualebas azlevt (mag. BIS 82nd Annual Report VI. Post-crisis Evolution of the Banking Sector). 28 wlis krizisamde sabanko sistema saqartvelosi marali kapitalis pirobebsi operireb STanTqmaSi. Semcireba Sokis krizis Semdgom ganapiroba Semcirebam rac aqtivebis romelic akompensira. dros xarisxis riskis Sedegad exmara nakargebis gauaresebam kapitalis Sewonili aqtivebis mixedvit sabanko mas seqtoris mier gancdili nakargebis miuxevad 29 wels kapitalis adekvaturobis koeficienti gaizar (ix. diagrama I.2). diagrama I.2 kapitalis adeqvaturobis koeficientis cvlilebis kontributori faqtorebi wyaro: saqartvelos erovnuli banki avtoris sakutari gamotvlebi un arinisnos rom riskis mixedvit Sewonili kapitalis adekvaturobis koeficienti SesaZloa srulyofilad ar asaxavdes bankebis gaxdisunarianobas ramdenac riskis wonebi SesaZloa sazemxedvelo politikis miznebis mixedvit icvlebodes. aseve SesaZloa yoveli konkretuli aqtivistvis riskis wonebi gansxvavdebodes bankebis mixedvit gamomdinare mati Si Sefasebis sistemebisa. SefasebisTvis alternatiuli indikatoria aqtivebis Sefardebas jamuri saaqcio moculobis (riskebis kapitaltan. bankebis mdgradobis levereji romelic gulisxmobs mixedvit levarejis Sewonvis macvenebelis garese) dinamika 44

45 SesabamisobaSia riskis mixedvit Sewonil macvenebeltan kerzod krizisis Semdgom 29 wels bankebis kapitalizaciis macvenebeli gaumjobes rac ara mxolod kapitaltan aqtivebis SerebiT riskis ufro wonebis mkvetrad cvlilebis Semcir Sedegia aqtivebis aramed moculoba. Semdgom wlebsi 23 wlamde bankebis seqtoris leverejis macvenebeli gaizar stabilur krizisamdel nisnulze (ix. diagrama I.3). un arinisnos rom levarejis bolo wlebsi zrdis miuxevad misi done mnisvnelovnad CamorCeba ganvitarebuli qveynebis Sesabamis macveneblebs. diagrama I.3 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) sazemxedvelo politikis miznit riskis wonebis Semcirebis Sedegia. krizisis Semdeg bankebis mier leverejis Semcirebis procesi garuvali bunebrivia rasac saertasoriso praqtika asturebs. 45

46 krizisis Semdeg bali sakredito aqtivobas uaryofiti gavlena aqvs ekonomikis recesiin gamosvlis procesze mnisvnelovania rom swori sazemxedvelo politikit amis armofxvra moxdes. Tumca krizisis Semdgomi bali sakredito aqtivobis ori mizezi un ganvasxvaot erti romelic sakredito resursis miwodebis SezRudviT aris ganpirobebuli es swored rom sazemxedvelo arrmavebs politikit recesias un moxdes ciklis ganeitraleba - sawinaarmdego xolo meorea recesiis fonze susti motxovnis Sedegad Semcirebuli aqtivoba romelic recesiis Sedegia ara ganmapirobebeli (mag. Takats Upper 23). SejamebisTvis un arinisnos rom saqartvelos safinanso seqtori tyupi krizisis fonze mnisvnelovani gamowvevis winase dga Tumca mdgradoba gamoavlina qveynis stabiluroba SeinarCuna. es ganpirobebul krizisis iyo saqartvelos koordinirebulad erovnuli efeqtianad bankis martvis met-wilad mtavrobis monetaruli mier fiskaluri politikit stimulirebis krizisamde periodsi konservatiuli sazemxedvelo uprecedento politikis saertasoriso safinanso institutebis mier mxarweris gaumjobesebisa gatvaliswinebul Sedegad. grzelvadiani iqnes safinanso seqtoris ganvitrebistvis krizisisgan mirebuli Semdgomi aucilebelia yvela gakvetili rom msoflios sauketeso praqtikis Sesabamisad warimartos safinanso seqtoris sazemxedvelo CarCos srulyofa. 46

47 თავი II. makro urtiertkavsirebis modelirebis istoria arsebuli midgomebi makro kavsirebis mimoxilva seqtoris mnisvnelovnebis warmosacenad makroekonomikistvis bolo wlebis globaluri krizisi ganvitarebuli qveynebis ekonomikuri tendenciebis analizi sruliad sakmarisia Tumca makro kavsirebis istoria jer kidev didi depresiis periodin irebs sataves kriziss romelic msoflio warmoadgens. didi istoriasi depresiis yvelaze periodi mzime ass-si finansur 929 wlis oqtombersi safondo bazris kraxit iwyo romelic Semdgom sabanko krizissi 933 wlis cnobili sabanko ardegebi (Banking Holiy) mohyva wlebsi bankebis axloebit /3 gakotr /3-iT Semcir fulis masa ekonomikasi nominaluri GDP 5%-iT xolo realuri GDP /3-iT Semcir umusevrobam ekonomikis gajansarebas qveynis masstabit weli 25%-s swir miarwia. rata mas krizisamdel Semdeg dones brunebo. Friedman and Schwartz (967) arwers didi depresiis periods aseve amtkicebs rom ass-is im droindeli federaluri sarezervo sistemis (centraluri banki) mcrma politikam xeli Seuwyo Sokis ekonomikur krizissi garqmnas. kerzod sabanko sistemisadmi mosaxleobis ndobis kargvis fonze nard fulze motxovna gaizar xolo depozitebis gadinebis sapasuxod bankebma motxovna gazardes likvidur aqtivebze rasac bankebis mier sesxebis gamotxova fasiani qaraldebis masiuri gayidva mohyva wlebsi depozitebis nard fultan fardoba -n 5-mde Semcir rasac bankebis mier depozitebis rezervebtan Tanafardobis Semcireba mohyva 3-n 6-mde. Sedegad fulis multiplikatori ekonomikasi 6.5-n 3.3-mde Semcir. fulis multiplikatoris Semcirebis sakompensireblad federalurma sarezervo sistemam ar miawo sakmarisi fuli ekonomikas. ufro metic centraluri bankis mier gamkacr motxovnebi sagiravno aqtivebze romelta sasualebitac komerciul bankebs 47

48 SeeZloT fuli esesxat centraluri bankisgan. am yovelives Sedegad fulis masa mkvetrad Semcir rasac deflacia ekonomikuri krizisis gamwvaveba mohyva. krizisis gazr did depresiasi natlad warmoacens friqciebis gavlenas realur ekonomikaze rac Semdgom makro modelirebis sagani gax. am kutxit ori mnisvnelovani aspeqti un iqnas gaanalizebuli. pirveli rom bankebis leverejis sabalanso uwyisis bunebrivi struqturis gatvaliswinebit safinanso sistemis problemebi aisaxeba ekonomikur agentebze meore ufro globaluri sakitxi rogoricaa arasafinanso kompaniebis ( zogad ekonomikuri agentebis) qceva Suamavlobis problemebin gamomdinare romelsac SesaZloa mnisvnelovani makroekonomikuri Sedegebi hqondes. pirveli Temis Sesaxeb kargad aris axsnili milton fridmanis ana Svarcis imave kvlevasi (Friedman and Scwartz (967)) sac mati cnobili hipoteza iqna Camoyalibebuli federaluri sarezervo sistemis braleulobaze didi depresiis SesaZlo Tavin acilebasi. sabanko sistema romelic Tavin likvidobis problemas ganicdi maleve uunarobasi gaizar sailustraciod (kapitali ganvixilot bankis karges). tradiciuli amis gaxdis Teoriulad sabalanso uwyisi gamartivebuli saxit. kerzod valdebulebebis mxare moicema depozitebis bankis sakutari kapitalis saxit xolo aqtivebis mxares gvaqvs fasiani qaraldebi (likviduri aqtivebi) ekonomikaze gacemuli sesxebi (aralikviduri aqtivebi) (იხ. cxrili II-). depozitebis gadinebis sapasuxod banki pirvel rigsi likviduri aqtivebis anu fasiani qaraldebis gayidvas iwyebs2 rac am ukanasknelze fasebis vardnas ganapirobebs aqtivebis gafasebit warmoqmnili nakargebi bankebis kapitalze uaryofitad es warmoadgens Friedman Schwarz hipotezis mixedvit ekonomikuri krizisis garrmavebis ert-ert arguments. Tumca Eichengreen (992) kvlevasi amtkicebs rom federaluri sarezervo sistemis mier ekonomikis arasatanadod stimulirebis mizezs saertasoriso oqros stanrti warmoadgen. 2 aq ganvixilavt SemTxvevas rodesac centraluri banki ar awvdis sakmaris likvidur saxsrebs sabanko sistemas. 48

49 moqmedebs. aqtivebis gafasebit mirebuli nakargebi gansakutrebit didia rodesac grzelvadiani fasiani qaraldebis masiuri gayidva xdeba. sakutari kapitalis sakmarisad Semcirebis Semdeg banki izulebuli xdeba sesxebis Semcireba (gamotxova axali sesxebis arar gacema) iwyos rac ekonomikasi fulis masas amcirebs xolo Sedegad aqtivebis fasebi kidev ufro metad mcirdeba kapitalze ormagad uaryofiti efeqti miireba. didi depresiis periodis analizi natlad warmoacens rogor advilad SeiZleba sabanko seqtoris likvidobis problema gaxdis uunarobasi gaizardos centraluri bankis arasatanado pasuxis pirobebsi. cxrili II- bankis gamartivebuli sabalanso uwyisi bankis sabalanso uwyisi fasiani qaraldebi (likviduri aqtivebi) depozitebi sesxebi (aralikviduri aqtivebi) sakut. kapitali safinanso kreditebis Suamavlobis problemebi Semcirebis arasafinanso seqtorzec gavrcel. sakredito SezRudvebis gzit pirobebsi rodesac kompanias ar aqvs finansebis moziebis alternatiuli sasualeba gar 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 Semcir ara mxolod kapitalur aqtivebze aramed sasaqonlo jgufebzec. wmin Rirebulebis aqtivebis Semcireba Semcirebis sabalanseblad arasakmarisi xdeba firmebi rodesac likviduri izulebulni arian kapitaluri aqtivebis likvicia iwyon rac am ukanasknelze fasebis Semcirebas azlierebs. fasebis Semcirebis gatvaliswinebit vali romelic nominalur yovelives gamosaxulebasi fonze Semcir firmebis realur wmin erteulebsi Rirebuleba izrdeba. ori am mizezis msgavsi situacia iyo globaluri krizisi dros wlebsi rodesac bankebis mier ipotekuri sesxebit garantirebuli fasiani qaraldebis (MBS) myisierad gayidvis mcdelobisas fasebi mkvetrad Semcir xolo aman sabalanso uwyisze mnisvnelovani gafasebis zarali warmosva. 49

50 gatvaliswinebit mcirdeba: erti rom bankebis msgavsad aqtivebze fasebis gafaseba wmin Rirebulebaze uaryofit gavlenas axdens xolo meore zogadi fasebis donis Semcireba ukve arsebuli valis realur Rirebulebas zrdis. cxrili II-2 arasafinanso kompaniis gamartivebuli sabalanso uwyisi ara-safinanso kompaniebis sabalanso uwyisi samusao kapitali (likviduri aqtivebi) fiqsirebuli aqtivebi vali realur gamoxatulebasi (aralikviduri wmin Rirebuleba aqtivebi) am mxriv didi depresiis periodi waagav 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 cdilob safinanso Suamavlobis problemebis adekvatur pasuxs. kerzod manamde mkvidrebuli tradiciis sawinaarmdegod federaluri sarezervo sistema kerzo seqtoris kreditori gax rasac arasafinanso kompaniebis usualo kreditebita bankebis balansze arsebuli aralikviduri aqtivebis giravnobis bazaze sesxebis gacemit arwev. aseve centralur banktan koordinaciit kapitalis ineqcia moaxdina mtavrobam (bail-out). am yovelivem xeli Seuwyo2 seqtoris stabilurobas ekonomikuri aqtivobis ardgenas. krizisebis mati ekonomikaze gavlenis analizi3 safuzvlad makro kavsirebis Semdgom kvlevas modelirebas. didi depresiis droin globalur krizisamde edo mat arnisnuli warmoadgens e.w. fiseris deflaciis efeqts romelsac qvemot ufro detalurad SevexebiT. 2Tumca arsebobs gansxvavebuli mosazrebebic arnisnuli sakitxtan kavsirebit rom centraluri bankis mtavrobis pasuxi ar iyo produqtiuli krizisin Zlevis kutxit. 3istoriulad (bolo aswleulebis manzilze) krizisebis detaluri arweristvis ix. Reinhart and Rogoff (29). 5

51 seqtoris ekonomikaze zemoqmedebis axsnis Teoriul safuzvels arwers Kiotaki and Moore (997) kvleva sac Seswavlilia friqciebis gavlena ekonomikur friqciebi xels aqtivobaze. uwyobs kerzod ekonomikasi kvlevis Sokebis mixedvit efeqtis gazlierebas inertulobas (persistentulobas persistence) mat gacemas ekonomikis sxvasxva seqtorebze. Sedegad vrebulobt rom moklevadiani Sokebi xsirad msp-sa aqtivebis fasebis xangrzlivi didi fluqtuaciis wyaro xdeba. Kiotaki and Moore (997) kvleva yuradrebas amaxvilebs im garemoebaze rom miwa Senobebi manqana nadgarebi ara mxolod warmoebis faqtorebia ekonomikasi aramed sagiravno aqtivebis rolsac asrulebs ris bazazec firmas sesxis mireba SeuZlia bankisgan. informaciis asimetriuloba banksa klients Soris sakredito SezRudvas ganapirobebs. kerzod sesxis maqsimaluri moculoba SemosazRvrulia sagiravno aqtivis RirebulebiT. Tumca meore mxriv sagiravno aqtivebis fasebic mokidebulia ekonomikasi kreditebis moculobaze ramdenac investiciebi am aqtivebis rogorc warmoebis faqtorebis Rirebulebaze kreditebis ekonomikasi momgebianobas axdens gavlenas. moculobis Sokebis sagiravno swored efeqtis gansazrvravs es aqtivebis mokidebuleba gazlierebis mat momaval fasebisa warmoadgens gaxangrzlivebis sxva seqtorebze gacemis wyaros. ufro konkretulad arnisnuli meqanizmi Semdegnairad musaobs. ekonomikasi gvyavs firmebi romlebic sakredito SezRudvas ganicdian anu sesxuloben sagiravno aqtivis Rirebulebis limitis atvisebit Sesabamisad aqvt marali levereji xolo aseve gvyavs formebi romlebsac ar aqvt sesxebi (sagiravno aqtivis Rirebulebis limiti ar aqvt atvisebuli) Sesabamisad ar ganicdian sakredito SezRudvas. rodesac ekonomikasi warmoiqmneba droebiti Soki romelic firmebis wmin Rirebulebas amcirebs (an rac igivea mat sakutrebasi arsebuli aqtivebis Rirebulebas amcirebs romlis informaciis asimetriuloba gulisxmobs rom banks ar aqvs sruli informacia klientis Sesaxeb. Sesabamad sawinaarmdegos SerCeva (adverse selection) moralis riskisgan (Moral hazard) Tavis sacavad banki sagiravno aqtivs iyenebs. 5

52 safuzvelzec sesxis areba SeuZlia firmas) firmebi romlebic sakredito SezRudvas ganicdian banki umcirebt kreditebas. firmebi izulebulni arian Seamciron sainvesticio xarjebi mat Soris investiciebi kapitalur aqtivebsi (romelic warmoadgens). dros sesxis misarebad sagiravno aqtivs Semcirebuli investiciebi konkretul periodsi ganapirobebs bal Semosavlebs Semcirebas Semdgom periodebsi rac gatvaliswinebit vrebulobt amave Semdgom kvlav situacias aseve firmis Rirebulebis sakredito SezRudvebis periodebsi gaurtulebt rodesac sesxis ekonomikasi mozidvas. arsebuli Sesabamisad droebiti Soki firmebis ekonomikur aqtivobaze Semdgom periodebsic aisaxeba. sakredito SezRudvebis gavlenit (persistentuloba kvirvebadi adgili persistence) aqvs Sokis ekonomikasi efeqtis rac inertulobas empiriulad cxad faqtia. istoriulad krizisebis analizi cxadyofs rom Sokis Semdeg ekonomikuri aqtivobis ardgenas garkveuli dro swirdeba. investiciebis Semcireba gar ekonomikuri aqtivobis Semcirebisa aseve sawarmoo faqtorebze motxovnis Semcirebas ganapirobebs periodsi ise rogorc imave momaval periodebsic. motxovnis Semcireba aisaxeba mat fasebze rac nisnavs rom firmebi romlebiv ar ganicdian sakredito SezRudvas motxovna un gazardon sakmarisad rom Caanacvlon sakredito SezRudvebis warmoebis xarjze mqone firmebisgan faqtorebze Semcirebuli motxovna motxovna. mokidebulia e.w. Tavis mxriv samomxmareblo (user cost) romelic aqtivis flobis alternatiul Rirebulebas warmoadgens. Sesabamisad samomxmareblo xarji sakmarisad un 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 t2 periodebsi es nisnavs rom aqtivis mimdinare Rirebuleba mnisvnelovnad un Semcirdes. Tavis mxriv sakredito SezRudvis mqone firmebis sabalanso uwyisi mnisvnelovnad aris e.w. samomxmareblo xarji ( user cost) t periodistvis ganisazrvreba rogorc aqtivis mimdinare fassa Semdegi periodis (t) fasis drevandeli Rirebulebis sxvaoba. Sesabamisad rodesac aqtivis t periodis fasi mcirdeba mimdinare fass ufro mkvetrad uwevs Semcireba rata t-periodis samomxmareblo xarji Semcirdes. 52

53 mokidebuli aqtivebis fasebze. kerzod marali leverejis pirobebsi aqtivebis fasebis Semcireba firmis wmin Rirebulebis mkvetr Semcirebas ganapirobebs. sabalanso SezRudvebi mkacrdeba Semcirebas ganapirobebs. faqtorta (aqtivebis) uwyisis rac firmis firmis fasebis gauaresebis mier wmin Sedegad investiciebis Rirebulebis urtiertqmedebis sakredito kidev ufro warmoebis zemoarnisnuli cikli Tavpirveli Sokis gazlierebas (propagation) ganapirobebs. friqciebis gavlenit Sokebis inertulobis (persistence) gazlierebis (propagation) efeqtebi mokidebulia im firmebis leverejze romeltac Soki exebat. globaluri krizisis sawyissi wlebsi sabpraim aqtivebis fasebis Semcireba marali leverejis mqone sainvesticio kompaniebs SeexoT Sedegad uzarmazari gavlena hqon mat ekonomikur aqtivobaze gazlierebuli rasac uaryofiti ekonomikaze Sedegi mohyva. gaxangrzlivebuli aseve marali leverejis kompaniebs SeexoT Soki rusetis krizis dros 998 wels rasac ekonomikaze mnisvnelovani uaryofit efeqti hqon. amis sapirispirod 2-2 wlebsi teqnologiuri firmebis aqciebis krizisis dros Soki SeexoT SerebiT naklebi leverejis mqone kompaniebs (sapensio fondebi Sinameurneobebi) Sedegad miuxevad aqciebis fasebis mnisvnelovani vardnisa amas ar mohyolia ekonomikaze Sokis uaryofiti efeqtis gazliereba xangrzlivad SenarCuneba (mag. Kiotaki 997). makroekonomikaze sakredito formaluri mieca Bernanke Gertlet Gilchrist (999) nasromsi saxe SezRudvebis gavlenis kvlevas ufro sac kapitaluri aqtivebisa firmis wmin Rirebulebis urtiertgavlenis cikli warmodgenilia e.w. aqseleraciis efeqtit (Financial Accelerator). arnisnuli efeqtis gatvaliswinebam tradiciul makroekonomikur modelebsi SesaZlebeli gaxa im periodsi ekonomistebistvis jer kidev gamocanad rcenili sakitxis axsna Tu ratom SeiZleba erti SexedviT mcire Sokebi didi ekonomikuri meryeobis safuzveli gaxdes. friqciebis makroekonomikuri gavlenis kidev ert mnisvnelovan arxs warmodgens e.w. fiseris deflaciis efeqti romelic jer Christiano 53

54 Motto Rostagno (23) kvlevasi xolo Semodgom imave nasromis ufro modificirebul versiasi Christiano Motto Rostagno (2) iqna warmodgenili. es ukanaskneli kvleva makroekonomikur modelsi aqseleraciis efeqttan ertad (romelic Bernanke Gertlet Gilchrist (999) aris nasesxebi) fiseris deflaciis efeqts itvaliswinebs ekonomikuri fluqtuaciebis empiriuli axsnis ufro mdir SesaZleblobas izleva. fiseris deflaciis efeqti (romelic irving fiserma Tavis cnobil kvlevasi Fisher(933) Camoayaliba) gulisxmobs rom fasebis moulodneli cvlilebis Sedegad icvleba firmis vali realur gamosaxulebasi. arnisnuli efeqti azlierebs ekonomikur cikls ekonomikur meryeobas uwyobs xels radgan ekonomikuri recesiis dros fasebis done mcirdeba rac valis realuri tvirtis zrs ganapirobebs. Sedegad mcirdeba investiciebi xolo es ukanaskneli recesiis garrmavebas ganapirobebs. amas sapirispiro gavlena aqvs ekonomikuri ciklis bumis fazasi rodesac fasebis zr valis realur tvirts amcirebs investiciebis waxalisebis gzit ekonomikuri gansakutrebit aqtivobis maralia zrs levarejis ganapirobebs. mqone arnisnuli firmistvis efeqti romeltatvisac fiseris deflaciis efeqti gazlierebuli saxit aisaxeba mat wmin Rirebulebaze. Sokebis makroekonomikuri gavlenis garrmavebistvis aqseleraciis efeqtis matebit wyaros warmoadgens fiseris deflaciis efeqti. un arinisnos rom es ori arxi ertmanets ekonomikuri Sokis mixedvit an azlierebs an abatilebs. Tuki Sokis gavlenit ekonomikuri aqtivoba fasebi erti imave mimartulebit icvleba masin aqseleracia fiseris deflaciis efeqti urtiert gamazlierebeli iqneba ( krizisebis gamomwvevi Sokebi umetesad am tips xolo rodesac Sokis gavlenit fasebi ganekutvneba) ekonomikuri aqtivoba sawinaarmdego mimartulebit icvleba es ori efeqti ertmanets abatilebs (am tipis Sokebs ganekutvneba miwodebis Sokebi mag. navtobis fasis cvlileba). 54

55 2 makro kavsirebis Tanamedrove midgomebi bolo atwleulebis manzilze samecniero literatura makroekonomikuri urtiertkavsirebis modelirebis vitardebo. jer kidev 2-ian wlebamde kutxit stabilurad arsebuli kvlevebi natlad warmoacen finansur bazarze arsebuli sakredito SezRudvebis gavlenas ertobliv gamosvebaze makro kavsirebis rols krizisis ganvitarebisas. mas Semdeg warmoebuli kvlevebis raodenoba kidev ufro metad gaizar sawiroebebze. yvela koncentrir politikis gamtarebelta miuxevad amisa es kvlevebi srulad ver itvaliswinebs im empiriul krizisis safuzvels qmnian sawiroebebze kvirvebasa Sedegad Semdgomi morgebuli Tu Taviseburebebs gamovlin kvlevebis modelis Tumca rac isini warmoebistvis ganvitarebistvis. globaluri mnisvnelovan konkretul mocemul TavSi warmodgenilia marko- modelirebis arsebuli midgomebi mati ZiriTadi principebi. tradiciuli dinamikuri zogadi wonasworobis modelebi (DSGE) romlebic monetaruli politikis analizisa makroekonomikuri prognozirebistvis gamoyeneba iqneba es stanrtuli 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 (22) Chistiano Eichebaum Evans (25)). zemotarnisnul modelebsi es Tviseba gulisxmobs rom ekonomikuri agentebi moqmedeben e.w. sruli safinanso bazris pirobebsi (Complete Financial Markets) sruli SesaZlebloba aqvt SeuzRuvad ganaxorcielon nebismieri kontraqti. arnisnuli Sveba ugulebelyofs realurad finansur bazrebze arsebul friqciebs (Financial Frictions) isetebs informacia e.w. Agency costs sxva rogoricaa romlebic asimetriuli gansakutrebul mnisvnelobas szens instrumentebis gamoyenebas. zemoarnisnul stanrtuli modelebistvis e.w. Modigliani -Miller -is Tvisebas ramdenime mnisvnelovani Sedegi gaacnia. esenia: 55

