zviad zedginiZe makroekonomikuri da finansuri...

ivane javaxiSvilis saxelobis Tbilisis saxelmwifo universiteti

ekonomikisa da biznesis fakulteti

zviad zedginiZe

makroekonomikuri da finansuri urTierTkavSirebis

modelireba saqarTvelos magaliTze

ekonomikis doqtoris akademiuri xarisxis

mosapoveblad warmodgenili sadisertacio naSromi

mecnier-xelmZRvaneli: profesori nodar xaduri

Tbilisi

2015

avtoris stili daculia

2

Sesavali.......................................................................................................................................5

თავი I. globaluri finansuri krizisi da makroprudenciuli politikis

ganviTareba .................................................................................................................................7

1 msoflio finansuri krizisi da misi Sedegebi ..............................................7

2 krizisis dasaZlevad gatarebuli RonisZiebebi ........................................13

3 makroprudenciuili politikis ganviTareba..................................................20

4 saqarTvelos safinanso seqtoris ganviTareba da globaluri

finansuri krizisis gavlena.........................................................................................28

თავი II. makrofinansuri urTierTkavSirebis modelirebis istoria da

arsebuli midgomebi..............................................................................................................47

1 makrofinansuri kavSirebis mimoxilva ..............................................................47

2 makrofinansuri kavSirebis Tanamedrove midgomebi....................................55

3 modeli SezRudvebiT sagiravno aqtivebze .....................................................63

4 modeli xarjiani verifikaciiT ...........................................................................69

5 moralurobis riski I (“Running Away” modeli) ...............................................74

6 moralurobis riski II (“Unobserved Banker Effort”, bankis mier naklebi

Zalisxmeva) ............................................................................................................................80

თავი III. makro-finansuri modeli saqarTvelosTvis ........................................85

1 modelis mikroekonomikuri safuZveli.............................................................90

2 Semosavlianobis mrudi............................................................................................98

3 makroprudenciuli politika da makrofinansuri kavSirebi................103

4 sakredito portfeli..............................................................................................108

5 erToblivi moTxovna...............................................................................................109

6 erToblivi miwodeba................................................................................................110

7 gacvliTi kursi.........................................................................................................111

8 monetaruli politika ............................................................................................113

თავი IV. modelis empiriuli analizi....................................................................114

1 parametrizacia da baiesianuri Sefaseba.......................................................114

2 istoriuli analizi kalman filtris gamoyenebiT ..................................123

3 modelis implusze reaqciis analizi .............................................................131

თავი V. prognozireba da alternatiuli scenarebis analizi ....................146

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1 prognozi sabaziso scenariT..............................................................................146

2 alternatiuli scenarebis analizi .................................................................150

daskvna ......................................................................................................................................154

A. danarTi ............................................................................................................................164

gamoyenebuli literatura ..............................................................................................183

დიაგრამები

diagrama I.1 kapitaliს Sedineba ganaviTarebad qveynebSi, wminda (mlrd aSS

dolari) ......................................................................................................................................... 13diagrama I.2 centraluri bankebis aqtivebi (2004 ian. = 100).................................... 17diagrama I.3 vali mSp-sTan mimarTebaSi, % ...................................................................... 18diagrama I.4 saqarTvelos suverenuli obligaciebis spredi (procentis

sabaziso punqtebSi) .................................................................................................................. 33diagrama I.5 realuri mSp-s zrda, (wliuri, prcentebSi).......................................... 34diagrama I.6 umoqmedo sesxebis wili portfelSi (procentebSi) ......................... 35diagrama I.7 biujetis deficiti da sagareo vali mSp-s procentebSi

(procentuli punqti) ................................................................................................................ 36diagrama I.8 uZravi qonebis fasebis indeqsi (ian. 2007 = 100).................................. 39diagrama I.9 valdebulebebis struqtura (mln. lari, gacvliT kursis

efeqtis gamoricxviT) .............................................................................................................. 40diagrama I.10 ekonomikaze gacemuli sesxebi (mlrd lari) ...................................... 41diagrama I.11 sesxebis depozitebTan Tanafardoba...................................................... 42diagrama I.12 kapitalis adeqvaturobis koeficientis cvlilebis

kontributori faqtorebi ...................................................................................................... 44diagrama I.13 levareji ............................................................................................................. 45diagrama III.1 makroprudenciuli politikis damokidebuleba ekonomikis

biznes ciklze........................................................................................................................... 104diagrama IV.1 parametrebis baiesianuri Sefasebis Sedegebi ............................... 120diagrama IV.2 faqtiuri da potenciuri mSp ................................................................ 124diagrama IV.3 faqtobrivi da potenciuli realuri mSp-s zrda, Warbi mSp . 125diagrama IV.4 sesxebi mSp-sTan fardoba da misi trendi ...................................... 126diagrama IV.5 Warbi mSp dekompozicia faqtorebis mixedviT .............................. 127

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diagrama IV.6 sesxebis mSp-sTan fardobis dekompozicia ..................................... 129diagrama IV.7 adgilobrivi moTxovnis Soki ................................................................ 136diagrama IV.8 miwodebis Soki .............................................................................................. 138diagrama IV.9 kapitalis kontrcikluri buferis Soki .......................................... 139diagrama IV.10 sakredito Soki ........................................................................................... 140diagrama IV.11 qveynis risk premiis Soki ....................................................................... 142diagrama IV.12 sagareo moTxovnis Soki ......................................................................... 144diagrama IV.13 ucxouri saprocento ganakveTis Soki ............................................. 145diagrama V.1 ZiriTadi cvladebis saprognozo dinamika ....................................... 148diagrama V.2 cvladebis stoqasturi saprognozo dinamika ................................. 150diagrama V.3 alternatiruli saprognozo scenarebi ............................................. 153

ცხრილები

cxrili II-1 bankis gamartivebuli sabalanso uwyisi ............................................... 49cxrili II-2 arasafinanso kompaniis gamartivebuli sabalanso uwyisi ............ 50cxrili IV-1 modelSi gamoyenebuli monacemebi ......................................................... 122cxrili A-1 modelSi gamoyenebuli cvladebi ............................................................ 164cxrili A-2 modelis parametrebi ..................................................................................... 167cxrili A-3 mdgradi wonasworobis parametrebi ....................................................... 171cxrili A-4 baiesianuri Sefasebis Sedegebi ................................................................ 180

5

Sesavali

globalurma finansurma krizisma naTlad warmoaCina markoekonomikuri da

finansuri urTierTkavSirebis siRrmiseuli analizis saWiroeba. amdenad,

makroekonmistebis did gamowvevad iqca iseTi analitikuri meTodebis

SemuSaveba, romlebic aramxolod warsuli krizisebis analizis, aramed

SesaZlo krizisebis riskebis sapasuxod, swori politikis ganxorcielebas

Seuwyobs xels. krizisma cxadyo, rom cal-calke makroekonomikurma da

finansuri seqtoris analizma maTi dinamikuri urTierTkavSirebis

gaTvaliswinebis gareSe, SesaZloa araswor daskvnamde migviyvanos (mag.

Blanchard, Ariccia, Maoro, 2012, 2013). safinanso seqtoris zedamxedvelobis

politikaSi sistemuri xasiaTis riskebis arasaTanadod Sefaseba da

Sesabamisi midgomebis ararseboba, finansuri krizisis erT-erT

xelmSemwyob mizezad iqca. krizisis Semdgom makroekonomikistebis mier

mzardi yuradReba eTmoba makroprudenciuli politikis analizsa da misi

instrumentebis efeqtianad gamoyenebas. msoflios wamyvani institutebis

kvlevebSi naTlad iyo xazgasmuli (mag. Macroeconomic Asseement Group, 2010),

rom politikis gamtarebelTaTvis umTavres gamowvevas warmoadgens swori

balansis dacva, erTi mxriv, finansuri krizisebis SesaZlo moxdenis

riskebis Semcirebasa da Sesabamisi makroprudenciuli politikis

ekonomikur danaxarjs Soris, romelic normalur pirobebi unda gaiRos

qveyanam.

am yovelives fonze, gansakuTrebul aqtualobas iZens makroekonomikuri

modelebis ganviTareba, romlebic gaiTvaliswinebs finansur da

makroekonomikur kavSirebs. winamdebare naSromi swored am sakiTxis

eZRvneba. kerZod, naSromSi agebulia modeli, romelic moicavs

makrofinansur urTierTkavSirebs. modeli SesaZleblobas iZleva: (I)

gavanalizoT kerZo seqtoris Warbi dakreditebisa da Sesabamisad,

leverejis zedmetad zrdis riskebi; (II) ganvaxorcieloT makroekonomikuri

prognozireba makroprudenciuli da monetaruli politikis

endogenurobis pirobebSi; (III) iyos gzamkvlevi makoroprudenciuli da

monetaruli politikis dadgenisTvis; (IV) gavaanalizoT sxvadasxva

hipoTeturi stres-scenarebi da maTi sapasuxo optimaluri politika; (V)

6

xeli SevuwyoT makroekonokuri politikis sxvadasxva instrumentebis

koordinacias.

modeli ganekuTvneba axal-keinzianuri modelebis klass, mcire da Ria

tipis ekonomikisaTvis da moicavs finansur seqtors. igi efuZneba

dinamiuri, stoqasturi zogadi wonasworobis (Dynamic Stochastic General

Equilibrium, DSGE) modelirebas, Tumca naxevradstruqturulia, rac

damaxasiaTebelia politikis analizisTvis gankuTvnili modelebisTvis.

modelis parametrebi Sefasebulia saqarTvelos istoriul monacemebze.

aRniSnuli makro-finansuri modeli msgavsia monetaruli politikis

analizisTvis gankuTvnili modelebis, Tumca damatebiT igi

gamdidrebulia finansuri friqciebis modelirebiT. makroprudenciuli

politika endogenurad aris warmodgenili kapitalis buferis kontr-

cikluri wesiT1.

naSromi organizebulia Semdegnariad: I-Tavi warmoaCens naSromSi dasmuli

sakiTxis mniSvnelovnebas globaluri finansuri krizisis, misi

saqarTveloze gavlenisa da makroprudenciuli politikis gaanalizebiT;

II-Tavi mimoixilavs naSromSi warmodgenili sakiTxis Sesaxeb arsebul

kvlevebs da makrofinansuri modelirebis ZiriTad midgomebs; III- TavSi

aRwerilia makro-finansuri modeli saqarTvelosTvis, misi struqtura,

parametrizacia da ZiriTadi Tvisebebi; IV da V TavebSi warmodgenilia

modeli da misi ZiriTadi Sedegebi.

1 kontr–cikluri wesi gulisxmobs bankebisTvis minimaluri dasacavi kapitalis normiszrda ekonomikuri bumis dros, xolo mis Semcireba recesiis dros.

7

თავი I. globaluri finansuri krizisi da makroprudenciuli

politikis ganviTareba

1 msoflio finansuri krizisi da misi Sedegebi

msoflio ekonomikaze mniSvnelovani gavlena iqonia globalurma

finansurma krizisma, romelic meore msoflio omis Semdeg yvelaze did

gamowvevad iqca msoflios ekonomikuri garemosTvis. finansuri krizisisgan

gamowveuli danakargebi, qveynebis mixedviT mSp-is 6% – 14% farglebSia1 da

mosalodnelia, rom misi uaryofiTi Sedegebis aRmofxvras kidev mravali

weli dasWirdeba.

krizisi ramdenime etapad ganviTarda. 2007 wlis dasawyisSi aSS-s uZravi

qonebis bazarze dawyebuli problemebi maleve gadaizarda ganviTarebuli

qveynebis finansur krizisSi. msoflios umsxvilesi safinanso institutebis

danakargebs, sakredito pirobebis gamkacreba da dakreditebis Semcireba

moyva, ramac ekonomikuri aqtivobis Seferxeba ganapiroba. situacia

mkveTrad gauaresda da globalur ekonomikur krizisSi gadaizarda 2008

wlis seqtemberSi, rodesac msoflios ramdenime umsxvilesi safinanso

instituti gakotrda.

Tavdapirvelad aSS-s safinanso bazrebze daZabuloba e.w. „sabpraim“

ipoTekuri sesxebis problemebs moyva. krizisis dasawyisSi misi gavlena

msoflios ekonomikaze, gansakuTrebiT ki ganviTarebadi da mzardi

ekonomikis mqone qveynebze, sakmaod mokrZalebuli iyo. finansuri krizisis

ZiriTad mizezs uZravi qonebis buSti warmoadgenda, romlis warmoqmnas

xeli Seuwyo axalma finansurma instrumentebma. am ukanasknels, Tavis

mxriv, globalurma makroekonomikurma disbalansma Seuwyo xeli, romelsac

CineTis da navTobis eqsportiori qveynebis mier maRali danazogebi qmnida.

1 Sefaseba miRebulia mSp-s mimdinare donis SedarebiT im warmosaxviT donesTan, romelic

finansur krizis gareSe iqneboda (BIS, 84th Annual Report, III Growth and Inflation: drivers andprospects).

8

maRali danazogebis pirobebSi, investiciebis aTvisebas adgilobrivi

ekonomika veRar axerxebda da Sesabamisad maT saerTaSoriso aqtivebis

dagroveba uwevdaT. amas isic amwvavebda, rom es qveynebi umetesad

fiqsirebuli, an marTvadi kursis pirobebSi funqcionirebdnen da

adgilobriv valutas sakmarisad gamyarebis saSualebas ar aZlevdnen, rac

centraluri bankis saerTaSoriso rezervebs zrdida. Sesabamisad, didi

odenobiT investiciebi iqna mimarTuli ganviTarebuli qveynebis

grZelvadian da urisko aqtivebSi, rasac Sedegad maTi sargeblis

ganakveTebis Semcireba mohyva. es procesi aviwrovebda ganviTarebuli

qveynebis komerciul bankebs, romelTac dabali sargeblis ganakveTebis

gamo Semcirebuli Semosavlianobis kompensacia ufro riskiani

dakreditebiT uwevdaT.

bankebma axali finansuri instrumentebis Seqmna daiwyo, romlebic erTi

SexedviT momgebiani da usafrTxo Canda. e.w „sekuritizacia“1 da

„struqturirebuli finansuri instrumentebi“ aRmoCnda is saSualeba,

romliTac maRalriskiani aqtivebidan (maT Soris dabali sakredito

standartebiT gacemuli riskiani ipoTekuri sesxebidan (e.w. „subpraim“

sesxebidan)), SedarebiT dabalriskiani da likviduri finansuri aqtivebis

sinTezireba gaxda SesaZlebeli. am instrumentebiT finansuri seqtori

uZravi qonebis bazars didi odenobis dakreditebas awvdida, ramacc

ganapiroba fasebis xangrZlivi da swrafi zrda. fasebis mzardi tendencia

spekulaciur molodinebSi gadaizarda, rac Tavis mxriv kidev ufro

amwvavebda fasebis zrdis tendencias2.

riskiani aqtivebidan dabalriskiani finansuri aqtivebis Seqmnis idea

statistikur princips efuZneba, romlis mixedviTac idiosinkratuli riskis

Semcireba diversificirebis meSveobiT aris SesaZlebeli. Sesabamisad,

sekuritizaciam Seqmna saSualeba imisa, rom riskiani aqtivebis iseTnairi

struqturireba momxadiriyo, rom maTgan dabali riskis mqone fuladi

nakadebis miReba yofiliyo SesaZlebeli. aRniSnuli midgoma advilad

1 aRniSnuli gulisxmobs, rom mag. sxvadasxva ipoTekuri sesxebis gaerTianebas erT aqtivad,romelic Semdgom SesaZloa gadaiyidos investorze. am fasiani qaRaldis ukan kvlavipoTekuri sesxebi dgas, Tumca nacvlad erTisa ukve ramdenime.2 Self-fulfilling expectations.

9

gavrcelda bankebis saqmianobaSi, radgan igi erTi SexedviT, riskebisgan

martivad dazRvevis saSualebas warmodgenda, rac bankebisTvis riskiani

dakreditebis mimzidvel saSualebas qmnida.

ekonomikuri ciklis aRmavlobis fazaSi mocemuli finansuri instrumentebi

marTlac dabali riskiT xasiaTdeboda, Tumca sistemuri riskis mimarT

Zalian mgrZnobiareni aRmoCndnen. finansuri bazris ekonomikur amocanas

riskis Sefaseba da kapitalis optimalurad gadanawileba warmoadgens.

Tumca, rogorc aRmoCnda, rTul instrumentebTan mimarTebaSi, finansurma

bazarma am funqciis Sesruleba ver SeZlo da riskis marTvis nacvlad

damatebiTi riski Seqmna. amis upirvelesi mizezi axali instrumentebis

gaumWvirvaloba iyo, rac maTi teqnikuri xasiaTidan gamomdinareobda.

warmoebuli sakredito instrumentebi, romlebic e.w. „sekuritizaciis“ da

„finansuri struqturirebis“ Sedegad iyo miRebuli, imdenad rTuli

aRmoCnda, rom masTan asocirebuli riskebis srulyofilad gaanalizeba

bazrisaTvis Zneli aRmoCnda. investorebi, srulad mienden sareitingo

saagentoebis Sefasebebs, ramac bazris monawileebis e.w. „jogur qcevas“

Seuwyo xeli.

Tavis mxriv, sareitingo saagentoebis mier riskebis araadekvaturad

Sefasebis mTavari mizezi misi procikluroba1 gaxda, rac sareitingo

kompaniebis meTodologiaSi sistemuri da makroekonomikuri riskebis

gauTvaliswineblobis Sedegi iyo. modelebi, romlebic riskebis Sefasebisas

stresuli scenarebis analizisTvis gamoiyeneboda, umeteswilad

ekonomikuri ciklis mxolod aRmavali fazis monacemebs eyrdnoboda da ver

iTvaliswinebda im mizez-Sedegobriv kavSirebs, romelic ekonomikuri

vardnis pirobebSi warmoiSveboda. realurad ki, is fasiani qaRaldebi,

romlebic TiTqmis urisko aqtivebad iyo Sefasebuli, gacilebiT

maRalriskiani aRmoCnda.

1sakredito reitingebis procikluroba gulisxmobs, rom ekonomikis bumis fazaSi,sareitingo Sefasebebi gadaWarbebulad maRalia, xolo ekonomikuri recesiis fazaSi

piriqiT. ix. Turner 2009 “The Turner Review: A regulatory Response to the Global Banking Crisis”, FinancialServices Authority, UK

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finansur bazarze riskebis dagrovebis erT-erT mizezs sazedamxedvelo

politikis „xarvezebi“ warmoadgenda, ramac sekuritizaciis cudi

praqtikis gamoyenebas Seuwyo xeli. safinanso seqtoris sazedamxedvelo

organoebma ver SeZles jerovnad epasuxaT finansuri inovaciebis swrafi

ganviTarebisTvis. im sazedamxedvelo organoebmac ki, romlebic yvelaze

ganviTarebul sazedamxedvelo praqtikas iyenebdnen, rogorc aRmoCnda

sakmaod gvian gaacnobieres, rom safinanso institutebi xSirad

garesabalanso aqtivebis gamoyenebiT cdilobdnen kapitalis damatebiTi

moTxovnisTvis daeRwiaT Tavi1.

sekuritizacia bankebs saSualebas aZlevda balansze arsebuli sesxebi

garesabalanso uwyisze gadaetanaT da finansur bazrebze gadaeyidaT, rac

maT damatebiTi sakredito resursis mozidvis saSualebas aZlevda. bankebi

sesxebis gacemis, struqturirebiT da gadayidviT marJas da sakomisio

Semosavlebs Rebulobdnen. bankis balansze arsebuli sesxi maRali

kapitalis moTxovnis obieqtia, Tumca, misi sekuritizaciis da gayidvis

Semdeg, is bankis savaWro fasian qaRaldebSi xvdeba, rac Tavis mxriv,

nakleb kapitals moiTxovs. sekuritazaciis Sedegad gamoTavisuflebuli

saxsrebi da kapitali kvlav sesxebis gacemas xmardeboda. es

sazedamxedvelo xarvezi bankebs saSualebas aZlevda riskebi kapitalis

zrdis gareSe gaezardaT.

safinanso seqtori, sxva seqtorebTan SedarebiT yvelaze maRali

leverejis2 pirobebSi funqcionirebs da mas e.w. „SezRuduli

pasuxismgeblobis problema“ axasiaTebs3. Sesabamisad, ararentabelobis

SemTxvevaSi bankebis mmarTvelTa interesebi ar aris yovelTvis

sazogadoebriv interesebTan Sesabamisi. safinanso seqtoris swored es

gansxvavebaa, maTi regulirebis erT-erTi mizezi. kerZod, arasworad

struqturirebuli interesebi xels uwyobs bankebs garkveul riskebze

1 magaliTad Caprio, Demirgüç-Kunt and Kane, 2008.2 leveraji warmoadgens kompaniis aqtivebis fardobas mis sakuTar kapitalTan (anuaqtivebis fardoba aqtivebs daklebuli valdebulebebTan).3 aRniSnuli, gulisxmobs, rom zaralis SemTxvevaSi bankisTvis maqsimaluri danakargiSemosazRvrulia kapitalis odenobiT. Sesabamisad, aqtivebis SesaZlo dakargvisas, bankiskapitali zarals mxolod nawilobriv faravs (bazelis mixedviT kapitalizaciis saSualodone 8%-ia).

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wavidnen, rac SesaZloa ar iyos sazogadoebriv interesebSi. kriziss win

uZRvoda is garemoeba, rom bankebma riskis Warbad aReba da finansur

zedamxedvelobis praqtikaSi arsebuli „xarvezebis“ gamoyeneba daiwyes,

xolo danakargebis realizaciis SemTxvevaSi, mTeli datvirTva

gadasaxadebis gadamxdelebze gadavida. Tavis mxriv, bankebis mmarTvel

menejerTa kompensaciis sqemebi ar iyo sworad Camoyalibebuli, rac maTTvis

grZelvadiani riskebis fasad moklevadiani sargebelis miRebis waxalisebas

axdenda (mag. Benanke, 2009).

yovelive aman finansur seqtorSi mniSvnelovani riskebis akumulireba

ganapiroba, rac erT-erT yvelaze mZime finansur krizisSi gadaizarda.

Tavdapirvelad e.w. „sabpraim“ ipoTekuri sesxebis gakotrebebi gaizarda,

rasac sareitingo kompaniebis mxridan msgavsi tipis aqtivebze sakredito

reitingebis mniSvnelovani gauareseba mohyva. Sesabamisad, aRmoCnda rom

finansur institutebs maRali fasi hqondaT gadaxdili am aqtivebis

SesaZenad (radgan egonaT, rom dabali riskis mqone iyo). aqtivebis

gadafasebam mravali finansuri institutis sabalanso uwyisis gauareseba

ganapiroba da maTi gadaxdisunarianobaze safuZvliani eWvi warmoSva.

bankebis sakuTari kapitali, romelic msgavsi SemTxvevebisTvis danakargebis

dafarvisTvis bufers warmoadgens, aRar iyo sakmarisi. aseve, mniSvnelovan

sirTuleebs waawydnen bankebi axali kapitalis mozidvisas, radgan

kapitalis saWiroeba totaluri xasiaTis iyo mTeli finansuri

sistemisTvis.

mTavrobebisa da centraluri bakebis mxridan gatarebuli zomebis

wyalobiT nawilobriv warmatebiT moxerxda aRniSnuli krizisis Sekaveba

2008 wlis seqtembramde. aseve, safinanso bazarze arsebobda gancda, rom

arsebuli msxvili finansuri institutebis gakotrebas mTavroba ar

dauSvebda (sakmarisad didi institutebi iyvnen saimisod, rom mTavrobas

maTi gakotreba daeSva, “too big to fail”). es gancda gaqarwylda im periodis

erT-erTi umsxvilesi bankis „lemon brazersis“ (Lehman Brother) gakotrebiT

am faqtma finansur bazarze uzarmazari jaWvuri reaqcia gamoiwvia. bazris

monawileebma gaacnobieres, rom gazrdili iyo finansuri institutebis

gakotrebis riskebi, ramac finansur institutebs Soris undobloba gaaCina.