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 rom ZiriTad saxes romelic gulisxmobs friqciebis firmasromlebic ararsebobis pirobebsi ori mxolod leverajit gansxvavdeba erti igive Rirebuleba gaacnia. kerzod firmis Rirebulebaze gavlena ar aqvs firma aqciebis gamosvebit moizivs kapitals Tu nawilobrivi aqciebit nawilobriv valis arebit. გ) finansur institutebs ar aqvt roli mocemul ekonomikasi. arnisnuli Sedegi gamomdinareobs im garemoebin rom ramdenac stanrtul monetarul modelebsi ar gvaqvs informaciis asimetriuloba sxva friqciebi Suamavlobis sawiroeba ar arsebobs. aseve ar arsebobs sawiroeba Suamavlobis ert-erti ZiriTadi funqciis vadianobis transformaciis investoristvis an/ Suamavlobis sasualebit (depozitaristvis) riskebis diversifikaciis servisis gawevistvis. დ) firmebisa SinameurneobebisTvis gvaqvs aqtivebis sruli bazari (Complete Asset Markets). aqtivebis sruli bazari gulisxmobs rom ekonomikur agentebs sasuleba aqvt naxarjis garese ganaxorcielon SemTxveviT xdomilebaze mokidebuli kontraqtit vawroba. Tavis mxriv SemTxveviT xdomilebaze mokidebuli kontraqti moiazrebs iset aqtivs romelis momavali Rirebuleba mokidebulia SemTxveviTi xdomilebis momaval mnisvnelobaze. Sesabamisad zemoarnisnuli Sedegebi ganapirobebs rom stanrtul monetarul modelebsi simdidris ganawilebas mnisvneloba ar aqvs. ramdenac aqtivebis bazari srulia xolo bazarze ar aris friqciebi resursebis alokacia efeqtianad warmoebs Sedegad simdidris ganawilebas gavlena ar aqvs ekonomikis wonasworul mdgomareobaze. 56

57 Tumca arnisnuli Sedegi realobas xsirad ver asaxavs adekvaturad radgan gansakutrebit finansur bazrebze arsebuli SezRudvebi xsir SemTxvevaSi xels uslis resursebis efeqtian ganawilebas Sesabamisad simdidris ganawilebac gavlenas axdens zogad ekonomikur mdgomareobaze. aseve stanrtuli monetaruli modelebis sisustes warmoadgens rom isini adekvaturad ver xsnian krizisis makroekonomikaze stanrtul empiriul periodsi rodesac mnisvnelovan modelebsi faqtebs gavlenas rogorc gansakutrebit sabanko axdens. zemot krizisi ramdenac arvnisnet Suamavlobis roli ar ikveteba Sesabamisad sabanko krizisis Sedegebis axsna am tipis modelebit did sirtules warmoadgens. aqtivebis faswarmoqmna sapnis busti axireba romlebic seqtoris analizistvis tradiciuli monetaruli mnisvnelovan modelebis elementebs mirma rceba. warmoadgens es yovelive ki ganapirobebs rom msgavsi tipis modelebi makroprudenciul finansur seqtortan kavsirebulpolitikis analizis sasualebas ar izleva. e.w. Modigliani-Miller -is Tvisebis mqone modelebis ZiriTad sisustes warmoadgens rom realuri ekonomikuri garemosgan gansxvavebit matsi ver gaitvaliswineba is funmenturi garemoeba romelic gulisxmobs rom mzogvelebi investorebi sxvasxva ekonomikuri agentebi arian. Sesabamisad sawiroa bazari sac isini ertmanets Sexvdebian ivawreben. mzogvelis nazogis rolsi igulisxmeba naklebriskianad bandeba ekonomikuri surt xolo agentebi romeltac investoris rolsi- ekonomikuri agentebi romlebic inovaciuri ideis gansaxorcieleblad mzad arian isesxon mzogvelebisgan. dinamikuri stoqasturi zogadi wonasworobis stanrtul modelebsi erti imave ekonomikuri agentebi (Sinameurneobebi) gvevlinebian rogorc mzogvelis ise investoris rolsi rac gamoricxavs am oris interesta konfliqts trivialurs xdis finansur bazars. Sesabamisad arnisnul modelebsi gvaqvs bazari sac Teoriulad Svebulia gasesxeba 57

58 sesxeba Tumca es procesi (equilibrium). kerzod ertdroulad ar mimdinareobs Sinameurneoba warmoadgens romelic moqmedebs wonasworobis mzogvels Semdegi sqemit: pirobebsi igi investors moxmarebis SezRudvis xarjze gamoatavisuflebs resurs romelsac Tavadve iyenebs kapitalis resursi warmoebistvis romelic man xolo am moxmarebis kapitals Semdgom SezRudviT yidis bazarze. gamoatavisufla rata sargeblis saxit momavalsi ufro maral moxmarebas Sewvdes warmoadgens nazogs xolo is procesi romelic man awarmoa kapitalis Sesaqmnelad warmoadgens investicias. mzogvelisa investoris ert ekonomikur agentsi warmodgenit stanrtuli modelebi mnisvnelovan sirtuleebs uvlis gverds rac realur ekonomikasi gvxvdeba. Tanamedrove finansur samyarosi mzogveli investori gansxvavebuli ekonomikuri agentebi arian. mzogveli romelic Tanxas gamoyofs sesxulobs investors romelic mzogvelisgan moukideblad 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 gamoiyenebo miznit rodesac nazogs navit britanetis mcxovreblebi agzavnidnen atasobit sargeblis milis mirebis SorebiT myof argentinasi sac potenciuri investori am Tanxas sarfianad abandeb Semdgom ukan abruneb. mizezebi ratomac mzogveli investori zemoarnisnuli ganmartebebitertmanetisgan gansxvavdeba realur cxovrebasi Semdegia: a) mat aqvt gansxvavebuli diskontirebis ganakveti. amis mizezi magalitad SeiZleba iyos rom amianebi sasicocxlo ciklis gansxvavebul etapze imyofebian. amiani romelic uaxlovdeba sapensio asaks zogvis marali motivacia gaacnia. Sesabamisad maralia misi diskontirebis ganakveti xolo amiani romelic diskontirebis riskebisadmi. Sromis ganakveti amianebi unarianobis ufro balia. gansxvavebulad asakis b) adreul gansxvavebuli ariqvamen riskebs etapzea misi midrekileba Sesabamisad arian amianebi romlebic ufro midrekilni arian riskisadmi isini mzad arian riskiani saqmianoba awarmoon xolo arian amianebi romlebic 58

59 nakleb midrekilni nakleb riskianad amianebis arian riskebisadmi bandebas midrekileba aniweben moxmarebis Sesabamisad isini upiratesobas. g) nazogebis gansxvavdeba drosi Canacvlebisadmi (Intertemporal substitution). amianebis heterogenuloba drevandeli moxmarebis momavali moxmarebit Canacvlebisadmi iwvevs mat gansxvavebul mokidebulebas realuri sargeblis ganakvetis cvlilebisadmi. d) gansxvavdeba amianebis wvdoma teqnologiebisadmi mati unarebi. sxva sityvebit rom vtqvat zogierti ufro jildoebulia biznesis warmoebis unar-cvevebit mzad arian investoris rolsi iyvnen xolo zogiertni upiratesobas qiravebit musaobas aniweben axorcieleben. es nazogebis ukanasknelni nakleb mzogvelis riskianad rols bandebas itavseben. aseve mnisvnelovani faqtorebia rom arinisnos e) swor dros swor adgilas yofna mnisvnelovania biznes ideis warmatebit gansaxorcieleblad rac mzogvelisa investoris gansxvavebas ganapirobebs v) gansxvavebuli molodinebi rac amianebs gansxvavebuli mimartulebebit ubizgebt. zemoarnisnuli mizezebi safuzvlianad xsnis im garemoebas rom realobasi mzogveli investori gansxvavebuli ekonomikuri agentebi arian. ufro metic mat saqmianobasi bunebrivad arsebobs interesta konfliqti radgan resursebi romlebic zogvis sasualebit iqna gamotavisuflebuli investoris mier bandebuli sabolood qmnis amonagebs romelic mzogvelsa investors Soris un ganawildes. Tuki ertis wili gaizrdeba es meores xarjze moxdeba piriqit (e.w. zero sum game ). mzogvelsa investoris Soris interesta konfliqti aris ZiriTadi garemoeba romelic friqciebis modelsi gaitvaliswineba stanrtuli monetaruli modelebisgan gansxvavebit. arnisnuli interesta konfliqti gansakutrebulad mnisvnelovani xdeba rodesac bazarze arsebobs informaciis asimetriuloba. kerzod mxolod investorma icis mzogvelisgan mirebuli kreditis realuri miznobriobis Sesaxeb. informaciis asimetriuloba e.w. sawinaarmdego SerCevis (adverse aq ar igulisxmeba is garemoeba rom grzelvadianad investoris warmatebuli saqmianoba mzogvelistvis ufro maral Semosavals nisnavs piriqit. 59

60 selection) problemas acens e.w. moralurobis risks warmosobs (moral hazard). kerzod msesxebeli acnobierebs miznobriobas srulad ver akvirdeba sasualo riskis mixedvit ra investoris realur bazarze arsebul investorta kompensaciistvis marjas itxovs. marjis diferencirebis SeuZlebloba ganapirobebs rom ketilsindisier investors es xarji tvirtad awveba xolo araketilsindisieristvis wamaxalisebelia (ix. Akerlof 97). Sesabamisad ketilsindisieri investorebi xolo bazrin piriqit ganidevnebian araketilsindisierebis raodenoba izrdeba (e.w. sawinaarmdegos SerCeva ). moralurobis riski warmoisveba masin rodesac araketilsindisieri aramiznobrivad gankargavs. xdeba Tu SemTxvevaSi mxolod sesxis sesxs miirebs mas es ukanaskneli gansakutrebit mnisvnelovani gavitvaliswinebt SemosazRvrulia investori misi mxolod rom investoris sakutari nawils kapitalit (partial faravs pasuxismgebloba romelic zaralis pledgability). aseve friqciebis kutxit kidev erti mnisvnelovani faqtoria fiseris valis deflaciis umetesoba efeqti. nominalur kerzod ekonomikasi erteulebsia rac savalo kontraqtebis stanrtul monetarul modelebsi ar gaitvaliswineba Tumca nominalur realur valianebas Soris sxvaoba ekonomikuri agentebistvis gansakutrebul mnisvnelobas izens ekonomikuri Sokebis dros rodesac fasebis meryeoba izrdeba. ekonomikasi realurad arsebuli yvela es friqcia mnisvnelovnad zruvs bazris efeqtianobas simdidris ganawilebas mnisvnelovans xdis ekonomikis agregirebuli macveneblebistvis. e.w. modigliani-miller tipis ekonomikisgan umtavresi gansxvavebaa rom finansur friqciebian modelebsi araefeqtianin ufro SezRudulia efeqtian ekonomikur resursis agentebze. ganawileba Sesabamisad mnisvnelovani xdeba rogor iqneba ganawilebuli resursebi. aseve mnisvnelovania rom ekonomikuri Sokebi finansur friqciebian modelebsi xsirad iwveven simdidris ganawilebis gauaresebas im azrit rom resursebi naklebad iyris Tavs misi efeqtianad gankargvis unaris mqone ekonomikuri agentebis xelsi. 6

61 stanrtul makroekonomikur gautvaliswineblobis yoveltvis Sedegebs acnobierebdnen. modelebsi makroekonomistebi mravali ekonomistis friqciebis ama Tu im formit mier iyo gamotqmuli mosazreba rom e.w. modigliani- miller tipis modelebsi gamotovebuli iyo mnisvnelovani meqanizmebi romeltac realur ekonomikasi hqont adgili. amas amyareb is garemoeba rom msoflio istoriis manzilze arctu isviati iyo sabanko seqtoris krizisebi aseve ass-s didi depresiis gamocdileba jer kidev 93-iani wlebin szen aqtualobas friqciebis rols makroekonomikasi. un arinisnos rom am mimartulebit araerti cnobili makroekonomikuri kvleva iqna gamoqveynebuli jer kidev gasuli saukunis adreul etapze romeltac kargi safuzveli Seqmnes mati Semdgomi konsoliciis ukve mogvianebit 99-iani wlebis meore naxevarsi met-naklebad srulyofili friqciebiani makroekonomikuri modelebis asagebad. XІX saukunis adreuli safuzvelis kvlevebin SeqmnisaTvis gaanalizebulia valze arsanisnavia deflaciis friqciebis fiseri gavlena Tematikaze (933) romelsic nominaluri sargeblis ganakvetebis nulovani zrvaris problema. kerzod rodesac ekonomikaze valis tvirti maralia sabanko seqtorsi Sokis Sedegad bankebi cdiloben sesxebis swrafad Semcirebas bankebis mxrin aqtivebis uecari gayidva deflacias sesxebis Semcireba ganapirobebs. Tavis ekonomikur mxriv kerzo aqtivobas seqtoris amcirebs vali romelic nominalur erteulebsia deflaciis Sedegad realur zrs ganicdis 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 93-ian wlebsi ass-s depresiis periodsi mox. deflaciis uaryofiti deflaciis efeqtit fiseris deflaciis fiseris efeqtis gax analizi cnobili. efeqts mier arnisnul kvlevasi mogvianebit kristiano srulfasovnad e.w. sxvebi didi valze fiseris (23 ganixilaven 2) ukve 6

62 finansurfriqciebian DSGE modelsi romelzec Semdgom TavebSi gveqneba saubari. adreuli kvlevebin aseve mnisvnelovani wvlili Seitana keinzis (936) Sromam sac neoklaiskuri midgomisgan gansxvavebit centralur rols TamaSobs ertoblivi motxovna Sesabamisad ekonomikuri krizisebis analizis martvis TvalsazrisiT keinzis Teoriis gavlena mnisvnelovania. aseve minski (957) romelic fridmani Svarci (963) finansur arastabilurobas ganixilavs romlebic wina planze ganixilaven sabanko krizisis mnisvnelovnebas makroekonomikur WrilSi. Tumca un arinisnos rom miuxevad zemoarnisnuli kvlevebisa romlebic adreul etapzeve miutiteb makroekonomikisa bazrebis urtiertkavsiris analizis sawiroebaze jer kidev wlebis globalur finansur krizisamde am problemebis simwvave satanadod ar iyo Sefasebuli. globaluri krizisis Semdgom ekonomistebis didi yuradreba etmo makro Sesabamisi modelebis urtiertkavsirebis ganvitarebasi mnisvnelovani analizs warmatebac iqna mirweuli. Tumca ekonomistebis jer kidev didi Zalisxmevaa sawiro rom Teoriuli modelebi sawiroebebze Seasrulos. imgvarad morgebul politikis iqnas konkretuli gamtarebeltatvis qveynebis specifikis orientiris roli am mimartulebit umtavres gamowvevas warmoadgens modelebis xvewa rom politikis gamtarebeltatvis Tu monetaruli instrumentebis gamoyenebisas ricxviti pasuxebis mireba iyos SesaZlebeli. modelebis mimart romlebic bolo wlebsi ganvitar am mimartulebit ZiriTad ramdenime motxovna iyo wayenebuli. matgan umtavresi iyo rom modelebs un moecvat seqtori sac ar eqnebo adgili Modigliani Miller-is Tvisebas. aseve modelsi nawilobriv mainc iqnebo warmodgenili meqanizmebi gamovlin makroekonomikuri romlebic rac aranakleb finanasuri krizisis mnisvnelovania urtiertkavsirebis is periodebsi istoriulad modeli raodenobrivi analizis Catarebis SesaZleblobas mogvcem. 62

63 mimdinare etapistvis arsebuli makroekonomikuri urtiertkavsirebis modelebi warmoadgens tradiciuli dinamikuri zogadi wonasworobis makroekonomikuri (DSGE) modelebis gafartoebas modelsi friqciebis CarTviTi gzit. Tanamedrove literaturasi gamosayofia ZiriTad otxi tipis modelebi: I. modeli SezRudvebiT sagiravno aqtivebze with (model 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 sxvasxva gzit arwers im garemoebas rom Suamavlebis wmin Rirebulebis (kapitalis) Semcireba saprocento marjebis zrs ganapirobebs Sedegad mcirdeba ekonomikis krediteba investiciebi rac wlebsi krizisis realur ekonomikaze gavlenis ert-erti mtavari maxasiatebeli iyo. I II tipis modelebis ZiriTadi maxasiatebelia kreditebisas bazarze arsebuli asimetriuli informacia msesxeblis monitoringis xarji xolo III IV modelebsi 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 farva potenciur klientebs Tuki sesxi ar aris uzrunvelyofili. ganapirobebs rom sesxistvis warmoebis sagiravno faqtorebs (miwa aqtivis uzravi aucilebloba qoneba manqana 63

64 nadgarebi) ormagi roli aqvt erti rogorc warmoebistvis aucilebeli faqtorebi meore rogorc sesxis uzrunvelyofis sasualebebi. mati fasebis cvlileba ekonomikur gavlenas aqtivobaze axdens romelic sesxebis Tavis limitze mxriv Sesabamisad warmoebis faqtorebze motxovnas ganapirobebs. arnisnul modelsi warmoebis faqtorebis fasebisa ekonomikuri aqtivobis urtiertqmedeba urtiertkavsiris ZiriTad qmnis arxs makroekonomikuri romelic gansakutrebul mnisvnelobas ekonomikuri ciklebis periodsi izens. kerzod arnisnuli meqanizmi ganapirobebs rom izrdeba ekonomikuri ciklebis simwvave mati xangrzlivoba rac makroprudenciuli politikis gamtarebelta mier yuradrebis sagani un gaxdes. sagiravno aqtivit SezRuduli modeli misi zemoarnisnuli TvisebebiT Semotanil iqna Kiotaki and Moore (995) kvlevasi sac Teoriul kvlevaze yrdnobit gaanalizebulia sakredito SezRudvebisa ertoblivi ekonomikuri aqtivobis urtiertqmedeba biznes ciklebis fonze. arnisnuli kvleva inovaciurad warmoacens makroekonomikuri urtiertkavsirebis am ert-ert ZiriTad arxs Tumca nawilobriv eyrdnoba manamde arsebul kvlevebs isetebs rogoricaa Bernanke and Gertler (989) Kashyap Scharfstein and Weil (99) Shleifer and Vishny(992) Scheinkman and Weiss (986) sxv.. ideis doneze uzrunvelyofili kreditebisa sagiravno aqtivis fasebis pozitiuri mokidebuleba jer kidev Veblan (94 Chapter V) kvlevasi gvxvdeba. Kiotaki and Moore (995) kvlevis mixedvit Svebis Tanaxmad ekonomikasi arsebobs ori tipis saqoneli xangrzlivi moxmarebis aqtivi romelis raodenoba fiqsirebulia (mag. miwa) xanmokle moxmarebis saqoneli romlis Senaxva SeuZlebelia (mag. xili romelic miwaze modis). aseve Svebis Tanaxmad ekonomika warmodgenilia ori gansxvavebuli tipis agentit pirobitad fermeri Semgrovebeli. orive matgans mohyavs moixmares xils Tumca gansxvavebulia mati sargeblianobis funqciebi. fermeri: [ ] 64

65 [ Semgrovebeli: sac R ] warmoadgens diskontirebis < akmayofileben Semdeg pirobas: kvlevasi heterogenurli ekonomikuri < ganakvetebs agentebi romlebic warmodgenilia diskontirebis ganakvetebs Soris sxvaobit igi mnisvnelovan tvirtvas atarebs. Semgroveblebi romelta diskontirebis ganakveti ufro balia metad afaseben Semgroveblebi momaval realur moxmarebas cxovrebsi vidre fermerebi ganasaxiereben Sesabamisad mzogvelebs xolo fermerebi warmoadgenen investorebs romlebic sesxs ireben awarmoeben. fermeri mgrovelic orive ert periods andomebs xilis warmoebas miwis gamoyenebit Tumca gansxvavebulia mati warmoebis sasualebebi. fermeris warmoebis funqcias Semdegi saxe aqvs: ( ) > ( ) sac aseve Svebis Tanaxmad sac miwis gamoyenebit fermeri awarmoebs raodenobis xils.svebis Tanaxmad c warmoadgens aravawrobadi saqonelis wils (xilis is nawili romelic mxolod SeuZlia ar eqvemdebareba sakutari -ze transportirebas. moxmarebistvis metis gayidva. SeuZlia). arnisnuli misi gamoyeneba Sesabamisad Sveba fermers fermers sasualebas ar izleva sakredito SezRudva SenarCunebuli iqnes modelsi. fermeris warmoebis teqnologiastan kavsirebit ori mnisvnelovani Svebaa modelsi warmodgenili: (I) fermeri romelmac t periodsi wyo warmoeba bolomde miwaze mas mxolod mas Seswevs unari xilis warmoeba miiyvanos. (II) fermers sakutari diskreciit SeuZlia Sroma Sewyvitos aset SemTxvevaSi t periodsi xilis mosavali ver mova SenarCundeba mxolod miwa. arnisnuli Svebebi gamwyvetia radgan sasualebas izleba modelsi warmodgenil iqnas sagiravno aqtivis SezRudva. kerzod Tuki fermers didi 65

66 odenobis vali gaacnia mas upiratesoba eqneba kreditors majereblad emuqros warmoebis SewyvetiT sesxi srulad arar faros. amisgan Tavis sacavad kreditori sesxis uzrunvelyofas sagiravno aqtivit-miwit axdens. Tumca miwa fermeris mier musavebis garese xils ver izleva. Sesabamisad miwis salikvicio Rirebuleba iqnebo fermeris Rirebuleba xelsi. naklebia arnisnulis vidre misi gatvaliswinebit fermers upiratesoba aqvs kreditori itanxmos sesxis sruli raodenobis nacvlad nawilobriv farvaze (mag. miwis salikvicio fasamde sesxis Semcireba). kreditorebma uzrunvelyofen rom ician ra gacemuli fermeris arnisnuli upiratesoba sesxis moculoba (sargeblis gatvaliswinebit) ar arematebodes sagiravno aqtivis salikvicio fass. Tuki t periodsi fermeris mier kreditorsadmi avrnisnavt xolo sargeblis ganakvets -Ti valianebas -it gveqneba rom: warmodgens miwis Rirebulebas t periodistvis. sac fermerebis sabiujeto SezRudvas rac Seexeba t periodsi mat Semosavals saqonlis realizaciit mirebuli Tanxa warmoadgens. arnisnuli SemosavliT moculobit mirebulit sesxi fermeri axorcielebs investicias axali miwis SesaZenad faravs warsul valianebas uzrunvelyofs sakutar moxmarebas. ( ) rac SeexebaT Semgroveblebs kvlevis Svebis Tanaxmad yvela matganis warmoebis funqcia identuria gaacnia masstabis klebadi ukugeba. kerzod t periodsi miwis gamoyenebit isini awarmoeben vawrobad saqonels Semdegi funqciit: mati ( warmoebis Sesabamisad ) mat სადაც teqnologia arc ar sakredito < moitxovs raime SezRudvebi specifikur exebat. mat unarebs sabiujeto SezRudvas Semdegi saxe aqvs: 66