12

mkveTrad Semcirda, bankTa Soris vaWroba, bankebma riskiani aqtivebis

forsirebuli gayidva daiwyes (fire selling) da leverejis ukontrolod

Semcirebis procesi warimarTa, rac uZravi qonebis fasebis kidev ufro

metad Semcirebas ganapirobebda. am yovelives fonze, uprecedentod

gamkacrda ekonomikis dakreditebis standartebi, ramac ekonomikuri

aqtivoba mniSvnelovnad SezRuda.

moTxovnis Semcirebis gamo inflacia swrafad daeca, ramac e.w. „fiSeris

deflaciis efeqti“ gamoiwvia. fasebis Semcirebam sesxebis dafarva kidev

ufro gaarTula. am yovelives fonze, sakredito portfelis xarisxi ufro

da ufro uaresdeboda. finansuri siZneleebis gamo, sesxebis globalurma

danakargma 4,1 trilioni aSS dolari Seadgina.

globaluri finansuri krizisi dramatulad Seexo ganviTarebadi

ekonomikebis mqone qveynebs. kerZod, globaluri garemos gauaresebis fonze

mkveTrad Semcirda kapitalis Sedineba aRniSnul qveynebSi. aseve,

ganviTarebuli qveynebis mxridan moTxovnis Semcireba uaryofiTad aisaxa

ganviTarebadi qveynebidan eqsportze. aRniSnulma mkveTrad gaauaresa maTi

mimdinare angariSi (ix. diagrama I.1) da gacvliTi kursis devalvaciis winaSe

daayena ganviTarebadi ekonomikis qveynebi. fiqsirebuli gacvliTi kursis

reJimis mqone qveynebis ekonomika kidev ufro didi sirTuleebis winaSe

aRmoCdnen.

13

diagrama I.1 kapitaliს Sedineba ganaviTarebad qveynebSi, wminda (mlrd aSS dolari)

wyaro: saerTaSoriso safinanso instituti (IIF).

2 krizisis dasaZlevad gatarebuli RonisZiebebi

krizisis masStaburobis gamovlenasTan erTad, msoflios mravali

saxelmwifos mier uprecedento zomebi iqna miRebuli. mTavrobebis,

centraluri bankebisa da saerTaSoriso organizaciebis erToblivi

Zalisxmeva krizisis daZlevis da ekonomikaze misi uaryofiTi Sedegebis

Sesustebas isaxavda miznad. Tavdapirvelad aSS-Si dawyebuli krizisi

maleve mTel msoflios moedo da mravali qveynis finansuri institutebi

gakotrdnen, an sirTuleebis winaSe aRmoCndnen. ganviTarebuli qveynebis

finansuri da kapitalis bazrebis urTierTgadajaWvulobis fonze, krizisis

dasaZlevad gatarebuli RonisZiebebis kompleqsurobis da koordinaciis

14

saWiroeba Seiqmna. bankebis gadarCenisa (bailout) da stimulirebis paketze

samTavrobo xarjebma msoflio mSp-s 5 % Seadgina1.

pirvel etapze miRebuli zomebi bankebsa da sainvesticio fondebSi

arsebul danazogebze mTavrobebis mier farTomasStabian garantiebis

gacemasa da centraluri bankebis mxridan finansuri sistemisTvis

likviduri saxsrebis miwodebas moicavda. Tumca, aRniSnuli ar aRmoCnda

sakmarisi, rac krizisis ganviTarebis fonze maleve gaxda cnobili.

mTavrobebma ufro mkacr zomebs mimarTes, rac xSir SemTxvevaSi finansuri

institutebis gadarCenas (bailout), maTi nacionalizaciisa da danakargebis

saxelmwifos mier dafarvas gulisxmobda. Tavis mxriv msoflios ZiriTadma

centralurma bankebma e.w. „arakonvenciuri“ (unconventional) RonisZiebebis

gatareba daiwyes, monetaruli politikis arxebis gasaZliereblad.

krizisis daZlevis umTavres winapirobas finansuri seqtorisadmi

investorebis ndobis aRdgena warmodgenda. krizisis dawyebidan, romelic

safinanso seqtorSi likvidobis deficitis, sakredito danakargebisa da

aqtivebis fasebis dacemiT aRiniSneboda, Semdgom etapze safinanso

seqtorisTvis fuladi resursebis mozidvis problemebi warmoqmna da maTi

gadaxdis unarianobis problemebi gazarda. im droisTvis msoflios erT-

erTi umsxvilesi safinanso institutis Lehman Brothers -is gakotrebam ki

finansuri krizisi yvelaze intensiur fazaSi Seiyvana, rodesac globaluri

masStabiT safinanso institutebisadmi ndoba gaqra. saxelmwifoebis

Zalisxmeva mimarTuli iyo safinanso seqtorisadmi ndobis aRdgenisTvis da

msoflios ganviTarebuli qveynebis mier uprecedento zomebis erToblivad

gatarebis Sedegad met-naklebi warmatebiT ganxorcielda ndobis krizisis

(confidence crisis) daZleva.

2008 wlis 3 oqtombers, aSS-s kongresis mier miRebul iqna kanoni

problemuri aqtivebis daxmarebis Sesaxeb (Troubled Asset Relief Program).

aRniSnuli RonisZiebis farglebSi, 700 miliardi dolari iqna gamoyofili

aralikviduri aqtivebis SesaZenad safinanso institutebidan da am gziT

1 BIS 79th Annual Report 2009.

15

maTi danakargebis SemcirebisTvis. amave periodSi, didi britaneTis

mTavrobam britanuli bankebis nacionalizaciis kompleqsuri programa

gamoacxada. amas, evrokavSiris wevri qveynebis mier sabanko seqtorisadmi

garantiebis gacema da zogierT SemTxvevaSi bankebis nacionalizacia mohyva.

2008 wlis oqtomberSi, ndobis krizisi ukve lokalizebuli iyo. aSS-s da

didi britaneTis, aseve belgiis, germaniis, irladniis, holandiisa da sxva

qveynebis mier finansuri seqtorisadmi daxmarebam, gacemulma garantiebma

da kapitalis miwodebam sabanko sistemaze, finansuri seqtoris

stabilizacias Seuwyo xeli1. kerZod, am RonisZiebebis Sedegad safinanso

institutebis valdebulebebi nawilobriv saxelmwifos valdebulebad iqca,

ramac investorebis mxridan ndobis aRdgena da riskis marJebis Semcireba

ganapiroba. es ukanaskneli ki gansakuTrebiT mniSvnelovani iyo bankebis

valdebulebebis refinansirebisTvis da ekonomikis dakreditebis

aRdgenisTvis.

centraluri bankebis mxridan, krizisis Tavdapirveli pasuxi monetaruli

politikis ganakveTebis koordinirebulad Semcireba da iafi likvidobis

miwodeba iyo. centraluri bankebi monetaruli politikis miznebis

uzrunvelsayofad moklevadiani sargeblis ganakveTebis instruments

iyeneben. Tumca, finansuri krizisis fonze monetaruli politikis

gadacemis tradiciuli arxebi mniSvnelovnad SeizRuda2. safinanso

institutebis gadaxdisunarianobis problemebisa da informaciis

asimetriulobis gamo, bankTaSoris fulad bazrebze vaWroba

mniSvnelovnad Seferxda da arauzruvelyofili sesxebis sargeblis

ganakveTebi mkveTrad gaizarda. Sedegad, ekonomikis dakrediteba gamkacrda

imisda miuxedavad Tu ramdenad Seamcires centralurma bankebma

monetaruli politikis ganakveTebi3 . am pirobebSi, centralurma bankebma

axali instrumentebis SemoReba daiwyes, ris saSualebiTac ekonomikaSi

grZelvadiani sargeblis ganakveTebis Semcireba da dakreditebis

waxaliseba iyo SesaZlebeli.

1 BIS 79th Annual Report 2009.2 იხ. http://www.imf.org/external/pubs/ft/gfsr/2008/02/pdf/chap2.pdf3 ix. http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1328.pdf

16

centraluri bankebis mier tradiciuli, monetaruli arxiT ekonomikis

stimulirebis garda, pirveli nabiji iyo, rom Serbilda centralur

bankebSi ukve arsebuli instrumentebiT likvidobis miwodebis pirobebi.

kerZod, gaizarda im sagiravno aqtivebis nusxa, romlis bazazec safinanso

instituts SeeZlo centraluri bankisgan esesxa, gaezarda sesxebis

moculoba, vadianoba da im safinanso institutebis nusxa, romliTac

monetarul operaciebSi SeeZloT monawileoba mieRoT (Sesabamisad esesxaT

centraluri bankebisgan (counterparty financial institutions)). centralur bankTan

operaciebisTvis daSvebuli sagiravno aqtivebis nusxis gafarToebas

gansakuTrebuli mniSvneloba hqonda, ramdenadac sagiravno aqtivebis mwiri

moculoba ar gamxdariyo centraluri bankebis mxridan likvidobis

miwodebis SemzRudavi. unda aRiniSnos, rom likvidobis miwodebis zrda

SesabamisobaSia centraluri bankis mizanTan, kerZod, maT erT-erT

ZiriTad, bolo instanciis msesxeblis (lender-of-last-resort) funqciasTan, Tumca

krizisis periodSi gamoyenebuli masStabebi gacilebiT aRemateboda

tradiciulad gamoyenebul normebs.

finansuri krizisis ekonomikaze uaryofiTi efeqti maleve globalur

recesiaSi gadaizarda. msoflios wamyvani qveynebis centraluri bankebi

monetaruli politikis ganakveTebis nulovan niSnulamde Semcirebis

Semdgom SezRudulebi aRmoCndnen, rom damatebiT ekonomikis stimulireba

moexdinaT (zero-bound), ramac e.w. monetaruli politikis „raodenobrivi

Serbilebis“ (quantitative easing) saWiroeba ganapiroba. raodenobrivi

Serbileba gulisxmobs centraluri bankis mier saxelmwifo fasiani

qaRaldebis SeZenas Ria operaciebiT, rac miznad isaxavs grZelvadiani

sargeblis ganakveTebis Semcirebas , Sesabamisad ekonomikuri agentebis

dakreditebis zrdas da ekonomikis stimulirebas. aRniSnuli procesiT,

izrdeba ekonomikaSi mimoqceuli sarezervo fulis masa da Sesabamisad

centraluri bankis sabalanso uwyisi. xSir SemTxvevaSi, ganviTarebuli

qveynebis centraluri bankebis sabalanso uwyisi mniSvnelovnad izrdeba,

rac centraluri bankebis mier ekonomikis stimulirebis uprecendento

masStabebze miuTiTebs (იხ. diagrama I.2)

17

diagrama I.2 centraluri bankebis aqtivebi (2004 ian. = 100)

წყარო: IFS, International Financial Statistics

monetaruli politikis garda, saxelmwifoebma aqtiurad daiwyes fiskaluri

politkis gamoyeneba ekonomikis stimulirebisTvis. fiskaluri stimulis

saWiroebaze konsesusi msoflios masStabiT Sedga. aRniSnuli, erTi mxriv

ekonomikaze moqmedi uaryofiTi Sokis simwvavem, xolo, meore mxriv,

monetaruli politikiT uprecendento stimulirebis fonze misi

SesaZleblobis amowurvam ganapiroba. ganviTarebuli qveynebis suverenuli

vali mSp-sTan mimarTebaSi 2008 wlis Semdgom mniSvnelovnad gaizarda

(diagrama I.3). valis zrda nawilobriv ekonomikis stimulirebisa da

safinanso institutebis gadarCenisTvis gaweul xarjebs, nawilobriv ki,

Semcirebul sabiujeto Semosavlebs ukavSrdeba. qveynebs, romelTac

arsebuli valis done biujetis deficitis zrdis SesaZleblobas ar

aZlevdaT ekonomikuri krizisi ufro mwvaved SeexoT (mag. IMF, 2013, Reassessing

the role and Modalities of Fiscal Policy in Advanced Economies, 2013).

0

100

200

300

400

500

6002007M1

2007M5

2007M9

2008M1

2008M5

2008M9

2009M1

2009M5

2009M9

2010M1

2010M5

2010M9

2011M1

2011M5

2011M9

2012M1

2012M5

2012M9

2013M1

2013M5

2013M9

აშშ

ევროზონა

დიდი ბრიტანეთი

იაპონია

შვეიცარია

18

diagrama I.3 vali mSp-sTan mimarTebaSi, %

წყარო: IFS, International Financial Statistics

fiskalur eqspansias centraluri bankebis mier monetaruli politikis

Serbileba uwyobda xels. kerZod, ganviTarebuli qveynebis centraluri

bankebis mier mTavrobis obligaciebis SeZena, saxelmwifo valze

ganakveTebis Semcirebas ganapirobebda, rac fiskaluri politikis

efeqtianobas zrdida. kerZod, monetaruli stimulis fonze Semcirda

fiskaluri eqspansiis Sedegad sargeblis ganakveTebze zrdis zewola da

erToblivi moTxovnis SezRudvis riski (crowding out). aseve, monetarulma

stimulma Seamcira biujetSi valis momsaxurebis tvirTi, ramac xeli

Seuwyo kontrcikluri fiskaluri politikis ganxorcielebas, aRniSnuli

gamoixata imaSi, rom mTavrobebs miecaT SesaZlebloba gaezardaT biujetis

deficiti ekonomikuri recesiis sapasuxod.

krizisis periodSi valis mosalodnelze metad zrdam, suverenuli riskebi

warmoSva. zogierTi qveynebisTvis, miuxedavad imisa, rom krizisamde valis

sakmaod dabal niSnulze iyvnen safinanso sistemis gadasarCenad

daxarjulma resursebma valis mkveTri zrda ganapiroba. amas isic daemata,

rom evrozonis calkeul qveynebSi warmoSobili fiskaluri problemebis

mogvareba evrozonis erToblivi ZalisxmeviT mosalodnelze metad

gaWianurda, ramac investorTa ndoba Seamcira. am ukanasknelma ki riskis

marJebis zrda ganapiroba, ramac am qveynebis fiskaluri mdgradobis

19

SenarCuneba gaarTula. evrozonis is qveynebi, romelTac fiskaluri

problemebi hqondaT, erTian savaluto zonaSi yofna zRudavdaT, radgan

ver axerxebdnen gacvliTi kursis devalvaciiT moexdinaT ekonomikis

koreqtireba (adjustment). aRniSnuli garemoeba evrozonis wevri zogierTi

qveynis gamoyofis saSiSroebas warmoSobda, rac damatebiT asustebda

investorTa ganwyobas.

globaluri krizisis pasuxad saerTaSoriso safinanso

organizaciebma(IFI)mkveTrad gazarda dafinanseba, sesxebi da garantiebi.

kerZod, mas Semdeg rac gamoaSkaravda krizisis sruli masStabi da misi

uaryofiTi gavlena msoflio ekonomikaze, daxmarebis mizniT msoflio

bankis jgufi (World Bank Group1), saerTaSoriso savaluto fondi (IMF) da

sxvebi aqtiurad CaerTvnen Tavisi mandatis Sesabamisad. msoflio bankis

jgufis daxmareba Tavdapirvelad fokusirebuli iyo sesxebis zrdaze

saSualoSemosavlian qveynebze, xolo Semdgom ufro farTomasStabiani

RonisZiebebi gaatara, romelis farglebSic daxmareba yvela jgufis

qveynebs SeexoT. saerTaSoriso savaluto fondis mier 2009-2010 wlebSi

garantia iqna gacemuli 219 mlrd. aSS dolaris, Tumca faqtobrivad

aTvisebuli iqna 67 mlrd. aSS dolari. aseve moculobiTi iyo msoflio

bankis mier gacemuli garantiebi da gacemuli Tanxebi (imave periodSi 129

mlrd. da 81 mlrd. aSS dolari, Sesabamisad) 2.

saerTaSoriso safinanso institutebis daxmareba miznad isaxavda finansuri

mxardaWera aRmoeCina wevri qveynebisTvis, raTa SeemcirebinaT krizisis

uaryofiTi gavlena maT ekonomikaze da SeenarCunebinaT makroekonomikuri

stabiluroba. kerZod, miznobriobis kuTxiT sam ZiriTad mimarTulebas

moicavda: pirveli, 1) daecva yvelaze ekonomikis mqone qveynebi;

2)grZelvadiani infrastruqturuli proeqtebis dafinanseba gagrZelebuliyo

da 3) SeenarCunebina kerZo seqtoris wamyvani wvlili qveynis ekonomikur

zrdaSi.

1 romelic moicavs IBRD, IDA, IFC, MIGA.2 magaliTad The world Bank Group’s Response to the Global Economic Crisis, Independent Evaluation Group,2011.

20

3 makroprudenciuili politikis ganviTareba

finansurma krizisma mniSvnelovani gamowvevebis winaSe daayena safinanso

sistemis arsebuli struqtura da misi sazedamxedvelo politika.

msoflios sxvadasxva qveyanaSi rigi RonisZiebebi gaatares, raTa ,erTi

mxriv, SeekavebinaT finansuri krizisis uaryofiTi efeqti, xolo, meore

mxriv, daiwyes safinanso seqtoris sazedamxedvelo politikis

reformirebis grZelvadiani procesi. reforma miznad isaxavda

sazedamxedvelo praqtikaSi manamde arsebuli sisusteebis aRmofxvras da

RonisZiebebis ganxorcielebas, romelTa Sedegadac ufro Zlieri da

mdgradi safinanso sistema unda Camoyalibebuliyo (mag. BIS, 2011, 81st Annual

Report, V. Financial Regulatory Reform: Accomplishments, Pitfalls, Prospects).

am yovelives fonze, bolo wlebSi politikis gamtareblebisa da

makroekonomistebis mzardi yuradReba eTmoba finansuri regulirebis

meTodebis makroekonomikur analizs (mag. Blanchard, Dell’ Ariccia & Maoro 2012,

2013). debatebi ZiriTadad fokusirebulia makroprudenciul instrumentebsa

da maTi efeqtianad gamoyenebis gzebze, aseve makroprudenciuli da

monetaruli politikis urTierTkavSirsa da am yvelaferTan dakavSirebul

sirTuleebze.

makroprudenciuli politika gulisxmobs monitorings, Sefasebas da

finansuri stabilurobis iseT sazedamxedvelo politikis gatarebas,

romelic mimarTuli iqneba sistemuri riskebis aRmofxvrasa da finansuri

seqtoris prociklurobis (ciklis mimarTulebiT mzardi, procyclical)

ganeitralebaze. makroprudenciuli politika prevenciuli xasiaTisaa,

romlis mizania, erTi mxriv, gazardos finansuri sistemis medegoba

egzogenuri Sokebis mimarT, xolo, meore mxriv, SezRudos finansuri

disbalansis warmoqmna aqtivebisa da kreditebis bazarze, rac finansuri

krizisebis erT-erTi ZiriTadi maxasiaTebelia. finansuri bazarze

disbalansis Sesamcireblad gansakuTrebuli mniSvneloba eniWeba ciklis

21

sawinaaRmdego (countercyclical) politikis gatarebas da am mxriv riskebis

warmoqmnis xelSeSlas.

makroprudenciuli politikis erTi-erTi sakiTxi, romlis mniSvneloba

finansurma krizisma naTlad warmoaCina, aris sazedamxedvelo politikaSi

sistemuri midgomis aucilebloba. sistemuri xasiaTis riskebis

arasaTanadod Sefaseba finansuri krizisis erT-erTi gamomwvevi mizezi iyo.

bankebis maregulirebeli organoebi, rogorc wesi, fokusirebulni iyvnen

e.w. „ideosiknaratul“ - konkretuli bankisTvis damaxasiaTebel riskebze.

sistemuri xasiaTis riskebi mTlianad safinanso sistemas uqmnis safrTxes

da ara mxolod izolirebulad romelime konkretul instituts.

sistemuri riskebi ramdenime kategoriad SeiZleba daiyos. pirveli,

egzogenuri Sokebi, romelTac, magaliTad, ekonomikuri vardna ganekuTvneba,

sagareo Soki da sxva. am tipis Sokebi gulisxmobs Cvengan damoukidebeli

movlenis moxdenas. meore es aris, e.w. „gadamdebi efeqtebi“ (contagion),

romelic saerTaSoriso masStabiT, finansuri seqtoris maRali

integraciiT aris ganpirobebuli. mesame kategorias warmoadgens finansuri

disbalansis dagroveba, romelic endogenuri xasiaTis riskia da igi

xSirad bazris monawileTa, maTi maregulireblebis, centraluri bankebisa

da xelisuflebebis uyuradRebobiT grovdeba. amis magaliTia msoflio

finansuri krizisic, rodesac, erTi mxriv, Semcirebuli monetaruli

politikis sargeblis ganakveTebma da, meore mxriv, aragonivrulma

finansurma sazedamxedvelo politikam uZravi qonebis fasebis buSti

waaxalisa.

sistemuri riskis xasiaTis mixedviT, gansxvavebulia midgomebi, TiToeul

SemTxvevaSi makroprudenciulma politikam unda gamoiyenos. Tuki

egzogenuri Sokebis mimarT, makroprudenciulma politikam finansuri

sistemis medegoba unda akontrolos da gazardos, gadamdebi riskebisa da

finansuri disbalansis saSiSroebis SemTxvevebSi. maTi winaswari prevencia

da am tipis riskebis warmoqmnis xelSeSla unda ganaxorcielos. finansuri

krizisis Semdgom, am mimarTulebiT didi yuradReba gamaxvilda da ara

erTi instrumentis danergva daiwyo sazedamxedvelo politikaSi, romelic

22

sistemuri riskebis aRmofxvrisken aris mimarTuli. sistemuri riskebis

umTavres wyaros safinanso seqtoris procikluri xasiaTi warmoadgens.

finansuri sistemis prociklurobis safuZvels, bazarze informaciis

asimetriuloba qmnis. kerZod, rodesac ekonomikuri viTareba

gauaresebulia (recesiis dros) sagiravno aqtivis fasebi (uZravi qoneba,

firmebis kapitali) mcirdeba da uaresdeba firmebis sabalanso uwyisi,

Sesabamisad, momgebiani sainvesticio proeqtebic ki Znelad finansdeba,

xolo rodesac ekonomikuri pirobebi gaumjobesebulia (ekonomikuri

aRmavlobis fazaSi) sagiravno aqtivis fasebi matulobs, firmebi advilad

axerxeben dafinansebis moZiebas da es kidev ufro zrdis ekonomikur

aqtivobas. ekonomikuri da finansuri ciklebis aseT kavSirs „finansuri

aqseleracia“ ewodeba. unda iTqvas, rom garda finansuri aqseleraciisa,

arsebobs sxva faqtorebi, rac finansur seqtors prociklurobas sZens (mag.