67 ( sac ) warmoadgens moxmarebas romlebic modelis wonasworobasi ( ) vals t- t periodebsi uaryofitia rac arnisnavs rom Semgroveblebi zogaven fermerebis kreditorebs warmoadgenen. modelsi a c arnisnul პარამეტრებზე დაშვებების გათვალისწინებით ვღებულობთ რომ: sac ( ) SesaZenad. aqen [( ) ] warmoadgens fermeris wmin Rirebulebas xolo pirvelad Senatans (down payment) fermeris mier erteuli miwis gamomdinareobs rom aqtivze (miwaze) motxovna pirpirproporciulad aris mokidebuli fermeris wmin Rirebulebaze. Tuki vusvebt rom aqtivis fasebi izrdeba Sesabamisad და proporciulad izrdeba masin fermeris wmin Rirebuleba proporciulze metad gaizrdeba rasac leveraji ganapirobebs. Sesabamisad vrebulobt rom aqtivze motxovna mzardia misi fasebis zrdis paralelurad. rac SeexebaT Semgroveblebs mati marali diskontirebis ganakvetin gamomdinare isini mzogvelebi arian mat ar aqvt sakredito SezRudva Sesabamisad mati motxovna ganisazrvreba miwis zrvruli produqtiulobis mimdinare Rirebulebis tolobit miwis alternatiul naxarjtan. kerzod ( ) sac warmoadgens erteuli miwis alternatiul Rirebulebas. SegaxsenebT igive wevri fermeristvis warmoadgens pirvelad Senatans (down payment). 67

68 Semgroveblebisa fermerebis motxovnis gaertianebit aseve imis gatvaliswinebit rom miwis rogorc aqtivis jamuri miwodeba bazarze fiqsirebulia vrebulobt rom : u(k) warmodgens ( ) SemgroveblisTvis ( ) miwis ( flobis ) alternatiul Rirebulebas romelic zrdia K-s mimart. Tuki fermerebis motxovna miwaze gaizrdeba aseve gaizrdeba miwis flobis alternatiuli Rirebuleba SemgroveblebisTvis mat motxovnas Seamcirebs rac bazris wonasworobas Seuwyobs xels. arnisnuli mokidebulebebi modelis ert-erti mtavari sakvanzo elementebia romlebic markoekonomikuri urtiertkavsiris meqanizms arweren. mnisvnelovani kerzod myisieri modelsi gavlena miwaze aqvs fasebis sakredito Semcirebas SezRudvis mqone fermerze. aset dros levarajis gavlenit fermeris wmin Rirebuleba aqtivebis gafasebis efeqtit mcirdeba rac mati mxrin investiciebis kidev ufro met Semcirebas ganapirobebs Tavis mxriv miwis fasebis Semcireba Zlierdeba. Sokis urtiertmokidebuleba efeqtis ganapirobebs gazlierebas romelic swored sagiravno es aqtivit SezRuduli modelis ZiriTadi meqanizmia. swored arnisnul process hqon adgili globaluri krizisis periodsi rodesac ipotekuri sesxebit uzrunvelyofili fasiani qaraldebis (MBS) bankebis mxrin swrafi gayidvis mcdelobisas finansurma kompaniebma arnisnuli aqtivebis safaso cvlilebin mnisvnelovani zarali ganica xolo matma finansurma problemebma aqtivebze fasebis vardna kidev ufro gaazliera. 68

69 4 modeli xarjiani verifikaciit makroekonomikur modelsi seqtoris warmodgenis kidev erti cnobili midgomaa-modeli Verification CSV) romelis xarjiani ZiriTad verifikaciit (Models with Costly-State ideas warmoadgens msesxebelsa gamsesxebels Soris arsebuli informaciis asimetriulobis gatvaliswineba. arnisnuli midgoma srulad integrirebul iqna DSGE modelsi Bernanke Gertler and Gilchrist 999 kvlevasi romelic SemdgomSi am Temaze warmoebuli kvlevebistvis bazisad iqca. Bernanke Gertler and Gilchrist 999 aqseleratoris (SemoklebiT BGG)-Si warmodgenilia e.w. meqanizmi romelic sakredito bazarze arsebuli friqciebis Sedegad ekonomikasi arsebuli Sokebis gazlierebasa gaxangrzlivebas meqanizmi ganapirobebs. Semdegia: mokidebuli sesxis sesxis kerzod saprocento mimrebis wmin marja aqseleratoris uaryofitad Rirebulebaze. Tavis aris mxriv uaryofiti mokidebuleba imis Sedegia rom rodesac investoris wmin Rirebuleba mcirea sakutari kapitalit misi monawileoba proeqtis finansebasi aseve mcirea rac amwvavebs potenciur interesta konfliqts investorsa mis msesxebels Soris. gazrdili agentis xarjebi (agency costs) saprocetno marjaze aisaxeba. kerzod msesxeblebi maral kompensacias itxoven arsebuli riskebis kompensirebistvis. imis gatvaliswinebit rom investorta wmin Rirebuleba procikluria (ramdenac procikluria mogeba fasiani qaraldebis izrdeba ekonomikuri arnisnuli efeqti fasebi sxva) sesxis saprocento marja recesiis aisaxeba dros xolo kreditebis mcirdeba moculobaze bumis periodsi. Sesabamisad investiciebsa Tu xarjebze rac azlierebs axangrzlivebs ekonomikur ciklebs. BGG modeli warmoadgens axal keinzianur dinamikur zogadi wonasworobis (DSGE-NK) modelis aqseleraciis modifikacias efeqts romelic investiciebze. itvaliswinebs Svebis Tanaxmad modelsi 69

70 warmodgenilia romlebic sami tipis usasrulod ekonomikuri cxovroben agentebi: bazars (I) awvdian Sinameurneobebi Sromas moixmaren saqonels floben fuls zogaven Tanxas sargeblis momtan aqtivebsi. (II) mewarmeebi romlebic modelsi centralur rols asruleben radgan acqarebis meqanizmi swored matze gadis. Svebis Tanaxmad mewarmeebi warmoadgenen riskis mimart neitralurad ganwyobil agentebs (risk-neutral) mati sicocxlis xangrzlivoba sasrulia. kerzod yovel periodsi mati argakotrebis albatobas warmodgens Sesabamisad mati sicocxlis mosalodneli periods Seadgens. (III) mesame tipis Sinameurneobebi gvevlinebian xangrzlivoba sasualod ekonomikuri mewarmeebi mzogvelebisa gamyidvelebi agentebi arian ertmanetisgan warmodgenilia gamyidvelebi (retailers). gamijnulia msesxeblebis rolsi. modelsi fasebis isini Sesabamisad sixistis uzrunvelsayofad. modelsi aseve gaitvaliswineba saxelmwifo rogorc ekonomikuri agenti romelic axorcielebs fiskalur monetarul politikas. aqseleratoris meqanizmis arsawerad modelsi Semotanilia agentis problemebi (agency problem) romelic mzogvelsa msesxebels Soris interesta konfliqtis Sedegia. Sesabamisad kontraqtis mizania agentis problemis minimizeba swored es ganapirobebs mewarmis wmin Rirebulebasa ertobliv motxovnas Soris mokidebulebas. mewarmis wmin 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 Svebis Tanaxmad mewarmeebi gar ekonomikuri saqmianobisa Tavac samusao Zalas warmoadgenen). mewarmis wmin Rirebuleba gamwyvetia mis mier moziduli finansebistvis. kerzod wmin Rirebulebis zr mewarmes met sakutar mewarmeebis sicocxlis xangrzlivobis SezRudva ganpirobebulia yovel periodsi axali mewarmeebis Semosvlis gasvlis uzrunvelsayofad. γ albatobis mudmivad SenarCuneba uzrunvelyofs rom mewarmeebis raodenoba wilobrivad ekonomikis mtlian agentebsi mudmivia. 7

71 resurs ucens proeqtis finansebasi sakutari wilis zrs ganapirobebs rac amcirebs SesaZlo interestan konfliqts agentis problemis Semsubuqebas iwvevs. Sedegad riskis marja mcirdeba mewarmis mier moziduli saxsrebis moculoba izrdeba rac agregirebul ekonomikur aqtivobaze axdens gavlenas. modelis makroekonomikuri bloki msgavsia stanrtuli dinamikuri zogadi wonasworobis modelebisa mat detalur arweras gverds avuvlit. aq mxolod im nawilze gavamaxvilebt yuradrebas romelic makroekonomikuri urtiertkavsirebis mtavar arss warmoadgens. modelsi kapitalze amonagebi mokidebulia rogorc sistemur ise დამოკიდებულია როგორც სისტემურ ისე idisinkretul (idiosyncratic) მოდელში კაპიტალზე ამონაგები იდისინკრეტულ (idiosyncratic) riskze. j firmistvis ex post kapitalze amonagebi sac moicema erteulovani amonagebia warmoadgens j firmistvis idiosinkretul Soks sasualoti (firmebis ( ( mixedvit ) ) xolo sasualo kapitalis amonagebi t sasualo periodistvis). modelis Svebis Tanaxmad idiosinkretuli Soki mxolod mewarmistvis aris kvirvebadi masze informacia banks mxolod sakmarisi xarjis gawevis Semdgom aqvs. arnisnuli Sveba warmoadgens CSV modelebis ZiriTad maxasiatebels. romlis igi mixedvitac pirvelad Townsend (979) mier msesxeblebs garkveuli iqna Tanxis gaanalizebuli (mag. auditoruli momsaxurebis) garebis Semdgom SeeZloT mewarmis realur amonagebze sruli informaciis mireba. arnisnuli xarji SesaZloa warmovidginot rogorc gakotrebis legaluri buraltruli mxaris momsaxureba uzrunvelyofis aqtivebis xarji likviciis (iuridiuli xarjebi). Svebis Tanaxmad arnisnuli auditoruli xarji proporciulia firmis jamuri Rirebulebis. kerzod igi moicema Semdegi saxit arnisvnis Tanaxmad j mewarmis wmin Rirebulebas. warmoadgens romelic mas gaacnia t periodis bolos (t periodis sawyissi). mewarme 7

72 sesxulobs Tanxas romelsac igi amatebs sakutar Tanxas yidulobs (anu afinansebs sakutar biznes proeqts). kapitals optimalur kontraqts romelic finansur Suamavalsa mewarmes Soris ideba ori ZiriTadi maxasiatebeli gaacnia. sargeblis ganakveti2 iseti rom rodesac idiosinkretuli Sokis zrvruli mnisvneloba mewarme srulad emsaxureba kontraqtit gatvaliswinebul pirobebs. > mnisvneloba ganisazrvreba Semdegi tolobin: arnisnuli tolodin gamomdinareobs rom SegviZlia Semdegnairad warmovadginot sac warmoadgens j firmis wmin Rirebulebas xolo j firmis leverajis dones. arnisnuli mokidebuleba cxadyofs rom firmis leverajis zr 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 ( ) zr. rodesac kontraqtis Tanaxmad mewarme banks uxdis Tanxas xolo rcenil Tanxas romelic Seadgens inarcunebs. Tuki < is tol masin mewarme srulad ver faravs sesxs mewarme sesxulobs Suamavlisgan (banki) romelsac Tavis mxriv Sinameurneobebisgan Rebulobs finansebas. 2sargeblis ganakveti Z moicavs ZiriTad Tanxasac Z r (gross). igive exeba R ganakvetsac. 72

73 defolts auditis acxadebs. xarjis am ukanasknel gawevis Semdeg SemTxvevaSi mewarmis aqtivebs Suamavali esakutreba. kerzod mewarmis gakotrebis SemTxvevaSi bankis mier mirebuli Semosavali Seadgens xolo mewarmes araferi rceba. ( ) wonasworobis piroba - istvis gulisxmobs rom Suamavlis mier mewarmeze gacemuli sesxis sargebelis ganakveti toli un iyos Suamavlis mier moziduli saxsrebis alternatiuli Rirebulebis. Svebis Tanaxmad mewarmeze gacemuli sesxis ertaderti risk warmoadgens idiosinkratuli riski romelic srulad diversificirebadia. Sesabamisad wonasworobisas sesxis kontraqti un akmayofilebdes Semdeg pirobas: ( sac ) ( ) warmoadgens Suamavlis mier moziduli saxsrebis alternatiuli sargeblis ganakvets. Sesabamisad tolobis marjvena mxare warmoadgens xarjs SuamavlisTvis xolo tolobis mosalodnel amonagebs. mewarmeze marcxena gacemuli mxare- sesxis mewarmeze alternatiul gacemuli is ganmartebin gamomdinare sesxis warmoadgens mewarmis gakotrebis albatobas. zemotmoyvanili gantolebis gamoyenebit miireba Semdegi mokidebuleba: ( sac sesxis warmodgenilia ) ( ) mosalodneli amonagebi ( (tolobis ) marcxena mxare) -ze mokidebulebit. realobasi gar idiosinkratuli riskebisa ekonomikasi didi dozit gvxvdeba sistemuri riskebi romelta mnisvnelovnebas gansakutrebit krizisebi warmoacens. sistemuri riskebi idiosinkretulisgan diversificirebadi. amdenad romelic urisko makroekonomikuri mokidebulia sargeblis garemos gansxvavebit ganakvets paralelurad ar aris srulad -ზე (nacvlad warmoadgen) icvleba. -isa romelic Sesabamisad mokidebulia makroekonomikur faqtorebze kerzod igi kontrciklurad 73

74 icvleba. magalitad kapitalze amonagebis ( ) mosalodnelze bali. donis SemTxveaSi izrdeba mewarmistvis sesxis sargeblis ganakveti sageblis ganakvetis zrs mewarmis gakotrebis albatobis zr ganapirobebs rac Tavis mxriv kapitalze bali amonagebis Sedegia. SejamebisTvis arnisnuli modelis mixedvit makroekonomikuri garemos gauaresebis fonze kapitalze bali amonagebis zr iwvevs mewarmis gakotrebis albatobis zrs rac saprocento marjis zrsac ganapirobebs. rogorc zemot arvnisne BGG modeli urtiertkavsirebis mogvianebit yvelaze modelirebis araerti sxva mnisvnelovani ert-ert nasromis kvlevebia makroekonomikuri sabaziso safuzveli kvlevad gax. matgan iqca ert-erti Christiano Motto and Rostango 2 23 romlebmac kidev ufro gaamdidres BGG modeli sxva friqciebis mocvit. kerzod Christiano sxvani (2) kvlevasi BGG modeli gamdidrebulia e.w. fiseris valis deflaciis efeqtit. mati SvebiT modelsi ekonomikuri agentebis bankebisadmi valianeba 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 aqseleratoris efeqttan ertad friqciebis mtavar wyaros romelic msoflios krizisebis istoriasi fartod kvirvebadi fenomenia. 5 moralurobis riski I ( Running Away modeli) makroekonomikuri urtiertkavsirebis modelirebis ert - erti mnisvnelovani mimartulebas warmoadgens Running Away-tipis modeli romelic fokusirebulia finansur SuamavlobaSi arsebuli moralurobis riskis modelirebaze. kerzod es problema momdinareobs bankebis ( 74

75 zogad Suamavlebis) SesaZleblobin rom mat mflobelobasi arsebuli aqtivebi miitacon an sakutari ketildreobistvis gamoiyenon. arnisnuli tipis modeli kargad arwers globaluri krizisis epizods rodesac (sakutari 27 kapitalis) wlis Semdgom Semcirebis Semdeg bankebis wmin saprocento Rirebulebis marjebi mkvetrad gaizar Suamavloba Seferx. 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 miuxevad es depozitarebistvis negatiuri signali iqneba Sesabamisad ndobas kargaven mat mimart nazogebs sxvagan waireben. depozitarebis arnisnuli reaqcia sworad ganwvretis Sedegia rom bankebis sakutari kapitalis Semcireba mat leverajs gazrdis mat met motivacias Seuqmnis aqtivebis mitacebistvis (an gaflangvistvis). am molodinebis gasaneitraleblad bankebis mier depozitebis Semcireba mozidul saxsrebze xarjis Sekveca mat mogebas gazrdis depozitarebis negatiur molodinebsac gaaneitralebs radgan marali mogebis pirobebsi bankebi metad motivirebulni iqnebian saqmianobis patiosnad gagrzelebistvis. arnisnuli tipis modeli warmodgenilia Gertler Kiotaki (2) Gertler Karadi (29) nasromebsi romlis gamartivebul versiasac aq mokled mimovixilav sac modelis ZiriTadi principi SenarCunebulia xolo arasawiro gartulebebs gverds avuvli. modelsi warmodgenilia ori tipis ekonomikuri agentebi esenia bankirebi saqmebulebi. TiToeuli tipis kategoriis agentebi absoliturad ertmanetis msgavsni arian amastan usasrulo raodenobis. simartivistvis ganvixilavt orperiodian models Tumca zemo arnisnul nasromsi usasrulo periodiani SemTxvevebia warmodgenili. period -Si saqmebulebi romeltagan TiToeuls Svebis Tanaxmad ergot memkvidreobit y saqoneli Rebuloben gawyvetilebas ramdeni moixmaron ramdeni zogon depozitebis saxit. bankirebi romeltac aseve 75

76 memkvidreobit ergot N N kapitali Rebuloben depozitebs abandeben firmebis fasian qaraldebsi s rasac firma iyenebs kapitalis SesaZenad saqonels awarmoebs period 2-Si. imave period 2-Si Sinameurneobebi moixmaren wina periodsi depozitebis saxit zogil Tanxas aseve Rebuloben mogebas romelic bankebisgan ergot. Sinameurneobebis sargeblianobis maqsimizaciis amocanaa Semdegi: Sinameurneobis maqsimizaciis problema periodi cd y sabiujeto SezRudva miznis funqcia sac y periodi 2 warmoadgens pirvel periodsi ( ( ) ( )) saqmebulis mier mirebul memkvidreobas c C warmoadgenen pirvel meore periodis moxmarebas და Sesabamisad d aris depozitebis moculoba warmoadgenen depozitebis sargeblianobis ganakvets (Ziris CaTvliT) bankebis mogebas romelic TiToeul Sinameurneobas ergo transferis saxit xolo warmoadgens Sinameurneobis sargeblianobis funqcias. ( ) ( ) bankebis mogebis optimizaciis amocana gulisxmobs Semdegs: bankis mogebis maqsimizacia periodi 2 periodi miiros depoziti d gaistumros depoziti (ricxuli sargeblit) SeiZinos fasiani qaraldebi s N d ibrunos sesxi firmisgan (ricxuli sargeblit) ( maqsimizacia sac d depozitebis moculobas s SeZenili sesxebis) depozitebze ganakvetebs warmoadgenen. ) fasiani sesxebze qaraldebis (gacemuli ricxul sargeblis bankis mogebis arwers romelic mis 76

77 Semosavlebsa xarjebs maqsimizaciis amocana Soris arwers sxvaobas bankis warmoadgens. moqmedebas zemoarnisnuli moralurobis riskis gautvaliswineblad romelsac mogvianebit SemovitanT. wonasworobis piroba gulisxmobs rom un sruldebodes Sinameurneobebis sargeblianobis bankis mogebis maqsimizaciis pirobebi aseve saqonlisa depozitebis bazari un iyos wonasworobasi debiti d c C-sTvis. arnisnuli modelis wonasworobis ert-erti maxasiatebelia rom pirobis ilustracia martivia Tu vusvebt rom ganakveti aremateba optimaluri iqneba vusvebt rom ) Sesabamisad sesxis ar > sargeblis moizidos depozitebze sargeblis ganakvets masin bankistvis d. Tuki depozitebi. am piriqit masin banki usasrulod bevr depozits miirebs (d orive matgani ewinaarmdegeba wonasworobis pirobas romelsac Cven vezebt modelis farglebsi (d un iyos debiti ricxvi). depozitisa sesxis sargeblis ganakvetebis toloba nisnavs rom saprocento spredi arnisnul ekonomikasi nulis tolia rac logikuria imis gatvaliswinebit rom Suamavlobis naxarjebi modelsi Svebis Tanaxmad ara nulovania xolo defolti ar xdeba. es yovelive uzrunvelyofs rom arsebuli SvebebiT modelis wonasworoba ketildreobis unakargo resursebis ganawilebas gvazlevs. arnisnul modelsi diagramebit bazaris warvadginot wonasworoba un motxovna arvnisnot depozitebze es aris horizontaluri wrfe rom miwodebis bankis motxovna saxit. Sinameurneobis mier depozitebis miwodebis mrudi warmoadgens yoveli konkretuli stvis d-s iset ganapirobebs. mnisvnelobas miwodebis mrudis romelic analizi sargeblianobis cxadyofs rom - maqsimizacias N (bankebis sakutari kapitalis) Semcirebis SemTxvevaSi d izrdeba rata nazogebis zrm pirvelsa meore periodebsi moxmarebis Tanabari ganawileba gamoiwvios. un arinisnos rom zemot moyvanili Svebebis pirobebsi friqcia ar arsebobs rac aseti ketildreobis unakargo wonasworobas 77

78 izleva arc bankebis kapitalis depozitebis uaryofit mokidebulebas aqvs adgili. Gertler - Kiotaki modelis ZiriTadi Sveba 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 narceni depozitarebs rceba. Sesabamisad banki miirebs xolo ( ) depozitarebi gatvaliswinebit gakotrebas ( ). ar aircevs banki im racionalurobis SemTxvevaSi Tu misi es gawyvetileba ufro met mogebas moutans ( ) ( ) arnisnuli utolobis eqvivalenturi garqmna gvazlevs ( )( ) es ukanaskneli miutitebs rom banki ircevs argakotrebas masin mxolod masin rodesac amis gaketeba depozitarebis misarebs amcirebs (tolobis marjvena mxare warmoadgens depozitarebis misarebs argakotrebis SemTxvevaSi xolo tolobis marcxena mxare gakotrebis SemTxvevaSi). arnisnulis gatvaliswinebit vaxasiatot bankis motxovna depozitebze. modelsi yoveli banki depozitis saprocento ganakvets ganixilavs rogorc mocemulobas wyvets ramdeni depoziti un miiros. yoveli periodis sawyissi romelis banki acxadebs mixedvitac SesaZleblobas. depozitis mistvis sasurveli Sinameurneobebi wonasworobasi moculobas arc romelic depozitis afaseben erti banki moculobas bankis ar Sinameurneobebs gakotrebis isurvebs mismi iseti ndobas ukargavs. winaarmdeg SemTxvevaSi depozitarebi sxva banksi Seinaxaven nazogs. Sesabamisad wonasworoba Semdegi gatvaliswinebit. bankis saxit moralurobis moicema riskis ( ) gatvaliswinebit SezRudvis 78

79 amastan un kmayofildebodes Sinameurneobebis ketildreobis optimalurobis piroba xolo saqonlisa depozitebis bazarze motxovna miwodeba ertmanets udrides raime debiti c C d -Tvis. wonasworobis pirobin gataliswinebit (bankis gamomdinareobs moralurobis rom riski) bankis mier friqciis depozitebze motxovna ukve arar aris horizontaluri xazi. kerzod horizontaluri xazi ( ) funqcia < aris < intervalze ( ) bankis motxovna depozitebze aris < ( ) xolo maralia. Sinameurneobebis pirobebsic mxolod mier bankis motxovna depozitebis analogiuria rodesac mimart klebadi depozitebze miwodeba saprocento xolo usasrulod ganakvetis friqciis mimart zrdi funqciaa. 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 debit saprocento marjas ganapirobebs. modelis ZiriTadi meqanizmi kargad arwers globaluri krizisis periods rodesac 27 wlamde bankebis marali kapitalizacia mcire saprocento spredebs ganapirobeb Sesabamisad Suamavloba xels uwyob resursebis maqsimalurad efeqtian ganawilebas. 27 wlis Semdgom moralurobis krizisis riskisn fonze gamomdinare bankebis kapitalis problemebi Semcirebam gaamwvava Sedegad saprocento marjebi mkvetrad gaizar Suamavloba Seferx ramac makroekonomikuri problemebi warmosva. 79