Borio da sxvani 2001; Gertler, Kiotaki 2010; Rajan 2005). Tanamedrove kvlevebiT

iTvleba, rom prociklurobis damatebiT wyaros warmoadgens ekonomikuri

riskebis cvlilebis mimarT safinanso bazris monawileTa araadekvaturi

pasuxi. sxvadasxva faqtori xSirad ganapirobebs ekonomikuri bumis dros

riskebis arasaTanadod, xolo recesiis dros gadaWarbebulad Sefasebas.

finansuri seqtoris prociklurobis ganmapirobebeli erT-erTi

mniSvnelovani wyaro iyo aseve safinanso zedamxedvelobis politika,

romlis aRmofxvrazec krizisis Semdgom aqtiurad daiwyo muSaoba. kerZod,

sesxebis SesaZlo danakargebis mimarT darezervebis praqtika

standartulad iTvaliswinebs imas, rom SesaZlo danakargebis rezervi

mibmulia sesxebis momsaxurebis defaqto vadagadacilebaze. Sesabamisad,

ekonomikuri ciklis aRmavlobis fazaSi banks SesaZlo danakargebis mcire

rezervi sWirdeba, xolo ciklis daRmaval fazaSi (ekonomikuri stagnaciis

periodi), rodesac cudi xarisxis sesxebi Tavs gamoavlens, izrdeba

SesaZlo danakargebis rezervi. aseve, bazel II1-is mixedviT, moTxovnebi

1 sabanko zedamxedvelobis bazelis komiteti SeimuSavebs da gansazRvravs sabankozedamxedvelobisa da kanonmdeblobis saukeTeso praqtikas, romelsac rekomendaciebissaxiT awvdis msoflios qveynebis safinanso seqtoris maregulirebel organoebs. bazel IIwarmoadgens meore Taobis SeTanxmebas, romelic praqtikulad ukve 2010 – 2011 wlebSiCanacvlda bazel III-iT.

23

kapitalis adekvaturobis uzrunvelyofisTvis, procikluri xasiaTis

midgomiT gamoirCeoda. kapitalis moTxovnebi Serbilebulia sakredito

ciklis bumis dros, rac kidev ufro amwvavebs aRniSnul process.

sakredito ciklis daRmavlobisas, rodesac dakrediteba Semcirebulia,

kapitalis moTxovnebi mkacrdeba, rac kidev ufro zRudavs dakreditebas

da Sesabamisad es yovelive aferxebs ekonomikis gajansaRebas.

makroprudenciuli politikis farglebSi safinanso seqtoris regulireba

biznesciklze damokidebuli xdeba. kerZod, kapitalis adekvaturobis da

sesxebis SesaZlo danakargebis mimarT darezervebis normebi ciklis

sawinaaRmdego xasiaTis xdeba. aRniSnuli idea gulisxmobs, rom kapitalis

moTxovnebi unda gamkacrdes sakredito ciklis bumis periodSi, raTa

SeizRudos sakredito portfelis Warbad zrda, xolo moTxovnebi

Sesustdes daRmavlobis fazaSi, raTa waaxalisos dakreditebis zrda.

Sesabamisad, uzrunvelyos mastabilizebeli funqcia. makroprudenciuli

zedamxedvelobis politikiT sistemuri riskebis regulirebis SemTxvevaSi,

gansakuTrebul aqtualurobas iZens analitikuri meTodebi, rac

sazedamxedvelo normebis optimalurad dadgenisTvisaa saWiro. magaliTad,

raodenobrivad rogor unda iqnes Sefasebuli sakredito Tu biznesciklebi,

aseve rogor unda kalibrirdes makroprudenciuli politikis ZiriTadi

instrumentebi da sxva.

makroprudenciuli politikis instrumentebi sakmaod mravalferovania,

Tumca or ZiriTad kategoriad iyofa. pirvel kategorias ganekuTvneba

instrumentebi, romelTac droiTi ganzomileba gaaCnia. am kategoriis

instrumentebi gamiznulia finansuri sistemis prociklurobis

aRmosafxvrelad. meore, es aris riskebis ganawilebis SezRudvaze

orientirebuli instrumentebi (drois konkretul periodSi). droiTi

ganzomilebis mqone instrumentebidan yvelaze farTod gamoiyeneba

kapitalis ciklis sawinaaRmdego buferi (Countercyclical Capital Buffer), Loan-to-

Value (sesxis fardoba giraos fasTan), Debt-to-Income (valis momsaxurebis

tvirTi) da Dynamic Provisioning (sesxebis SesaZlo danakargebis mimarT

rezervebis dinamikuri wesi). riskebis ganawilebis SezRudvaze

orientirebuli instrumentebis gamoyeneba gulisxmobs damatebiT kapitalsa

24

da likvidur aqtivebze moTxovnas sistemurad mniSvnelovani bankebisTvis

(Systemically Important Financial Institutes), aseve SezRudvebs bankis araZiriTad

(araprofilur) saqmianobaze da sxva. makroprudenciuli politika

gansakuTrebul yuradRebas uTmobs sistemuri mniSvenlobis mqone bankebs,

romlebic sakmarisad didebia, rom mTavrobam maTi gakotreba dauSvas (too big

to fail) 1. aseT SemTxvevaSi, damatebiTi usafrTxoebis normebia saWiro, rom

erTi romelime bankis mxridan mTlianad finansur sistemas ar daemuqros

safrTxe da gadasaxadis gadamxdelebs ar daawveT tvirTad.

ciklis sawinaaRmdego buferis (countercyclical buffer) mizania, kapitalis

buferis gamoyenebis gziT miaRwios makroprudenciuli politikis ZiriTad

mizans da, erTi mxriv, SezRudos sabanko seqtori dakreditebis Warbi

zrdisgan (romelic xSirad sistemuri riskis warmoqmnasTan aris

dakavSirebuli (mag. Drehmann, Borio, Tsatsaronis, 2011; Drehmann da sxvani, 2010)),

xolo, meore mxriv, moamzados bumis Semdgom daRmasvlis fazaSi

danakargebis gaZlebisTvis. kerZod, instrumentis farglebSi Seqmnili

kapitalis buferi uzrunvelyofs sabanko seqtors hqondes sakmarisi

kapitali raTa dakreditebis Warbi zrdis Semdgom, stresis periodSi ar

Seferxdes ekonomikisTvis saWiro dakreditebis procesi. es ukanaskneli

mniSvnelovan faqtors warmoadgens makroekonomikuri stabilurobisTvis,

rac TavisTavad mniSvnelovani faqtoria imisTvis, rom safinanso seqtoris

damatebiTi danakargebi iqnes Tavidan acilebuli2.

garda imisa, rom ciklis sawinaaRmdego kapitalis buferi emsaxureba

sabanko seqtoris dacvas stresis periodSi, igi aseve asrulebs sistemuri

riskebis dagrovebis Semaferxebel funqcias (lean against the wind). kerZod,

kapitalis buferis gamoyenebiT SesaZlebelia gavzardoT dakreditebis

xarji da SevamciroT moTxovna, rodesac ikveTeba, rom warsul

tendenciebTan SedarebiT dakreditebis tempi Warbia. Tumca, unda aRiniSnos,

rom kapitalis sawinaaRmdego buferisTvis Warbi dakreditebis

1 damatebiTi informaciisTvis ixileT,FSB, 2013, Progress and Next steps Towards Ending “Too-Big-To-Fail” (TBTF).2 magaliTad BIS, 2010 (Guidelines for National Authorities Operating the Countercycylical Capital Buffer).

25

Semaferxebeli funqcia ar aris ZiriTadi, mis mTavar funqcias SesaZlo

stresis pirobebSi mdgradobis zrda warmoadgens.

aRniSnuli instrumentis gamoyenebisTvis, Sesabamisi uflebamosili

instituti xelmZRvanelobs saerTaSoriso praqtikiT, romelis mixedviTac

igi iyenebs mis xelT arsebul yvela informacias, raTa sworad Seafasos

warmoqmnili sistemuri riski da amis mixedviT daadginos bankebisTvis

kapitalis damatebiTi odenoba, romelic maT unda iqonion. bazelis mier

gamocemuli rekomendaciebis Tanaxmad kapitalis buferis konkretuli

niSnulis dadgenisTvis gamoiyeneba kerZo seqtorze gacemuli sesxebis mSp-

sTan fardobis analizi (credit-to-GDP gap). kerZod, credit-to-GDP ramdenad

gadaxrilia Tavisi istoriuli trendidan, potenciurad sistemuri riskis

doneze miuTiTebs da Sesabamisad, kapitalis buferi masze dayrdnobiT

ganisazRvreba. aRniSnuli indikatori, istoriulad kargad aRwers

sistemuri riskebis dagrovebas (mag. Drehmann da sxvebi, 2010).

makroprudenciuli politikis mniSvnelovani instrumentebia: sesxis Loan-to-

Value (LTV) da Debt-to-Income (DTI) koeficienti. msoflios bevr qveyanaSi

aqtiurad gamoiyeneba LTV maCveneblisTvis maqsimaluri zRvris daweseba.

aRniSnuli SezRudva miznad isaxavs sistemuri riskebis Semcirebas, rac

Tan sdevs uZravi qonebis fasebis buStis warmoqmnas. kerZod, LTV-s zeda

zRvris daweseba uzrunvelyofs, imas rom sesxis moculoba iyos mcire

sagiravno uZravi qonebis fasTan SedarebiT, rac zRudavs uZravi qonebis

fasebis spekulaciur zrdas da amcirebs finansuri aqseleraciis efeqts

(mag. Crowe, Dell’Ariccia, Igan, Rabanal, 2011; Drehmann, Juselius, 2012). zogierT

SemTxvevaSi, LTV-s regulireba diskriminaciulia uZravi qonebis

daniSnulebis mixedviT (mag. mkacri pirobebi uwesdebaT komerciuli da

spekulaciuri mizniT qonebis SeZenis SemTxvevaSi, maSin roca SeRavaTebia

sacxovrebeli daniSnulebiT yidvisas). praqtikaSi, LTV-sTan erTad

gamoiyeneba agreTve DTI koeficientis regulireba. es ukanaskneli

gulisxmobs, rom valis yovelTviuri momsaxurebis moculoba msesxeblis

26

wminda gankargvad SemosavalTan mimarTebiT ar unda aRematebodes

dawesebul zRvars1.

erT-erTi farTod gavrcelebuli makroprudenciuli instrumentia aseve

Dynamic Provisioning, romelic pirvelad jer kidev globalur finansur

krizisamde, espaneTSi iqna SemoRebuli (mag. Saurina, 2009), xolo finansuri

krizisis Semdeg gansakuTrebuli popularoba SeiZina da msoflios mraval

qveyanaSi iqna danergili. Dynamic Provisioning gamoyeneba miznad isaxavs

sabanko sistemisTvis sakredito danakargebis Tanabar ganawilebas

sakredito ciklis mixedviT. kerZod, Dynamic Provisioning iTvaliswinebs

rezervis buferis dawesebas bankisTvis sakredito ciklis bumis periodSi,

rodesac standartuli kriteriumebiT sesxebis xarisxi kargia da mcire

danakargebia mosalodneli. Sesabamisad, es instrumenti xels uwyobs

sesxis danakargebis zRvruli danaxarjis stabilurobas sakredito ciklis

sxvadasxva fazaSi. Dynamic Provisioning-is da kontrcikluri kapitalis

buferis instrumentebi erTmaneTs avsebs makroprudenciuli miznebis

uzrunvelsayofad, radgan danakargebis rezervi gankuTvnilia mosalodneli

sakredito danakargebis, xolo kapitalis buferi ki moulodneli

danakargebis dasafarad (mag. Wezel, Chan-Lau & Columba, 2012).

makroprudenciuli politika, garda sakredito ciklis da masTan

dakavSirebuli sistemuri riskebis ganeitralebisa, aseve mniSvnelovan

yuradRebas uTmobs riskebis ganawilebisa da stresis SemTxvevaSi riskebis

erTi bankidan meore bankze SesaZlo gavrcelebis aRmofxvras. kerZod,

globaluri krizisis fonze, Lehman Brothers-is gakotrebam 2008 wlis

seqtemberSi, naTlad warmoaCina is uaryofiTi gareefeqtebi (negative

externalities), rac dakavSirebulia globalurad sistemuri mniSvenlobis

mqone bankis gakotrebasTan. amasTan, safinanso institutebi, romelebic

sistemurad mniSvnelovnia Tavisi zomis, kompleqsurobis, sxva

institutebTan gadajaWvulobisa da globalur asparezze Znelad

Canacvlebadobis gaTvaliswinebiT kargad acnobiereben ra TavianTi

1 makroeprudenciuli instrumentebis detaluri mimoxilvisa da maTi efeqtianobis

analizisTvis sxvadasxva qveynis magaliTze ixileT Lim da sxvani, 2011.

27

gakotrebis mZime Sedegebs zogadi ekonomikuri garemosTvis, uyalibdebaT

molodini, rom mTavroba ar dauSvebs maT gakotrebas (too big to fail) da

erTgvar saxelmwifo garantias floben. es faqtori ki moralurobis risks

(Moral hazard) warmoSobs da zrdis maTi riskebisadmi midrekilebas,

privilegias aniWebs maT da arakonkurentul garemos ayalibebs.

zemoaRniSnuli gare efeqtebis gamo. safinanso institutis racionaluri

qceva maqsimaluri sargeblis miRebis mizniT, SesaZloa mkveTrad

gansxvavdebodes sazogadoebrivi interesebisgan, rac saboloo angariSiT

zrdis momavali krizisis albaTobas da Sesabamisad, gadasaxadis

gadamxdelebis tvirTs (mag. BIS, 2013, Global systemically important banks: updated

assessment methodology and the higher loss absorbency requirement).

zemoaRniSnuli problemis mogvarebisTvis, makroprudenciuli politika

miznad isaxavs Seamciros sistemuri bankebis gakotrebis albaToba da

gakotrebis SemTxvevaSi SezRudos sistemisTvis uaryofiT efeqti. kerZod,

2011 wlis noemberSi, bazelis komitetma gamosca meTodologiis sabaziso

CarCo1, romlis mixedviTac sistemuri mniSvnelobis mqone finansuri

institutebi unda iqnes identificirebuli da dauwesdeT damatebiTi

kapitalis buferi, danakargebis mimarT mdgradobis zrdisTvis. bazelis

komiteti aseve yuradRebas amaxvilebs safinanso institutebis gakotrebis

meqanizmis efeqtianobis aucileblobaze. meqanizmma unda uzrunvelyos,

aucileblobis SemTxveaSi, institutis gakotreba- proceduris warmarTva

iseTnairad, rom ar gamoiwvios mTlianad safinanso sistemis paralizeba

an/da tvirTad ar daawves gadasaxadis gadamxdelebs (mag. Financial Stability

Board. (2011). Key Attributes of Effective Resolution Regimes for Financial Stability).

krizisebis prevenciisa da daZlevisTvis safinanso seqtoris

makroprudenciuli regulirebis politika Zalzed mniSvnelovania, Tumca,

igi SesaZloa ar iyos sakmarisi. krizisis Semdeg ekonomistebma

gansakuTrebuli yuradReba dauTmes ciklis sawinaaRmdego fiskaluri da

monetaruli politikis rols finansuri stabilurobisTvis (mag. Blanchard,

1 Basel Committee on Banking Supervision, 2013, “Global systemically important banks: updatedassessment methodology and the higher loss absorbency requirement”.

28

Dell’ Ariccia & Maoro 2012, 2013). kerZod, ciklis sawinaaRmdego fiskaluri

politika, romlis mizania ekonomikuri ciklis stabilizacia, amcirebs

sakredito danakargebs recesiis dros, aseve, aferxebs sistemuri riskebis

dagrovebas ciklis bumis fazaSi.

monetaruli politika, Tavisi tradiciuli SinaarsiT ciklis

sawinaaRmdegoa da misi ZiriTadi miznebi - fasebis stabilurobis da

ekonomikuri zrdis grZelvadiani stabilizacia, TavisTavad uwyobs xels

safinanso seqtoris stabilurobas. Tumca, bolo periodSi araerTi kvleva

mieZRvna monetaruli politikisa da safinanso zedamxedvelobis politikis

urTierTmoqmedebis Seswavlas (mag. Borio, 2014; Blanchard, Dell’ Ariccia & Maoro

2012, 2013), romelmac naTlad warmoaCina, rom SesaZloa arsebobdes

konfliqturi situaciebic, rodesac politikis gamtareblebs uwevT

arCevanis gakeTeba sxvadasxva miznebs Soris. aseve, finansurma krizisma

warmoaCina, rom monetaruli politikis dadgenisas yuradReba unda mieqces

ekonomikuri ciklis analizs farTo konteqstiT da maT Soris finansuri

aqtivebis fasebis dinamikas, raTa Semcirdes fasebis buStis warmoqmnis

SesaZlebloba.

4 saqarTvelos safinanso seqtoris ganviTareba da globaluri

finansuri krizisis gavlena

saqarTvelos safinanso seqtori 1991 – 2007 wlebSi

saqarTvelos safinanso sistemam ganviTarebis dramatuli procesi ganvlo,

romelic 1991 wlidan – qveynis damoukideblobis mopovebidan daiwyo.

Sesabamisi sakanonmdeblo da normatiuli bazis Camoyalibeba da

saqarTvelos erovnuli bankis Seqmna1, win uZRvoda pirveli komerciuli

bankebis Camoyalibebas 1992 wels. im droisaTvis arsebulma

1 saqarTvelos erovnuli banki 1991 wels Camoyalibda, sabWoTa kavSiris dros arsebulisaxelmwifo bankis bazaze.

29

arasrulyofilma sabanko kanonmdeblobam da praqtikulad regulirebis

qaoturma sistemam1, komerciuli bankebis raodenobis swrafi zrda

waaxalisa. 1994 wels qveyanaSi komerciuli bankebis ricxvi 226 -mde

gaizarda (magaliTad, saqarTvelos erovnuli banki, 2006, saqaTvelos

sabanko seqtoris ganviTarebis strategia 2006 – 2009 wlebisTvis).

1991 – 1995 wlebSi sabanko sistemis transformacia rTuli ekonomikuri da

politikuri krizisis fonze mimdinareobda. amave periodSi Sida

politikuri destabilizaciis fonze, mTliani Sida produqti 702

procentiT Semcirda da moiSala sagareo vaWrobis kavSirebi. am yovelives

Tan erTvoda saqarTvelos erovnuli bankis damoukideblobis SezRudviTa

da gauazrebeli fulad - sakredito politikiT gamowveuli hiperinflacia.

Sedegad, 1994 wels komerciuli bankebi finansuri sirTuleebis winaSe

aRmoCndnen, rac bankebis masobriv gakotrebaSi gadaizarda. garda

fundamenturi ekonomikuri faqtorebisa, bankebis gakotreba didwilad e.w.

„piramiduli sistemis“ (romelsac im droisaTvis arsebuli bankebi xSirad

iyenebdnen) rRveviTac iyo ganpirobebuli.

1995 wlidan saqarTvelos safinanso sistemam xelaxla Camoyalibeba daiwyo.

saqarTvelos parlamentis mier miRebul iqna kanonmdebloba, romelic, erTi

mxriv, gansazRvravda saqarTvelos erovnuli bankis mandats da

ganamtkicebda mis damoukideblobas fulad sakredito politikis

warmarTvis kuTxiT, xolo, meore mxriv, aniWebda mas met Zalauflebas

komerciuli bankebis saqmianobis regulirebis kuTxiT. sabanko

zedamxedvelobis politika daefuZna bazelis komitetis mier SemuSavebul

principebs. SemoRebul iqna sabanko saqmianobis regulirebis wesebi,

romelic iTvaliswinebda kapitalis ufro mkacr moTxovnebs, aqtivebis

klasifikaciis daxvewas riskebis ufro zustad Sefasebis mizniT, sabanko

saqmianobaSi interesTa konfliqtis gamijvnas da bankebis auditoruli

saqmianobis mowesrigebas. aRniSnuli reformis Sedegad, komerciuli

1 mag., licenzirebisTvis dawesebuli moTxovna minimalur sawesdebo kapitalze, 1994wlisTvis 500 aSS dolars Seadgenda.2 ix. IMF, 1993, Economic Reviews 9, Georgia.

30

bankebis raodenoba mkveTrad Semcirda da maTi ricxvi 1997 wlisTvis ukve

53-s Seadgenda (mag. kakulia 2001).

saqarTvelos sabanko sistemis stabiluri ganviTareba 1997 wlidan daiwyo.

1997 – 2007 wlebSi sesxebis wliuri zrdis tempi saSualod 38%-s Sedgenda,

xolo sakredito portfelis mSp-sTan fardoba 3.6%-dan 26%-mde gaizarda.

amave periodSi, 8%-dan 25%-mde gaizarda farTo fulis Sefardeba mSp-sTan,

xolo, sabanko aqtivebma 2007 wlis bolos 42% Seadgina. unda aRiniSnos,

rom mkveTri zrdis temps dabali sawyisi pirobebic uwyobda xels, Tumca

sabanko seqtoris ganviTarebis aRniSnuli tendencia mniSvnelovanwilad

ekonomikaSi sabanko seqtoris rolis amaRlebas asaxavda. am periodSi

mkveTrad gaizarda mosaxleobis xelmisawvdomoba finansuri momsaxurebaze

da sabanko sistema ukve sTavazobda momxmarebels Tanamedrove bankisTvis

damaxasiaTebel yvela saxis standartul momsaxurebas.

sabanko seqtoris swraf ganviTarebas xeli Seuwyo ekonomikis moTxovnam

finansur momsaxurebaze. saqarTvelos ekonomika gansakuTrebiT mzardi

tendenciiT 2003 - 2007 wlebSi xasiaTdeboda. mSp-s zrda, amave periodSi

saSualod 9% Seadgenda1. fulad-sakredito da fiskaluri politikis

mowesrigebam qveyanaSi aRmofxvra 1990-ian wlebSi arsebuli hiperinflacia

da gaumjobesda fiskaluri disciplina. am yovelives Sedegad,

mniSvnelovnad gaumjobesda makroekonomikuri stabiluroba, gaizarda

Semosavlebi da struqturuli reformebis Sedegad Semcirda Crdilovani

ekonomika, ramac, erTi mxriv, gazarda moTxovna finansuri

Suamovlobisadmi, xolo, meore mxriv, gaaumjobesa bankebisTvis riskebis

marTvis efeqtianoba.

ucxouri kapitalis monawileoba arsebiTad mniSvnelovani iyo saqarTvelos

sabanko sistemis ganviTarebisTvis. 2007 wlis bolosTvis 18 komerciuli

bankidan 14-Si ucxouri kapitalis monawileobiT funqcionirebda, romelTa

xvedriTi wili sabanko seqtoris mTlian aqtivebSi 80% aWarbebda. ucxouri

investiciebidan gansakuTrebiT mniSvnelovani saerTaSoriso safinanso

institutebis monawileoba iyo. kerZod, maT Soris iyvnen iseTi

1Tumca, unda aRiniSnos rom am periodSi ekonomika nawilobriv „gadaxurebas“ ganicdida(mag. mimdinare angariSis deficiti mSp-s 20% mde gaizarda).

31

organizaciebi, rogorebic arian: „evropis rekonstruqciisa da ganviTarebis

banki“ (EBRD), “saerTaSoriso safinanso organizacia” (IFC), “aRmSeneblobis

sakredito dawesebuleba” (KFW) da sxva. aRniSnuli institutebis

investiciebi saqarTvelos sabanko sistemaSi, erTi mxriv, marTvis saukeTeso

praqtikis danergvas, xolo, meore mxriv, sabanko sistemisadmi sandoobis

amaRlebas emsaxureboda, ramac xeli Seuwo sabanko sistemis ganviTarebas.

sabanko seqtoris aqtivebis zrda ZiriTadad kerZo seqtoris dakreditebaze

modioda. 2007 wlis dekembrisTvis wminda sesxebis wili mTlian aqtivebSi

61%-s Seadgenda. dargobriv WrilSi sesxebi ZiriTadad mSp-s prociklur

seqtorebze, vaWrobis (33%), mrewvelobis (11%) da mSeneblobis (8%)

seqtorebze modioda. sesxebze mosaxleobis xelmisawvdomobis da uZravi

qonebaze fasebis zrdasTan erTad mkveTrad gaizarda Sinameurneobebis

dakreditebac. 2007 wlis bolosTvis fizikur pirebze gacmuli sesxebi

mTliani sakredito portfelis 34%-s Seadgenda, aqedan 70% samomxmareblo,

xolo 30% ipoTekur sesxebze modioda. sakredito portfelis zrdasTan

erTad, Semcirda sesxebis sargeblis ganakveTebi da spredi1, rac sabanko

sistemis efeqtianobis zrdas asaxavda. bankebis Serwymisa da

konsolidaciis gaaqtiurebiT gaizarda sabanko seqtoris koncentracia. 2007

wlis bolos komerciuli bankebis raodenoba 18-mde Semcirda, xolo maTgan

umsxvilesi 6 banki mTliani sabanko aqtivebis 87% flobda.

komerciuli bankebis sabalanso uwyisis zrda valdebulebebis mxares met-

wilad depozitebiT finansdeboda, Tumca sazRvargareTidan nasesxebi

saxsrebi aseve mniSvnelovan nawils Seadgenda. 2007 wlis bolosTvis,

depozitebis wili mTlian valdebulebebSi 61% (aqedan 13% bankTaSoris

depozitebze modis), xolo nasesxebi saxsrebi valdebulebebis 34%

Seadgenda. swrafi zrdis periodSi sabanko seqtori kargad

kapitalizirebuli iyo, rasac sabanko seqtorSi ucxouri investiciebisTvis

mimzidveli garemo uwyobda xels. 2007 wlis dekemberSi kapitalis

adekvaturobis koeficienti 16%-s, xolo umoqmedo sesxebis wili mTlian

sesxebSi 3%-s Seadgenda.

1depozitebis da sesxebis sargeblis ganakveTebs Soris sxvaoba.

32

gardamavali ekonomikis mqone qveynebis msgavsad, saqarTvelos sabanko

seqtoris ganviTareba maRali dolarizaciis pirobebSi mimdinareobda.

ekonomikaSi dolarizaciis maRali done, erTi mxriv, 1990 -iani wlebis

hiperinflaciis da saxelmwifo institutebisadmi jer kidev dabali ndobis,

xolo, meore mxriv, istoriulad damkvidrebuli zogadi fsiqologiuri

faqtoriT aris ganpirobebuli, romelic dolars „usafrTxo“ valutis

statuss aniWebs. 2002 wlis bolos depozitebis dolarizaciis

koeficienti, Tavis istoriul maqsimums 85%-s aRwevda, xolo mas Semdgom

periodSi Semcirebis tendenciiT xasiaTdeba. 2007 wlis dekemberSi

depozitebis 63% iyo dolariT denominirebuli. valdebulebebis

dolarizacias aseve xels uwyobda sazRvargareTidan nasesxeb saxsrebze

damokidebulebis zrda sabanko sistemaSi. aRniSnulis gaTvaliswinebiT

maRali iyo agreTve kerZo seqtorze gacemuli sesxebis dolarizacia, rac

msesxeblebisTvis valutis SeusabamobiT gamowveul riskebs qmnida1.

finansuri seqtoris maRali dolarizacia, dResac qveynis finansuri

stabilurobis erT-erT umTavres gamowvevas warmoadgens (dolarizaciis

masStabebze, istoriulad mis gamomwvev faqtorebze da daZlevis gzebze

ixileT kakulia, m., 2000).

saqarTvelos safinanso seqtoris ganviTareba sabanko seqtoris

dominirebiT mimdinareobda. arasabanko safinanso seqtori da kapitalis

bazari susti ganviTarebiT xasiaTdeboda. 2007 wlis bolos bazarze 15

mikrosafinanso, 15 sadazRveo da 24 sakredito kavSiri arsebobda, jamuri

aqtivebiT mSp-s daaxloebiT 2%-s, xolo safondo birJis kapitalizacia

ki, mSp-s 13%-s Seadgenda.

„tyupi krizisi“ da saqarTvelos makrofinansuri garemo

globalurma finansurma krizisma da 2008 wlis agvistoSi ruseTis agresiam

mniSvnelovani gavlena moaxdina safinanso seqtorze da mTlianad

ekonomikaze. msoflioSi ekonomikuri krizisis fonze, mkveTrad gauaresda

investorTa ganwyoba, rac msoflios masStabiT ganviTarebadi qveynebis

1valutis SeusabamobiT gamowveuli sakredito riski (Currency Induced Credit Risk)dakavSirebulia ekonomikis dolarizaciis donesTan, kerZod igi wamoiqmneba rodesacmsesxeblebs valdebulebebi aqvT ucxouri valutiT (an ucxour valutaze indeqsirebuli),

xolo Semosavlebi adgilobrivi valutiT.

33

saerTo fenomeni iyo. investorTa ganwyobis gauareseba kapitalis Sedinebis

mkveTri SemcirebiT gamoixata. aRniSnul periodSi mniSvnelovnad gaizarda,

sapredi qveynis suverenuli obligaciebze, rac gazrdil riskpremiums

asaxavda. investorebi fulis SedarebiT urisko aqtivebSi ganTavsebas

amjobinebdnen, ramac investiciebis ganviTarebadi qveynebidan

ganviTarebuli qveynebis suverenul fasian qaRaldebSi gadanacvleba

ganapiroba. aRniSnuli talRa saqarTvelos eqsportze moTxovnis

SemcirebiT da kerZo kapitalis (rogorc pirdapiri ucxouri investiciebis

ise savalo kapitalis mxriv) Semodinebis mkveTrad SemcirebiT Seexo. 2008

wlamde saqarTvelos ekonomikuri zrda ZiriTadad ucxouri kapitalis

SemodinebiT iyo ganpirobebuli, Sesabamisad aRniSnul klebas

mniSvnelovani uaryofiTi gavlena hqonda ekonomikur zrdaze.

diagrama I.4 saqarTvelos suverenuli obligaciebis spredi (procentis sabaziso punqtebSi)

wyaro: blumbergi

amis garda, 2008 wlis agvistoSi ruseTis federaciasTan SeiaraRebuli

samxedro konfliqtis Sedegad qveyanam mniSvnelovani danakargi ganicada,

ganadgurda infrastruqturis nawili da omis Sedegad mravali mosaxle

iZulebiT gadaadgilebuli aRmoCnda. globaluri finansuri krizis fonze,

ruseTis agresiis Sedegad qveynis ekonomikam da finansurma seqtorma

mniSvnelovani dartyma ganicada. 2009 wels mSp realur gamosaxulebaSi 4%-

iT Semcirda, ramacsabanko sistemisa da erovnuli valutisadmi

34

mosaxleobis Semcirebuli ndobis fonze, sabanko da savaluto panikis

warmoqmnis saSiSroeba Seqmna.

diagrama I.5 realuri mSp-s zrda, (wliuri, prcentebSi)

wyaro: saqstati

e.w. „tyupi krizis“ gavlena qveynis sabanko seqtorze, Tavdapirvelad

likvidobis deficitiT gamovlinda. 2008 wlis agvistodan erTi wlis

Semdeg kerZo seqtoris depozitebi 12%-iT, xolo jamuri aqtivebi 10%-iT

Semcirda. aseve mniSvnelovani iyo sabanko seqtoris zarali, Tumca

aqtivebis Semcirebis xarjze kapitalis adekvaturobis koeficienti ar

Semcirebula.

sabanko seqtorisTvis gansakuTrebiT mniSvnelovani iyo mdgomareoba uZravi

qonebis bazarze, radgan am seqtorTan dakavSirebuli sesxebi jamuri

sakredito portfelis 30%-s Seadgenda. amas garda, ramdenadac uZrav

qonebaSi investireba finansur aqtivebSi investirebis alternativas

warmoadgens da igi safinanso seqtoris funqciasac iTavsebs, amdenad

uZravi qonebis fasebi qveynis ekonomikuri ciklis ganmapirobebel faqtors

warmoadgens da gansakuTrebul rols TamaSobs qveynis finansuri

stabilurobisTvis. uZrav qonebaze fasebis vardnis SemTxvevaSi izrdeba

sesxebis riskianoba da safrTxes uqmnis komerciuli bankebis sakredito

portfelis xarisxs.

2008 wlamde, qveyanaSi arsebulma sakredito bumma da uZravi qonebis

bazarze investiciebis mozRvavebam xeli Seuwyo uZravi qonebis fasebis

35

„buStis“ warmoqmnas 2008 wlis agvistos Semdeg moTxovnis mkveTrma

Semcirebam da investorTa ndobis dakargvam uZrav qonebaze fasebis vardna

da mTlianad seqtoris paralizeba gamoiwvia. komerciuli bankebis mier

sakredito standartebis gamkacrebam da dakreditebis SezRudvam, maRal

riskiani developeruli da samSeneblo kompaniebi proeqtebisTvis saWiro

dafinansebis gareSe datova. uZravi qonebis bazarze Seqmnili problemebi

bankebis sakredito portfelze aisaxa. 2009 wels bankebis mier samSeneblo

seqtorze gacemuli sesxebis 50%-ze meti umoqmedo gaxda1.

diagrama I.6 umoqmedo sesxebis wili portfelSi (procentebSi)

wyaro: saqarTvelos erovnuli banki

krizisis Sedegad mniSvnelovnad gauaresda makroekonomikuri garemo (mag.

xaduri 2009, 2010). krizisis uaryofiTi Sedegebi ZiriTadad 2009 wels

gamovlinda. qveyanaSi ekonomikuri aqtivoba 2009 wlis pirvel naxevarSi

8.5%-iT, xolo 2009 wels 4%-iT Semcirda. 2008 wlis bolos, laris

nominaluri gacvliTi kursi 16%-iT gaufasurda. amis miuxedavad inflacia

2009 wels mkveTrad Semcirda da saSualo wliurma inflaciam 2% Seadgina.

2008 wels dafiqsirebuli 10%-iani inflaciis Semdeg, samomxmareblo

fasebis Sesusteba erToblivi moTxovnis da globaluri fasebis Semcirebis

1sesxi klasificirdeba umoqmedoT imisda mixedviT Tu ramdenad kargad aris igi daculimsesxeblis kapitalisa da gadaxdis unariT. umoqmedo sesxebi aerTianebs sesxebis samqvekategorias, esenia arastandartuli, saeWvo da uimedo kategoriis sesxebi.

36

Sedegi iyo. realuri mSp-s vardnasTan erTad, mimdinare angariSis

deficitma 2008 wels 22%-s miaRwia, rac kapitalis Semodinebis Semcirebis

fonze makroekonomikuri daubalanseblobis da gacvliTi kursis damatebiT

devalvaciis riskebs zrdida. ekonomikuri aqtivobis vardnasTan erTad

saxelmwifo biujetSi sagadasaxado Semosavlebis Semcirebam 2009 wels 8%

Seadgina, xolo biujetis deficiti mSp-sTan SefardebiT 9.2%-mde gaizarda.

diagrama I.7 biujetis deficiti da sagareo vali mSp-s procentebSi (procentuli punqti)

wyaro: saqarTvelos finansTa saministro, avtoris sakuTari gamoTvlebi

krizisis uaryofiTi Sedegebis dasaZlevad, aRsaniSnavia centraluri bankis,

mTavrobis, saerTaSoriso safinanso institutebisa da partniori qveynebis

erToblivi Zalisxmeva. centraluri bankis mxridan krizisis dasaZlevad

bankebis likvidobiT uzrunvelyofa da monetaruli politikis Serbileba

moxda, mTavrobis mier fiskaluri stimulireba ekonomikuri vardnis

Semamsubuqebeli faqtori gaxda, xolo qveyanaSi Semcirebuli kerZo

kapitalis Semodineba donori saxelmwifoebis da saerTaSoriso

organizaciebis mier gacemulma grantebma Caanacvla.

37

2008 wlis agvistos Semdeg, komerciuli bankebidan depozitebis gadinebam

likvidobis, maT Soris ucxouri valutis banknotebis deficiti warmoSva.

finansuri stabilurobis SenarCunebisTvis mniSvnelovan amocanad iqca,

mosaxleobis ndobis SenarCuneba sabanko sistemisadmi. am mizniT,

saqarTvelos erovnulma bankma droulad uzrunvelyo sabanko sistemis

momarageba naRdi ucxouri valutiT1 da komerciuli bankebisaTvis

saTanado momsaxureba, raTa Tavidan aecilebina krizisis gamwvaveba.

aRniSnuli zomebi, krizisis sapasuxod gatarebuli pirveli RonisZieba iyo.

sabanko sistemis likvidobiT uzrunvelyofis mizniT, centraluri bankis

mier gamoyenebul iqna bolo instanciis sesxis instrumenti, romlis

farglebSic 2008 wlis seqtemberSi sam komerciul bankze 38.1 mln lari

gaica. aseve, Semcirebul iqna savaldebulo sarezervo moTxovnebi2,

gafarTovda centraluri bankis mier monetarul operaciebSi dasaSvebi

giraos baza da amoqmedda refinansirebis instrumenti, rac komerciul

bankebs saSualebas aZlevda maT xelT arsebuli fasiani qaRaldebis

giravnobiT esesxaT fuladi saxsrebi. amis garda, saqarTvelos erovnulma

bankma 2008 wlis seqtemberis bolos aamoqmeda specialuri sasesxo

instrumenti, romlis farglebSic 135.9 mln lari iqna komerciul bankebze

sesxad gacemuli eqvsi Tvis vadiT. SedrebiT ufro grZelvadiani

miznebisTvis centraluri bankis mier gamoyenebuli iyo monetaruli

politikis Serbileba, raTa erToblivi moTxovnis stimulireba moexdina da

xeli Seewyo ekonomikuri aqtivobis aRdgenas. (magaliTad saqarTvelos

erovnuli banki, 2008, wliuri angariSi).

krizisis Semdgom, ekonomikis vardnis da umuSevrobis Sesamsubuqeblad

mniSvnelovani faqtori iyo fiskaluri politkis mier ciklis

sawinaaRmdegod gatarebuli politika. kerZod, 2009 wels ekonomikaze

krizisis uaryofiTi Sedegebis Semcirebis mizniT, biujetis deficiti mSp-s

9.2 %-mde gaizarda, ramac xeli Seuwyo ekonomikis stimulirebas. deficitis

zrda didwilad kapitalur xarjebze modioda, rac aseve xels uwyobda

1unda aRiniSnos, rom ucxouri valutis fulis niSnebiT uzrunvelyofa ar SedissaqarTvelos erovnuli bankis regularul funqciebSi.2Tavdapirvelad, droebiTad SeCerebul iqna savaldebulo sarezervo moTxovnebikomerciuli bankebisTvis, xolo Semdgom amoqmedda krizisamdeli normebis SemcirebiT.

kerZod, 13%-dan Semcirebul iqna 5%-mde.

38

dasaqmebis da ekonomikuri aqtivobis aRdgenas. aseve, 25%-dan 20%-mde iqna

Semcirebul saSemosavlo gadasaxadis ganakveTi, ramac kerZo seqtors

damatebiTi fuladi resursi gamouTavisufla.

„tyupi krizisis“ uaryofiTi Sedegebis daZlevisTvis umniSvnelovanesi

faqtori iyo donorTa mier saqarTvelosTvis gamoyofili dafinanseba.

kerZod, agvistos omidan maleve, saerTaSoriso safinanso institutebisa1

da gareTianebuli erebis organizaciis mier gamogzavnil iqna erToblivi

misia daxmarebis saWiroebis Sesafaseblad. aRniSnuli misiis Sedegebze

dayrdnobiT, donorTa Sexvedraze 2008 wlis oqtomberSi miRebul iqna

erToblivi gadawyvetileba, 4.5 mlrd dolaris odenobiT qveynisTvis

daxmarebis gawevis Sesaxeb2. 2008 wlidan, biujetis xarjebis dafinansebis

mniSvnelovan wyaros saerTaSoriso safinanso institutebisa da donori

saxelmwifoebisgan miRebuli grantebi warmoadgenda.

saxelmwifos, saerTaSoriso sazogadoebis da kerZo seqtoris erToblivi

ZalisxmeviT krizisidan gamosvlis da ekonomikis gajansaRebis niSnebi 2010

wlidan gamoCnda. mTliani Sida produqti 6.4%-iT gaizarda da zrdaSi

ZiriTadi wvlili kapitalis formirebam Seitana, aseve maRali zrda

dafiqsirda eqsportze. met-naklebad dastabilurda uZravi qonebis bazari,

2008 – 2009 wlebSi uZravi qonebis fasebis 25%-35%-iT Semcirebis Semdeg,

2010 wels 10%-iT gaizarda (ix. diagrama I.8). sabanko seqtorma 2009 wlis

vardnis Semdeg zrda ganagrZo, pozitiuri tendenciebi dafiqsirda

depozitebis, sesxebis da sakredito portfelis xarisxis mimarTulebebiT.

1misiaSi monawileobdnen aziis ganviTarebis banki (ADB), evropis ganviTrebisa da

aRmSeneblobis banki (EBRD), evropis sainvesticio banki (EIB) da evro-komisia (EC).2 aRniSnuli Tanxa moicavs yvela donori organizaciis mier jamur daxmarebas, romelic

ramdenime wlis manZilze unda mieRo qveyanas grantebis saxiT.

39

diagrama I.8 uZravi qonebis fasebis indeqsi (ian. 2007 = 100)

wyaro: saqarTvelos erovnuli banki

krizisamdel periodSi saqarTvelos sabanko seqtoris swrafi zrda

valdebulebebis mxares, sazRvargareTidan nasesxebi saxsrebiT iyo

dafinansebuli. 2008 wlis agvistos mdomareobiT, sabanko seqtoris mTliani

valdebulebebis 30%-s ucxouri sabiTumo bazrebidan (wholesale markets)

moziduli saxsrebi Seadgenda, xolo 13%-s ararezidentebis depozitebi,

bankTaSorisi depozitebi da sxva valdebulebebi warmoadgenda. finansuri

krizisis dros, rodesac sakredito marJebi izrdeba da sabiTumo bazrebze

likvidobis deficiti warmoiqmneba, sabanko sistemisTvis valdebulebis

refinansirebis sirTuleebi erT-erT yvelaze mniSvnelovan risk faqtors

warmoadgens. saqarTvelos SemTxvevaSi, miuxedavad, imisa rom sabiTumo

bazrebidan moziduli resursi ZiriTadad grZelvadiani iyo xolo

msesxeblebis umetesobas saerTaSoriso safinanso institutebi da mSobeli

bankebi Seadgendnen, valdebulebebis refinansirebis sirTuleebi 2009 wels

sabanko sistemis erT-erT gamowvevad iqca (ix. diagrama I.9).

40

diagrama I.9 valdebulebebis struqtura (mln. lari, gacvliT kursis efeqtis gamoricxviT)

wyaro: saqarTvelos erovnuli banki, avtoris sakuTari gamoTvlebi

agvistos omisas, fizikuri pirebis mier bankebidan depozitebis gatana,

sabanko sistemisadmi ndobis Semcirebis faqtoriT iyo ganpirobebuli,

Tumca aRniSnuli procesi maleve dasrulda da amas ar hqonia masobrivad

panikuri xasiaTi, ramdenadac sabanko sistemis mier Seuferxebeli

momsaxureba mosaxleobis ganwyobaze pozitiurad moqmedebda. 2008 wlis

agvisto-seqtemberSi, fizikuri pirebis depozitebis klebam 15%-s

gadaaWarba, Tumca am periodSi gatanili depozitebis didi nawili wlis

bolos ukve daubrunda sabanko sistemas. 2009 welis pirvel naxevarSi

depozitebis Semcirebas ukve krizisis fonze ekonomikis mwvave recesia

ganapirobebda. kerZod, iuridiuli da fizikuri pirebis depozitebi

mimdinare saWiroebis xarjebis dasafinanseblad warimarTa. aRniSnuli

tendencia 2009 wlis bolos dasrulda da depozitebis moculobam kvlav

zrda ganagrZo.

valdebulebebis Semcireba sabanko sistemis leverejis Semcirebis

(deleveraging) saWiroebas ganapirobebs. 2008 wlis agvistos Semdeg, sabanko

sistemis valdebulebebis Semcireba sesxebis Semcirebis xarjze moxda (ix.

diagrama I.10), maT Soris bevri jansaRi msesxeblisTvisac sakredito

resursi miuwvdomeli darCa. bankebis mier gamkacrda sakredito

standartebi axal sesxebze, xolo arsebuli sesxebisTvis mkveTrad

SeizRuda restruqturizaciis pirobebi. valdebulebis mosazidad,

41

gaizarda depozitebis sargeblis ganakveTebi. aRniSnuli faqtorebi

uryofiTad moqmedebda ekonomikaze da recesiis gaRrmavebas uwyobda xels.

diagrama I.10 ekonomikaze gacemuli sesxebi (mlrd lari)1


finansuri Tu ekonomikuri krizisebis dros dakreditebis Warbad SezRudva,

bankebis procikluri qcevis ZiriTadi nawilia da msoflio masStabiT

mkveTrad gamoxatuli fenomenia iseve rogorc bolo krizis dros aseve

manamde arsebul SemTxvevebSic (mag., Leaven and Valencia 2008, Drehman et all 2010).

aRniSnuli faqtoris kompensacia ciklis sawinaaRmdego (countercyclical)

sazedamxedvelo politikiT unda moxdes. am mxriv, mniSvnelovani iyo

saqarTvelos erovnuli bankis mier sabanko sistemaSi savaldebulo

likvidobis da kapitalis adekvaturobis moTxovnebis Serbileba.

minimaluri likvidobis koeficienti krizisamdeli 30%-dan 20%-mde iqna

Semcirebuli, xolo riskebis mixedviT aqtivebis Sewonvisas, savaluto

riskis koeficienti 100%-dan 50%-mde Semcirda. aseve aRsaniSnavia, rom 2008

wlis bolos, saqarTvelos erovnuli bankis mier gamoyofil iqna 150 mln.

laris erT wliani sesxi, romelmac nawilobriv daakompensira bankebisTvis

valdebulebebis Semcireba. am yovelives fonze, 2009 wlis meore naxevridan

1sesxebi gaangariSebulia, gacvliTi kursis efeqtis gamoricxviT. dolariT gacemulisesxebis moculoba laris.