80 moralurobis riski II ( Unobserved Banker Effort bankis mier 6 naklebi Zalisxmeva) sakredito romelic bazarze moralurobis yuradrebas amaxvilebs risks ara arwers bankis kidev mier erti aqtivebis modeli mitvisebis unarze rogorc es zemoganxiluli modelis SemTxvevaSi iyo aramed bankis mier aqtivebis aragulisxmier martvaze. kerzod bankis ( zogad Suamavlis) saqmianoba moitxovs rom man Zalisxmeva un gairos rata moizios gonivrulad kargi sainvesticio abandos. depozitaristvis amastan ukvirvebadia. SezRudvas warmoadgens rom proeqtebi misi es mocemuli moziduli Zalisxmeva tipis resursi didwilad modelsi finansur bankirma SesaZloa sakmarisi Zalisxmeva ar moaxmaros aqtivebis gonivrulad martvas. bankebs un hqondet sakmarisi motivacia rata sruli Zalisxmeva gairon. ert-erti metodi SesaZloa iyos rom bankis mier depozitebze gaxdili sargebeli ar iyos mokidebuli bankis mier mirebul mogebaze. es SesaZleblobas miscemt aqtivebis martvis yoveli zrvruli gaumjobesebin sruli sargebeli miiron gazrdili mogebis saxit. amistvis bankebs un gaacndet sakmarisi sakutari kapitali rata SesaZlebeli iyos depozitebis sargeblianoba moukidebeli iyos bankis bankebis mogebisgan. amis sawiroeba ganpirobebulia sakredito portfeli yvelaze uketes im garemoebit rom SemTxvevaSic ki riskis Semcvelia riskebis sruli diversifikacia miurwevadia amdenad bankis mxrin maqsimaluri Zalisxmevis pirobebsic ki (an aqtivebze mcire gasaxdeli sargebeli amonagebs) ganicdis. banki zogjer nakargebs Sesabamisad depozitebze moukidebeli rom iyos aqtivebis amonagebze bankma sakutari kapitalit un uzrunvelyos depozitebis momsaxureba. mocemuli tipis modeli natlad acvenebs rom rodesac bankebs sakmarisad marali kapitali aqvt depozitebis sargeblianoba moukidebelia bankis sakredito portfelis momgebianobisgan rac wonasworobasi resursebis efeqtian ganawilebas ganapirobebs. bazrebi mnisvnelovnad ferxdeba rodesac bankebs romelta aqtivebi stress ganicdis mcire sakutari kapitali aqvt rata aqtivebis nakargebi faron. aset SemTxvevaSi depozitarebsac uwevt nakargebis 8

81 mireba. amis midgomas pasuxad vrebulobt maral rom depozitarebi saprocento depozitebis sxva bankebis ganakvetebs sargeblianoba mimartac itxoven. sesxebis amkacreben amis Sedegad sargeblianobaze xdeba mokidebuli rac bankebis motivacias amcirebs Zalisxmevis garebis kutxit. es ukanaskneli ki bankebis aqtivebze momgebianobas amcirebs sabolood depozitebis sargeblianobac mcirdeba rac nazogebis moculobis Semcirebasa investiciebis optimalur doneze naklebobas ganapirobebs. modelis ZiriTadi gansxvavebulia natlad mxolod arwers bankebis CarCo im marali msgavsia wina moralurobis garemoebas kapitalis rom TavSi riski. 27 marali ganxiluli am wlis done modelisa SemTxvevaSic globalur modeli krizisamde Suamavlobis Seuferxebel musaobas ganapirobeb xels uwyob iset wonasworobas rodesac resursebis ganawileba maqsimalurad efeqtiani iyo. krizisis Semdgom bankebis kapitalis Semcirebam saprocento spredebis zr Sesabamisad Suamavlobis Seferxeba ganapiroba. modelis CarCos detalurad ar mimovixilav mxolod zogadi arwerit Semovifarglebi. modelis Svebis Tanaxmad ekonomikasi warmodgenilia usasrulod bevri Sinameurneoba romeltagan TiToeuli Sedgeba aseve usasrulod bevri bankirebisa saqmebulebisgan. 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. narceni proeqtebi warmoadgens pirobitad cud proeqtebs matsi investireba izleva amonagebs sac gansazrvrul depozitebis <. Tavis mxriv sidideebs sargeblis romlebic ganakveti warmoadgenen egzogenurad teqnologiebzea warmoadgens urisko mokidebuli. amonagebs (R). Sinameurneobis sargeblianobis funqcias wina TavSi ganxiluli modelis 8

82 saxe aqvs. Sesabamisad mat sargeblianobis maqsimizaciis piroba Semdegnairia: ( ( ) sabiujeto SezRudvebiT c d y ( )) bankebi pirvel periodsi memkvidreobit Rebuloben N NsakuTar kapitals romeltac isini depozitebtan ertad iyeneben firmis fasiani qaraldebis SesaZenad. modelisve konkurenciasi SvebiT banki srulad firmebi imyofebian Rebulobs firmis mier srulyofil sainvesticio proeqtis amonagebs. albatoba imisa rom bankis mier SeZenili fasiani qaraldi aris kargi sainvesticio proeqtis mqone firmis moicema Semdegi saxit: sac warmoadgens Zalisxmevas. ( ) bankis wonasworobistvis mier > firmis modeli aqciis ganixilavs SeZenisas gaweul parametrebis iset mnisvnelobas romeltatvisac < ( ) <. bankis mier fasiani qaraldin mirebuli amonagebis sasualo dispersia Semdegi saxit moicema: ( ) ( ) un arinisnos rom ( ( )) ( ) ( )( ( ))( ( ) ( 2 ( ))(( ) ) ( )> warmoadgens uaryofits Sesabamisad bankis mier Zalisxmevis zrdis Sedegad sasualo amonagebi izrdeba xolo dispersia mcirdeba. modelsi ganxiluli analizi gulisxmobs rom ( ) > piroba kmayofildeba. arnisnuli friqcia modelis romelis mtavari mixedvitac interesis sagans depozitaristvis gaweuli Zalisxmeva ra gavlenas axdens warmoadgens ucnobia bankis mier modelis wonasworobaze. 82

83 im SeTxvevaSi rodesac bankis mier gaweuli Zalisxmeva xilulia depozitaristvis masin gveqneba Semdegi surati. banksa depozitars Soris gaformebul kontraqts axasiatebs otxi parametri. esenia: depozitis moculoba - - bankis meir investirebisas garebuli Zalisxmeva depozitis sargeblis ganakvet Tu kard banksi antavsebs Tanxas sargeblis ganakvet Tu cud banksi antavsebs Tanxas. bankis amocanaa aircios kontraqtistvis arnisnuli parametrebi Semdegi gamosaxulebis maqsimizaciis miznit: ( ) ( ) ( ) sabiujeto SezRudvebia: ( ) ( ) sac warmoadgens [ ( )] Zalisxmevis sargeblianobis naxarjs xolo zrvrul sargebels. ( ) sabiujeto ( ) garebin 2 bankistvis mirebul arnisnavs bankis mflobelis moxmarebis SezRudvebi warmoadgens pirobebs romlebic Sesabamisad uzrunvelyofen rom depozitarebsa bankebs Soris Suamavali (mutual funds) srulyofili konkurenciis pirobebsia nulovani mogeba aqvs. amastan depozitarebi Rebuloben R sargeblianobas bankis mier nebismieri amonagebis mirebis SeTxvevaSi. arnisnuli Svebebis pirobebsi modelis wonasworoba gulisxmobs rom cvladebi un akmayofilebdnen bankis zemoarnisnul maqsimizaciis pirobas Sinameurneobebis sargeblianobis maqsimizaciis pirobas debiti - Tvis. wonasworobis arnisnuli pirobis analizi (romlis teqnikur detalebsac aq ar moviyvan) cxadyofs rom depozitebis sargeblianobis SesaZloa ar iyos mokidebuli bankis aqtivebis momgebianobaze ( ganakveti ) Tuki N bankebis sakutari kapitali sakmarisad didia. im SemTxvevaSi 83

84 rodesac bankis mier garebuli Zalisxmeva depozitaristvis ukvirvebadia masin wonasworoba am or SemTxvevaSi ertmanets emtxveva mxolod masin rodesac R (N d) R aqtivebze nebismieri depozitarebis Zalisxmevis R (N d) R sruldeba. amonagebis momsaxureba. wonasworobis realizebis winaarmdeg SemTxvevaSi SemTxvevaSi d R naklebia anu mas bankis SeuZlia ukvirvebadi kvirvebadi Zalisxmevis wonasworobisaze sargeblis ganakvetis marjac debitia. arnisnuli Tviseba warmoadgens modelis ZiriTad meqanizms romlis mixedvitac bankis sakutari kapitalis Semcireba uaryofitad aisaxeba sargeblis ganakvetis marjebze Suamavloba ferxdeba rac ekonomikis kreditebisa investiciebis vardnas ganapirobebs. 84

85 თავი III. makro- modeli saqartvelostvis postglobaluri krizisis periodsi makroekonomistebis umnisvnelovanes gamowvevad iqca iseti modelebis ageba romlebic ara mxolod axsni warsul movlenebs aramed sapasuxo RonisZiebebis analizis sasulebas miscem politikis gamtareblebs. rogorc xazgasmul iqna msoflios wamyvani institutebis kvlevebsi (mag. Macroeconomic Assessment Group 2) politikis gamtarebeltatvis umtavres gamowvevas warmoadgens balansis cva erti mxriv krizisebis SesaZlo moxdenis riskebis Semcirebasa im makropudenciuli politikis sazogadoebrivi naxarjs Soris romelic krizisebis normalur riskebis pirobebsi SemcirebisTvis. un ganxorcieldes amdenad gansakutrebul mnisvnelobas izens analitikuri CarCos Camoyalibeba romelic swored am tipis analizs Seuwyobs xels politikis gamtareblebs balansis cvis sasualebas miscems. winamdebare modeli makroekonomikuri swored zemoarnisnuli Tvisebebis urtiertkavsirebis mqone analizistvis aris gankutvnili. kerzod modeli ganixilavs makroekonomikuri cvladebis ertobliv kavsirebs romlis sasualebitac SesaZlebelia gaanalizdes kerzo seqtoris kreditebis zr sesxebis msp stan fardobis saprognozo dinamika saqmiani ciklebis gataliswinebit. analizis ZiriTadi Sedegia SesaZlebeli iyos ekonomikasi sesxebis zedmetad swrafi zrdis leverajis Warbad grovebis riskebis identificireba Sesabamisi makroprudenciuli politikis dgenistvis 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 makroekonomikuri prognozis analizi makroprudenciuli politikis endogenurobis pirobebsi 85

86 warimartos rac monetaruli makroprudenciuli politikis urtiertqmedebis gaanalizebis SesaZleblobas izleva. modeli ganekutvneba axal-keinzianuri modelebis klass mcire Ria tipis ekonomikisatvis gafartoebulia seqtoris mocvis kutxit. igi efuzneba dinamiuri stoqasturi zogadi wonasworobis (Dynamic Stochastic General Equilibrium DSGE) modelirebas Tumca naxevrad-struqturulia rac maxasiatebelia modelis politikis analizistvis parametrebi Sefasebulia arnisnuli makro- gankutvnili saqartvelos modeli msgavsia modelebistvis. istoriul monacemebze. monetaruli politikis analizistvis gankutvnili modelebisa Tumca matebit igi gamdidrebulia friqciebis modelirebit. makroprudenciuli politika endogenurad aris warmodgenili kapitalis buferis kontr-cikluri wesit. modelis bloki aseve Seicavs sawiro igiveobebs kerzo seqtoris sakredito valianebis dinamikurad arweristvis. modelis mikroekonomikuri struqtura moicavs Sinameurneobebs romlebic gaweuli Sromis fasad Rebuloben Semosavals xelfasis saxit. Sualeduri produqciis pirobebsi mwarmoeblebs awarmoeben romlebic usasrulod monopolisturi diferencirebul konkurenciis saqonels sabanko seqtors konkurentul finansur bazrebs romlebic finansur Suamavlebs warmoadgenen. modelsi warmodgenilia sagareo seqtori romeltanac qveyana vawrobs aseve komerciuli bankebi Rebuloben sesxebs xolo monetarul makroprudenciul politikas Sesabamisi miznebit axorcielebs centraluri banki. modelis moqmedebis meqanizmi sqematurad diagrama -zea warmodgenili. kontr cikluri wesi gulisxmobs bankebistvis minimaluri sacavi kapitalis normis zr ekonomikuri bumis dros xolo mis Semcireba recesiis dros. 86

87 diagrama modelis sqematuri struqtura საბოლოო პროდუქტის მოხმარება მწარმოებლები შუალედური პროდუქცია საოჯახო მეურნეობები სამუშაო ძალა შუალედური მწარმოებლები ფინანსური ფინანსური პროდუქტები პროდუქტები იმპორტული საწარმოო ფაქტორი ბანკები წმინდა ექსპორტი მაკროპრუდენციული და მონეტარული პოლიტიკა საგარეო ცენტრალური ვალი ბანკი სექტორი modelsi seqtori warmodgenilia sabanko sistemit romelic ekonomikis kreditebas axdens. sabanko sistemis sakredito portfeli modelsi warmodgenilia Tavisi struqturit valutebisa sargeblis ganakvetis vadianobis struqturebit. sakredito portfelis momsaxurebis tvirti kerzo seqtoristvis ganisazrvreba dolarizaciin gamomdinare gacvlit makroekonomikuri faqtorebit ganisazrvreba. sargeblis kursze ganakvetsa romelic Tavis mxriv mimdinare sakredito portfelis zr romelsac bankebi prociklurad axorcieleben kvlav Warbi motxovnis matebit maprovocirebeli xdeba. magalitad ekonomikuri ciklis bumis fazasi Warbi motxovna Warb sakredito zrs uwyobs xels romelic Tavis warmodgenili es mxriv Warb motxovnas mokidebuleba ganapirobebs. ertobliv amdenad motxovnasa modelsi sakredito zrs Soris aqseleratoris efeqts arwers romelic fartod kvirvebadi fenomenia msoflios krizisebis istoriasi. 87

88 makro- urtiertkavsiris kidev erti mnisvnelovani arxia fiseris valis deflacia romelic portfelis realuri ertoblivi motxovnis nominalurad modelsi zrdis warmodgenilia inflaciis Semcirebis gamosaxulebasi aseve mokidebulebit. SemTxvevaSi fiqsirebuli sakredito kerzod deflaciuri valis tvirts zewola zrdis rac matebit bowavs ertobliv motxovnas. piriqit xdeba rodesac debiti motxovnis Sokia. ufro detalurad modelis struqturasi rogor aris arnisnuli arxi gatvaliswinebuli Semdgom TavebSi iqneba warmodgenili. seqtoris analizistvis modelsi ert-erti mnisvnelovani faqtoria gacvliti kursi romelsac didi yuradreba etmoba. kerzod gacvliti kursi erti mastabilizirebel dolarizaciis mxriv gavlenas fonze ekonomikis axdens sakredito xolo tvirtis realur meore seqtorze mxriv cvlilebas sesxebis iwvevs rac ertobliv motxovnaze aisaxeba aseve samomxmareblo fasebze gavlenas axdens rogorc importuli saqonlis fasebis aseve mwarmoebelta sesxebis gavlit. makroprudenciuli politika modelsi warmodgenilia kapitalis ciklis sawinaarmdego buferis dgenis wesit. makroprudenciuli politikis mizania sawiroebis SemTxevaSi SezRudos sabanko seqtoris krediteba Warbi zrdisas moamzados sabanko sistema bumis Semdgom Rmasvlis fazasi nakargebis gazlebisatvis xeli Seuwyos kreditebis mkvetri Semcirebis Tavin refinansirebis ganisazrvreba. acilebas. ganakvets kerzod monetaruli romelic refinansirebis politika teiloris ganakveti gansazrvravs wesis dgindeba msgavsad inflaciis prognozisa Warbi ertoblivi gamosvebis (msp-s potenciuri donin gaxra igive msp gapi ) mixedvit. modelis motxovnis axali keinzianuri Tvisebebin filipsis gantolebebi. warmodgenilia dinamiuri IS mrudit arsanisnavia ertoblivi kerzod ertoblivi motxovna romelic ekonomikur aqtivobas realur sargeblis ganakvettan akavsirebs itvaliswinebs molodinebsa sxva faqtorebs. axali keinzianuri filifsis mrudi (New-Keynesian Phillips 88

89 Curve) ertoblivi miwodebis mxares warmoadgens. igi inflacias gansazrvravs Tavisive molodinebit ertoblivi gamosvebis potenciuri donin gaxris (rogorc zrvruli xarjebis sazomis) mixedvit. Ria ekonomikis pirobebsi kapitalis mozraobis SeuzRudveloba nominaluri gacvliti kursis adgilobriv ucxouri sargeblis ganakvetebs Soris diferencialze mokidebulebas 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 mokidebulebebs romlebic saqartvelos ekonomikis Taviseburebebis uket arsawerad safuzvlis analizis aris modelsi warmodgenili cxad sawiroebin konkretuli warmodgenis gverdis prognozirebis xarisxis mikroekonomikuri avlit. politikis gaumjobesebisa Tu praqtikuli Tvisebebis realobaze uket morgebis miznit nasromsi agebuli modeli tipis naxevrad-struqturulia miznit agebuli rac fartod modelebistvis. maxasiatebelia Sesabamisad nasromsi msgavsi mokled mimovixilavt modelis mikroekonomikur safuzvels aqcents mxolod modelis yvanil formaze mis gamoyenebaze gavaketebt. modeli seqtorebis mixedvit xut ZiriTad blokad iyofa esenia: (I) seqtori romelic modelsi warmodgenilia sabanko seqtoris sakredito portfelis armweri dinamikuri gantolebit 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 (VI) monetaruli politikis formirebis wesi. 89

90 modelis mikroekonomikuri safuzveli nasromsi warmodgenili modelis struqtura misi mikroekonomikuri safuzveli zogadi wonasworobis dinamikuri stoqasturi (DSGE) modelebis msgavsia. Tumca aqve un arinisnos rom nasromsi warmodgenili modeli (Semi-structural) naxevrad-struqturuli Sesabamisad modeli moicavs qcevis modelebis armwer klass iset ganekutvneba. mokidebulebebsac romlebic sasurveli empiriuli Tvisebebis miznit aris modificirebuli konkretuli mikroekonomikuri safuzvlis cxad gaweris garese. modelis ZiriTad racionaluri Svebas warmoadgens molodinebis rom ekonomikuri safuzvelze ireben agentebi optimalur gawyvetilebebs. ekonomikur agentebad moiazrebian: a) Sinameurneobebi romlebic axdenen sakutari sabiujeto SezRudvebis sargeblianobis pirobebsi; b) funqciis firmebi maqsimizacias romlebic awarmoeben diferencirebul saqonels aseve cdiloben mogebis maqsimizacias g) centraluri banki romelic makroprudenciul monetarul politikas warmartvas Sesabamisi miznebis mixedvit. makroprudenciuli politikis mizans 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 Svebis Tanaxmad warmodgenilia Sinameurneobebis usasrulo raodenoba i () romlebic Semosavals ireben xelfasis saxit Sualeduri produqtis mwarmoebeli firmebistvis samusao Zalis miwodebis Sedegad. mati sargeblianobis funqcia debitad aris mokidebuli moxmarebaze uaryofitad musaobaze. aseve Sinameurneobebi agroveben nazogebs TiToeuli matgani axdens sargeblis maqsimizacias sabiujeto SezRudvis pirobebsi romelic drosi ganawilebasac (intertemporal) gulisxmobs. Svebis Tanaxmad i-uri Sinameurneobis sargeblianobis funqcias Semdegi saxe aqvs: 9

91 sac β diskontirebis Sinameurneobis mier faqtoria miwodebuli - preferenciis samusao Zala Soki ხოლო - Sinameurneobis mier moxmarebuli sasaqonlo kalata. - i -uri i -uri Sinameurneobebi sakutar dovlats drosi anawileben adgilobrivi ucxouri obligaciebis yidvis mesveobit. mati sabiujeto SezRudva Semdegi saxit moicema: sac ( ) warmoadgens t- periodsi Sesyiduli im adgilobrivi raodenobas romeltac sargebeli t periodsi aqvt. ucxouri obligaciebis sargeblis realuri ganakvetebia adgilobriv ucxour obligaciebze realuri gacvliti kursi xolo warmoadgens wmin ertjerad transfers/gasaxads Sualeduri produqtis mwarmoebeli firmebis mogebis jams. gar amisa Cven vusvebt rom adgilobrivi obligaciebi riskiania SesaZloa ganicadon defolti mcire albatobit. es albatoba nasromsi riskis premiad moixsenieba misi arwera avtoregresiuli modelit xdeba. Sinameurneobebis optimizaciis problema lagranjianis saxit Semdegnairad Camoyalibdeba: sac i-uri Sinameurneobis pirobebi otxive cvladis ( ( ) lagranjis mamravlia. pirveli rigis ) mimart Semdegi saxit moicema: ufro konkretulad arnisnavs erti erteuli ucxouri valutis realur Rirebulebas adgilobriv erteulebsi. 9

92 (3..) ( (3..2) ) ( ( ) ) (3..3) (3..4) un arinisnos rom (3..) (3..2) gantolebebi gansazrvravs moxmarebisa svenebas Soris optimalur ganawilebas xolo (3..3) (3..4) oileris gantolebas (Euler equation) warmoadgens romelic moxmarebis drosi optimalur ganawilebas arwers. (3..3) (3..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 risk premiis kompensirebas. saboloo angraisit Sinameurneobis yvela gawyvetilebis gaertianebit vrebulobt rom oileris gantolebebin gamomdinare mtliani moxmareba mokidebulia realur saprocento ganakvetze risk premiasa realur gacvlit kursze (ix. amave Tavis 5-e qvetavi). Sualeduri produqtis mwarmoeblebi Svebis Tanaxmad monopolisturi konkurenciis pirobebsi arian Sesabamisad aqvt unari aweson diferencirebuli fasebi diferencirebul saqonelze. Tumca aseve Svebis Tanaxmad adgili aqvs fasebis sixistes (msgavsad Calvo (983)-is). kerzod Svebis mixedvit firmebis () nawili axerxebs optimalurad inarcunebs Sualeduri awesos axali fasi saqonelze masin roca rcenili araoptimalur TiToeuli firma mqone teqnologiit: () doneze. θ nawili fass produqtis mwarmoebeli awarmoebs saqonels masstabze mudmivi ukugebis 92

93 sac ( ) () () ( ) - j-uri firmis mier egzogenuri teqnologiuri progresia - importirebuli warmoebis faqtori () qiravebuli samusao Zala xolo λ () ki - samusao Zalis wili warmoebis funqciasi. rodesac firmebs ar ZaluZT optimalurad aweson fasi isini cvlian mas meqanikuri indeqsaciis wesis mixedvit: ( ) () indeqsaciis wessi CarTulia importirebuli inflacia radgan firmas ar SeuZlia moaxdinos importirebul optimizacia inflaciaze sruli yrdnobit masstabit (adgilobrivtan masin ertad) mas 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 gawyviton optimizaciis an gaurkvevlobis pirobebsi romelsic isini imyofebian. Sedegad Sualeduri produqtis mwarmoebeli j-uri firmis drosi ganawilebis optimizaciis amocanas Semdegi saxe aqvs: ( ) ( ) ( ) () ( ) ( ) () motxovnis (3..2) SezRudvisa fasebis wesebis SezRudvis pirobebsi romelsac Semdegi saxe aqvs: ( ) () () 93

94 sac ( )- axlad optimizirebul fass xolo optimaluri fasis dgenisa albatobebs warmoadgnes. fuznebuls nulovani meqanikuri Sesabamisad indeqsacis gamoyenebis arnisnavs matematikuri lodinis operators periodis - informaciaze - nominalur xelfass diskontirebis faqtors stoqastur ki - realur gacvlit kurss. lagranjianis formit optimizaciis amocanas Semdegi saxe eqneba: ( ) ( ) sac ( ) ( ) ( ) ( ) () ( ) () ( ) () () () ( ) () ( ) motxovnis SezRudvasa teqnologiur SezRudvasTan asocirebuli lagranjis mamravlebia j-uri firmistvis. masasame pirveli mamravlis interpretacia zrvruli mogebaa (matebit mirebuli mogeba motxovnis SezRudvis Semsubuqebisas) xolo meore mamravlis - zrvruli naxarji (matebit zogili naxarji warmoebis SezRudvis Semsubuqebisas). teqnikuri vrwmundet naxarjebis detalebis rom matebiti konkretikis mogebis maqsimizaciin (an minimizaciin) gamomdinareobs rom garesec advilia ekvivalenturad realuri - zrvruli naxarjebi mokidebulia realur xelfassa realur gacvlit kursze. gar amisa Tu gamoviyenebt Sinameurneobebis optimizaciis amocanis pirveli rigis pirobas firmebis optimizaciis pirveli rigis pirobas P_ ( ) -is mimart fasebis ertoblivi dinamikis kanonsa saqonlisa Sromis bazarze wonasworobis pirobebs masin mivirebt rom adgilobrivi inflacia mokidebulia Tavis lagze momavlis molodinebze (lidebze) 94