42

etapobrivad aRdga sesxebis gacema da restruqturizacia. met-naklebad

normalizda gamkacrebuli sakredito standartebi da Semcireba daiwyo

depozitebis sargeblis ganakveTebma.

globalurma finansurma krizisma mTeli msoflios masStabiT da maT

Soris saqarTveloSic, safinanso bazris monawileebsa da maregulireblebs

mniSvnelovani gamocdileba SesZina safinanso sistemis mdgradobis da

stabilurobis ukeTesad dacvisTvis. krizisis erT-erTi gakveTilia, rom

bankebma unda uzrunvelyon stabiluri da diversificirebuli dafinansebis

wyaroebi. amis kargi sazomia, sesxebis (romelic praqtikulad

aralikviduria) Sefardeba depozitebTan (romelic yvelaze stabiluri

dafinansebis saSualebad miiCneva), romelic saqarTveloSi krizis dros

mkveTrad gaizarda. 2009 wlis ianvarSi, sesxebis depozitebTan fardobam

180%-s gadaaWarba (იხ. diagrama I.11), rac saerTaSoriso praqtikis

gaTvaliswinebiT maRali maCvenebelia. unda aRiniSnos, rom aRniSnuli

maCveneblis zrda krizisamde gacilebiT adre daiwyo da bankebis mier

sabiTumo bazrebidan mozidul resursebze damokidebulebas asaxavda.

krizisis Semdgom wlebSi, sabanko sistemam warmatebiT moaxerxa

dafinansebis wyaroebis gajansaReba da depozitebis zrdasTan erTad,

sabiTumo bazrebis dafinanseba depozitebiT Caanacvla.

diagrama I.11 sesxebis depozitebTan Tanafardoba


43

krizis Semdeg wlebSi depozitebis zrda nawilobriv, ararezidentebis

depozitebis zrdiT dafinansda, romelic asave sayuradReboa. kerZod,

miuxedavad imisa, rom garkveuli doziT ararezidentebis depozitebi

valdebulebebis diversifikacias zrdis da amdenad aumjobesebs

valdebulebebis stabilurobas, maTi didi wili sabanko sistemaSi Tavidan

unda iqnes acilebuli ramdenadac krizis pirobebSi ararezidentebis

depozitebi mowyvladi wyaroa. ucxouri valutis depozitebi da miTumetes

ararezidentebis depozitebi krizisis pirobebSi SesaZloa damatebiTi

Sokis wyarod iqces. kerZod, sabanko sistemisadmi ndobis Sokis pirobebSi

ucxoeli investorebi, rogorc wesi zedmetad mgrZnobiareni arian, rac,

erTi mxriv, bankebis likvidobaze, xolo, meore mxriv, gacvliT kursze

zewolis mizezi SesaZloa gaxdes. krizisis Semdgom, saqarTvelos sabanko

sistemam warmatebiT gamoiyena ararezidentebisgan moziduli saxsrebi

valdebulebebis dasafinanseblad. Sesabamisad, mkveTrad gaizarda maTi

wili mTlian depozitebSi. 2012 wlidan ararezidentebis wili mTlian

depozitebSi stabiluria da 2013 wlis dekembris mdgomareobiT 15%

Seadgens (იხ. diagrama I.9). am mxriv aRsaniSnavia saqarTvelos erovnuli

bankis diskriminaciuli sazedamxedvelo midgoma, romelic ararezedentebis

depozitebis zrdas zRudavs1.

krizisis kidev erTi gakveTilia, rom Zalian mniSvnelovania sabanko

sistemas normalur periodSi hqondes kapitalis da likvidobis buferebi.

finansuri sirTuleebisas, is bankebi romlebic kargad kapitalizebulni

arian, mosalodnelia rom ufro didi albaTobiT gaagrZeleben operirebas

da grZelvadian periodSi ufro stabilur amonagebs moutanen aqcioner

investorebs. aseve, bankebis mimarT ndobis krizisis pirobebSi, swored

bankebis jansaRi likvidobis pozicia da buferebi aris maTi sirTuleebis

Semamsubuqebeli. bankebs TavisTavad uxdebaT riskis pirobebSi operireba,

ramdenadac finansuri Suamavloba gulisxmobs vadianobis transformacias,

Tumca stabiluri da diversificirebuli dafinansebis wyaroebi, maRali

1 Tuki komerciul banks mTlian depozitebSi 10% meti aqvs ararezidentebis wili, maSinigi valdebulia yoveli Semdegi moziduli ara-rezidentis depozitisTvis 100%-ianilikvidoba iqonios.

44

koncentraciis gareSe, bankebs riskebis ukeTesad kontrolis saSualebas

aZlevT (mag. BIS 82nd Annual Report, VI. Post-crisis Evolution of the Banking Sector).

2008 wlis krizisamde, sabanko sistema saqarTveloSi maRali kapitalis

pirobebSi operirebda, rac krizis dros daexmara mas danakargebis

STanTqmaSi. Sokis Semdgom aqtivebis xarisxis gauaresebam kapitalis

Semcireba ganapiroba, romelic riskis mixedviT Sewonili aqtivebis

Semcirebam daakompensira. Sedegad, sabanko seqtoris mier gancdili

danakargebis miuxedavad 2009 wels kapitalis adekvaturobis koeficienti

gaizarda (ix. diagrama I.12).

diagrama I.12 kapitalis adeqvaturobis koeficientis cvlilebis kontributori faqtorebi


unda aRiniSnos, rom riskis mixedviT Sewonili kapitalis adekvaturobis

koeficienti SesaZloa srulyofilad ar asaxavdes bankebis

gadaxdisunarianobas, ramdenadac riskis wonebi SesaZloa sazedamxedvelo

politikis miznebis mixedviT icvlebodes. aseve SesaZloa yoveli

konkretuli aqtivisTvis riskis wonebi gansxvavdebodes bankebis mixedviT,

gamomdinare maTi Sida Sefasebis sistemebisa. bankebis mdgradobis

SefasebisTvis alternatiuli indikatoria levereji, romelic gulisxmobs

aqtivebis jamuri moculobis (riskebis mixedviT Sewonvis gareSe)

Sefardebas saaqcio kapitalTan. levarejis maCvenebelis dinamika

45

SesabamisobaSia riskis mixedviT Sewonil maCvenebelTan, kerZod krizisis

Semdgom 2009 wels bankebis kapitalizaciis maCvenebeli gaumjobesda, rac

ara mxolod aqtivebis riskis wonebis cvlilebis Sedegia, aramed

kapitalTan SedarebiT ufro mkveTrad Semcirda aqtivebis moculoba.

Semdgom wlebSi, 2013 wlamde bankebis seqtoris leverejis maCvenebeli

gaizarda da dastabilurda krizisamdel niSnulze (ix. diagrama I.13). unda

aRiniSnos, rom levarejis bolo wlebSi zrdis miuxedavad, misi done

mniSvnelovnad CamorCeba ganviTarebuli qveynebis Sesabamis maCveneblebs.

diagrama I.13 levareji


riskis mixedviT Sewonili aqtivebis Semcireba, erTi mxriv, leverejis

Semcirebis (deleveraging) procesis, xolo meore, mxriv saqarTvelos

erovnuli bankis mier ciklis sawinaaRmdego (countercyclical) sazedamxedvelo

politikis mizniT riskis wonebis Semcirebis Sedegia. finansuri krizisis

Semdeg, bankebis mier leverejis Semcirebis procesi gardauvali da

bunebrivia, rasac saerTaSoriso praqtika adasturebs.

46

krizisis Semdeg dabali sakredito aqtivobas uaryofiTi gavlena aqvs

ekonomikis recesiidan gamosvlis procesze da mniSvnelovania, rom swori

sazedamxedvelo politikiT amis aRmofxvra moxdes. Tumca, krizisis

Semdgomi dabali sakredito aqtivobis ori mizezi unda ganvasxvaoT, erTi,

romelic sakredito resursis miwodebis SezRudviT aris ganpirobebuli -

es swored, rom aRrmavebs recesias da ciklis sawinaaRmdego

sazedamxedvelo politikiT unda moxdes ganeitraleba, xolo meorea,

recesiis fonze susti moTxovnis Sedegad Semcirebuli aqtivoba, romelic

recesiis Sedegia da ara ganmapirobebeli (mag. Takats, Upper 2013).

SejamebisTvis, unda aRiniSnos, rom saqarTvelos safinanso seqtori „tyupi“

krizisis fonze mniSvnelovani gamowvevis winaSe dadga, Tumca mdgradoba

gamoavlina da qveynis finansuri stabiluroba SeinarCuna. es met-wilad

ganpirobebul iyo saqarTvelos erovnuli bankis da mTavrobis mier

krizisis koordinirebulad da efeqtianad marTvis, monetaruli da

fiskaluri politikiT stimulirebis, krizisamde periodSi konservatiuli

sazedamxedvelo politikis da saerTaSoriso safinanso institutebis mier

uprecedento mxardaWeris Sedegad. safinanso seqtoris Semdgomi

gaumjobesebisa da grZelvadiani ganviTrebisTvis aucilebelia, rom

gaTvaliswinebul iqnes krizisisgan miRebuli yvela gakveTili da

msoflios saukeTeso praqtikis Sesabamisad warimarTos safinanso seqtoris

sazedamxedvelo CarCos srulyofa.

47

თავი II. makrofinansuri urTierTkavSirebis modelirebis

istoria da arsebuli midgomebi

1 makrofinansuri kavSirebis mimoxilva

finansuri seqtoris mniSvnelovnebis warmosaCenad makroekonomikisTvis

bolo wlebis globaluri finansuri krizisi da ganviTarebuli qveynebis

ekonomikuri tendenciebis analizi sruliad sakmarisia, Tumca

makrofinansuri kavSirebis istoria jer kidev didi depresiis periodidan

iRebs saTaves, romelic msoflio istoriaSi yvelaze mZime finansur

kriziss warmoadgens. didi depresiis periodi aSS-Si, 1929 wlis

oqtomberSi, safondo bazris kraxiT daiwyo, romelic Semdgom sabanko

krizisSi da 1933 wlis cnobili, sabanko ardadegebi (Banking Holiday) mohyva.

1929 - 1933 wlebSi, bankebis daaxloebiT 1/3 gakotrda, 1/3-iT Semcirda

fulis masa ekonomikaSi, nominaluri GDP 50%-iT, xolo realuri GDP 1/3-iT

Semcirda, umuSevrobam qveynis masStabiT 25%-s miaRwia. mas Semdeg

ekonomikis gajansaRebas 10 weli dasWirda, raTa krizisamdel dones

dabruneboda.

Friedman and Schwartz (1967) aRwers didi depresiis periods da aseve amtkicebs,

rom aSS-is im droindeli federaluri sarezervo sistemis (centraluri

banki) mcdarma politikam xeli Seuwyo finansuri Sokis ekonomikur

krizisSi gardaqmnas. kerZod, sabanko sistemisadmi mosaxleobis ndobis

dakargvis fonze, naRd fulze moTxovna gaizarda, xolo depozitebis

gadinebis sapasuxod bankebma moTxovna gazardes likvidur aqtivebze, rasac

bankebis mier sesxebis gamoTxova da fasiani qaRaldebis masiuri gayidva

mohyva. 1929 – 1933 wlebSi depozitebis naRd fulTan fardoba 11-dan 5-mde

Semcirda, rasac bankebis mier depozitebis rezervebTan Tanafardobis

Semcireba mohyva 13-dan 6-mde. Sedegad, fulis multiplikatori ekonomikaSi

6.5-dan 3.3-mde Semcirda. fulis multiplikatoris Semcirebis

dasakompensireblad federalurma sarezervo sistemam ar miawoda sakmarisi

fuli ekonomikas. ufro metic, centraluri bankis mier gamkacrda

moTxovnebi sagiravno aqtivebze, romelTa saSualebiTac komerciul bankebs

48

SeeZloT fuli esesxaT centraluri bankisgan. am yovelives Sedegad,

fulis masa mkveTrad Semcirda rasac deflacia da ekonomikuri krizisis

gamwvaveba mohyva1.

finansuri krizisis gadazrda did depresiaSi naTlad warmoaCens finansuri

friqciebis gavlenas realur ekonomikaze, rac Semdgom makrofinansuri

modelirebis sagani gaxda. am kuTxiT ori mniSvnelovani aspeqti unda iqnas

gaanalizebuli. pirveli, rom bankebis leverejis da sabalanso uwyisis

bunebrivi struqturis gaTvaliswinebiT, safinanso sistemis problemebi

aisaxeba ekonomikur agentebze, da meore, ufro globaluri sakiTxi,

rogoricaa arasafinanso kompaniebis (da zogadad ekonomikuri agentebis)

qceva finansuri Suamavlobis problemebidan gamomdinare, romelsac

SesaZloa mniSvnelovani makroekonomikuri Sedegebi hqondes.

pirveli Temis Sesaxeb, kargad aris axsnili milton fridmanis da ana

Svarcis imave kvlevaSi (Friedman and Scwartz (1967)), sadac maTi cnobili

hipoTeza iqna Camoyalibebuli, federaluri sarezervo sistemis

braleulobaze didi depresiis SesaZlo Tavidan acilebaSi. sabanko sistema,

romelic Tavidan likvidobis problemas ganicdida, maleve gadaxdis

uunarobaSi gadaizarda (kapitali dakarges). amis Teoriulad

sailustraciod ganvixiloT bankis tradiciuli sabalanso uwyisi

gamartivebuli saxiT. kerZod, valdebulebebis mxare moicema depozitebis

da bankis sakuTari kapitalis saxiT, xolo aqtivebis mxares gvaqvs fasiani

qaRaldebi (likviduri aqtivebi) da ekonomikaze gacemuli sesxebi

(aralikviduri aqtivebi) (იხ. cxrili II-1). depozitebis gadinebis sapasuxod,

banki pirvel rigSi likviduri aqtivebis, anu fasiani qaRaldebis, gayidvas

iwyebs2 , rac am ukanasknelze fasebis vardnas ganapirobebs da aqtivebis

gadafasebiT warmoqmnili danakargebi bankebis kapitalze uaryofiTad

1 es warmoadgens Friedman –Schwarz hipoTezis mixedviT ekonomikuri krizisis gaRrmavebis

erT-erT arguments. Tumca, Eichengreen (1992) kvlevaSi amtkicebs, rom federaluri sarezervosistemis mier ekonomikis arasaTanadod stimulirebis mizezs saerTaSoriso oqros

standarti warmoadgenda.2 aq ganvixilavT SemTxvevas, rodesac centraluri banki ar awvdis sakmaris likvidur

saxsrebs sabanko sistemas.

49

moqmedebs1 . aqtivebis gadafasebiT miRebuli danakargebi gansakuTrebiT

didia, rodesac grZelvadiani fasiani qaRaldebis masiuri gayidva xdeba.

sakuTari kapitalis sakmarisad Semcirebis Semdeg, banki iZulebuli xdeba

sesxebis Semcireba (gamoTxova da axali sesxebis aRar gacema) daiwyos, rac

ekonomikaSi fulis masas amcirebs, xolo Sedegad aqtivebis fasebi kidev

ufro metad mcirdeba da kapitalze ormagad uaryofiTi efeqti miiReba.

didi depresiis periodis analizi, naTlad warmoaCens rogor advilad

SeiZleba sabanko seqtoris likvidobis problema gadaxdis uunarobaSi

gadaizardos, centraluri bankis arasaTanado pasuxis pirobebSi.

cxrili II-1 bankis gamartivebuli sabalanso uwyisi

bankis sabalanso uwyisi

fasiani qaRaldebi (likviduri aqtivebi) depozitebi

sesxebi (aralikviduri aqtivebi) sakuT. kapitali

safinanso Suamavlobis problemebi, dakreditebis Semcirebis gziT

arasafinanso seqtorzec gavrcelda. sakredito SezRudvebis pirobebSi,

rodesac kompanias ar aqvs dafinansebis moZiebis alternatiuli saSualeba

garda bankisgan sesxis miRebisa, iZulebulia investiciebi Seamciros.

investiciebi mcirdeba firmebis mier rogorc sabrunavi saSualebSi, aseve

kapitalur aqtivebSi (იხ. cxrili II-2), rac fasebis Semcirebas ganapirobebs.

didi depresiis periodSi aRniSnuli procesis Sedegad, fasebi mkveTrad

Semcirda ara mxolod kapitalur aqtivebze, aramed sasaqonlo jgufebzec.

wminda Rirebulebis Semcirebis dasabalanseblad, rodesac likviduri

aqtivebis Semcireba arasakmarisi xdeba, firmebi iZulebulni arian

kapitaluri aqtivebis likvidacia daiwyon, rac am ukanasknelze fasebis

Semcirebas aZlierebs. fasebis Semcirebis gaTvaliswinebiT vali, romelic

nominalur gamosaxulebaSi Semcirda, realur erTeulebSi izrdeba. am

yovelives fonze, firmebis wminda Rirebuleba ori mizezis

1 msgavsi situacia iyo globaluri finansuri krizisi dros 2007 – 2008 wlebSi, rodesac

bankebis mier ipoTekuri sesxebiT garantirebuli fasiani qaRaldebis (MBS) myisieradgayidvis mcdelobisas fasebi mkveTrad Semcirda, xolo aman sabalanso uwyiszemniSvnelovani gadafasebis zarali warmoSva.

50

gaTvaliswinebiT mcirdeba: erTi, rom bankebis msgavsad aqtivebze fasebis

gadafaseba, wminda Rirebulebaze uaryofiT gavlenas axdens, xolo meore,

zogadi fasebis donis Semcireba ukve arsebuli valis realur

Rirebulebas zrdis1.

cxrili II-2 arasafinanso kompaniis gamartivebuli sabalanso uwyisi

ara-safinanso kompaniebis sabalanso uwyisi

samuSao kapitali (likviduri aqtivebi) vali realur gamoxatulebaSi

fiqsirebuli aqtivebi (aralikviduri

aqtivebi)

wminda Rirebuleba

am mxriv, didi depresiis periodi waagavda 2007 – 2008 wlebis globalur

finansur kriziss. safinanso Suamavlobis problemebi sabalanso uwyisis

arxebiT realuri ekonomikuri aqtivobis Semaferxebel faqtorad iqca.

Tumca, erTi mniSvnelovani gansxvaveba iyo, rom federaluri sarezervo

sistema warsulis gamocdilebiT amjerad aqtiuri sakredito politikiT

cdilobda safinanso Suamavlobis problemebis adekvatur pasuxs. kerZod,

manamde damkvidrebuli tradiciis sawinaaRmdegod, federaluri sarezervo

sistema kerZo seqtoris kreditori gaxda, rasac arasafinanso kompaniebis

uSualo dakreditebiTa da bankebis balansze arsebuli aralikviduri

aqtivebis giravnobis bazaze sesxebis gacemiT aRwevda. aseve, centralur

bankTan koordinaciiT kapitalis ineqcia moaxdina mTavrobam (bail-out). am

yovelivem xeli Seuwyo2 finansuri seqtoris stabilurobas da

ekonomikuri aqtivobis aRdgenas.

finansuri krizisebis da maTi ekonomikaze gavlenis analizi3 daedo

safuZvlad makrofinansuri kavSirebis Semdgom kvlevas da maT

modelirebas. didi depresiis droidan globalur krizisamde, finansuri

1aRniSnuli warmoadgens e.w. „fiSeris deflaciis efeqts“, romelsac qvemoT ufro

detalurad SevexebiT.2Tumca, arsebobs gansxvavebuli mosazrebebic aRniSnuli sakiTxTan dakavSirebiT, romcentraluri bankis da mTavrobis pasuxi ar iyo produqtiuli krizisidan daZlevis

kuTxiT.3istoriulad (bolo aswleulebis manZilze) finansuri krizisebis detaluri aRwerisTvis

ix. Reinhart and Rogoff (2009).

51

seqtoris ekonomikaze zemoqmedebis axsnis Teoriul safuZvels aRwers

Kiotaki and Moore (1997) kvleva, sadac Seswavlilia finansuri friqciebis

gavlena ekonomikur aqtivobaze. kerZod, kvlevis mixedviT finansuri

friqciebi xels uwyobs ekonomikaSi Sokebis efeqtis gaZlierebas,

inertulobas (persistentulobas, persistence) da maT gadacemas ekonomikis

sxvadasxva seqtorebze. Sedegad, vRebulobT, rom moklevadiani Sokebi

xSirad mSp-sa da aqtivebis fasebis xangrZlivi da didi fluqtuaciis wyaro

xdeba.

Kiotaki and Moore (1997) kvleva yuradRebas amaxvilebs im garemoebaze, rom

miwa, Senobebi da manqana danadgarebi ara mxolod warmoebis faqtorebia

ekonomikaSi, aramed sagiravno aqtivebis rolsac asrulebs, ris bazazec

firmas sesxis miReba SeuZlia bankisgan. informaciis asimetriuloba1

banksa da klients Soris sakredito SezRudvas ganapirobebs. kerZod, sesxis

maqsimaluri moculoba SemosazRvrulia sagiravno aqtivis RirebulebiT.

Tumca, meore mxriv, sagiravno aqtivebis fasebic damokidebulia ekonomikaSi

dakreditebis moculobaze, ramdenadac investiciebi am aqtivebis rogorc

warmoebis faqtorebis momgebianobas gansazRvravs da maT momaval

Rirebulebaze axdens gavlenas. sagiravno aqtivebis fasebisa da

dakreditebis moculobis swored es damokidebuleba warmoadgens

ekonomikaSi Sokebis efeqtis gaZlierebis, gaxangrZlivebis da sxva

seqtorebze gadacemis wyaros.

ufro konkretulad, aRniSnuli meqanizmi Semdegnairad muSaobs. ekonomikaSi

gvyavs firmebi, romlebic sakredito SezRudvas ganicdian, anu sesxuloben

sagiravno aqtivis Rirebulebis limitis aTvisebiT da Sesabamisad aqvT

maRali levereji, xolo aseve gvyavs formebi, romlebsac ar aqvT sesxebi

(sagiravno aqtivis Rirebulebis limiti ar aqvT aTvisebuli) da Sesabamisad

ar ganicdian sakredito SezRudvas. rodesac ekonomikaSi warmoiqmneba

droebiTi Soki, romelic firmebis wminda Rirebulebas amcirebs (an rac

igivea, maT sakuTrebaSi arsebuli aqtivebis Rirebulebas amcirebs, romlis

1informaciis asimetriuloba gulisxmobs, rom banks ar aqvs sruli informacia klientis

Sesaxeb. Sesabamad, sawinaaRmdegos SerCeva (adverse selection) da moralis riskisgan (Moralhazard) Tavis dasacavad banki sagiravno aqtivs iyenebs.