95 importirebul inflaciaze realur gacvlit kurssa adgilobriv ekonomikur aqtivobaze. saboloo pruduqciis Elasticity (Constant mwarmoebeli of Substitution) firmebi Sualedur teqnologiit produqcias garqmnian CES saboloo produqciad mas Sinameurneobebze yidian. Sualeduri produqcia Tavis mxriv warmoebis pirvel etapze ert kalatasi ertiandeba: sac () (3..5) ( ) warmoadgens t periodsi Sualeduri produqciis mwarmoebeli j- uri j () firmis mier warmoebul adgilobrivi saqonlis raodenobas. warmoebis Semdeg etapze ertiandeba sxvasxva qveyanasi warmoebuli sxvasxva tipis Sualeduri saqoneli: sac (3..6) ( ) ( ) ( ) (3..7) ( ) warmoadgens ucxouri saqonlis raodenobas warmoebuls -uri ( ()) mwarmoeblis mier -ur ( ()) qveyanasi. δ > warmoadgens sxvasxva tipis saqonelta Soris Canacvlebis elastiurobas γ> ki - ucxour qveyanata Soris Canacvlebis elastiurobas. firmis optimizaciis amocanin axal-keinzianuri filipsis mrudi mirebulia Gali (28) is mixedvit. 95

96 warmoebis bolo etapze ertiandeba adgilobrivi ucxouri produqciis kalatebi saboloo produqtis misarebad: ( ) ( ) (3..8) sac α [] adgilobrivi produqciis mimart mikerzoebis sazomia xolo η> ki Canacvlebis elastiurobas arwers adgilobriv ucxour saqonels Soris. saboloo produqtis mwarmoebeli firmistvis optimizaciis amocanas Semdegi saxe aqvs: ( ) ( ) () () (3..5) (3..6) (3..7) (3..8) pirobebis gatvaliswinebit. arnisnuli optimizaciis gamomdinareobs sac () rom adgilobrivi xolo ( ) amocanin ucxouri fasebis fasebis xolo ( ) ( ) ( ) wmin konkurenciin indeqsi moicema indeqsi ( ) warmoadgens ( ) -uri qveynin importirebuli -uri saqonlis fass. fasebis mtliani indeqsi moicema: ( ) ( )( ) SevniSnoT rom roca η masin mtliani inflacia (anu fasebis mtliani indeqsis zrdis tempi) adgilobrivi importirebuli inflaciebis sasualo Sewonils warmoadgens: aseve zemotmoyvanili saboloo produqtis ( ) (3..9) optimizacis amocanin mwarmoebeli firmis gamomdinareobs motxovnas rom adgilobrivi mwarmoeblis Sualedur produqtze Semdegi forma gaacnia: rodesac η mirebuli SedegisTvis logaritmis gamoyeneba pirveli rigis sxvaobebit warmodgena arnisnul Sedegs gvazlevs. 96

97 sasruls ( ) ( ) modelsi (3..) monetaruli makroprudenciuli politika formirdeba sazogadoebrivi ketildreobis maqsimizaciit. ketildreobis nakargebi Sedegia im cvladebis meryeobisa romlebic zegavlenas axdens ekonomikuri agentebis sargeblianobaze. kerzod monetaruli politika miznad isaxavs rom Seamciros inflaciisa msp-is gaxra TavianTi wonasworuli donin aseve Seamciros sargeblis nominaluri ganakvetebis meryeoba. Tavis mxriv makroprudenciuli politikis mizania kreditebis donis meryeobis Semcireba stabiluri ekonomikuri zrdis xelsewyoba. kerzod monetaruli politikis mizania mosalodneli ketildreobis nakargebis funqciebis minimizacia romelsac Semdegi saxe aqvs: sac Sesabamisi ( ( ) ) ( ) (3..) > parametrebia romlebic sazogadoebis ketildreobistvis cvladebis fardobit inflaciis miznobrivi macvenebelia mnisvnelovnebas gansazrvravs. - msp-s gaxra potenciuri donin - nominaluri saprocento ganakveti xolo - neitraluri nominaluri ganakvetia. makroprudenciuli politikis mizania mosalodneli ketildreobis naxarjis Semdegi funqciis minimizeba: sac. [3..2] parametrebi gansazrvraven Sesabamisad sabanko kreditebis msp-stan fardobis ( ) msp-s ( ) wonasowruli donin gaxrebis fardobit mnisvnelovnebas sazogadoebrivi ketildreobistvis. zemoarwerili struqturis gar models igulisxmeba rom ekonomikis yvela seqtori wonasworobasia. modelis amonaxsnis gawrfiveba- galogaritmebis Sedegad miireba modelis qceviti gantolebebi romlebic ketildreobis nakargebis funqcia - ingl. Welfare loss function nakargebis funqciasi nominaluri ganakvetis CarTvis magaliti ixilet vudfordis (23) nasromsi. 97

98 momdevno qvetavebsia ganxiluli. amastan un arinisnos rom modeli makroprudenciuli monetaruli politikis analizsi fraqtikuli gamoyenebis miznit naxevrad-struqturulia qcevis armweri gantolebebi sasurveli empiriuli Tvisebebis miznit modificirebulia. 2 Semosavlianobis mrudi sargeblis ganakveti Semosavlianobis mrudi droiti struqtura makroekonomikuri TanakveTis areals politikis mosalodneli seqtorze misi warmoadgens. monetaruli cvlilebebi mokidebulebit icvleba ufro romelic aisaxeba zogad ki politikis makroprudenciuli ekonomikis Semosavlianobis realur mrudze. Tavis mxriv Semosavlianobis mrudi aqtivebis fasebsa mat amonagebs gansazrvravs. nasromsi warmodgenil modelsi Semosavlianobis mrudi cxad warmodgenilia samtviani ertwliani samwliani vadianobis sargeblis ganakvetebit rogorc adgilobrivi ise ucxouri2 valutis aqtivebistvis. orive matgansi ZiriTad saprocento ganakvets moklevadiani sargeblis ganakveti warmoadgens. ganakvets rogorc centraluri banki stabilizaciis SemTxvevaSi adgilobrivi monetaruli fasebisa miznis moklevadian mixedvit valutis SemTxvevaSi moklevadian politikis ZiriTad instruments ufro adgens ganakvetis zogad xolo londonis makroekonomikuri ucxouri valutis banktasorisi sesxebis (LIBOR) erttviani sargeblis ganakveti warmoadgens. es ukanaskneli Tavis mxriv mokidebulia ass-s federaluri sarezervo sistemis monetaruli politikis ZiriTad ganakvetze romelic ass-s ekonomikis stabilizaciis miznebit dgindeba. Semosavlianobis mrudis grzelvadiani ganakvetebi ufro zustad monetaruli politikis ZiriTad instruments ert kviriani refinansirebis ganakveti warmoadgens romelic modelsi kvartaluri sixsirit aris warmodgenili. Sesabamisad igi didi sizustit emtxveva sam Tvian sargeblis ganakvets. 2ucxour valutis saprocento ganakvetebi gulisxmobs ass dolaris sargeblis ganakvetebs saqartvelos adgilobriv bazarze. 98

99 modelsi warmodgeba rogorc momavlis moklevadiani ganakvetebis mosalodneli mnisvnelobebis aritmetikuli sasualo riskis premiis jami. es ukanaskneli moixsenieba rogorc likvidurobis premia igi Tavisi SinaarsiT investoristvis romelic grzelvadian aqtivs flobs momavaltan asocirebuli likvidobis riskis gaurkvevlobis premia gansxvavdeba kompensacias vadianobebis gulisxmobs. mixedvit igi izrdeba vadianobis zrstan ertad. SejamebisTvis un makroekonomikur itqvas rom finansur Semosavlianobis arxebs. mrudi centraluri aertianebs banki romelic itvaliswinebs ra funmentur makroekonomikur faqtorebs monetaruli politikis miznebin gamomdinare adgens ganakvets. moklevadiani ganakvetebi gaecema moklevadian saprocento grzelvadian ganakvetebs romelic rogorc zemot ukve vaxsenet arbitrajis SeuZleblobis Svebas efuzneba. amdenad momavlis makroekonomikuri faqtorebis molodinebi aseve asaxulia Semosavlianobis mrudze. detalurad rom arvwerot adgilobrivi valutistvis mrudi warmodgenilia Semdegnairad. ganakvets (sam Tviani Semosavlianobis -warmoadgens moklevadian saprocneto vadianobis) romelic monetaruli politikis ZiriTadi instrumentia centraluri bankis mier dgindeba (detalurad ixilet merve qvetavsi monetaruli politikis sargeblis ganakveti ganakvetis mosalodneli mnisvnelobebis likvidobis riskis ganisazrvreba premiis jami. rogorc Sesaxeb). monetaruli sasualosa samwliani sargeblis ertwliani politikis drosi cvladi ganakveti ganisazrvreba rogorc ertwliani sargeblis ganakvetebis mosalodneli mnisvnelobebis sasualosa drosi cvladi Sesabamisi riskis premiis jamis saxit. ( ) ( ) ( ) 3 (3.2.) (3.2.2) 99

100 ( sac ) ( ) ( ) arnisnaven monetaruli politikis ganakvetis racionalur molodinebs t t2 t3 periodebisatvis xolo ( ) warmoadgenen Sesabamisad otxi rva kvartalebis ( ) Semdgomi periodebistvis arsebuli ertwliani sargeblis ganakvetis racionalur molodinebs t periodsi arsebul informaciaze yrdnobit. (3.2.) (3.2.2) -is eqvivalenturad aigeba realuri sargeblis ganakvetebis mrudi. kerzod ( ) ( ) sac ertwliani ( ) 3 (3.2.3) (3.2.4) arnisnavs sargeblis samwliani vadianobis realur ganakvets Sesabamisad aqtivebistvis. warmoadgens moklevadian realur sargeblis ganakvets romelic fiseris gantolebit ganisazrvreba inflaciis ( nominaluri sargeblis ganakvetisa ( ) mosalodneli ) gatvaliswinebit: (3.2.5) arsanisnavia rom (3.2.3) (3.2.4)-Si gamoyenebulia igive likvidobis riskis premia romelic mat nominalur eqvivalentebsia ((3.2.) (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 riskis premia mdgradi wonasworobis Sesabamisia. modelsi aseve warmodgenilia ucxouri valutis Semosavlianobis mrudi romlis sawiroebac seqtoris dolarizaciit aris ganpirobebuli. kerzod 24 wlis dekembris mdgomareobit bankebis mier modeli agebulia kvartaluri sixsiris monacemebze Sesabamisad t periodi arnisnavs kvartals.

101 kerzo seqtorze gacemuli sesxebis 6%-ia. dolarizacia ucxouri valutistvis sargeblianobis mrudi adgilobrivi valutis analogiurad ganisazrvreba sargeblis Tumca ganakveti ori mnisvnelovani gansazrvrulia gansxvavebit. londonis moklevadiani banktasorisi sesxebis bazarze (LIBOR) arsebuli ganakvetisa qveynis riskis premiis jamit. kerzod dolaris moklevadiani ganakveti bazarze _ Semdegnairad formirdeba: _ sac saqartvelos adgilobriv (3.2.6) warmoadgens londonis banktasorisi sesxebis bazarze (LIBOR) -it arnisnulia qveynis riskis erttviani sargeblis ganakvets xolo premia romelsac sxva Tanabar pirobebsi investorebi itxoven qartul aqtivebsi investirebistvis. mnisvnelovania arinisnos rom gansxvavdeba (3.2.) (3.2.2) -Si gamoyenebuli likvidobis riskis premiisgan romelic momavaltan kavsirebuli gaurkvevlobis risks asaxav. meore gansxvavebas warmoadgens rom ucxouri valutis sargeblianobis mrudis TiToeuli adgilobrivi ertad vadianobistvis valutis erteulebsi gatvaliswinebuli arnisnuli ganpirobebulia un im amonagebi gamosaxuli masasame iyos sargeblis gacvliti garemoebit rom kursis ertobliv un iyos ganakvettan cvlilebac. motxovnaze sargeblis ganakveti gavlenas zogvasa investirebas/moxmarebas Soris arcevanis gzit axdens amdenad ucxouri valutis sesxis SemTxvevaSi ekonomikuri subieqtebi gawyvetilebis 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) wyaro: saqartvelos erovnuli banki.

102 sac (Δ ) warmoadgens laris dolartan mimartebasi nominaluri gacvliti kursis cvlilebis racionalur molodins t - periodsi arsebul informaciaze yrdnobit. gawliurebulia otxze gacvlit kursis gamravlebit mosalodneli rata Sesari cvlileba iyos wliuri procentisa. laris erteulebsi gamosaxuli sargeblis ganakvetebi dolaris ertwliani samwliani (3.2.) (3.2.2) -is analogiurad ganisazrvreba _ - is mosalodneli mnisvnelobebita riskis premiit (gantolebebis sruli arweistvis Tanaxmad ixilet narti). adgilobrivi un arinisnos ucxouri valutis rom modelsi Svebis sargeblianobis mrudebi ertiigive 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 arar Tu ucxouri valutistvis ganasxvavebs likvidobis riskis premias. Tavis mxriv qveynis riskis premia modelsi warmodgenilia rogorc mdgradi wonasworuli mnisvnelobis misgan gaxris jamis saxit es ukanaskneli avtoregresiuli procesit ariwereba xolo mdgradi wonasworuli mnisvneloba kalibrirebulia qveynis zogadi funmenturi faqtorebis gatvaliswinebit2. amis msgavsad aris modelsi warmodgenili livkidobis riskis premiebic (detalizaciistvis ixilet nartsi gantolebebis sruli sia). modelsi gamoyenebuli arnisvnit warmoadgens lari/dolaris nominaluri gacvliti kursis logaritmul mnisvnelobas romelic aszea gamravlebuli. Sesabamisad Δ warmoadgens t periodsi procentulad laris gaufasurebis pirveli rigis miaxloebit mnisvnelobas. 2 ixilet Tavi 4 modelis parametrizaciis Sesaxeb. 2

103 3 makroprudenciuli politika makro kavsirebi modelsi gatvaliswinebuli instruments kapitalis makroprudenciuli buferis mizans makropurdenciuli kontrcikluri politika dgenis wesit modelsi romlis seqtoris buferi politkis mtavar warmoadgens. amdenad warmodgenilia mixedvitac prociklurobis misi kontrcikluri politikis ganeitraleba ZiriTad warmoadgens. saqmiani ciklis armavlobis dros rodesac msp-s gaxra misi potenciuri donin izrdeba es sabanko seqtoris mxrin sakredito pirobebis Semsubuqebas sesxebis Warbi zrdis provocirebas axdens. es ki ertobliv motxovnaze aisaxeba rac spiralur efeqts qmnis rogorc es ganxiluli iyo makro- urtiertkavsirebis mimoxilvasi (ixilet Tavi 2 -li qvetavi). amdenad makroprudenciuli politika cdilobs SezRudos sesxebis Warbi zr ekonomikis realuri seqtoris Warbi zrdis SemTxvevaSi xolo waaxalisos igi recesiis Jams amit xels uwyobs makroekonomikur stabilurobas. modelsi kapitalis kontrcikluri buferis dgena xdeba Semdegi wesit ( (3.3.) sac ) ( ) aris kapitalis kontrcikluri buferi romelic bankebis riskis mixedvit Sewonili aqtivebis proporciulad moicema wonasworuli done misi grzelvadiani - mtliani Si produqtis potenciurin gaxra - sesxebis mtlian Si produqttan fardobis gaxra misi wonasworobis donin xolo makroprudenciuli politikis Soks warmoadgens. parametrebi makroprudenciuli politikis prioritetebs gansazrvravs ekonomikis stabilizaciis xelsewyobisa kerzo seqtoris leverajis optimalur doneze SenarCunebas Soris. kontrcikluri buferis dgenis wessi mnisvnelovani politikis mdgomareobis parametria prioritetebis mixedvit. cvalebadobas modelsi romelic makroprudenciuli uzrunvelyofs arawrfivad aris ekonomikuri mokidebuli 3

104 saqmian ciklsa kerzo seqtoris leverajze. kerzod sanam kerzo seqtoris leveraji balia (anu sesxebis msp-stan fardoba CamorCeba wonasworul macvenebels) parametri (3.3.) gantolebasi izrdeba Sesabamisad makroprudenciuli politika kontrcikluri miznebin gamomdinare adgens kapitalis bufers xels uwyobs usualod ekonomikis stabilizacias. im SemTxvevaSi rodesac kerzo seqtoris krediteba maralia parametri mcirdeba Sedegad makroprudenciuli politikistvis ufro prioritetuli xdeba kerzo seqtoris leverajis SezRudva mcirdeba mis mier saqmiani ciklis regulirebis miznebit gamoyenebis SesaZlebloba. parametris konkretuli saxe diagrama III.-ze aris gamosaxuli. diagrama III. makroprudenciuli politikis mokidebuleba ekonomikis biznes ciklze.8 CBcycle diagramin Cans sesxebis msp-stan fardobis gaxra wonasworobin pp rom makroprudenciuli rodesac politika sesxebis ufro msp-stan fardoba prioritetulad miicnevs izrdeba kerzo seqtoris leverejis sakitxs cb^cycle koeficienti nols uaxlovdeba sac warmoadgens sesxebis msp-stan fardobis mimdinare dones xolo ( ) e.w complementary error function. 4

105 makroprudenciuli miznebin politika gamomdinare kerzo dgindeba seqtoris xolo valis rodesac stabilizaciis sesxebis msp-stan fardobis gaxra wonasworouli donin zrvrul 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 valianebis Semcirebisken warmoadgens safrtxes wonasworobis donin iqneba 2 mimartuli. rodesac msp-stan fardobis sesxebis procentiani zrvruli levereji gaxra nisnulis ar misi farglebsia parametri erttan axlosaa kapitalis kontrcikluri buferi saqmiani ciklis (msp-s potenciuri dinin gaxris) mixedvit dgindeba. kapitalis kontrcikluri buferi Tavis mxriv gulisxmobs rom sazemxedvelo politikis farglebsi safinanso seqtoris maregulirebel komerciul bankebs riskis mixedvit Sewonili aqtivebis proporciulad kapitalis odenobas uwesebs romelic mat matebit un iqonion. arnisnuli buferi komerciul banks kreditebis xarjs uzrdis ritac zruvs sesxebze motxovnas. makropurdenciuli politikis gacemis meqanizmi modelsi Semdegnairad aris warmodgenili. gantoleba (3.3.2) arwers kreditebis moculobis mokidebulebas kapitalis kontrciklur buferze ekonomikis saqmian ciklze. kerzod sesxebis msp-stan fardobis gaxra misi wonasworobis mdgomareobin2 ( ) mokidebulia inflaciis ( ) gaxraze misi miznobrivi donin mtliani Si produqtis gaxraze misi potenciuri donin ( ) neitraluri kapitalis donin. misi kontrcikluri neitraluri done buferis gaxraze gulisxmobs im misi nisnuls zrvruli macveneblebi arebulia kapitalis kontrcikluri buferis dgenis wesis Sesaxeb bazelis komitetis mier SemuSavebuli sagzao rukis Sesabamisad Guince for national authorities operating the countercyclical capital buffer 2. 2 SegaxsenebT sesxebis msp-stan fardobis trendi gulisxmobs misi istoriul trends romelic ekonomikis mdgradi zrdis Sesabamisia Suamavlobis mdgrad funqcionirebas ganapirobebs. 5

106 romelsac sabanko seqtori sasualod inarcunebs kreditebis mdgrad dones. ( (3.3.2) ) ( ) (Δ Δ ) un arinisnos λ parametri arwers kapitalis adekvaturobis koeficientis procentuli punqtit zrdis gavlenas sesxebze. igi mokidebulia safinanso seqtoris mikroekonomikur struqturasa kerzo seqtoris mier sesxebis motxovnis elastiurobaze saprocento ganakvetis mimart. (3.4.2) gantolebasi makro warmoadgens egzogenur Soks sakredito portfelze. urtiertkavsirebis warmosadgenad modelsi gansakutrebuli tvirtva aqvs parametrs romelic sesxebis saqmian ciklze kerzod mokidebulebas arwers. igi warmoadgens seqtoris prociklurobis sazoms romelic Tavis mxriv sagiravno aqtivis fasebis prociklurobisa informaciis ganpirobebuli (ixilet amave Tavis asimetriulobit -li qvetavi). aris sabanko seqtoris kreditebis tempis biznes ciklze debiti mokidebuleba modelsi warmodgenili aqseleraciis meqanizmis nawilia. es ukanaskneli ki gulisxmobs rom bankis mier gacemuli sesxis marja mokidebulia ekonomikis biznes ciklze. kerzod ekonomikuri recesiis Jams rodesac mcirdeba aqtivebis fasebi mcirdeba ra sesxis mimrebis wmin Rirebuleba es aisaxeba investoris mier proeqtis Tanafinansebis SesaZleblobaSi Sedegad izrdeba bankis mier sesxis riskistvis gatvaliswinebuli marja. es ukanaskneli ki sesxebze motxovnis Semcirebasa kreditebis Senelebas iwvevs. piriqit xdeba ekonomikuri bumis Jams romelic sesxebis zrdis waxalisebas ganapirobebs. aqseleraciis meqanizmis srulad warmodgenistvis modelsi aseve gatvaliswinebulia sesxebis Warbi zrdis gavlena ekonomikur aqtivobaze. Warbi sesxebis zr Tavis mxriv gulisxmobs sesxebis msp-stan fardobis gaxras misi wonasworobis donin ( ) romelic gavlenas 6

107 axdens aseve mtliani Si produqtis gaxraze misi potenciuri donin (arnisnuli gantoleba detalurad ixilet Semdeg TavSi). amdenad SeiZleba itqvas rom modelis mikroekonomikur safuzvelsi sakredito bazris SezRudvebis Sesaxeb iribad warmodgenili Svebebis sasualebit modeli itvaliswinebs aqseleratoris meqanizms romlis Sedegac seqtori ekonomikasi arsebuli Sokebis gazlierebasa gaxangrzlivebas ganapirobebs. friqciebis makroekonomikuri gavlenis kidev erti mnisvnelovani arxia e.w. fiseris deflaciis efeqti romlis warmodgenasac modeli cdilobs. kerzod inflacia cvlis ucvlelobis e.w. fiseris valis pirobebsic deflaciis realur ki. efeqti tvirts ekonomikuri nominaluri rom moculobis recesiis dros rodesac valis realuri tvirtis inflaciis done mosalodnelze naklebia mzimebas ganapirobebs investiciebze rac gulisxmobs es aisaxeba recesiis garrmavebas uwyobs xels. ekonomikuri bumis dros izrdeba ra inflaciis done mosalodnelze ekonomikasi metad investiciebis igi zrs amcirebs valis ganapirobebs. realur amdenad tvirts e.w. rac fiseris deflaciis efeqti azlierebs ekonomikur meryeobas recesiisa Tu bumis periodebsi. (3.3.2) gantolebis mixedvit sesxebis tvirti mokidebulia inflaciaze romlis Tanaxmac sakredito miznobrivze inflaciis portfelis tvirtis marali inflacia zr miznobrivi Semcirebas sakredito macveneblis uzrunvelyofs. tvirtis mirma amdenad Semsubuqebis ganapirobebs ekonomikur gamosvebas zrdis xolo miznobrivze bali inflacia piriqit sesxebis momsaxurebis tvirtis zrs ekonomikuri gamosvebis Semcirebas ganapirobebs. amis sapirispirod ekonomikis stabilurobas uwyobs xels rodesac ekonomikasi gvxvdeba miwodebis Soki sapirispiro mimartulebit mozraobs gamosveba fasebis done. es ufro xsirad Ria mcire zomis ekonomikis mqone qveynistvis aris maxasiatebeli romelic sagareo Sokis zegavlenas ganicdis. 7

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 dgenisas masze mokidebulebit makroprudenciuli politika kerzo seqtoris SezRudvas axdens. sesxebis msp-stan fardoba ( sac ( Warbi kreditebis ) Semdegi saxit moicema (3.4.4) ) - sesxebis - mtliani Si produqtis xolo - samomxmareblo fasebis indeqsis logaritmul mnisvnelobebs arnisnaven. un arinisnos rom msp deflatoris magivrad samomxmareblo fasebis donea gamoyenebuli rac gulisxmobs Svebas rom mati dinamika sasualod ertmanets un emtxveodes. aqve ganvmartot sesxebis msp-stan fardobis wonasworobin gaxra romlic Semdegnairad moicema: sac (3.4.5) sac Tavis mxriv sesxebis msp-stan fardobis wonasworobis dones warmoadgens. igi avtokorelaciis mnisvnelobisken (Δ tempit (Δ ariwereba misi zrdis koeficientit miiswrafvis misi romelic grzelvadiani ). kerzod sesxebis msp-stan fardobis wonasworobis dinamikisa misi wonasworobis zrdis tempis gantolebas Semdegi saxe aqvt: Δ Δ 4( Δ ) (3.4.6) ( )Δ (3.4.7) sac Δ - sesxebis msp-stan fardobis mdgradi zrdis temps warmoadgens (misi konkretuli mnisvnelobis SefasebisTvis ixilet pirveli qvetavi). 8

109 5 ertoblivi motxovna modelsi motxovnis mxare warmodgenilia dinamiuri IS mrudit romelic ekonomikur aqtivobasa realur saprocento ganakvets akavsirebs aseve itvaliswinebs motxovnaze. molodinebisa arnisnuli safuzvlin romelic sxva faqtorebis mokidebuleba zemot iqna gavlenas gamoiyvaneba moyvanili ertobliv mikroekonomikuri stanrtulad maxasaitebelia msgavsi tipis modelebistvis. motxovnis mruds Semdegi saxe aqvs: (Δ Δ ) ( ) (3.5.) sac y warmoadgens gamosvebis Warb moculobas r - realuri saprocento ganakvetis doneebin. z - qveynis riskis premiis gaxrebs mative wonasworobis warmoadgens realuri efeqturi gacvliti kursis gaxras misi wonasworobis donin xolo y - Warb sagareo gamosvebas. makro urtiertkavsirebis warmosadgenad gansakutrebuli tvirtva aqvs saqmiani ciklis kavsirebas finansur cikltan. arnisnuli kavsiri warmodgenilia ertoblivi motxovnis mokidebulebit sesxebis msp-stan fardobis wonasworobin gaxrastan ( romelsac stanrtuli skalirebulia normaluri parametrit romelic ). ε arnisnavs motxovnis Soks ganawileba Tavis gaacnia mxriv motxovnis igi Sokis stanrtul gaxras asaxavs. stanrtuli tipis dinamiuri IS mrudis detaluri gamoyvanistvis ix. Gali (28) sagareo ekonomikuri aqtivobisa gacvliti kursis gantolebasi warmosadgenad Gali and Monaccelli (25) xolo inerciulobis Tvisebis arsawerad (lagis SemotanisTvis) Smets and Wouters (23). 9

110 6 ertoblivi miwodeba modelsi miwodebis mrudit romlis inflaciuri miznobriv mxare warmodgenilia mixedvitac molodinebi doneze axali inflaciis Warbi SenarCuneba keinzianuri mtavari adgilobrivi monetaruli filifsis ganmsazrvrelia gamosveba. politikis inflaciis Sedegia rac teiloris principis SesrulebiT miirweva. axali keinzianuri filifsis mrudis mikroekonomikuri agentebis safuzveli racionaluri konkurenciasi itvaliswineben myofi molodinebis firmebi iset gulisxmobs zrunaven faqtorebs rom pirobebsi mogebis rogoricaa ekonomikuri monopolistur maqsimizaciistvis importuli Sualeduri saqonelis fasebi sixiste faswarmoqmnisas. amastan mtliani inflacia gar Sualeduri importul fasebze importuli saqonlis mokidebuli fasebisa romelsac usualoc samomxmareblo aris kalatasi mnisvnelovani wvlili aqvs. kerzod inflaciis gantolebas Semdegi saxe aqvs: (3.6.) sac - inflacias inflacias arnisnavs - inflaciur molodins xolo - importul warmoadgens Warb adgilobriv gamosvebas xolo -Ti realuri efeqturi gacvliti kursis wonasworobin gaxra aris arnisnuli. arnisnavs miwodebis Soks romelsac stanrtuli normaluri ganawileba gaacnia igi skalirebulia parametrit romelic Tavis mxriv mowodebis Sokis stanrtul gaxras asaxavs. axali keinzianuri midgomis Tanaxmad inflaciaze mnisvnelovani gavlena aqvs racionalur molodinebs romelic Tavis mxriv ekonomikuri agentebis Sors mwvretelobazea mokidebuli. modelsi warmodgenili Svebis Tanaxmad inflaciuri molodinebi racionaluri apturi molodinebis sintezit ganisazrvreba kerzod ki Semdegi saxe aqvs:

111 ( sac ) ( inflaciis (3.6.2) ) 4 mosalodneli mnisvneloba ( ) mokidebulia parametris mixedvit xolo racionalur molodinebze warmoadgens apturi molodinebis wonas. inflaciuri molodinebis arnisnuli wesit modelireba gulisxmobs rom Svebis Tanaxmad ekonomikuri agentebis wils racionaluri xolo modelsi warmodgenili nawils apturi molodinebi aqvt. inflaciis gantolebis Tanaxmad importuli fasebis gadmocema inflaciaze ZiriTad 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 samomxmareblo importuli kalatis saqoneli nawilia. romelic gantolebasi usualod parametri kalibrirebulia importuli saqonlis wilis Sesabamisad samomxmareblo kalatasi. mimdinare SefasebiT misi wili 3%-is farglebsia. Tavis mxriv importuli inflaciis gantolebas Semdegi saxe aqvs: Δ (3.6.3) Δ - saqartvelos savawro partniorebis sasualo Sewonil inflacias sac xolo Δ Δ Sesabamisad laris dolartan mimartebit nominaluri gacvliti kursisa wonasworobis realuri efeqturi gacvliti kursis cvlilebebs arnisnaven. 7 gacvliti kursi nasromsi warmodgenili modeli morgebulia mcire Ria tipis ekonomikas sac mcuravi gacvliti kursis rejimi moqmedebs. Sesabamisad gacvliti kursi ert-ert centralur rols asrulebs ise rogorc monetaruli

112 politikis gacemis aseve makroekonomikuri stabilizaciisa finansur seqtorze gavlenis moxdenis mimartulebit. gacvliti kuris modelsi warmodgenilia procenti paritetuli pirobit. arnisnuli bazarze piroba gulisxmobs axorcielebs rom investicias investori misi rodesac mosalodneli adgilobriv amonagebi un utoldebodes am investiciis alternatiul naxarjs rac moicema sagareo saprocento ganakvetis (i ) mosalodneli gaufasurebisa adgilobriv ekonomikastan kavsirebuli riskis premiis (prem ) jamis saxit. gacvliti kursis gantolebas Sedegi saxe aqvs: 4( ) (3.7.) sac s nominaluri gacvliti kursia gacvliti kursis mosalodneli mnisvneloba prem Ti arnisnulia qveynis suverenuli riskis premia xolo ε gacvliti kursis Soks arnisnavs romelsac stanrtuli normaluri ganawileba gaacnia igi skalirebulia parametrit romelic Tavis mxriv gacvliti kursis Sokis stanrtul gaxras asaxavs. gacvlit kursis mosalodneli mnisvneloba modelsi Semdegi saxit ariwereba: arnisnuli ( ) ( ) ( wesis Tanaxmad apturi 2 (Δ gacvliti molodinebis )/4) kursis (3.7.2) molodini sintezis gzit. formirdeba kerzod (3.7.2) racionaluri gantolebasi parametri warmoadgens racionaluri molodinebis xolo Sesabamisad apturi molodinebis wils. gantolebasi )/4 wevri arnisnavs wina periodis gacvliti 2 (Δ kursis trendit gatvaliswinebuli cvlilebas romelic apturi molodinebis SemTxvevaSi eqnebo bazris monawileebs. (3.7.) -is msgavs pirobas un akmayofilebdes grzelvadiani wonasworobis realuri cvladebic rac realuri saprocento ganakvetebis paritetuli 2

113 pirobit aris cnobili (detaluri ganxilvistvis ixilet narti 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: sac ( )( ( 4 monetaruli politikis ganakvetia inflaciis miznobrivi macvenebeli msgavsad masac xolo (3.8.) misi neitraluri done. ( 4 ) momavali wlis monetaruli politikis Soks arnisnavs. sxva mosalodneli inflaciaa. Sokebis ) ) stanrtuli normaluri ganawileba monetaruli politikis Soki gantolebasi skalirebulia gaacnia. parametrit romelic monetaruli politikis Sokis stanrtul gaxras asaxavs. neitraluri ganakveti modelsi warmodgenilia realuri ganakvetis wonasworobis donisa inflaciis jamis saxit. kerzod: (3.8.) 4 zemot ganxilul ZiriTad gantolebebtan ertad modeli kidev mraval gantolebas Seicavs romeltagan nawili igiveobaa xolo nawili avtoregresiuli procesit moicema. gantolebebis detaluri arweristvis ixilet narti A. mag. sagareo seqtoris prognozebi rogoricaa savawro partniorebis mosalodneli ekononikuri aqtivoba inflacia saprocetno ganakvetebi umjobesia sxva analitikuri wyaroebin (saertasoriso savaluto fondi msoflio banki Bloomberg sxva...) moviziot nacvlad modelis farglebsi moukidebeli Sefasebisa. amdenad mati gantolebebi ZiriTad teqnikuri xasiatisaa modelsi egzogenurad xdeba mati prognozebis gatvaliswineba. 3

114 თავი IV. modelis empiriuli analizi parametrizacia baiesianuri Sefaseba am TavSi warmodgenilia modelis parametrebis kalibracia baeisianuri Sefasebis Sedegebi aseve monacemta zogadi arwera romelic empriuli analizistvis aris gamoyenebuli. modelis parametrebi SeZleba iyos sam ZiriTad modelis kategoriad: mdgrad gantolebebis (I) es aris mdgomareobas (behavioral equations) parametrebi romlebic state); (steady (II) parametrebi gansazrvraven modelis romlebic qceviti moklevadian dinamikas gansazrvraven; (III) Sokebis stanrtuli gaxrebi romlebic modelis stoqastur Tvisebebs gansazrvraven. mdgradi wonasworobis armweri parametrebi kalibrirebulia saqartvelos bolo 5 wlis istoriul monacemebze yrdnobit asaxavs qveynis ekonomikur trendebs. kerzod mdgradi wonasworobis parametrebi moicavs ekonomikuri zrdis bunebriv dones miznobriv inflacias riskis premiisa saprocento ganakvetebis wonasworul doneebs aseve blokisa sagareo seqtoris trendis parametrebs. modelsi mtliani Si 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 2). wliuri inflaciis miznobrivi macvnebeli wlebsi 6% wlebsi 5% xolo grzelvadiani miznobrivi macvenebeli 3%-ia. realuri efeqturi kursis wonasworuli gamyareba 3%-ia rac gamomdinareobs balasasamuelsonis mimartebasi efeqtin gulisxmobs produqtiulobis zrdis qveynis savawro sam-procentuli partniorebtan punqtit sxvaobas. arnisnuli aseve Seesabameba realuri efeqturi kursis istoriul dinamikas. riskis premia arebulia qveynis suverenuli obligaciebis amonagebisa ass-s saxelmwifo fasiani qaraldebis amonagebs Soris sxvaobis mixedvit otx-procentul wonasworuli paritetuli done pirobit punqts Seadgens. ganisazrvreba realuri realuri (Uncovered Interest Parity) sapocento saprocento romelis ganakvetis ganakvetebis mixedvit igi 4

115 mokidebulia riskpremiisa sagareo macveneblebze. realuri realuri saprocneto efeqturi arnisnulis ganakvetis qveynis kursis gamyarebis wonasworul gatvaliswinebit realuri saprocento wonasworobis parametrebs ganakvetis wonasworuli done wliuri.7 %-ia. modelsi seqtoris mdgradi warmoadgens sesxebis msp-stan fardobis zrdis tempi rac sabanko seqtoris penetraciis kapitalis dones adekvaturobis struqturis ekonomikasi. done parametrebi. wonasworobisas warmodgens kapitalis asaxavs fardoba mdgradi izrdeba sasualo motxovna gamoiyeneba droiti punqtit istoriul minimaluri aseve ganakvetebis msp-stan sam-procentuli macveneblis adekvaturobis saprocento sesxebis wliurad arnisnuli modelsi rac mnisvnelobas. modelsi 2%-ia rac Seesabameba istoriulad bankebistvis kapitalis adekvaturobis minimalur motxovnebs. sagareo seqtoris bloksi modeli iyenebs saqartvelos ZiriTadi savawro partniorebis inflaciis wonasworobis armwer saprocento parametrebebs. ganakvetisa savawro gacvlit partniorebis kursis sasualo inflacia 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 - 2% ruseti - 8%. savawro partniorebis wonebi asaxavs saqartvelos savawro brunvasi 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 yrdnobit arebulia.7%-is tolad. TiToeuli savawro partnioris wonasworuli inflacia arebulia mati monetaruli politikis Sesabamisad gacxadebuli miznobrivi macveneblis mixedvit xolo valutis gacvliti kursis wonasworuli savawro brunvebi koreqtirebulia sasaqonlo jgufebis (commodities) gatvaliswinebit romelta faswarmoqmna ass dolarsi xdeba. amdenad ass-s wona asaxavs dolaris mnisvnelovnebas savawro brunvasi ara usualod ass-stan saqartvelos vawrobis moculobas. 5

116 dinamika gamomdinareobs (Purchasing Power myidvelobiti Parity PPP). unaris mdgradi paritetis wonasworobis mixedvit parametrebis mnisvnelobebi detalurad SegiZliaT ixilot nartsi cxrili A-3. saqartvelos ufro romlebic mokle msgavsi an mnisvnelovan manzilze gantolebebis zogad struqturul un arinisnos parametrebis ganvitarebadi cvlilebebs rom ganicdian rtulia SefasebisTvis qveynebistvis modelis klasikuri istoriis qceviti ekonometrikuli midgoma iqnes gamoyenebuli. monacemebi zog SemTxvevaSi an ar arsebobs an mokle istorias faravs rac modelis zomin gamomdinare arasakmaris safuzvels izleva wmin empiriuli kvlevistvis. aset SemTxevaSi kalibrirebuli modelis upiratesoba calsaxaa. gar mwiri monacemta gansazrvravs istoriisa romelic gasatvaliswinebelia rom kalibraciis gansakutrebit upiratesobas bolo ori atwleulis manzilze modelirebis kutxit ekonomistebsi mnisvnelovani codna grov. codnisa gamocdilebis gamoyeneba ufro metad im qveynebis praqtikin aris sasargeblo romlebic saqartvelos ganvitarebis msgavs etaps gadiodnen2. warmodgenili nasromis midgomaa baeisianuri (Bayesian) Sefasebis metodit ganisazrvros modelis parametrebi gamoyenebul iqnes kalibracia parametrebis baiesianuri SefasebebisTvis sawiro apriori mnisvnelobebis gansazrvrisatvis. baiesianuri Sefasebis gamoyeneba saqartvelos specifikis uket gatvaliswinebis seqtoris miznit gansakutrebit mnisvnelovania qceviti gantolebebisa Tu radgan 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 stanrtuli kalibracia gulisxmobs modelis parametrebis gansazrvras ekonomikuri Teoriis sxva qveynebis gamocdilebis eqspertuli Sefasebebis gamoyenebit. Semdgom kalibrirebuli modelis valicia istriul monacemebze kontr-faqtiuri (counterfactual) analizi modelis Sefasebis empiriul safuzvelsac izleva. 2 iseti qveynebi rogoricaa axali zelandia kana CexeTi norvegia israeli sxva intensiurad iyeneben kalibrirebul modelebs bolo ori atwleulis manzilze. 6

117 gaxrebisa avtoregresiuli parametrebis SefasebisTvis romelta kalibracia am parametrebis ZiriTad teqnikuri xasiatis nisnulebis gamo Zalzed rtulia. amis sapirispirod modelis iseti ZiriTadi struqturuli parametrebistvis romelta mirma makroekonomikuri Teoria dgas mravali qveynis gamocdilebisa Tu mecnieruli gamokvlevata safuzvelze SesaZlebelia sarwmuno mnisvnelobis gansazrvra kalibraciis metodis upiratesoba calsaxaa yvela sxva alternativastan SerebiT. baiesianuri Sefasebis metodi emyareba e.w. subieqturi albatobis paradigmas romelic albatobas ganixilavs rogorc subieqturad arqmul ganuzrvrelobas xdomilebis Sesaxeb. stanrtuli 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 dgomisas Tavpirveli apriori albatoba ganaxldeba axali informaciit. amdenad es aris midgoma romelsic axali monacemebit (monacemebit) xdeba sawyisi informaciis ganaxleba 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 yrdnobit. klasikurad statistikasi Sefasebisas (Maximum Likelihood) parametri aris gamoiyeneba romelic mudmivi maqsimumis gulisxmobs sidide. sajereobis metodi populaciis ucnobi rom baiesianuri midgomis mtavar ganmasxvavebels klasikuri midgomisagan swored is warmodgens rom igi ucnob parametrs ganixilavs rogorc SemTxveviT sidides romelsac gaacnia Tavisi albaturi ganawileba. 7

118 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 normaluri ganawilebis apriorul mnisvnelobas apriorul saxe ganawilebas romlis warmoadgens sasualo xolo SeiZleba ucnobi aprioruli qondes parametris ganawilebis dispersia misi gaurkvevlobis dones gansazrvravs. kerzod rac ufro didia dispersia mit parametris ufro naklebad apriorul mnisvnelobis aris mkvlevari mnisvnelobasi. sizusteze miutitebs. mcire rwmunebuli dispersia apriorul ucnobi aprioruli ganawilebas SeiZleba hqondes normaluri ganawilebisgan gansxvavebuli saxec magalitad mudmivi (uniform) ganawileba gausis Sebrunebuli (inverse Gaussian) ganawileba an sxva. aprioruli ganawilebis SerCeva populaciis Sesafasebeli parametris bunebin gamomdinare un moxdes. meore ZiriTad ingredients warmoadgens monacemebin informaciis mireba romelic klasikuri maqsimumis sajerobis (Maximum likelihood) metodis gamoyenebas gulisxmobs. kerzod yvelaze albaturi parametrebis monacemebs Seesabameba. umnisvnelovanes igi gulisxmobs mnisvnelobebi baiesianuri ingredients gansazrvros romelic Sefasebis warmoadgens metodis aprioruli ucnobi mocemul mesame ganawilebisa monacemta statistikuri analizit mirebuli Sedegebis Serwyma romlis Sedegac ukanaskneli miireba miireba post-apriori baiesis (posterior (Bayes) distribution) Teoremis ganawileba. safuzvelze es romelic gulisxmobs rom parametrebis post-apriori Sefaseba mimdinare monacemebis mocemulobis pirobebsi mokidebulia apriorul informaciaze miireba misi SewonviT monacemta maqsimumis sajerobis metodit mirebul SedegebTan. faqtobrivad SeiZleba itqvas rom post-aprioruli Sefaseba warmoadgens aprioruli informaciisa monacemta statistikuri analizit mirebuli Sedegebis sintezs. 8

119 zemoarnisnulis SesaZlebelia gatvaliswinebit mokled baiesianuri Sefasebis metodi arvwerot; baiesianuri metodit Semdegnairad Sefasebis dros monacemebi erwymeba ekonomikur Teoriasa eqspertul codnaze fuznebul apriorul informacias Sedegad miireba postaprioruli mediana) ganawileba warmoadgens (posterior distribution) Sesafasebeli ucnobi romlis parametris mo (an wertilovan Sefasebas. aprioruli informacia gaitvaliswineba apriorul informaciasi Cadebuli sajerobis donis Sesabamisad. modelis makro- kavsirebis armweri parametrebis baiesianuri Sefasebebi mocemulia დიაგრამა 4.-ze. kerzod diagramaze warmodgenilia Sedegi parametrebis Sefasebebi: romelic arwers deflaciis efeqtis gavlenas sesxebis tvirtze fiseris valis - arwers kreditebis biznes ciklze gavlenas rac aqseleratoris erti nawilia xolo α - arwers kreditebis gavlenas ertobliv motxovnaze igi aqseleratoris meore mnisvnelovani nawilia. α parametrebi ertoblivad arweren kreditebisa ertoblivi motxovnis urtiertqmedebis spirals romelic makroekonomikuri urtiertkavsirebis ert-ert mnisvnelovan arxs warmoadgens. diagramaze aseve warmodgenilia politikis ZiriTadi parametri romelic modelsi makroprudenciuli instrumentis gavlenas asaxavs kreditebaze. cvlilebis gavlenas dolarizaciis efeqts kerzo asaxavs kapitalis sawinaarmdego buferis parametri arwers gacvliti kursis seqtoris xolo α sakredito - aseve tvirtze arwers rac ertobliv motxovnaze dolarizaciis Sedegad gacvliti kursis cvlilebis efeqts sabalanso uwyisis gavlit. 9

120 diagrama IV. parametrebis baiesianuri Sefasebis Sedegebi y CB prior: normal.5. maximised poster: start:.5 prior: normal.4. maximised poster:.2938 start:.4 prior: normal.2. maximised poster: start: s 2.2 wyvetili xazi.5 bs arnisnavs LtY prior: normal.. maximised poster: start:. 6.4 prior: normal..5 maximised poster: start:. 4 lurji.2 prior: normal.5.75 maximised poster: start: apriorul..5 ganawilebas (prior distribution) xolo witeli vertikaluri mis sasualo mnisvnelobas romelic Sesafasebeli parametris apriorul mnisvnelobas warmoadgens. mwvane vertikaluri xazi parametris post-apriori (priori) wertilovani Sefaseba. aqseleratoris aprioruli informaciis parametrebis Sesabamisad urtiertkavsiris spiraluri Sefasebebi ikveteba efeqti gvicvenebs rom makroekonomikuri rac mosalodneli iyo. kerzod sesxebis Warbi ertoblivi motxovnis procentuli punqtit zr sesxebis msp-stan Tanafardobis.4 procentuli punqtit zrs ganapirobebs rac kreditebis prociklur xasiatze miutitebs. Tavis mxriv sesxebis msp-stan fardobis zr procentuli punqtit. procentuli punqtit zrdis Warb ertobliv motxovnas. fiseris valis deflaciis armweri parametris Sefaseba gvicvenebs rom sesxebis tvirtze inflaciis gavlena.3-is farglebsia. kerzod inflaciis procentuli punqtit zr sakredito tvirtis msp-stan SefardebiT.3 procentuli punqtit Semcirebas ganapirobebs. parametris Sefaseba 2