52

safuZvelzec sesxis aReba SeuZlia firmas), firmebi, romlebic sakredito

SezRudvas ganicdian banki umcirebT dakreditebas. firmebi iZulebulni

arian Seamciron sainvesticio xarjebi, maT Soris investiciebi kapitalur

aqtivebSi (romelic amave dros sesxis misaRebad sagiravno aqtivs

warmoadgens). Semcirebuli investiciebi konkretul periodSi, ganapirobebs

dabal Semosavlebs Semdgom periodebSi da aseve firmis Rirebulebis

Semcirebas, rac Semdgom periodebSi sakredito SezRudvebis

gaTvaliswinebiT kvlav gaurTulebT sesxis mozidvas. Sesabamisad,

vRebulobT situacias, rodesac ekonomikaSi arsebuli droebiTi Soki

firmebis ekonomikur aqtivobaze Semdgom periodebSic aisaxeba. sakredito

SezRudvebis gavleniT adgili aqvs Sokis efeqtis inertulobas

(persistentuloba, persistence) ekonomikaSi, rac empiriulad cxadad

dakvirvebadi faqtia. istoriulad krizisebis analizi cxadyofs, rom

Sokis Semdeg ekonomikuri aqtivobis aRdgenas garkveuli dro sWirdeba.

investiciebis Semcireba garda ekonomikuri aqtivobis Semcirebisa, aseve

sawarmoo faqtorebze moTxovnis Semcirebas ganapirobebs, rogorc imave

periodSi ise momaval periodebSic. moTxovnis Semcireba aisaxeba maT

fasebze, rac niSnavs, rom firmebi, romlebiv ar ganicdian sakredito

SezRudvas moTxovna unda gazardon sakmarisad, rom Caanacvlon sakredito

SezRudvebis mqone firmebisgan Semcirebuli moTxovna. Tavis mxriv,

warmoebis faqtorebze moTxovna damokidebulia e.w. „samomxmareblo

xarjze“ (user cost), romelic aqtivis flobis alternatiul Rirebulebas

warmoadgens. Sesabamisad, „samomxmareblo xarji“ sakmarisad unda

Semcirdes saimisod, rom firmebma SeZlon kapitaluri aqtivebis bazarze

arsebuli maragis aTviseba (magaliTad miwis SemTxvevaSi miwodeba

fiqsirebulia). imis gaTvaliswinebiT, rom „samomxmareblo xarji“ mcirdeba

ara mxolod t periodSi, aramed t+1, t+2,… periodebSi es niSnavs, rom aqtivis

mimdinare Rirebuleba mniSvnelovnad unda Semcirdes1. Tavis mxriv,

sakredito SezRudvis mqone firmebis sabalanso uwyisi mniSvnelovnad aris

1 e.w. „samomxmareblo xarji“ ( user cost) t periodisTvis ganisazRvreba, rogorc aqtivis

mimdinare fassa da Semdegi periodis (t+1) fasis dRevandeli Rirebulebis sxvaoba.

Sesabamisad, rodesac aqtivis t+1 periodis fasi mcirdeba, mimdinare fass ufro mkveTrad

uwevs Semcireba, raTa t-periodis „samomxmareblo xarji“ Semcirdes.

53

damokidebuli aqtivebis fasebze. kerZod, maRali leverejis pirobebSi,

aqtivebis fasebis Semcireba firmis wminda Rirebulebis mkveTr Semcirebas

ganapirobebs. sabalanso uwyisis gauaresebis Sedegad, sakredito

SezRudvebi mkacrdeba, rac firmis mier investiciebis kidev ufro

Semcirebas ganapirobebs. firmis wminda Rirebulebis da warmoebis

faqtorTa (aqtivebis) fasebis urTierTqmedebis zemoaRniSnuli cikli

Tavdapirveli Sokis gaZlierebas (propagation) ganapirobebs.

finansuri friqciebis gavleniT Sokebis inertulobis (persistence) da

gaZlierebis (propagation) efeqtebi, damokidebulia im firmebis leverejze

romelTac Soki exebaT. globaluri finansuri krizisis dasawyisSi, 2007 –

2008 wlebSi „sabpraim“ aqtivebis fasebis Semcireba maRali leverejis mqone

sainvesticio kompaniebs SeexoT, Sedegad uzarmazari gavlena hqonda maT

ekonomikur aqtivobaze, rasac ekonomikaze gaxangrZlivebuli da

gaZlierebuli uaryofiTi Sedegi mohyva. aseve, maRali leverejis

kompaniebs SeexoT Soki ruseTis krizis dros 1998 wels, rasac ekonomikaze

mniSvnelovani uaryofiT efeqti hqonda. amis sapirispirod, 2000-2001 wlebSi,

teqnologiuri firmebis aqciebis krizisis dros, Soki SeexoT SedarebiT

naklebi leverejis mqone kompaniebs (sapensio fondebi, Sinameurneobebi),

Sedegad miuxedavad aqciebis fasebis mniSvnelovani vardnisa amas ar

mohyolia ekonomikaze Sokis uaryofiTi efeqtis gaZliereba da xangrZlivad

SenarCuneba (mag. Kiotaki 1997).

makroekonomikaze sakredito SezRudvebis gavlenis kvlevas ufro

formaluri saxe mieca Bernanke, Gertlet, Gilchrist (1999) naSromSi, sadac

kapitaluri aqtivebisa da firmis wminda Rirebulebis urTierTgavlenis

cikli warmodgenilia e.w. „finansuri aqseleraciis efeqtiT“ (Financial

Accelerator). aRniSnuli efeqtis gaTvaliswinebam tradiciul makroekonomikur

modelebSi, SesaZlebeli gaxada im periodSi ekonomistebisTvis jer kidev

gamocanad darCenili sakiTxis axsna, Tu ratom SeiZleba erTi SexedviT

mcire Sokebi didi ekonomikuri meryeobis safuZveli gaxdes.

finansuri friqciebis makroekonomikuri gavlenis kidev erT mniSvnelovan

arxs warmodgens e.w. „fiSeris deflaciis efeqti“, romelic jer Christiano

54

Motto Rostagno (2003) kvlevaSi, xolo Semodgom imave naSromis ufro

modificirebul versiaSi Christiano Motto Rostagno (2010) iqna warmodgenili. es

ukanaskneli kvleva, makroekonomikur modelSi „finansuri aqseleraciis

efeqtTan“ erTad (romelic Bernanke, Gertlet, Gilchrist (1999) aris nasesxebi),

„fiSeris deflaciis“ efeqts iTvaliswinebs da ekonomikuri fluqtuaciebis

empiriuli axsnis ufro mdidar SesaZleblobas iZleva.

„fiSeris deflaciis efeqti“ (romelic irving fiSerma Tavis cnobil

kvlevaSi Fisher(1933) Camoayaliba) gulisxmobs, rom fasebis moulodneli

cvlilebis Sedegad icvleba firmis vali realur gamosaxulebaSi.

aRniSnuli efeqti aZlierebs ekonomikur cikls da ekonomikur meryeobas

uwyobs xels, radgan ekonomikuri recesiis dros fasebis done mcirdeba,

rac valis realuri tvirTis zrdas ganapirobebs. Sedegad mcirdeba

investiciebi, xolo es ukanaskneli recesiis gaRrmavebas ganapirobebs. amas

sapirispiro gavlena aqvs ekonomikuri ciklis bumis fazaSi, rodesac

fasebis zrda valis realur tvirTs amcirebs da investiciebis waxalisebis

gziT ekonomikuri aqtivobis zrdas ganapirobebs. aRniSnuli efeqti

gansakuTrebiT maRalia levarejis mqone firmisTvis, romelTaTvisac

„fiSeris deflaciis efeqti“ gaZlierebuli saxiT aisaxeba maT wminda

Rirebulebaze.

Sokebis makroekonomikuri gavlenis gaRrmavebisTvis „finansuri

aqseleraciis efeqtis“ damatebiT wyaros warmoadgens „fiSeris deflaciis

efeqti“. unda aRiniSnos, rom es ori arxi erTmaneTs ekonomikuri Sokis

mixedviT, an aZlierebs, an abaTilebs. Tuki Sokis gavleniT ekonomikuri

aqtivoba da fasebi erTi da imave mimarTulebiT icvleba, maSin finansuri

aqseleracia da fiSeris deflaciis efeqti urTierT gamaZlierebeli iqneba

(finansuri krizisebis gamomwvevi Sokebi umetesad am tips ganekuTvneba),

xolo rodesac Sokis gavleniT fasebi da ekonomikuri aqtivoba

sawinaaRmdego mimarTulebiT icvleba es ori efeqti erTmaneTs abaTilebs

(am tipis Sokebs ganekuTvneba miwodebis Sokebi mag. navTobis fasis

cvlileba).

55

2 makrofinansuri kavSirebis Tanamedrove midgomebi

bolo aTwleulebis manZilze samecniero literatura makroekonomikuri da

finansuri urTierTkavSirebis modelirebis kuTxiT stabilurad

viTardeboda. jer kidev 2000-ian wlebamde arsebuli kvlevebi, naTlad

warmoaCenda finansur bazarze arsebuli sakredito SezRudvebis gavlenas

erTobliv gamoSvebaze da makrofinansuri kavSirebis rols finansuri

krizisis ganviTarebisas. mas Semdeg warmoebuli kvlevebis raodenoba kidev

ufro metad gaizarda da koncentrirda politikis gamtarebelTa

saWiroebebze. miuxedavad amisa, es kvlevebi srulad ver iTvaliswinebs

yvela im empiriul dakvirvebasa Tu Taviseburebebs rac globaluri

finansuri krizisis Sedegad gamovlinda, Tumca isini mniSvnelovan

safuZvels qmnian Semdgomi kvlevebis warmoebisTvis da konkretul

saWiroebebze morgebuli modelis ganviTarebisTvis. mocemul TavSi

warmodgenilia marko-finansuri modelirebis arsebuli midgomebi da maTi

ZiriTadi principebi.

tradiciuli dinamikuri zogadi wonasworobis modelebi (DSGE), romlebic

monetaruli politikis analizisa da makroekonomikuri prognozirebisTvis

gamoyeneba, iqneba es standartuli realuri biznesciklis modelebi (Real

Business Cycle), Tu ufro Tanamedrove axali keinzianuri (New Keynesian)

modelebi, ama Tu im formiT iziarebs e.w. “Modigliani – Miller”-is Tvisebas (mag.

Smets, Wouters (2002), Chistiano, Eichebaum, Evans (2005)). zemoTaRniSnul

modelebSi es Tviseba gulisxmobs, rom ekonomikuri agentebi moqmedeben e.w.

sruli safinanso bazris pirobebSi (Complete Financial Markets) da sruli

SesaZlebloba aqvT SeuzRudavad ganaxorcielon nebismieri finansuri

kontraqti. aRniSnuli daSveba ugulebelyofs realurad finansur bazrebze

arsebul friqciebs (Financial Frictions), iseTebs rogoricaa asimetriuli

informacia, e.w. „Agency costs“ da sxva, romlebic gansakuTrebul

mniSvnelobas sZens finansuri instrumentebis gamoyenebas. zemoaRniSnul

standartuli modelebisTvis e.w. „Modigliani -Miller“-is Tvisebas ramdenime

mniSvnelovani Sedegi gaaCnia. esenia:

56

a) firmebis mesakuTreTa struqturas mniSvneloba ar aqvs. kerZod,

modelebSi rodesac Sinameurneobebi floben firmebs, xolo firmebi

floben kapitals, Sedegebis TvalsazrisiT imis ekvivalenturia, rom

Sinameurneobebi floben kapitals romelsac firmebze aqiraveben.

b) firmebis kapitalis struqturas mniSvenloba ar aqvs. es Tviseba

warmoadgens „Modigliani -Miller“-is ZiriTad saxes, romelic gulisxmobs,

rom finansuri friqciebis ararsebobis pirobebSi ori

firmas,romlebic mxolod leveraJiT gansxvavdeba, erTi da igive

Rirebuleba gaaCnia. kerZod, firmis Rirebulebaze gavlena ar aqvs

firma aqciebis gamoSvebiT moizidavs kapitals, Tu nawilobrivi

aqciebiT da nawilobriv valis aRebiT.

გ) finansur institutebs ar aqvT roli mocemul ekonomikaSi. aRniSnuli

Sedegi gamomdinareobs im garemoebidan, rom ramdenadac standartul

monetarul modelebSi ar gvaqvs informaciis asimetriuloba da sxva

friqciebi, finansuri Suamavlobis saWiroeba ar arsebobs. aseve, ar

arsebobs saWiroeba finansuri Suamavlobis erT-erTi ZiriTadi funqciis

vadianobis transformaciis an/da finansuri Suamavlobis saSualebiT

investorisTvis (depozitarisTvis) riskebis diversifikaciis servisis

gawevisTvis.

დ) firmebisa da SinameurneobebisTvis gvaqvs aqtivebis sruli bazari

(Complete Asset Markets). aqtivebis sruli bazari gulisxmobs, rom

ekonomikur agentebs saSuleba aqvT danaxarjis gareSe ganaxorcielon

SemTxveviT xdomilebaze damokidebuli kontraqtiT vaWroba. Tavis mxriv

SemTxveviT xdomilebaze damokidebuli kontraqti moiazrebs iseT aqtivs,

romelis momavali Rirebuleba damokidebulia SemTxveviTi xdomilebis

momaval mniSvnelobaze.

Sesabamisad, zemoaRniSnuli Sedegebi ganapirobebs, rom standartul

monetarul modelebSi simdidris gadanawilebas mniSvneloba ar aqvs.

ramdenadac, aqtivebis bazari srulia, xolo bazarze ar aris friqciebi,

resursebis alokacia efeqtianad warmoebs, Sedegad simdidris

gadanawilebas gavlena ar aqvs ekonomikis wonasworul mdgomareobaze.

57

Tumca, aRniSnuli Sedegi realobas xSirad ver asaxavs adekvaturad,

radgan gansakuTrebiT finansur bazrebze arsebuli SezRudvebi xSir

SemTxvevaSi xels uSlis resursebis efeqtian ganawilebas da

Sesabamisad simdidris ganawilebac gavlenas axdens zogad ekonomikur

mdgomareobaze.

aseve, standartuli monetaruli modelebis sisustes warmoadgens, rom

isini adekvaturad ver xsnian empiriul faqtebs, gansakuTrebiT

finansuri krizisis periodSi, rodesac sabanko krizisi

makroekonomikaze mniSvnelovan gavlenas axdens. ramdenadac,

standartul modelebSi, rogorc zemoT aRvniSneT, finansuri

Suamavlobis roli ar ikveTeba, Sesabamisad sabanko krizisis Sedegebis

axsna am tipis modelebiT did sirTules warmoadgens.

aqtivebis faswarmoqmna, „sapnis buSti“ da „axireba“, romlebic finansuri

seqtoris analizisTvis mniSvnelovan elementebs warmoadgens

tradiciuli monetaruli modelebis miRma rCeba. es yovelive ki

ganapirobebs, rom msgavsi tipis modelebi makroprudenciul da finansur

seqtorTan dakavSirebulpolitikis analizis saSualebas ar iZleva.

e.w. „Modigliani-Miller“-is Tvisebis mqone modelebis ZiriTad sisustes

warmoadgens, rom realuri ekonomikuri garemosgan gansxvavebiT maTSi ver

gaiTvaliswineba is fundamenturi garemoeba, romelic gulisxmobs, rom

damzogvelebi da investorebi sxvadasxva ekonomikuri agentebi arian.

Sesabamisad saWiroa bazari, sadac isini erTmaneTs Sexvdebian da ivaWreben.

damzogvelis rolSi igulisxmeba ekonomikuri agentebi, romelTac

danazogis naklebriskianad dabandeba surT, xolo investoris rolSi-

ekonomikuri agentebi, romlebic inovaciuri ideis gansaxorcieleblad mzad

arian isesxon damzogvelebisgan.

dinamikuri, stoqasturi zogadi wonasworobis standartul modelebSi

erTi da imave ekonomikuri agentebi (Sinameurneobebi) gvevlinebian, rogorc

damzogvelis ise investoris rolSi, rac gamoricxavs am oris interesTa

konfliqts da trivialurs xdis finansur bazars. Sesabamisad, aRniSnul

modelebSi gvaqvs bazari, sadac Teoriulad daSvebulia gasesxeba da

58

sesxeba, Tumca es procesi ar mimdinareobs wonasworobis pirobebSi

(equilibrium). kerZod, Sinameurneoba, romelic damzogvels da investors

erTdroulad warmoadgens, moqmedebs Semdegi sqemiT: igi moxmarebis

SezRudvis xarjze gamoaTavisuflebs resurs, romelsac Tavadve iyenebs

kapitalis warmoebisTvis, xolo am kapitals Semdgom yidis bazarze.

resursi, romelic man moxmarebis SezRudviT gamoaTavisufla, raTa

sargeblis saxiT momavalSi ufro maRal moxmarebas Sewvdes, warmoadgens

danazogs, xolo is procesi, romelic man awarmoa kapitalis Sesaqmnelad

warmoadgens investicias. damzogvelisa da investoris erT ekonomikur

agentSi warmodgeniT standartuli modelebi mniSvnelovan sirTuleebs

uvlis gverds, rac realur ekonomikaSi gvxvdeba.

Tanamedrove finansur samyaroSi, damzogveli da investori gansxvavebuli

ekonomikuri agentebi arian. damzogveli, romelic Tanxas gamoyofs,

sesxulobs investors, romelic damzogvelisgan damoukideblad eweva ama

Tu im saqmianobas, xolo garkveuli drois Semdgom sargeblis ganakveTiT

abrunebs sesxs. aRniSnul praqtikas saerTaSoriso donzec ki didi xnis

istoria aqvs. jer kidev, XІX saukuneSi aRniSnuli praqtika aqtiurad

gamoiyeneboda, rodesac britaneTis mcxovreblebi sargeblis miRebis

mizniT danazogs naviT agzavnidnen aTasobiT milis daSorebiT myof

argentinaSi, sadac potenciuri investori am Tanxas sarfianad abandebda da

Semdgom ukan abrunebda.

mizezebi, ratomac damzogveli da investori zemoaRniSnuli

ganmartebebiTerTmaneTisgan gansxvavdeba realur cxovrebaSi, Semdegia: a)

maT aqvT gansxvavebuli diskontirebis ganakveTi. amis mizezi magaliTad

SeiZleba iyos, rom adamianebi sasicocxlo ciklis gansxvavebul etapze

imyofebian. adamiani, romelic uaxlovdeba sapensio asaks, dazogvis maRali

motivacia gaaCnia. Sesabamisad, maRalia misi diskontirebis ganakveTi, xolo

adamiani, romelic Sromis unarianobis asakis adreul etapzea misi

diskontirebis ganakveTi ufro dabalia. b) gansxvavebuli midrekileba

riskebisadmi. adamianebi gansxvavebulad aRiqvamen riskebs, Sesabamisad,

arian adamianebi, romlebic ufro midrekilni arian riskisadmi da isini

mzad arian riskiani saqmianoba awarmoon, xolo arian adamianebi, romlebic

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nakleb midrekilni arian riskebisadmi, Sesabamisad isini danazogebis

nakleb riskianad dabandebas aniWeben upiratesobas. g) gansxvavdeba

adamianebis midrekileba moxmarebis droSi Canacvlebisadmi (Intertemporal

substitution). adamianebis heterogenuloba dRevandeli moxmarebis momavali

moxmarebiT Canacvlebisadmi iwvevs maT gansxvavebul damokidebulebas

realuri sargeblis ganakveTis cvlilebisadmi. d) gansxvavdeba adamianebis

wvdoma teqnologiebisadmi da maTi unarebi. sxva sityvebiT rom vTqvaT,

zogierTi ufro dajildoebulia biznesis warmoebis unar-CvevebiT da mzad

arian investoris rolSi iyvnen, xolo zogierTni upiratesobas daqiravebiT

muSaobas aniWeben da danazogebis nakleb riskianad dabandebas

axorcieleben. es ukanasknelni damzogvelis rols iTavseben. aseve,

mniSvnelovani faqtorebia, rom aRiniSnos e) swor dros da swor adgilas

yofna mniSvnelovania biznes ideis warmatebiT gansaxorcieleblad, rac

damzogvelisa da investoris gansxvavebas ganapirobebs, da v) gansxvavebuli

molodinebi, rac adamianebs gansxvavebuli mimarTulebebiT ubiZgebT.

zemoaRniSnuli mizezebi safuZvlianad xsnis im garemoebas, rom realobaSi

damzogveli da investori gansxvavebuli ekonomikuri agentebi arian. ufro

metic, maT saqmianobaSi bunebrivad arsebobs interesTa konfliqti, radgan

resursebi, romlebic dazogvis saSualebiT iqna gamoTavisuflebuli da

investoris mier dabandebuli, sabolood qmnis amonagebs, romelic

damzogvelsa da investors Soris unda gadanawildes. Tuki erTis wili

gaizrdeba es meores xarjze moxdeba da piriqiT (e.w. „zero sum game“) 1 .

damzogvelsa da investoris Soris interesTa konfliqti aris ZiriTadi

garemoeba, romelic finansuri friqciebis modelSi gaiTvaliswineba

standartuli monetaruli modelebisgan gansxvavebiT.

aRniSnuli interesTa konfliqti gansakuTrebulad mniSvnelovani xdeba,

rodesac bazarze arsebobs informaciis asimetriuloba. kerZod, mxolod

investorma icis damzogvelisgan miRebuli kreditis realuri miznobriobis

Sesaxeb. informaciis asimetriuloba e.w. „sawinaaRmdego SerCevis“ (adverse

1aq ar igulisxmeba, is garemoeba, rom grZelvadianad investoris warmatebuli saqmianobadamzogvelisTvis ufro maRal Semosavals niSnavs da piriqiT.

60

selection) problemas aCens da e.w. „moralurobis risks“ warmoSobs (moral

hazard). kerZod, msesxebeli acnobierebs ra investoris realur

miznobriobas, srulad ver akvirdeba da bazarze arsebul investorTa

saSualo riskis mixedviT kompensaciisTvis marJas iTxovs. marJis

diferencirebis SeuZlebloba ganapirobebs, rom keTilsindisier investors

es xarji tvirTad awveba, xolo arakeTilsindisierisTvis piriqiT

wamaxalisebelia (ix. Akerlof 1970). Sesabamisad, bazridan ganidevnebian

keTilsindisieri investorebi, xolo arakeTilsindisierebis raodenoba

izrdeba (e.w. „sawinaaRmdegos SerCeva“). „moralurobis riski“ warmoiSveba

maSin, rodesac arakeTilsindisieri investori sesxs miiRebs da mas

aramiznobrivad gankargavs. es ukanaskneli gansakuTrebiT mniSvnelovani

xdeba Tu gaviTvaliswinebT, rom investoris pasuxismgebloba

SemosazRvrulia mxolod misi sakuTari kapitaliT, romelic zaralis

SemTxvevaSi sesxis mxolod nawils faravs (partial pledgability). aseve,

finansuri friqciebis kuTxiT kidev erTi mniSvnelovani faqtoria “fiSeris

valis deflaciis” efeqti. kerZod, ekonomikaSi savalo kontraqtebis

umetesoba nominalur erTeulebSia, rac standartul monetarul

modelebSi ar gaiTvaliswineba, Tumca nominalur da realur davalianebas

Soris sxvaoba ekonomikuri agentebisTvis gansakuTrebul mniSvnelobas

iZens ekonomikuri Sokebis dros, rodesac fasebis meryeoba izrdeba.

ekonomikaSi realurad arsebuli yvela es finansuri friqcia

mniSvnelovnad zRudavs bazris efeqtianobas da simdidris gadanawilebas

mniSvnelovans xdis ekonomikis agregirebuli maCveneblebisTvis. e.w.

„modigliani-miller“ tipis ekonomikisgan umTavresi gansxvavebaa, rom finansur

friqciebian modelebSi SezRudulia finansuri resursis gadanawileba,

araefeqtianidan ufro efeqtian ekonomikur agentebze. Sesabamisad

mniSvnelovani xdeba rogor iqneba gadanawilebuli finansuri resursebi.

aseve mniSvnelovania, rom ekonomikuri Sokebi finansur friqciebian

modelebSi xSirad iwveven simdidris ganawilebis gauaresebas im azriT,

rom finansuri resursebi naklebad iyris Tavs misi efeqtianad gankargvis

unaris mqone ekonomikuri agentebis xelSi.

61

standartul makroekonomikur modelebSi finansuri friqciebis

gauTvaliswineblobis Sedegebs makroekonomistebi ama Tu im formiT

yovelTvis acnobierebdnen. mravali ekonomistis mier iyo gamoTqmuli

mosazreba, rom e.w. “modigliani- miller” tipis modelebSi gamotovebuli iyo

mniSvnelovani meqanizmebi, romelTac realur ekonomikaSi hqondaT adgili.

amas amyarebda is garemoeba, rom msoflio istoriis manZilze arcTu

iSviaTi iyo finansuri da sabanko seqtoris krizisebi, aseve aSS-s didi

depresiis gamocdileba jer kidev 1930-iani wlebidan sZenda aqtualobas

finansuri friqciebis rols makroekonomikaSi.

unda aRiniSnos, rom am mimarTulebiT araerTi cnobili makroekonomikuri

kvleva iqna gamoqveynebuli, jer kidev gasuli saukunis adreul etapze,

romelTac kargi safuZveli Seqmnes maTi Semdgomi konsolidaciis da ukve

mogvianebiT, 1990-iani wlebis meore naxevarSi, met-naklebad srulyofili

finansuri friqciebiani makroekonomikuri modelebis asagebad.

XІX saukunis adreuli kvlevebidan finansuri friqciebis Tematikaze

safuZvelis SeqmnisaTvis aRsaniSnavia fiSeri (1933), romelSic

gaanalizebulia valze deflaciis gavlena da nominaluri sargeblis

ganakveTebis nulovani zRvaris problema. kerZod, rodesac ekonomikaze

valis tvirTi maRalia da sabanko seqtorSi Sokis Sedegad bankebi

cdiloben sesxebis swrafad Semcirebas, bankebis mxridan aqtivebis uecari

gayidva da sesxebis Semcireba, ekonomikur aqtivobas amcirebs da

deflacias ganapirobebs. Tavis mxriv, kerZo seqtoris vali, romelic

nominalur erTeulebSia deflaciis Sedegad realur zrdas ganicdis da

kompaniebis sabalanso uwyisze negatiur gavlenas axdens. deflaciis efeqts

kerZo seqtoris valze is garemoeba amZimebs, rom nominaluri sargeblis

ganakveTebis Semcireba SemosazRvrulia nulovani niSnuliT. Sesabamisad,

sakmarisad didi deflaciis pirobebSi realuri sargeblis ganakveTi

SesaZloa mkveTrad gaizardos, rogorc es 1930-ian wlebSi, aSS-s didi

depresiis periodSi moxda. fiSeris mier aRniSnul kvlevaSi valze

deflaciis uaryofiTi efeqtis analizi mogvianebiT e.w. „fiSeris

deflaciis“ efeqtiT gaxda cnobili. kristiano da sxvebi (2003, 2010)

„fiSeris deflaciis efeqts“ srulfasovnad ganixilaven ukve

62

finansurfriqciebian DSGE modelSi, romelzec Semdgom TavebSi gveqneba

saubari.

adreuli kvlevebidan, aseve mniSvnelovani wvlili Seitana keinzis (1936)

Sromam, sadac neoklaiskuri midgomisgan gansxvavebiT, centralur rols

TamaSobs erToblivi moTxovna da Sesabamisad ekonomikuri krizisebis

analizis marTvis TvalsazrisiT keinzis Teoriis gavlena mniSvnelovania.

aseve, minski (1957), romelic finansur arastabilurobas ganixilavs,

fridmani da Svarci (1963), romlebic wina planze ganixilaven sabanko

krizisis mniSvnelovnebas makroekonomikur WrilSi.

Tumca unda aRiniSnos, rom miuxedavad zemoaRniSnuli kvlevebisa,

romlebic adreul etapzeve miuTiTebda makroekonomikisa da finansuri

bazrebis urTierTkavSiris analizis saWiroebaze, jer kidev 2007-2008

wlebis globalur finansur krizisamde am problemebis simwvave saTanadod

ar iyo Sefasebuli. globaluri krizisis Semdgom, ekonomistebis didi

yuradReba daeTmo makrofinansuri urTierTkavSirebis analizs da

Sesabamisi modelebis ganviTarebaSi mniSvnelovani warmatebac iqna

miRweuli. Tumca, ekonomistebis jer kidev didi Zalisxmevaa saWiro, rom

Teoriuli modelebi morgebul iqnas konkretuli qveynebis specifikis

saWiroebebze da politikis gamtarebelTaTvis orientiris roli

Seasrulos. am mimarTulebiT, umTavres gamowvevas warmoadgens modelebis

imdagvarad daxvewa, rom politikis gamtarebelTaTvis, finansuri Tu

monetaruli instrumentebis gamoyenebisas ricxviTi pasuxebis miReba iyos

SesaZlebeli.

modelebis mimarT, romlebic bolo wlebSi ganviTarda am mimarTulebiT,

ZiriTadad ramdenime moTxovna iyo wayenebuli. maTgan umTavresi iyo, rom

modelebs unda moecvaT finansuri seqtori, sadac ar eqneboda adgili

Modigliani – Miller-is Tvisebas. aseve, modelSi nawilobriv mainc iqneboda

warmodgenili makroekonomikuri da finanasuri urTierTkavSirebis is

meqanizmebi, romlebic finansuri krizisis periodebSi istoriulad

gamovlinda da rac aranakleb mniSvnelovania modeli raodenobrivi

analizis Catarebis SesaZleblobas mogvcemda.

63

mimdinare etapisTvis arsebuli makroekonomikuri da finansuri

urTierTkavSirebis modelebi, warmoadgens tradiciuli dinamikuri zogadi

wonasworobis makroekonomikuri (DSGE) modelebis gafarToebas, modelSi

finansuri friqciebis CarTviTi gziT. Tanamedrove literaturaSi

gamosayofia ZiriTadad oTxi tipis modelebi:

I. modeli SezRudvebiT sagiravno aqtivebze (model with Collateral

Constraints);

II. modeli xarjiani verifikaciiT (Models with Costly-State Verification,

SemoklebiT CSV);

III. moralurobis riski I (“Running Away”, bankis mier aqtivebis mitaceba);

IV. moralurobis riski II (“Unobserved Banker Effort”, bankis mier naklebi

Zalisxmeva).

oTxive maTgani, sxvadasxva gziT aRwers im garemoebas, rom finansuri

Suamavlebis wminda Rirebulebis (kapitalis) Semcireba, saprocento

marJebis zrdas ganapirobebs da Sedegad mcirdeba ekonomikis dakrediteba

da investiciebi, rac 2007 - 2008 wlebSi krizisis realur ekonomikaze

gavlenis erT-erTi mTavari maxasiaTebeli iyo. I da II tipis modelebis

ZiriTadi maxasiaTebelia dakreditebisas bazarze arsebuli asimetriuli

informacia da msesxeblis monitoringis xarji, xolo III da IV modelebSi

finansuri Suamavlobis moralurobis riski (moral hazard) warmoadgens mTavar

maxasiaTebels.

3 modeli SezRudvebiT sagiravno aqtivebze

modeli SezRudvebiT sagiravno aqtivebze (Model with Collateral Constraints)

gulisxmobs, rom modelSi ZiriTad finansur friqcias sesxisTvis

sagiravno aqtivis aucilebloba warmoadgens. kerZod, gamsesxeblebs ar

SeuZliaT aiZulon sesxis dafarva potenciur klientebs Tuki sesxi ar

aris uzrunvelyofili. sesxisTvis sagiravno aqtivis aucilebloba

ganapirobebs, rom warmoebis faqtorebs (miwa, uZravi qoneba, manqana

64

danadgarebi) ormagi roli aqvT, erTi, rogorc warmoebisTvis aucilebeli

faqtorebi da meore, rogorc sesxis uzrunvelyofis saSualebebi. maTi

fasebis cvlileba gavlenas axdens sesxebis limitze da Sesabamisad

ekonomikur aqtivobaze, romelic Tavis mxriv warmoebis faqtorebze

moTxovnas ganapirobebs. aRniSnul modelSi warmoebis faqtorebis fasebisa

da ekonomikuri aqtivobis urTierTqmedeba qmnis makroekonomikuri da

finansuri urTierTkavSiris ZiriTad arxs, romelic gansakuTrebul

mniSvnelobas ekonomikuri ciklebis periodSi iZens. kerZod, aRniSnuli

meqanizmi ganapirobebs, rom izrdeba ekonomikuri ciklebis simwvave da maTi

xangrZlivoba, rac makroprudenciuli politikis gamtarebelTa mier

yuradRebis sagani unda gaxdes.

sagiravno aqtiviT SezRuduli modeli misi zemoaRniSnuli TvisebebiT,

Semotanil iqna Kiotaki and Moore (1995) kvlevaSi, sadac Teoriul kvlevaze

dayrdnobiT gaanalizebulia sakredito SezRudvebisa da erToblivi

ekonomikuri aqtivobis urTierTqmedeba biznes ciklebis fonze. aRniSnuli

kvleva inovaciurad warmoaCens makroekonomikuri da finansuri

urTierTkavSirebis am erT-erT ZiriTad arxs, Tumca nawilobriv eyrdnoba

manamde arsebul kvlevebs, iseTebs, rogoricaa Bernanke and Gertler (1989),

Kashyap, Scharfstein and Weil (1990), Shleifer and Vishny(1992), Scheinkman and Weiss

(1986) da sxv.. ideis doneze uzrunvelyofili dakreditebisa da sagiravno

aqtivis fasebis pozitiuri damokidebuleba jer kidev Veblan (1904, Chapter V)

kvlevaSi gvxvdeba.

Kiotaki and Moore (1995) kvlevis mixedviT, daSvebis Tanaxmad, ekonomikaSi

arsebobs ori tipis saqoneli, xangrZlivi moxmarebis aqtivi, romelis

raodenoba fiqsirebulia (mag. miwa) da xanmokle moxmarebis saqoneli,

romlis Senaxva SeuZlebelia (mag. xili, romelic miwaze modis). aseve

daSvebis Tanaxmad, ekonomika warmodgenilia ori gansxvavebuli tipis

agentiT, pirobiTad, fermeri da Semgrovebeli. orive maTgans mohyavs da

moixmares xils, Tumca gansxvavebulia maTi sargeblianobis funqciebi.

fermeri: [∑ ]

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Semgrovebeli: [∑ ]sadac, da R warmoadgens diskontirebis ganakveTebs, romlebic

akmayofileben Semdeg pirobas: 1 < <kvlevaSi heterogenurli ekonomikuri agentebi warmodgenilia

diskontirebis ganakveTebs Soris sxvaobiT da igi mniSvnelovan datvirTvas

atarebs. Semgroveblebi, romelTa diskontirebis ganakveTi ufro dabalia,

metad afaseben momaval moxmarebas vidre fermerebi Sesabamisad

Semgroveblebi realur cxovrebSi ganasaxiereben damzogvelebs, xolo

fermerebi warmoadgenen investorebs, romlebic sesxs iReben da awarmoeben.

fermeri da damgrovelic, orive erT periods andomebs xilis warmoebas

miwis gamoyenebiT, Tumca gansxvavebulia maTi warmoebis saSualebebi.

fermeris warmoebis funqcias Semdegi saxe aqvs:= ( + )sadac aseve daSvebis Tanaxmad, > ( − 1)sadac, miwis gamoyenebiT fermeri awarmoebs raodenobis xils.daSvebis

Tanaxmad, c warmoadgens aravaWrobadi saqonelis wils (xilis is nawili,

romelic ar eqvemdebareba transportirebas. misi gamoyeneba fermers

mxolod sakuTari moxmarebisTvis SeuZlia). Sesabamisad, fermers ar

SeuZlia -ze metis gayidva. aRniSnuli daSveba, saSualebas iZleva

sakredito SezRudva SenarCunebuli iqnes modelSi.

fermeris warmoebis teqnologiasTan dakavSirebiT ori mniSvnelovani

daSvebaa modelSi warmodgenili: (I) fermeri, romelmac t periodSi dawyo

warmoeba miwaze, mas da mxolod mas Seswevs unari xilis warmoeba

bolomde miiyvanos. (II) fermers sakuTari diskreciiT SeuZlia Sroma

Sewyvitos da aseT SemTxvevaSi t+1 periodSi xilis mosavali ver mova,

SenarCundeba mxolod miwa.

aRniSnuli daSvebebi gadamwyvetia, radgan saSualebas iZleba modelSi

warmodgenil iqnas sagiravno aqtivis SezRudva. kerZod, Tuki fermers didi

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odenobis vali gaaCnia, mas upiratesoba eqneba kreditors damajereblad

daemuqros warmoebis SewyvetiT da sesxi srulad aRar dafaros. amisgan

Tavis dasacavad, kreditori sesxis uzrunvelyofas sagiravno aqtiviT-miwiT

axdens. Tumca, miwa fermeris mier damuSavebis gareSe xils ver iZleva.

Sesabamisad, miwis salikvidacio Rirebuleba naklebia, vidre misi

Rirebuleba iqneboda fermeris xelSi. aRniSnulis gaTvaliswinebiT,

fermers upiratesoba aqvs kreditori daiTanxmos sesxis sruli raodenobis

nacvlad nawilobriv dafarvaze (mag. miwis salikvidacio fasamde sesxis

Semcireba). kreditorebma ician ra fermeris aRniSnuli upiratesoba,

uzrunvelyofen, rom gacemuli sesxis moculoba (sargeblis

gaTvaliswinebiT) ar aRematebodes sagiravno aqtivis salikvidacio fass.

Tuki t periodSi fermeris mier kreditorsadmi davalianebas -Ti

avRniSnavT, xolo sargeblis ganakveTs -iT, gveqneba rom:≤sadac, warmodgens miwis Rirebulebas t+1 periodisTvis.

fermerebis sabiujeto SezRudvas rac Seexeba, t periodSi maT Semosavals

saqonlis realizaciiT miRebuli Tanxa da moculobiT miRebuliT sesxi

warmoadgens. aRniSnuli SemosavliT, fermeri axorcielebs investicias

axali miwis SesaZenad, faravs warsul davalianebas da uzrunvelyofs

sakuTar moxmarebas. ( − ) + + − = +rac SeexebaT Semgroveblebs, kvlevis daSvebis Tanaxmad yvela maTganis

warmoebis funqcia identuria da gaaCnia masStabis klebadi ukugeba. kerZod,

t periodSi miwis gamoyenebiT, isini awarmoeben vaWrobad saqonels,

Semdegi funqciiT:= ( ), სადაც ≥ 0, < 0maTi, warmoebis teqnologia ar moiTxovs raime specifikur unarebs,

Sesabamisad maT arc sakredito SezRudvebi exebaT. maT sabiujeto

SezRudvas Semdegi saxe aqvs:

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( − ) + + = ( ) +sadac, warmoadgens moxmarebas, da vals t-1 da t periodebSi,

romlebic modelis wonasworobaSi uaryofiTia, rac aRniSnavs, rom

Semgroveblebi zogaven da fermerebis kreditorebs warmoadgenen.

aRniSnul modelSi, a, c da პარამეტრებზე დაშვებების გათვალისწინებით

ვღებულობთ, რომ:

= 1− 1 [( + ) − ]= 1

sadac, ( + ) − warmoadgens, fermeris wminda Rirebulebas, xolo− pirvelad Senatans (down payment) fermeris mier erTeuli miwis

SesaZenad. aqedan gamomdinareobs, rom aqtivze (miwaze) moTxovna

pirdapirproporciulad aris damokidebuli fermeris wminda Rirebulebaze.

Tuki davuSvebT, rom aqtivis fasebi izrdeba, Sesabamisad და

proporciulad izrdeba, maSin fermeris wminda Rirebuleba proporciulze

metad gaizrdeba, rasac leveraJi ganapirobebs. Sesabamisad vRebulobT, rom

aqtivze moTxovna mzardia misi fasebis zrdis paralelurad.

rac SeexebaT Semgroveblebs, maTi maRali diskontirebis ganakveTidan

gamomdinare isini damzogvelebi arian, maT ar aqvT sakredito SezRudva,

Sesabamisad maTi moTxovna ganisazRvreba, miwis zRvruli produqtiulobis

mimdinare Rirebulebis tolobiT miwis alternatiul danaxarjTan. kerZod

( ) = −sadac, − warmoadgens erTeuli miwis alternatiul Rirebulebas1.

1 SegaxsenebT, igive wevri, fermerisTvis warmoadgens pirvelad Senatans (down payment).

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Semgroveblebisa da fermerebis moTxovnis gaerTianebiT, aseve imis

gaTvaliswinebiT, rom miwis rogorc aqtivis, jamuri miwodeba bazarze

fiqsirebulia, vRebulobT, rom :

− 1 = 1 1 ( − ) , , ( ) = 1 1 ( − )u(K) warmodgens SemgroveblisTvis miwis flobis alternatiul

Rirebulebas, romelic zrdadia K-s mimarT. Tuki fermerebis moTxovna

miwaze gaizrdeba, aseve gaizrdeba miwis flobis alternatiuli

Rirebuleba SemgroveblebisTvis, da maT moTxovnas Seamcirebs, rac bazris

wonasworobas Seuwyobs xels.

aRniSnuli damokidebulebebi modelis erT-erTi mTavari sakvanZo

elementebia, romlebic markoekonomikuri da finansuri urTierTkavSiris

meqanizms aRweren. kerZod, modelSi miwaze fasebis Semcirebas

mniSvnelovani da myisieri gavlena aqvs sakredito SezRudvis mqone

fermerze. aseT dros levaraJis gavleniT, fermeris wminda Rirebuleba

aqtivebis gadafasebis efeqtiT mcirdeba, rac maTi mxridan investiciebis

kidev ufro met Semcirebas ganapirobebs da Tavis mxriv miwis fasebis

Semcireba Zlierdeba. Sokis efeqtis gaZlierebas swored es

urTierTdamokidebuleba ganapirobebs, romelic sagiravno aqtiviT

SezRuduli modelis ZiriTadi meqanizmia. swored aRniSnul process hqonda

adgili globaluri finansuri krizisis periodSi, rodesac ipoTekuri

sesxebiT uzrunvelyofili fasiani qaRaldebis (MBS) bankebis mxridan

swrafi gayidvis mcdelobisas finansurma kompaniebma aRniSnuli aqtivebis

safaso cvlilebidan mniSvnelovani zarali ganicada, xolo maTma

finansurma problemebma aqtivebze fasebis vardna kidev ufro gaaZliera.

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4 modeli xarjiani verifikaciiT

makroekonomikur modelSi finansuri seqtoris warmodgenis kidev erTi

cnobili midgomaa-modeli xarjiani verifikaciiT (Models with Costly-State

Verification, CSV), romelis ZiriTad ideas warmoadgens msesxebelsa da

gamsesxebels Soris arsebuli informaciis asimetriulobis gaTvaliswineba.

aRniSnuli midgoma srulad integrirebul iqna DSGE modelSi, Bernanke,

Gertler and Gilchrist, 1999 kvlevaSi, romelic SemdgomSi am Temaze warmoebuli

kvlevebisTvis bazisad iqca.

Bernanke, Gertler and Gilchrist, 1999 (SemoklebiT BGG)-Si, warmodgenilia e.w.

„finansuri aqseleratoris“ meqanizmi, romelic sakredito bazarze

arsebuli friqciebis Sedegad ekonomikaSi arsebuli Sokebis gaZlierebasa

da gaxangrZlivebas ganapirobebs. kerZod, „finansuri aqseleratoris“

meqanizmi Semdegia: sesxis saprocento marJa uaryofiTad aris

damokidebuli sesxis mimRebis wminda Rirebulebaze. Tavis mxriv

uaryofiTi damokidebuleba imis Sedegia, rom rodesac investoris wminda

Rirebuleba mcirea, sakuTari kapitaliT misi monawileoba proeqtis

dafinansebaSi aseve mcirea, rac amwvavebs potenciur interesTa konfliqts

investorsa da mis msesxebels Soris. gazrdili agentis xarjebi (agency costs)

saprocetno marJaze aisaxeba. kerZod, msesxeblebi maRal kompensacias

iTxoven arsebuli riskebis kompensirebisTvis. imis gaTvaliswinebiT, rom

investorTa wminda Rirebuleba procikluria (ramdenadac procikluria

mogeba, fasiani qaRaldebis fasebi da sxva), sesxis saprocento marJa

izrdeba ekonomikuri recesiis dros, xolo mcirdeba bumis periodSi.

aRniSnuli efeqti aisaxeba dakreditebis moculobaze da Sesabamisad

investiciebsa Tu xarjebze, rac aZlierebs da axangrZlivebs ekonomikur

ciklebs.

BGG modeli warmoadgens axal keinzianur dinamikur zogadi wonasworobis

(DSGE-NK) modelis modifikacias, romelic iTvaliswinebs „finansuri

aqseleraciis“ efeqts investiciebze. daSvebis Tanaxmad, modelSi

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warmodgenilia sami tipis ekonomikuri agentebi: (I) Sinameurneobebi,

romlebic usasrulod cxovroben, bazars awvdian Sromas, moixmaren

saqonels, floben fuls da zogaven Tanxas sargeblis momtan aqtivebSi. (II)

mewarmeebi, romlebic modelSi centralur rols asruleben, radgan

„finansuri aCqarebis“ meqanizmi swored maTze gadis. daSvebis Tanaxmad,

mewarmeebi warmoadgenen riskis mimarT neitralurad ganwyobil agentebs

(risk-neutral) da maTi sicocxlis xangrZlivoba sasrulia. kerZod, yovel

periodSi maTi argakotrebis albaTobas warmodgens , Sesabamisad maTi

sicocxlis mosalodneli xangrZlivoba saSualod periods Seadgens1.

(III) mesame tipis ekonomikuri agentebi arian gadamyidvelebi (retailers).

Sinameurneobebi da mewarmeebi erTmaneTisgan gamijnulia da isini

gvevlinebian damzogvelebisa da msesxeblebis rolSi. Sesabamisad,

gadamyidvelebi warmodgenilia modelSi fasebis sixistis

uzrunvelsayofad. modelSi aseve, gaiTvaliswineba saxelmwifo, rogorc

ekonomikuri agenti, romelic axorcielebs fiskalur da monetarul

politikas.

„finansuri aqseleratoris“ meqanizmis aRsawerad, modelSi Semotanilia

agentis problemebi (agency problem), romelic damzogvelsa da msesxebels

Soris interesTa konfliqtis Sedegia. Sesabamisad, finansuri kontraqtis

mizania agentis problemis minimizeba da swored es ganapirobebs mewarmis

wminda Rirebulebasa da erTobliv moTxovnas Soris damokidebulebas.

mewarmis wminda Rirebuleba ori wyaroTi icvleba, pirveli es aris mogeba,

romelsac igi Rebulobs ekonomikuri saqmianobiT. mogeba aseve icvleba

aqtivebis safaso cvlilebis Sedegad (capital gains). meore wyaros warmoadgens

Tavad mewarmis mier miwodebuli Sromis anazRaureba (modelSi, daSvebis

Tanaxmad, mewarmeebi garda ekonomikuri saqmianobisa Tavadac samuSao Zalas

warmoadgenen). mewarmis wminda Rirebuleba gadamwyvetia, mis mier moziduli

dafinansebisTvis. kerZod, wminda Rirebulebis zrda mewarmes met sakuTar

1mewarmeebis sicocxlis xangrZlivobis SezRudva ganpirobebulia yovel periodSi axali

mewarmeebis Semosvlis da gasvlis uzrunvelsayofad. γ albaTobis mudmivad SenarCunebauzrunvelyofs, rom mewarmeebis raodenoba wilobrivad ekonomikis mTlian agentebSi

mudmivia.