121 miutitebs rom kapitalis sawinaarmdego buferis procentuli punqtit zr sesxebis msp-stan fardobis.3 procentuli ganapirobebs. rac SeexebaT dol α punqtit Semcirebas parametrebis Sefasebebs rogorc diagramazea nacvenebi mati mnisvnelobebi Sesabamisad.2. Seadgens rac nisnavs kursis rom laris procentiani dolartan mimartebit gaufasureba sesxebis nominaluri msp-stan gacvliti fardobis.2 procentuli punqtit zrs xolo sabalanso efeqtis gavlenit ertoblivi motxovnis. procentuli punqtit SezRudvas ganapirobebs. amastan un arinisnos rom es Sefasebebi asaxavs mxolod mimdinare periodsi (myisier) gavlenebs xolo grzelvadiani dinamikur struqturaze. efeqtebi impulsis aseve mokidebulia sapasuxo modelis funqciebis detaluri warmodgenilia nartsi analizistvis ixilet 3.3 Tavi. modelis cxrili parametrebis A-4-Si Sefasebebi sac srulad parametris aprioruli ganawileba misi saxelebis gaswvriv mocemulia maxasiateblebi (μ - sasualos xolo σ- stanrtul gaxra) baiesianuri Sefasebis mtavari Sedegi- wertilovani Sefaseba post-aprioruli ganawilebis stanrtuli gaxra. parametrebi Sefasebulia yrdnobit 22 saqartvelostvis 24 wlebistvis. analizistvis gamoyenebulia samomxmareblo fasebis Semdegi indeqsi kvartalur kerzod modelis cvladebi: monetaruli monacemebze empiriuli realuri politikis msp ganakveti adgiobrivi ucxouri valutis sesxebis saprocento ganakvetebi sesxebis msp-stan fardoba riskis premia laris gacvliti kursebi ass dolaris evros liris gamoyenebulia banktasoris savawro rublisa msoflios sesxebis partniori grivnis Warbi bazarze qveynebis mimart. ucxouri ertoblivi (LIBOR) fasebis dolaris indeqsebi monacemebin gamosveba erttviani gacvlit londonis ganakveti kursebi. arnisnuli efeqti gulisxmobs gacvliti kursis mxolod sabalanso uwyisis efeqtis gavlenas igi ar moicavs wmin eqsportze pozitiuri gavlenas. gacvliti kursis ertobliv motxovnaze gavlenis srulad arweristvis gatvaliswinebul un iqnes 5 parametris mnisvneloba romelic realuri efeqturi gacvliti kursis gavlenas arwers ertobliv gamosvebaze. 2

122 modelsi gamoyenebuli monacemta detaluri arweristvis ixilet cxrili IV-. cxrili IV- modelsi gamoyenebuli monacemebi cvladi arwera mtliani Si produqti mudmiv (23 wlis) fasebsi. inflacia (samomxareblo fasebis indeqsis mixedvit) kvartaluri gawliurebuli procentebsi. saqartvelos erovnuli bankis monetaruli politikis ganakveti procentebsi. sesxebis nominalur msp-stan fardoba procentebsi. kapitalis adekvaturobis koeficienti procentebsi. saqartvelos suverenuli obligaciebi spredi (JPMorgan EMBI) procentul punqtebsi. laris nominaluri gacvliti kursi dolartan mimartebasi GEL/USD. londonis banktasoris sesxebis (LIBOR) dolaris ert Tviani ganakveti procentebsi. msoflios Warbi mtliani Si produqti (saertasoriso savaluto fondis Sefaseba) procentebsi. USD/EUR evros nominaluri gacvlit kursi dolartan mimartebasi. TRL/USD liris nominaluri gacvliti kursi dolartan mimartebasi. RUB/USD rublis nominaluri gacvlit kursi dolartan mimartebasi. UAH/USD grivnis nominaluri gacvliti kursi dolartan mimartebasi. ass inflacia (samomxmareblo fasebis indeqsis mixedvit) wliuri procentebsi. evrozonis inflacia (samomxmareblo fasebis indeqsis mixedvit) wliuri procentebsi. TurqeTis inflacia (samomxmareblo fasebis indeqsis mixedvit) wliuri procentebsi. rusetis inflacia (samomxmareblo fasebis indeqsis mixedvit) wliuri procentebsi. ukrainis inflacia (samomxmareblo fasebis indeqsis mixedvit) wliuri procentebsi. 22

123 2 istoriuli analizi kalman filtris gamoyenebit parametrizaciis Semdgomi etapia istoriul monacemta interpretacia ukvirvebadi faqtorebis Sefaseba. es etapi warmoadgens modelis empiriuli Tvisebebis Semowmebis sauketeso gzas. am miznit nasromsi gamoyenebulia kalmanis filtri (Kkalman filter) romelic msgavsi tipis samecniero literaturasi fartoa gavrcelebulia. faqtobrivad igi warmoadgens ukvirvebadi faqtorebis mqone modelistvis Sefasebis ert-ert yvelaze mzlavr metods. am metodis Tanaxmad modelis gawrfivebuli forma kavsirebulia kvirvebad monacemebtan romlebic cxrili IV-. mocemulia modelis ukvirvebad faqtorebsa Sokebs kalmanis filtri afasebs umcires kvadratta metodis gamoyenebit. sxva sityvebit rom vtqvat kalman filtri algoritmis Tanaxmad poulobs ukvirvebad monacemebisa Sokebis yvelaze mosalodnel mnisvnelobebs im pirobit kvirvebad rom modelis monacemebs. gantolebebi aqve kmayofildes mnisvnelovania arinisnos moergos rom Sokebis raodenoba aremateba kvirvebadi 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 gaxrebs mat SefardebiT zomebs. mag. Sokebs SokebTan romeltac bali SerebiT stanrtuli mosalodnelia gaxra rom mcire aqvt modelis wvlils sxva Seitanen istoriuli monacemebis axsnasi. diagrama IV.2 ucvenebs modelis mier potenciuri msp-is istoriuli monacemebis Sefasebas. un arinisnos rom modeli savsebit logikurad miutitebs wlebsi saqmiani ekonomikuri ciklis armavlobis fazas xolo 29 2 wlebsi ekonomikis recesias romelic globaluri krizisisa ruset-saqartvelos omis ekonomikaze gavlenit iyo ganpirobebuli. 28 wlis mesame kvartalamde. 23

124 diagrama IV.2 faqtiuri potenciuri msp diagrama IV.3 warmodgens faqtiuri potenciuri msp-s zrdis tempebs aseve sxvaobas mat Soris romelsac Warb msp-s vuwodebt. rogorc diagramin Cans modelis Sefasebis Tanaxmad 28 wlis krizisamde msp-s potenciuri zrdis tempi 7%-is farglebsi iyo xolo 28 wlis Semdeg sasuaload 5%ia. marali potenciuri zrdis tempi 28 wlamde ekonomikis struqturuli reformebis Sedegad produqtiulobis marali zrdis tempita Ria ekonomikis fonze mkvetri zrdis efeqtit iyo ganpirobebuli. globaluri krizis Semdgom ekonomikis potenciuri zrdis tempis Semcireba SeiniSneba msoflios masstabit mat Soris centraluri armosavlet evropis sxva qveynebisic. mag. IMF 25 Global Economic Output Chapter 3. 24

125 diagrama IV.3 faqtobrivi potenciuli realuri msp-s zr Warbi msp modelis sasualebit ukvirvebadi monacemebis Sefasebis mnisvnelovani Sedegia sesxebis msp-stan fardobis potenciuri donis Sefaseba. diagrama IV.4 ucenebs mnisvnelobebs sesxebis msp-stan istoriuload 22 fardobis wlis I faqtiur kvartalin potenciur 24 wlis IV kvartalis CaTvliT. rogorc diagramin Cans sakredito cikli didwilad emtxveva ekonomikis saqmian cikls Tumca mcire lagit wlebsi ekonomikis swrafi zrdis fonze kreditebis done CamorCebo mis potenciur dones xolo 26 wlin sesxebis msp-stan fardoba swrafad izrdeba wlebsi krediteba mnisvnelovnad arematebo mis potenciur dones rac aseve ert-erti mizezi gax ekonomikis gaxurebisa uzravi qonebis fasebis bustis warmoqmnis. krizisis Semdgom 29 2 wlebsi kreditebis done mcirdebo msp-stan mimartebasi rac postkrizisul periodsi sqtoris gawarbebuli sifrtxilis Sedegi iyo. 22 wlin kreditebis done stabilurad izrdeba igi mnisvnelovani meryeobis garese miuyveba potenciur dones. 25

126 diagrama IV.4 sesxebi msp-stan fardoba misi trendi makroekonomikuri urtiertkavsirebis isotriuli analizis kutxit mnisnelovania kalman filtris Sedegebze kvirveba romelic diagrama IV.5 diagrama IV.6-zea warmodgenili. kerzod diagrama IV.5 waroadgens ekonomikis saqmiani ciklis (Warbi msp) ganpirobebl faqtorebs (3.5.) gantolebis warmoadgenilia gantolebasia. gamosayofia mixedvit. rva arnisnulis kontributori makro- wevris kavsrebis aqseleratoris gatvaliswinebit mixedvit arsawerad Warbi msp rogorc es am wevrebin sabalanso uwyisis efeqtebi. pirveli mtgani vuwodet (3.5.) gantolebasi sesxebis msp-stan fardobis wevrs radgan modelsi misi sasualebit ariwereba gavlena ekonomikis warmoadgens realur dolarizaciis seqtorze. fonze sabalanso lari/dolari sakredito ciklis uwyisis efeqti gacvliti kuris cvlilebit gamowveul efeqts. igi models warmodgenilia lari/dolari gacvliti kursis trendisgan gansxvavebuli cvlilebis wevrit romelic msp-ze axdens gavlenas. ekonomikis saqmian ciklze aqseleratorisa sabalanso uwyisis kontribuciebis analizi cxadyofs rom seqtori prociklur gavlenas axdens ekonomikur gamosvebaze zrdis mis meryeobas saqmiani 26

127 ciklis periodsi. kerzod wlebsi rodesac ekonomikis gamosveba CamorCebo uaryofiti mis potenciur wvlilil hqon. dones aqseleratoris wlebsi efeqts kreditebis donis swrafma zrm xeli Seuwo ekonomikis gaxurebas xolo postkrizisul periodsi aqseleratoris gavlena uaryofiti iyo ekonomikaze. aseve mcired Tumca uaryofiti gavlena iqonia wlebsi seqtoris Senelebulma aqtivobam msp-s potenciurin CarmoCenaze (ix. diagrama IV.5). Tavis mxriv seqtoris Seneleba sagareo Sokis fonze ekonomikasi gazrdili riskebis pasuxi iyi. arnisnul wlebsi msp-s potenciurin CarmoCena sagareo faqtorebma ganapiroba kerzod saqartvelos ZiriTad savawro partnior qveynebsi gamwvavebuli ekonomikuri krizisi gax saqartvelosi ekonomikuri zrdis Senelebis mtavari faqtori. diagrama IV.5 Warbi msp dekompozicia faqtorebis mixedvit diagrama IV.6-ze wonasworobin mixedvit. warmaodgenilia gaxris sesxebis ganmapirobebeli makro kavsirebis msp-stan faqtorebi arsawerad (3.3.2) fardobis gantolebis gansakutrebit mnisvnelovania procikluri nawili fiseris deflaciisa sabalanso efeqtebi. procikluri nawili arnisnavs saqmiani ciklis gavlenas 27

128 kreditebaze romelic (3.3.2) gantolebasi deflaciis romelsac efeqti ( π) arnisnavs parametri inflaciis arwers parametrit moicema. fiseris gavlenas xolo sakredito sabalanso tvirtze efeqti ewodeba gacvliti kursis cvlilebis gavlenas sakredito tvirtze. gantolebasi igi warmodgenilia parametrit. diagrama IV.6 ucvenebs rom seqtoris aqtivobis mnisvenlovani ganmapirobebelia ekonomikis saqmiani cikli. kerzod wlebsi kreditebis donis swraf zrs xels uwyob ekonomikis saqmiani cikli xolo 2 wlin garemoebas igi diagrama gavaanalizebt mis Senelebas IV.5-ze mivirebt rom ganapirobeb. warmodgenil erti mxriv Tuki SedegebTan ekonomikis arnisnul ertianobasi saqmiani cikli ganapirobebs sakredito aqtivobas xolo meore mxriv es ukanaskneli kvlav ekonomikis aqtivobaze aisaxeba. ekonomikis realuri seqtorebis swored makroekonomikuri arnisnuli es Sokebis Sedegi urtiertmokidebuleba Sedegad srulad meryeobis TanxedraSia zrsa ganapirobebs garmavebas. aqseleratoris meqanizmtan romelic Bernanke Gertler and Gilchrist 999 SromaSi iqna pirvelad warmodgenili marko urtiertkavsirebis ert-ert mtavar meqanizms warmoadgens. makro kavsirebis meore ZiriTadi meqnanizmi fiseris valis deflaciis efeqti aseve ikveteba diagrama IV.6 warmodgenili Sedegebis mixedvit. kerzod wlebsi fiseris deflaciis efeqti sakredito ciklis garrmavebas ganapirobeb. 29 wels krizis Semdgom SezRuduli ertoblivi motxovnis fonze inflacia miznobrivze bali iyo ramac nominalur moculobasi fiqsirebuli kreditebis faqtobrivi tvirti gazar xolo 2 wels inflaciis mnisvnelovnad zrm sakredito inflacia tvirtis CarmorCebo Semcireba miznobriv ganapiroba. dones rac 2 24 sakredito wlebsi tvirtze uaryofitad aisaxebo. rogorc diagramin Cans fiseris deflaciis efeqti sakredito ciklis garrmavebas yoveltvis ar ganapirobebs. kerzod motoxvnis Sokis dros rodesac ekonomikuri zr inflacia erti mimartulebit mozraobs mxolod masin axdens fiseris deflaciis efeqti 28

129 ekonomikuri ciklis garrmavebas. miwodebis Sokis pirobebsi ki rodesac inflacia ekonomikuri Senelebis paralelurad izrdeba fiseris deflaciis efeqti sakredito ciklis Sesabamisad ekonomikis saqmiani ciklis normalizebas uwyobs xels. aqve un arinisnos rom fiseris deflaciis efeqti inflaciis ekonomikaze gavlenis mxolod erti nawilia ar un gavakett skvna rom marali inflacia kargia ekonomikistvis Tunc is sakredito tvirtis Semcirebas ganapirobebdes. marali inflaciis uaryofiti gavlena ekonomikaze farto konsesus warmoadgens ekonomista Soris mis detalur ganxilvas gverds avuvlit ramdenac igi scildeba nasromsi ganxilul Tematikas. diagrama IV.6 sesxebis msp-stan fardobis dekompozicia saqartvelosi seqtoris deloarizacia istoriulad marali iyo rac didwilad 9-ani wlebis hiperinflaciisa moukidebeli monetaruli politikis arsebobis mokle istoriis fonze mtavrobisadmi mosaxleobis bali ndobis Sedegia. 2 wlin moyolebuli seqtoris dolarizaciis Semcirebis tendenciis miuxevad misi done kvlav maralia. 24 wlis dekembris monacemebit bankebis sasexo portfelis 6% dolarit deniminirebulia. seqtoris dolarizacia gacvliti kursis 29

130 SeusabamobiT gamowveul risks qmnis rac ekonomikis realuri seqtoris mowyvladobas zrdis gacvlit kursis cvlilebis mimart. diagrama IV.6-ze moyvanili Sedegebi astuerbs rom gacvliti kursis cvlilebas mnisvenlovani gavlena aqvs kerzo seqtoris sakredito tvirtze. kerzod sayuradreboa misi wvlili ekonomikis Senelebis periodebsi. 29 wels rodesac ekonomiuri gamosveba Semcire gacvliti kursis gaufasurebam matebit uaryofiti gavlena iqonia sakredito tvirtze. msgavsi gavlena hqon 24 welsac. sagareo Sokis Sedegad gacvliti kursis gaufasurebam sakredito zr ganapiroba. gacvliti kursis sakredito tvirtze cvlilebis gavlena Sedegad sabolood dolarizebuli kvlav msesxeblebis ekonomikur gamosvebaze aisaxeba. kerzod erti mxriv sesxebis momsaxurebis faqtobrivad gazrdili xarjebi xolo meore mxriv valdebulebebis zrdis Sedegad Semcirebuli wmin 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 28 wlamde igi ekonomikis gaxurebas xolo krizis Semdgom mis Senelebas uwyob xels. sabalanso gavlenis uwyisis mxolod efeqti ert warmoadgens mxares. kerzod gacvlit igi kursis ganpirobebulia ekonomikaze seqtoris dolarizaciit. aqve un 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 mastabilurebeli gavlena aqvs. kerzod wlebsi igi ekonomikis gaxurebas zruv xolo wlebsi ekonomikur zrs uwyob xels. Currency Induced Credit Risk (CICR) warmoiqmneba masin redesac ekonomikuri subieqtis sakredito valianebis Semosavlis valuta ar emtxveva ertmanets. 3

131 3 modelis implusze reaqciis analizi modelis moqmedebis meqnizmisa misi dinamikuri Tvisebebis Seswavlis sauketeso gzas impulsze modelis impulsze reaqciata funqcia reaqciata warmoadgens kvirveba modelis warmoadgens. mtavari cvladebis pasuxs sxvasxva Sokebze. arnisnuli Sokebis analizi sasualebas izleva vakvirdet rogor xdeba amatuim sagareo adgilobrivi Sokebis gacema ekonomikasi rogoria modelis mixedvit sapasuxo monetaruli makroprudenciuli politika. arnisnuli tipis analizs eqsperimentis nisnuleba aqvs mxolod hipoteturi scenaris simulirebas warmoadgens. simulaciis sawyissi itvleba rom ekonomika imyofeba grzelvadian wonasworobasi Semdeg igi ganicdis erti periodis xangrzlivobis Soks (mocemul SemTxvevaSi warmodgenili). un mxolod arinisnos ertperiodiani rom realobasi Sokebis analizia ekonomika arasdros imyofeba wonasworobasi 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 adgilobrivi ekonomikuri garemos aqtualuri funqciebis Tematikis analizistvis mixedvit. gamoyenebulia kerzod iseti impulsis Sokebi sapasuxo rogorebicaa adgilobrivi ekonomikis motxovnisa miwodebis Sokebi qveynis riskis premiis Soki sakreidto makroprudenciuli sagareo seqtoris Sokebi kerzod ki londonis politikisa aseve banktasorisi sesxebis bazarze ass dolaris saprocento ganakvetisa saqartvelos savawro zogjer amas impulsis sapasuxo funqcis analizsac uwodeben (impulse reponse finaction (IRF)). un RniSnos rom models arawrfivi saxe mxolod sakmarisad marali Skebis SemTxevaSi aqvs rodesac sesxebis msp-stan fardobis gaxra wonasworulin kritikul zrvars arwevs. am TavSi ganxiluli SokebisTvis impulsis zoma moicema erti procentuli punqtis tolad rac mkvetrad naklebia arnisnul kritikul zrvarze. 2 3

132 partniori qveynebis motxovnis Sokebi. Sokebi SesaZloa iyos rogorc debiti aseve uaryofiti. am konkretul analizsi Sokebis nisani mxolod pirobitad aris arceuli ar asaxavs saprognozo scenars an raime mosalodnel movlenas. aseve un 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 zrs procentuli punqtit. realobasi arnisnuli Soki SesaZloa iyos biznes ganwyobis saxelmwifos ugegmavi xarjebis an/ msxvili masstabis sainvesticio proeqtis Sedegi. riskis premiis Soki. arnisnuli Soki gulisxmobs qveynis risk premiis sabaziso punqtit zrs egzogenurad. risk premiis zr umetes SemTxvevaSi sakredito reitingis gauaresebis Sedegia rac Tavis mxriv qveyanasi ekonomikuri arastabilobis zrdis an/ gazrdili geopolitikuri riskebis Sedegi SiZleba iyos. aseve savawro partnior qveynebsi ekonomikuri adgilobrivi Tu ekonomikaze politikuri riskebi rac 23-wlin xsirad aisaxeba saqartvelos ekonomikistvis mnisvnelovan gamowvevas warmoadgens. miwodebis Soki. es Soki gulisxmobs inflaciis zrs procentuli punqtit rac Sedegia inflaciaze moqmedi miwodebis Sokis. arnisnuli tipis Soki umetes SemTxvveaSi ukavsirdeba enrogomatareblebis an/ sxva sasaqonle saqartvelo jgufebis iseve rogorc fasebis yvela zrs Ria saerasoriso mcire zomis bazrebze. ekonomomika mnisvnelovnad aris mokidebuli saerasoriso fasebze inflaciis meryeobis didi nawili swored arnisnul Soks ukavsirdeba. 32

133 sakredito Soki. arnisnuli Soki gulisxmobs sesxebis msp-stan fardobis egzogenurad zrs procentuli punqtit. am Sokis buneba waagavs globalur finansur krizisamde periodsi mravali qveynis seqtoris problmebas romeltac Warbi sakredito zr hqon. ganvitarebad qveynebsi am Soks egzogenuri saxe hqon ramdenac Warb sakredito zrs saertasoriso bazrebze arsebuli tendenciebi gansazrvrav. makroprudenciuli vakvirdet politikis kapitalis Soki. es kontrcikluri Soki gulisxmobs buferis rom procentuli punqtit zrdis gavlenas sxva cvladebze. ass dolaris saprocento ganakvetis Soki. arnisnuli Soki gansakutrebit aqtualuria ass-s federaluri sarezervo bankis mier gamocxadebuli gamodis politikis Serbilebuli gulisxmobs 27 saprocento ganakvetebis kvalkval romelis monetaruli wlin mixdvitac politkin. nulovan nisnulze etapobriv zrs igi arnisnuli SenarCunebuli raodenobrivi Serbilebis farglebsi Sesyiduli fasiani qaraldebis fortfelis Secmirebas. am yovelives Sedegi un iyos ass dolaris saprocento ganakvetebis zr. impulsis reaqciis analizi am SokisTvis gulisxmobs londonis banktasorisi sesxebis bazarze ass dolaris saprocento ganakvetis sabaziso punqtit zrs. ucxouri motxovnis Soki. arnisnuli Soki gulisxmobs ucxouri gamosvebis procentit Semcirebas rac qveynis eqsportze motxovnis Semcirebas ganapirobebs wlebsi ruset - ukrainis omis navtobis Semosavlebi fasebis Semcirebis saqartvelos fonze regionsi ekonomikistvis sagareo Semcirebuli motxovnis Semcirebis nateli magalitia. 33

134 diagrama IV.7-ze warmodgenilia adgilobrivi motxovnis Sokis simulacia. rogorc diagramazea arnisnuli Sokis fonze izrdeba gamosveba bunebriv donestan SerebiT. zr aremateba ert procentul punqts (romelic scenaris Sveba iyo) radgan lagisa lidis arseboba gantilebasi uzrunvelyofs meqanizms romlitac xdeba sawyisi Sokis gazliereba. gamosvebis zr ganapirobebs armaval wnexs inflaciaze ris pasuxac centraluri banki amkacrebs monetarul politikas. monetaruli politikis ganakvetis zr realuri saprocento ganakvetis zrs iwvevs rac Tavis mxriv nominaluri inflaciaze realuri ertoblivi gacvliti motxovnis kursis gavlenas gamyarebaze monetaruli aisaxeba. politikis gamkacrebis fonze gacvliti kursis gamyarebas zruvs. mnisvnelovania vakvirdet modelis blokis musaobis meqnizms. ertoblivi motxovnis Soki sakredito aqtivobis Warb zrs uwyobs xels rogorc diagramazea moyvanil Sedegebzea asaxuli izrdeba sesxebis msp-stan fardobis gaxra wonasworuli donin ris pasuxac optimaluri makroprudenciuli politika kapitali kontrcikluri buferi gamkacrebis sawiroebas makroprudenciuli ganapirobebs. monetaruli arnisnul politikis miznebi SemTxvevaSi TanxvedraSia ramdenac aqsleratoris meqanizmi ertdroulad ganapirobebs inflaciur zewolasa makroekonomikuri makroprudenciuli saprocento kerzo seqtoris stabilizaciis politikis ganakvetisa leverejis meqanizms instrumentebi kapitali zrs. modelsi monetaruli warmoadgnen. kontrcikluri kerzod buferis zr uzrunvelyofs ertoblivi motxovnisa sakredito aqtivobis SezRudvas rac Tavis mxriv amcirebs inflaciur zewolas ekonomikis wonasworul doneze brunebas ganapirobebs. saprocento ganakvetebisa kapitalis kontrcikluri buferis dgenis wessi warmodgenili lagi mati cvlilebebis gluv xasiats ganapirobes. arnisnulis gatvaliswinebit kontrcikluri buferi 5 saprocento ganakvetebi kvartalis ganmavlobasi kapitalis wonasworulze maral nisnulze narcundeba rac ertblivi motxovnis wonasworulze met 34

135 Semcirebasac ganapirobebs. monetaruli makproprudenciuli politikebis Semdgomi Serbileba gacvliti kursis gaufasurebasa ertoblivi motoxvnis gazlierebas ganapirobes rasac sabolood wonasworobasi abrunebs ekonomikas. un arinisnos rom monetaruli makroprudenciuli politikis gansazrvris wesebsi lagebis arseboba arwers mat istoriul xasiats rac maxasiatebelia ara mxolod saqartvelos aramed msoflios masstabit mravali qveynistvis. Tumca mati nisnuleba mxolod empriuli Tvisebebis gasaumjobeseblad ar aris. prognozi romelze yrdnobitac arnisnuli politikis gawyvetilebebi mimdinare ekonomikuri monacemebis gacvlit Sesaxeb kursebis miireba Tavis mdgomareobistvis mag. msp gaxrebs realuri mxriv eyrdnoba maxasiatebeli saprocento TavianTi Sefasebebs ukvivebadi ganakvetebisa wonasworuli doneebin infalciisa sxva faqtorebis mosalodnel mnisvnelobebs sxva. aseve prognozi romlebic mokidebulia modelsia im mizez-sedegobriv gatvaliswinebuli. drois mokidebulebebze cvlilebastan ertad icvleba informaciac gamodis axali statistikuri monacemebi romlebic modelsi gatvaliswinebis Semdgom aisaxeba prognozis ganmsazrvrel TiToeul faqtorze amdenad kvartalin kvartalamde prognozi icvleba Sesabamisad didia is gaurkvevloba romelic prognozs axlavs Tan. es yovelive ki ganapirobebs rom monetaruli makroprudenciuli politika un iyos Tanmimdevruli itvaliswinebdes im riskebs romlebic ekonomikis mimdinare mdgomareobis Sefasebas axlavs Tan. 35

136 diagrama IV.7 adgilobrivi motxovnis Soki Output Gap Overall Inflation (% QoQ) Policy rate 2 4 Real Interest rate 2. Exchange rate diagrama IV Cumulative output ze Real exchange rate gap Countercyclical capital buffer deviation.5.2 Loan-to-GDP GAP 2 warmodgenilia 4 miwodebis 2 Sokze 4 modelis sapasuxo reqciis Sedegebi. miwodebis Soki gulisxmobs inflacize egzogenuri Sokis moqmedebas procentuli punqtis toli odenobit ris Sedegad erti mxriv izrdeba inflaciis gaxra miznobriv macveneblin xolo meore mxriv mcirdeba ertoblivi motxovna potenciur donestan SerebiT. centraluri banki myisierad pasuxobs gazrdil inflaciur molodinebs monetaruli politikis gamkacrebit. nominaluri saprocento zr iwvevs realuri saprocento ganakvetis zrsac rac kidev ufro amwvavebdes ertobliv motxovnaze uaryofit gavlenas Tumca zruvs inflaciaze Sokis gacemas misi meore raundis efeqtebs. monetaruli politkis gamkacreba nominaluri gacvliti kursis gamyarebas ganapirobebs pirveli 23 kvartalis ganmavlobasi xolo Semdeg igi ufasurdeba rasac Sokis Sedegad ekonomikuri aqtivobis Semcireba ganapirobebs. nominlurtan 36

137 SerebiT ufro mkvetrad myardeba realuri efeqturi gacvliti kursi radgan nominaluri gamyarebis gar gazrdili inflacia aseve ganapirobebs mis gamyarebasa kunkurentunarianobis Semcirebas. rogorc simulaciis Sedegebi cxadyofs ekonomikasi miwodebis Soki sesxebis msp-stan fardobis wonasworul donestan SerebiT Semcirebas iwvevs. un arinisnos rom masze ori faqtori moqmedebs. erti mxriv inflaciis zr fiseris valis deflaciis efeqtis arxit sakredito tvirts amcirebs xolo meore mxriv Semcirebuli ekonomikuri aqtivoba iwvevs. aqseleratoris arnisnulis politikit sakredito meqanizmit pasuxad sakredito centraluri aqtivobis waxalisebas aqtivobis banki axdens Semcirebas makroprudenciuli ra miznitac igi amcirebs kapitalis kontrciklur bufers. un arinisnos rom miwodebis Sokis SemTxvevaSi urtiertsawinaarmdego monetaruli mimartulebit makroprudenciuli moqmedebs rac mati politikebi miznebin gamomdinare interesta konfliqts warmoqmnis. miuxevad amisa miwodebis Sokis gavlena etapobrivad miileva 5- kvartalis Semdgom ekonomika kvlav wonasworul mdgomareobas ubrundeba. 37

138 diagrama IV.8 miwodebis Soki Output Gap Overall Inflation (% QoQ) Policy rate 2 4 Real Interest rate Exchange rate Cumulative output Real exchange rate gap Countercyclical capital buffer deviation Loan-to-GDP GAP diagrama IV.9-ze warmodgenilia kapitalis kontrcikluri buferis Sokis analizis Sedegebi. arnisnuli Soki gulisxmobs kapitalis konctrcikluri buferis egzogenur zrs procentuli punqtit. rogorc diagramezea warmodgenili arnisnuli Sokis gavlenit mcirdeba sakredito aqtivoba sesxebis msp-stan fardoba wonasworul dones axloebit.2 procentuli punqtit amcirebs rac kidev ufro mcire Tumca uaryofit gavlenas axdens ertobliv gamosvebaze. arsanisnavia rom arnisnuli Sokis gavlenit ufasurdeba nominaluri realuri efeqturi gacvliti kursebi rac inflaciaze zrdis zewolas qmnis Tumca mati efeqti inflaciaze maleve miileva susti ertoblivi motxovna mis Semcirebas ganapirobebs. deflaciuri zewolis gasaneitraleblad monetruli politikis ganakveti mcirdeba rasac mcire lagit mihyveba realuri saprocnto ganakvetic. am yovelives ZalisxmeviT kapitalis 38

139 kontrcikluri miileva buferis Sokis ekonomika efeqti 5- mnisvnelovani kvartali meyeobebis Semdgom garese srulad ubrundeba wonasworul dones. diagrama IV.9 kapitalis kontrcikluri buferis Soki Output Gap Overall Inflation (% QoQ) Loan-to-GDP GAP Policy rate 4 Real Interest rate Countercyclical capital buffer deviation Exchange rate 2 4 Real exchange rate gap 2 4 Cumulative output modelis makro urtiertkavsirebis meqanizmis arsawerad kidev erti saintereso magalitia sakredito Sokis analizi romelic diagrama IV.-zea aqtivobis warmodgenili. egzogenuri arnisnuli zrdis procentuli puntqit izrdeba. aqtivobis zr ertoblivi Soki Sedegad gulisxmobs sesxebis rom msp-stan sakredito fardoba rogorc diagramazea arnisnuli sakredito gamosvebis zrs ganapirobebs potenciur donestan SerebiT. gaxra maqsismums 2-3 kvartalis Semdeg arwevs axloebit.5 procentuli punqtis farglebsia. un arinisnos rom sakredito Sokis gamosvebaze gavlena mokidebulia ekonomikis gaxsnilobaze. kerzod rac ufro Ria ekonomika aqvs qveyanas mit naklebad 39

140 eqvemdebareba ertoblivi gamosveba Si faqtorebis stimulirebas ramdenac gazrdili xarjebis mnisvnelovani nawili importze motxovnas zrdis. sakredito Sokis pasuxad centraluri banki makroprudenciuli politikis gamkacrebas axorcilebs kapitalis kontrcikluri buferi myisierad izrdeba axloebit sakredito potenciuri Sokis.5 procentuli ganeitralebas. donin inflaciaze punqtit Tavis mxriv zewolis rac uzrunvelyofs gamosvebis safrtxes qmnis gaxra rasac monetaruli politika mcired Tumca gamkacrebit pasuxobs. arnisnuli ki nominaluri realuri gacvliti kursebis gamyarebas ganapirbebs rac saboloo jamsi ertoblivi motxovnis potenciurin gaxris SeboWvas ganapirobebs. 5- kvartalis Semdeg ekonomikaze Sokis moqmedebis efeqti TiTqmis srulad miileva ekonomika Tavis wonasworul dones ubrundeba. diagrama IV. sakredito Soki Output Gap Overall Inflation (% QoQ) Loan-to-GDP GAP Policy rate 2 4 Real Interest rate Cumulative output 2 Real exchange rate gap 4.2 Exchange rate Countercyclical capital buffer deviation

141 diagrama IV.-ze warmodgenilia qveynis riskis premiis Soki romelic gulisxmobs rom qveynis riskis premia egzogenurad izrdeba 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 gaxra samizne macveneblin. nominaluri realuri gacvliti kursebis gaufasureba nawilobriv abalansebs gamosvebaze Sokis uaryofit gavlenas Tumca zrdis inflaciaze zewolas miuxevad susti ertoblivi motxovnisa igi swrafad izrdeba maqsmialuri gaxra saminze macveneblin axloebit.6 procentuli punqtia. un arinisnos rom Sokis pasuxad monetaruli politika mkacrdeba rac mimartulia inflaciuri zewolis ganetiralebisken xolo makroprudenciuli politika Serbilebis miamrtulebit icvleba romelic sakredito aqtivobis ardgenisa gamosvebis wasaxaliseblad icvleba. arnisnuli Sokis buneba yvelaze kargad arwers wlebsi saqartvelos savawro regionsi navtobis fasis vardnisa ruset-ukrainis omis gavlenit gazrdil riskebs rac regionis TiToeuli qveynistvis gacvliti kursis gaufasurebasa infalciur zewolasi gaizar miuxevad gamosvebis Semcirebisa potenciur donestan SerebiT. 4

142 diagrama IV. qveynis risk premiis Soki Output Gap Overall Inflation (% QoQ) Country risk premium Policy rate 4 Real Interest rate Exchange rate Real exchange rate gap 4 Loan-to-GDP GAP Countercyclical capital buffer deviation Ria mcire zomis ekonomikistvis mnisvnelovan Soks warmoadgens sagareo motoxvnis Soki romelic diagrama IV.2--ze warmodgenilia. kerzod scenari itvaliswinebs sagareo motxovnis egzogenur zrs procentuli punqtit. rogorc diagramazea aisaxeba gamosvebis gamosvebis gaxra arnisnuli zrze sagareo potenciuri 3-4 motxovnis kvartalis donin zr lagit maqsimalur debitad adgilobrivi mnisnelobas axloebit.4 procentuli punqtis farglebsia. adgilobriv ekonomikaze sagareo) gamosvebis marali gavlena saqartvelos ekonomikis regionis ekonomikasi maral integraciaze miutitebs rac ara mxolod saqonlisa momsaxurebis vawrobis arxs aramed fuladi gzavnilebisa investiciebis arxebsac moicavs. sagareo kursebis motoxvnis gamyarebas debiti Soki ganapirobebs nominaluri ramdenime realuri kvartalis gacvliti lagit rac 42

143 inflaciis mizmobrivtan nisnultan Semcirebas uwyobs xels. un arinisnos rom inflacia ertoblivi motxovnis zrdis xolo gacvliti kursi Semcirebis mimartulebit moqmedebs. sawyis periodsi inflaciaze gacvliti kursis gavlena Warbobs ertoblivi motxovnis gavlenas Tumca axloebit 5 kvartalis Semdeg gacvlit kursis gavlena miileva inflacia mcired awarbebs miznobriv dones. mnisvnelovania arinisnos rom gacvliti kursis inflaciaze faqtori ganapirobebs. myisier maral gacemas ramdenime kerzod importuli saqonlis wili samomxareblo kalatasi 3 %-is farglebsia rac marali macvenebelia Tumca amas gar mnisvnelovnia importuli Sualeduri saqonlisa momsaxurebis wili adgilobriv warmoebasi sesxebis dolarizaciis marali done. kerzod importis fardoba msp-stan 24 wlis monacemebit 5% -is farglebsia xolo amave periodistvis ekonomikaze gacemuli sesxebis sasualod 6% dolarit denominirebulia. zustebistvis aseve mnisvnelovania arinisnos rom inflaciaze moqmdebs nominaluri efeqturi gavliti kursi ara romelime konkretuli valutis mimart. diagramaze warmodgenili nominaluri gacvliti kursi warmoadgens laris dolartan mimartebasi gavclit kurss radganac Svebis Tanaxmad Soki mxolod ertobliv motxovnas exeba 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 wlebsi sagareo motxovnis Soks Tan sdev savawro partniri qveynebis valutebis gaufasureba dolartan mimartebasi ramac laris nominaluri efeqturi kursi mnisvnelovnad icva gaufasurebisgan Sesabamisad inflaciaze zewolac SerebiT mcire iyo. 43

144 diagrama IV.2 sagareo motxovnis Soki Output Gap..4 Overall Inflation (% QoQ) Foreign Demand gap Countercyclical capital buffer deviation Exchange rate Real exchange rate gap Real Interest rate.5 Policy rate Loan-to-GDP GAP sagareo seqtoris Sokebis analizis kidev ert mnisvenlovan SemTxvevas warmoadgens ass-s dolaris saprocneto ganakvetis Soki. arnisnuli Soki bolo wlebsi gansakutrebul aqtualobas izens ramdenac ganvitarebadi mzardi ekonomikis mqone qveynebistvis globalur gamowvevad iqca ass-s mier Serbilebuli monetaruli politikin gamosvla. diagrama IV.3-ze warmodgenilia ucxouri saprocento ganakvetebis Sokis gavlena modelsi warmodgenil ZiriTad cvladebze. Soki gulisxmobs londonis banktasorisi sesxebis bazarze ass dolaris arsebuli ganakvetebis zrs procentui punqtit. modelis mier simulciis Sedegi cxadyofs rom sagareo saprocento ganakvetebis zr iwvevs gamosvebis Semcirebas mis potenciur donestan SerebiT. Semcireba ramdenime kvartalis lagit xdeba maqsimalur mnisvnelobas.4 pocentul punqts arwevs. gamosvebis Semcirebis mtavar wyaros investiciebis Semodinebis Semcireba an/ gadineba warmoadgens 44

145 rasac dolaris urisko aqtivebze (igulisxmeba ass-s saxazino obligaciebi sxva maral reitinguli aqtivebi) sargeblianobis zr ganapirobebs. ucxouri saprocneto ganakvetebis zr aseve negatiurad aisaxeba gacvlit kursze. laris nominaluri realuri gacvliti kursebi ufasurdeba rac inflaciaze zrdis zewolas. gamosvebis Semcirebis miuxevad inflacia myisierad izrdeba miznobriv nisnuls procentuli punqtit aremateba. arnisnulis pasuxad inflaciaze moqmedi centraluri banki zomeirad mkacrdeba faqtorebi arbilebs monetaruli gaaneitralos. makroprudenciul politika amis rata sapirispirod politikas rac miznad isaxavs sakredito aqtivobis xelsewyobas rata armofxvras gamosvebis CamorCena potenciuri donin. monetaruli makroprudenciuli politikebis gavlenit inflacia ertoblivi gamosveba etapobrivad ubrundeba wonasworul dones 5- kvartalis Semdgom ekonomikaze Sokis efeqti miileva. diagrama IV.3 ucxouri saprocento ganakvetis Soki Output Gap Overall Inflation (% QoQ) Foreign Interest Rate Policy rate Loan-to-GDP GAP 4 4 Real Interest rate Countercyclical capital buffer deviation Exchange rate 2 4 Real exchange rate gap

146 თავი V. prognozireba alternatiuli scenarebis analizi prognozi sabaziso scenarit nasromsi agebuli modelis ert-ert ZiriTad nisnulebas prognozireba makroprudenciuli politikis analizi warmoadgens. kerzod prognozirebis amocana gulisxmobs sagareo adgilobrivi ekonomikis egzogenur faqtorebze garkveuli Svebebis pirobebsi Sefasebul iqnas iseti cvldebis saprognozo dinamika rogoricaa sesxebis msp-stan fardoba msp-is zr inflacia saprocento ganakvetebi gacvliti kursi. modelsi makroprudenciuli wesis mixedvit xdeba ganisazrvreba. romlis Tumca makroprudenciuli politikis parametrebic modelis Tu monetaruli gamtarebelta xedva warmodgenili rac preferenciebisa analizit nergvisitvis politikis politikis konkretuli istoriuli praqtikasi mnisvenlovania mati gansazrvra analizistvis modelsi srulad prioritetebis iyos asaxvasac gulisxmobs. amis gatvaliswinebit winamdebare kvleva sabaziso CarCos warmoadgens romlis morgeba aptireba SesaZloa sawiroebisamebr moxdes konkretuli institutisa ekonomikuri sawiroebis mixedvit. nasromsi warmodgenili midgomis mtavar maxasiatebels endogenuri makroprudenciuli monetaruli politika warmoadgens. es gulisxmobs rom makroprudenciuli monetaruli politika garkveul wesebze yrdnobit dgindeba imgvarad rom ekonomikis krediteba gamosveba inflacia sasualovadian periodsi ubrundes TavianT wonasworul doneebs. prognozirebis amocanistvis umnisvnelovanes faqtors warmoadgens mimdinare ekonomikuri vitarebis Sefaseba romelic gulisxmobs ekonomikaze moqmedi Sokebis identificirebasa wonasworobin gaxris Sefasebas. prognozi ki warmoadgens ekonomikis mimdinare weritilin wonasworulze ganacvlebis traeqtoriis Sefasebas romelic Tavis mxriv makroprudenciul modelis struqturaze monetarul politikazea yrdnobit mokidebuli. prognozis nawils amdenad warmoadgens kapitalis kontrcikluri buferis saprocento ganakvetebistvis sawiro traeqtoriis Sefaseba romelsac ekonomikis mdgrad wonasworobasi gayvanas optimalurad axorcielebs. aqen gamomdinare am tipis analizs 46

147 mnisvnelovani rolis Sesruleba SeuZlia makroprudenciuli monetaruli politikis analizistvis. kvlevis ZiriTad mizans saqartvelostvis makro modelis ageba warmoadgens Tumca prognozic amave kvlevis warmovadginot ganvitarebis farglebsi romlis gamocnobaa aramed mizani gvin ara agebuli sailustraciod movlenebis modelis SesaZlo SesaZleblobis demonstrireba warmoadgens. struqturuli elements modelis sasualebit warmoadgens prognozistvis ekonomikis gamoiyeneba sawyisi macveneblebi Svebebi prognozirebistvis romlebsac Svebebi cikluri ise pozicia igi mnisvnelovan efuzneba. faqtorebze sagareo yoveli rogoricaa: seqtoris saprognozo 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 zr mati inflacia gacvliti kursebi gamoyenebuli prognozistvis grzlevadiani dolartan cvladebis aseve mimartebasi Sesaxeb ixilet mnisvenlovania macveneblebi isetebi (detalurad marti ekonomikis AA mdgradi rogorebicaa modelsi cxrili A-). wonasworobis ekonomikis gamosvebis bunebrivi zrdis done inflaciis miznobrivi macvenebeli riskis premiis realuri saprocento ganakvetebisa wonasworuli maxasiateblebi. efeqturi gacvliti kursis nasromsi warmodgenli prognozis ZiriTadi Svebebia: msp-s potenciuri wonasworuli zrdis gamyarebis produqtiulobis zrdis tempi tempi 4% realuri 2%-ia diferencialis rac gacvliti konvergenciis Svebas efuzneba kursis fonze xolo qveynis riskis premiis wonasworuli done 4%-ia. un arinisnos rom modelsi sagareo seqtori egzogenurad aris warmodgenili. saertasoriso kvleviti institutebis mier mnisvenlovan sagareo faqtorebze prognozebis xelmisawvdomoba SesaZlebels xdis modeli matebit gartulebis garese SevinarCunoT. 47

148 inflaciis miznobrivi macvenbeli 5%-ia Tumca igi etapobrivad mcirdeba 3%-mde grzelvadian periodsi. sagareo seqtoris Svebebi emyareba saertasoriso savaluto fondisa blumbergis mier warmoebul konsesus-prognozebs. diagrama V.-ze warmodgenilia makrekonomikuri cvladebis saprognozo dinamika wlebistvis. diagrama V. ZiriTadi cvladebis saprognozo dinamika GDP Loan-to-GDP GDP Gr. Potential Gr. GDP Gap -5 4Q3 5Q3 6Q3 7Q3 8Q3 Loan-to-GDP 4 4Q3 Inflation Loan-to-GDP trend 5Q3 6Q3 7Q3 8Q3 Counter-cyclical policy Inflation. 2 Target 4Q3 5Q3 6Q3 7Q3 8Q3 4Q3 5Q3 Interest Rates 7Q3 8Q3 Exchange Rates Gel rate FX rate 5 4Q3 diagramaze sesxebis 6Q3 6Q3 8Q3 warmodgenili msp-stan Trend -35 2Q3 4Q3 Sedegebin fardobis REER -3 dinamika 5Q3 6Q3 gansakutrebit romelic 7Q3 8Q3 mnisvnelovania mimdinare periodsi saqartvelos parlamentis mier mtkicebuli monetaruli politikis Sesaxeb ZiriTadi mimartlebebis Sesabamisad. 48

149 wonasworultan SerebiT Warbia mosalodnelia rom igi TanTanobiT uaxlovdes wonasworul dones mcired CamorCes kidec. arnisnuli macveneblis romelic Semcirebas Tavis Senelebisa mxriv amis sagareo gacvliti SuamavlobisTvis Sedegia. sakredito gacvliti pasuxad aqtivobis Sokis kursis kursis Seneleba Sedegad ekonomikuri gaufasurebis SeusabamobiT mnisvenlovania warmoadgens fonze zrdis gamowveuli makroprudenciuli riskebis politikis reagireba romlis mixedvitac mkacri makroprudenciuli politika un SenarCundes garkveuli periodis ganmavlobasi xolo Semdgom sakredito aqtivobis Semcirebis kvalkval sawiroa makroprudenciuli politikis Serbileba rac kontrcikluri kapitalis buferis Semcirebas gulisxmobs. makroekonomikur faqtortagan mnisvenlovania arinisnos rom inflacia miznobriv macvenebels aremateba romlis pasuxad monetaruli politika gamkacrebulia miuxevad ekonomikuri gamosvebis CamorCenisa misi potenciuri donin. 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 axloebas ganapirobebs. aseve arsanisnavia realuri efeqturi kursis prognozi romelis mixedvitac mosalodnelia misi gamyareba wonasworul donestan axloeba. mnisvnelovania arinisnos rom zemot warmodgenili prognozi momavali Sokebisagan abstragirebas axdens. arnisnuli gulisxmobs rom prognozit warmodgenilia macveneblebis sasualo mnisvnelobebis traeqtoria ar itvaliswinebs mat stoqastur Tvisebebs. saprognozo dinamikis stoqasturi analizistvis aseve SesaZlebelia modelsi warmodgenili sxvasxva Sokebis siamulacia. diagrama V.2--ze warmodgenilia sabazo prognozis e.w. fan-cartebi arnisnuli romlebic Sedegi prognozis saprognozo stoqastur periodsi Sokebis ganawilebas simulaciit asaxaven. miireba. 49

150 Sokebis generireba albatur ganawilebaze yrdnobit xdeba. es ukanaskneli ki istoriul monacemebze yrdnobit aris Sefasebuli. diagrama V.2 cvladebis stoqasturi saprognozo dinamika 2 alternatiuli scenarebis analizi makroprudenciuli monetaruli politikis analizistvis gansakutrebit mnisvnelovania makroekonomikuri Sokebis gavlenis Sefaseba saprognozo SevafasoT cvladebze. Sokebis warmodgenili gavlena saprognozo modeli sasualebas cvaldebze izleva SeviswavloT makroprudenciuli monetaruli politikis swori pasuxi ama Tu im scenarsi. msgavsi tipis analizi gar politikis gamtarebeltatvis aseve potenciuri investorebistvis kerzo seqtoristvisac sainteresoa 5