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resurs uCens da proeqtis dafinansebaSi sakuTari wilis zrdas

ganapirobebs, rac amcirebs SesaZlo interesTan konfliqts da agentis

problemis Semsubuqebas iwvevs. Sedegad, riskis marJa mcirdeba da mewarmis

mier moziduli saxsrebis moculoba izrdeba, rac agregirebul ekonomikur

aqtivobaze axdens gavlenas.

modelis makroekonomikuri bloki msgavsia standartuli dinamikuri zogadi

wonasworobis modelebisa da maT detalur aRweras gverds avuvliT. aq

mxolod im nawilze gavamaxvilebT yuradRebas, romelic makroekonomikuri

da finansuri urTierTkavSirebis mTavar arss warmoadgens.

modelSi, kapitalze amonagebi damokidebulia rogorc sistemur ise

idisinkretul (idiosyncratic)

მოდელში, კაპიტალზე ამონაგები დამოკიდებულია როგორც სისტემურ ისე

იდისინკრეტულ (idiosyncratic) riskze. j firmisTvis ex post kapitalze amonagebi

moicema , sadac warmoadgens j firmisTvis idiosinkretul Soks

erTeulovani saSualoTi ( ( ) = 1), xolo kapitalis saSualo

amonagebia (firmebis mixedviT saSualo amonagebi t+1 periodisTvis).

modelis daSvebis Tanaxmad, idiosinkretuli Soki mxolod mewarmisTvis

aris dakvirvebadi da masze informacia banks mxolod sakmarisi xarjis

gawevis Semdgom aqvs. aRniSnuli daSveba warmoadgens CSV modelebis ZiriTad

maxasiaTebels. igi pirvelad Townsend (1979) mier iqna gaanalizebuli,

romlis mixedviTac msesxeblebs garkveuli Tanxis (mag. auditoruli

momsaxurebis) gaRebis Semdgom SeeZloT mewarmis realur amonagebze sruli

informaciis miReba. aRniSnuli xarji, SesaZloa warmovidginoT, rogorc

gakotrebis legaluri mxaris uzrunvelyofis xarji (iuridiuli da

buRaltruli momsaxureba, aqtivebis likvidaciis xarjebi). daSvebis

Tanaxmad, aRniSnuli auditoruli xarji proporciulia firmis jamuri

Rirebulebis. kerZod, igi moicema Semdegi saxiT .

aRniSvnis Tanaxmad, j mewarmis wminda Rirebulebas warmoadgens,

romelic mas gaaCnia t periodis bolos (t+1 periodis dasawyisSi). mewarme

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sesxulobs1 Tanxas, romelsac igi amatebs sakuTar Tanxas da yidulobs

kapitals, , (anu afinansebs sakuTar biznes proeqts).

= −optimalur kontraqts, romelic finansur Suamavalsa da mewarmes Soris

ideba, ori ZiriTadi maxasiaTebeli gaaCnia. sargeblis ganakveTi2 da

idiosinkretuli Sokis zRvruli mniSvneloba, , iseTi, rom rodesac >mewarme srulad emsaxureba kontraqtiT gaTvaliswinebul pirobebs.

mniSvneloba ganisazRvreba Semdegi tolobidan:

=aRniSnuli tolodidan gamomdinareobs, rom SegviZlia Semdegnairad

warmovadginoT

= = ∗ = ∗ − 1sadac, warmoadgens j firmis wminda Rirebulebas, xolo = =

j firmis leveraJis dones. aRniSnuli damokidebuleba cxadyofs,

rom firmis leveraJis zrda, misTvis idiosinkratuli Sokis zRvars zrdis,

romelzec mewarme defotls acxadebs. anu maRali leveraJis pirobebSi

mewarmes meti iRbali Wirdeba raTa ar gakotrdes. idiosinkratuli Sokis

zRvrul niSnulze aseve zrdis mimarTulebiT moqmedebs valis saprocento

ganakveTis ( ) zrda.

rodesac, ≥ kontraqtis Tanaxmad mewarme banks uxdis −is tol

Tanxas, xolo darCenil Tanxas, romelic Seadgens − ,

inarCunebs. Tuki < , maSin mewarme srulad ver faravs sesxs da

1mewarme sesxulobs finansuri Suamavlisgan (banki), romelsac Tavis mxriv

Sinameurneobebisgan Rebulobs dafinansebas.2sargeblis ganakveTi Z moicavs ZiriTad Tanxasac Z = 1 + r (gross). igive exeba R ganakveTsac.

73

defolts acxadebs. am ukanasknel SemTxvevaSi, finansuri Suamavali

auditis xarjis gawevis Semdeg mewarmis aqtivebs esakuTreba. kerZod,

mewarmis gakotrebis SemTxvevaSi bankis mier miRebuli Semosavali Seadgens(1 − ) , xolo mewarmes araferi rCeba.

wonasworobis piroba da - isTvis gulisxmobs, rom finansuri

Suamavlis mier mewarmeze gacemuli sesxis sargebelis ganakveTi toli unda

iyos Suamavlis mier moziduli saxsrebis alternatiuli Rirebulebis.

daSvebis Tanaxmad, mewarmeze gacemuli sesxis erTaderTi risk warmoadgens

idiosinkratuli riski, romelic srulad diversificirebadia. Sesabamisad,

wonasworobisas sesxis kontraqti unda akmayofilebdes Semdeg pirobas:

1 − + (1 − )∫ ( ) =sadac, warmoadgens finansuri Suamavlis mier moziduli saxsrebis

alternatiuli sargeblis ganakveTs. Sesabamisad, tolobis marjvena mxare

warmoadgens SuamavlisTvis mewarmeze gacemuli sesxis alternatiul

xarjs, xolo tolobis marcxena mxare- mewarmeze gacemuli sesxis

mosalodnel amonagebs. −is ganmartebidan gamomdinare, warmoadgens

mewarmis gakotrebis albaTobas.

zemoTmoyvanili gantolebis gamoyenebiT miiReba Semdegi damokidebuleba:

1 − + (1 − ) ( ) = ( − )sadac, sesxis mosalodneli amonagebi (tolobis marcxena mxare)

warmodgenilia -ze damokidebulebiT. realobaSi, garda idiosinkratuli

riskebisa ekonomikaSi didi doziT gvxvdeba sistemuri riskebi, romelTa

mniSvnelovnebas gansakuTrebiT finansuri krizisebi warmoaCens. sistemuri

riskebi, idiosinkretulisgan gansxvavebiT ar aris srulad

diversificirebadi. amdenad, damokidebulia -ზე (nacvlad -isa

romelic urisko sargeblis ganakveTs warmoadgenda), romelic

makroekonomikuri garemos paralelurad icvleba. Sesabamisad,

damokidebulia makroekonomikur faqtorebze, kerZod igi kontrciklurad

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icvleba. magaliTad, kapitalze amonagebis ( ) mosalodnelze dabali

donis SemTxveaSi, izrdeba mewarmisTvis sesxis sargeblis ganakveTi .

sageblis ganakveTis zrdas mewarmis gakotrebis albaTobis zrda

ganapirobebs, rac Tavis mxriv kapitalze dabali amonagebis Sedegia.

SejamebisTvis, aRniSnuli modelis mixedviT, makroekonomikuri garemos

gauaresebis fonze kapitalze dabali amonagebis zrda, iwvevs mewarmis

gakotrebis albaTobis zrdas, rac saprocento marJis zrdasac

ganapirobebs.

rogorc zemoT aRvniSne, BGG modeli makroekonomikuri da finansuri

urTierTkavSirebis modelirebis erT-erT sabaziso kvlevad iqca da

mogvianebiT araerTi sxva naSromis safuZveli gaxda. maTgan erT-erTi

yvelaze mniSvnelovani kvlevebia Christiano, Motto and Rostango 2010, 2013,

romlebmac kidev ufro gaamdidres finansuri BGG modeli sxva finansuri

friqciebis mocviT. kerZod, Christiano da sxvani (2010) kvlevaSi BGG modeli

gamdidrebulia e.w. „fiSeris valis deflaciis“ efeqtiT. maTi daSvebiT

modelSi, ekonomikuri agentebis bankebisadmi davalianeba warmodgenilia

nominalur erTeulebSi, Sesabamisad, fasebis donis cvlileba ex post

gavlenas axdens ekonomikuri agentebis mier valis momsaxurebis realur

tvirTze. aRniSnul meqanizms ewodeba e.w. „fiSeris deflaciis“ efeqti.

swored es efeqti warmoadgens zemoganxiluli finansuri aqseleratoris

efeqtTan erTad finansuri friqciebis mTavar wyaros, romelic msoflios

finansuri krizisebis istoriaSi farTod dakvirvebadi fenomenia.

5 moralurobis riski I (“Running Away” modeli)

makroekonomikuri da finansuri urTierTkavSirebis modelirebis erT -

erTi mniSvnelovani mimarTulebas warmoadgens Running Away-tipis modeli,

romelic fokusirebulia finansur SuamavlobaSi arsebuli moralurobis

riskis modelirebaze. kerZod, es problema momdinareobs bankebis (da

75

zogadad finansuri Suamavlebis) SesaZleblobidan, rom maT mflobelobaSi

arsebuli aqtivebi miitacon an sakuTari keTildReobisTvis gamoiyenon.

aRniSnuli tipis modeli kargad aRwers globaluri finansuri krizisis

epizods, rodesac 2007 wlis Semdgom bankebis wminda Rirebulebis

(sakuTari kapitalis) Semcirebis Semdeg saprocento marJebi mkveTrad

gaizarda da finansuri Suamavloba Seferxda.

modelis ZiriTadi meqanizmi efuZneba garemoebas, rom bankebi sakuTari

kapitalis Semcirebis pasuxad amcireben mozidul depozitebs. amas akeTeben

imitom, rom, Tuki depozitebis isev Zvel dones SeinarCuneben sakuTari

kapitalis Semcirebis miuxedavad, es depozitarebisTvis negatiuri signali

iqneba, Sesabamisad ndobas dakargaven maT mimarT da danazogebs sxvagan

waiReben. depozitarebis aRniSnuli reaqcia, sworad ganWvretis Sedegia,

rom bankebis sakuTari kapitalis Semcireba maT leveraJs gazrdis da maT

met motivacias Seuqmnis aqtivebis mitacebisTvis (an gaflangvisTvis). am

molodinebis gasaneitraleblad, bankebis mier depozitebis Semcireba da

mozidul saxsrebze xarjis Sekveca maT mogebas gazrdis da depozitarebis

negatiur molodinebsac gaaneitralebs, radgan maRali mogebis pirobebSi

bankebi metad motivirebulni iqnebian saqmianobis patiosnad

gagrZelebisTvis.

aRniSnuli tipis modeli warmodgenilia Gertler, Kiotaki (2010) da Gertler, Karadi

(2009) naSromebSi, romlis gamartivebul versiasac aq mokled mimovixilav,

sadac modelis ZiriTadi principi SenarCunebulia, xolo arasaWiro

garTulebebs gverds avuvli.

modelSi warmodgenilia ori tipis ekonomikuri agentebi, esenia „bankirebi“

da „dasaqmebulebi“. TiToeuli tipis kategoriis agentebi absoliturad

erTmaneTis msgavsni arian da amasTan usasrulo raodenobis.

simartivisTvis ganvixilavT orperiodian models, Tumca zemo aRniSnul

naSromSi usasrulo periodiani SemTxvevebia warmodgenili. period 1-Si,

dasaqmebulebi, romelTagan TiToeuls daSvebis Tanaxmad ergoT

memkvidreobiT y saqoneli, Rebuloben gadawyvetilebas ramdeni moixmaron

da ramdeni dazogon depozitebis saxiT. bankirebi, romelTac aseve

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memkvidreobiT ergoT N N kapitali, Rebuloben depozitebs da abandeben

firmebis fasian qaRaldebSi s, rasac firma iyenebs kapitalis SesaZenad da

saqonels awarmoebs period 2-Si. imave period 2-Si, Sinameurneobebi

moixmaren wina periodSi depozitebis saxiT dazogil Tanxas da aseve

Rebuloben mogebas, romelic bankebisgan ergoT.

Sinameurneobebis sargeblianobis maqsimizaciis amocanaa Semdegi:

Sinameurneobis maqsimizaciis problemaperiodi 1 periodi 2

sabiujeto SezRudva c + d ≤ y ≤ +miznis funqcia , , ( ( ) + ( ))sadac, y warmoadgens pirvel periodSi dasaqmebulis mier miRebul

memkvidreobas, c da C warmoadgenen pirvel da meore periodis moxmarebas,

Sesabamisad, d aris depozitebis moculoba, და warmoadgenen depozitebis

sargeblianobis ganakveTs (Ziris CaTvliT) da bankebis mogebas, romelic

TiToeul Sinameurneobas ergo transferis saxiT, xolo ( ) + ( )warmoadgens Sinameurneobis sargeblianobis funqcias.

bankebis mogebis optimizaciis amocana gulisxmobs Semdegs:

bankis mogebis maqsimizacia

periodi 1 periodi 2

miiRos depoziti, d gaistumros depoziti (daricxuli

sargebliT),

SeiZinos fasiani qaRaldebi, s = N + d daibrunos sesxi firmisgan

(daricxuli sargebliT),

maqsimizacia ( − )sadac, d depozitebis moculobas, s SeZenili fasiani qaRaldebis (gacemuli

sesxebis), da depozitebze da sesxebze daricxul sargeblis

ganakveTebs warmoadgenen. − bankis mogebis aRwers, romelic mis

77

Semosavlebsa da xarjebs Soris sxvaobas warmoadgens. zemoaRniSnuli

maqsimizaciis amocana aRwers bankis moqmedebas, moralurobis riskis

gauTvaliswineblad, romelsac mogvianebiT SemovitanT.

wonasworobis piroba gulisxmobs, rom unda sruldebodes Sinameurneobebis

sargeblianobis da bankis mogebis maqsimizaciis pirobebi, aseve saqonlisa

da depozitebis bazari unda iyos wonasworobaSi dadebiTi d, c da C-sTvis.

aRniSnuli modelis wonasworobis erT-erTi maxasiaTebelia, rom = . am

pirobis ilustracia martivia, Tu davuSvebT, rom depozitebze sargeblis

ganakveTi aRemateba sesxis sargeblis ganakveTs, maSin bankisTvis

optimaluri iqneba ar moizidos depozitebi da d = 0. Tuki piriqiT

davuSvebT, rom > , maSin banki usasrulod bevr depozits miiRebs (d =∞), Sesabamisad orive maTgani ewinaaRmdegeba wonasworobis pirobas,

romelsac Cven veZebT modelis farglebSi (d unda iyos dadebiTi ricxvi).

depozitisa da sesxis sargeblis ganakveTebis toloba niSnavs, rom

saprocento spredi aRniSnul ekonomikaSi nulis tolia, rac logikuria

imis gaTvaliswinebiT, rom finansuri Suamavlobis danaxarjebi modelSi

daSvebis Tanaxmad ara nulovania, xolo defolti ar xdeba. es yovelive

uzrunvelyofs, rom arsebuli daSvebebiT modelis wonasworoba

keTildReobis udanakargo resursebis ganawilebas gvaZlevs.

aRniSnul modelSi bazaris wonasworoba moTxovna da miwodebis

diagramebiT warvadginoT, unda aRvniSnoT, rom bankis moTxovna

depozitebze es aris horizontaluri wrfe = saxiT. Sinameurneobis

mier depozitebis miwodebis mrudi warmoadgens yoveli konkretuli -

sTvis d-s iseT mniSvnelobas, romelic sargeblianobis maqsimizacias

ganapirobebs. miwodebis mrudis analizi cxadyofs, rom N (bankebis

sakuTari kapitalis) Semcirebis SemTxvevaSi d izrdeba, raTa danazogebis

zrdam pirvelsa da meore periodebSi moxmarebis Tanabari gadanawileba

gamoiwvios.

unda aRiniSnos, rom zemoT moyvanili daSvebebis pirobebSi, finansuri

friqcia ar arsebobs, rac aseTi keTildReobis udanakargo wonasworobas

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iZleva da arc bankebis kapitalis da depozitebis uaryofiT

damokidebulebas aqvs adgili.

Gertler - Kiotaki modelis ZiriTadi daSveba gulisxmobs, rom bankebs aqvT

SesaZlebloba airCion, gakotrdnen, (aqtivebis nawili miiTvison) Tu

normalur pirobebSi gaagrZelon muSaoba. bankis mier gakotrebis arCevis

SemTxvevaSi, banki Rebulobs mis marTvaSi arsebuli aqtivebis θ wils,

xolo danarCeni depozitarebs rCeba. Sesabamisad, banki miiRebs ( + ),xolo depozitarebi (1 − ) ( + ). banki racionalurobis

gaTvaliswinebiT, gakotrebas ar airCevs im SemTxvevaSi, Tu misi es

gadawyvetileba ufro met mogebas moutans( + ) − ≥ ( + )aRniSnuli utolobis eqvivalenturi gardaqmna gvaZlevs(1 − )( + ) ≥es ukanaskneli miuTiTebs, rom banki irCevs argakotrebas, maSin da mxolod

maSin, rodesac amis gakeTeba depozitarebis misaRebs amcirebs (tolobis

marjvena mxare warmoadgens depozitarebis misaRebs argakotrebis

SemTxvevaSi, xolo tolobis marcxena mxare gakotrebis SemTxvevaSi).

aRniSnulis gaTvaliswinebiT, davaxasiaToT bankis moTxovna depozitebze.

modelSi yoveli banki depozitis saprocento ganakveTs ganixilavs rogorc

mocemulobas da wyvets ramdeni depoziti unda miiRos. yoveli periodis

dasawyisSi banki acxadebs misTvis sasurveli depozitis moculobas,

romelis mixedviTac Sinameurneobebi afaseben bankis gakotrebis

SesaZleblobas. wonasworobaSi arc erTi banki ar isurvebs iseTi

depozitis moculobas, romelic Sinameurneobebs misdami ndobas

daukargavs. winaaRmdeg SemTxvevaSi depozitarebi sxva bankSi Seinaxaven

danazogs. Sesabamisad, bankis moralurobis riskis gaTvaliswinebiT

wonasworoba Semdegi saxiT moicema ( + ) − , SezRudvis

gaTvaliswinebiT.

79

amasTan, unda kmayofildebodes Sinameurneobebis keTildReobis

optimalurobis piroba, xolo saqonlisa da depozitebis bazarze moTxovna

da miwodeba erTmaneTs udrides raime dadebiTi c, C da d -Tvis.

wonasworobis pirobidan gamomdinareobs, rom finansuri friqciis

gaTaliswinebiT (bankis moralurobis riski), bankis mier depozitebze

moTxovna ukve aRar aris horizontaluri xazi. kerZod, horizontaluri

xazi = aris mxolod intervalze 0 ≤ ≤ ( ), xolo rodesac(1 − ) < < bankis moTxovna depozitebze aris mimarT klebadi

funqcia, xolo < (1 − ) bankis moTxovna depozitebze usasrulod

maRalia.

Sinameurneobebis mier depozitebis miwodeba, finansuri friqciis

pirobebSic analogiuria da saprocento ganakveTis mimarT zrdadi

funqciaa. finansuri friqciis yvelaze mniSvnelovani Sedegia, rom modelis

wonasworobaSi saprocento spredi nulovani aRar aris. kerZod, rogorc ki

N N bankis kapitali sakmarisad pataraa, bankis moralurobis riski

SemzRudveli xdeba depozitebis moculobisTvis, rac dadebiT saprocento

marJas ganapirobebs.

modelis ZiriTadi meqanizmi kargad aRwers globaluri finansuri krizisis

periods, rodesac 2007 wlamde bankebis maRali kapitalizacia mcire

saprocento spredebs ganapirobebda da Sesabamisad, finansuri Suamavloba

xels uwyobda resursebis maqsimalurad efeqtian gadanawilebas. 2007 wlis

Semdgom, finansuri krizisis fonze bankebis kapitalis Semcirebam

moralurobis riskisdan gamomdinare finansuri problemebi gaamwvava,

Sedegad saprocento marJebi mkveTrad gaizarda da finansuri Suamavloba

Seferxda ramac makroekonomikuri problemebi warmoSva.

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6 moralurobis riski II (“Unobserved Banker Effort”, bankis mier

naklebi Zalisxmeva)

sakredito bazarze moralurobis risks aRwers kidev erTi modeli,

romelic yuradRebas amaxvilebs ara bankis mier aqtivebis miTvisebis

unarze, rogorc es zemoganxiluli modelis SemTxvevaSi iyo, aramed bankis

mier aqtivebis aragulisxmier marTvaze. kerZod, bankis (da zogadad

finansuri Suamavlis) saqmianoba moiTxovs, rom man Zalisxmeva unda gaiRos,

raTa moiZios kargi sainvesticio proeqtebi da moziduli resursi

gonivrulad daabandos. amasTan, misi es Zalisxmeva didwilad

depozitarisTvis daukvirvebadia. mocemuli tipis modelSi, finansur

SezRudvas warmoadgens, rom bankirma SesaZloa sakmarisi Zalisxmeva ar

moaxmaros aqtivebis gonivrulad marTvas. bankebs unda hqondeT sakmarisi

motivacia, raTa sruli Zalisxmeva gaiRon. erT-erTi meTodi SesaZloa iyos,

rom bankis mier depozitebze gadaxdili sargebeli ar iyos damokidebuli

bankis mier miRebul mogebaze. es SesaZleblobas miscemT aqtivebis marTvis

yoveli zRvruli gaumjobesebidan, sruli sargebeli miiRon gazrdili

mogebis saxiT. amisTvis, bankebs unda gaaCndeT sakmarisi sakuTari kapitali,

raTa SesaZlebeli iyos depozitebis sargeblianoba damoukidebeli iyos

bankis mogebisgan. amis saWiroeba ganpirobebulia im garemoebiT, rom

bankebis sakredito portfeli yvelaze ukeTes SemTxvevaSic ki riskis

Semcvelia da riskebis sruli diversifikacia miuRwevadia, amdenad bankis

mxridan maqsimaluri Zalisxmevis pirobebSic ki banki zogjer danakargebs

(an aqtivebze mcire amonagebs) ganicdis. Sesabamisad, depozitebze

gadasaxdeli sargebeli damoukidebeli, rom iyos aqtivebis amonagebze,

bankma sakuTari kapitaliT unda uzrunvelyos depozitebis momsaxureba.

mocemuli tipis modeli, naTlad aCvenebs, rom, rodesac bankebs sakmarisad

maRali kapitali aqvT depozitebis sargeblianoba damoukidebelia bankis

sakredito portfelis momgebianobisgan, rac wonasworobaSi resursebis

efeqtian gadanawilebas ganapirobebs.

finansuri bazrebi mniSvnelovnad ferxdeba, rodesac bankebs, romelTa

aqtivebi stress ganicdis, mcire sakuTari kapitali aqvT raTa aqtivebis

danakargebi dafaron. aseT SemTxvevaSi, depozitarebsac uwevT danakargebis

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miReba. amis pasuxad, depozitarebi sxva bankebis mimarTac amkacreben

midgomas da maRal saprocento ganakveTebs iTxoven. amis Sedegad

vRebulobT, rom depozitebis sargeblianoba sesxebis sargeblianobaze

xdeba damokidebuli, rac bankebis motivacias amcirebs Zalisxmevis gaRebis

kuTxiT. es ukanaskneli ki bankebis aqtivebze momgebianobas amcirebs da

sabolood depozitebis sargeblianobac mcirdeba, rac danazogebis

moculobis Semcirebasa da investiciebis optimalur doneze naklebobas

ganapirobebs.

modelis ZiriTadi CarCo msgavsia wina TavSi ganxiluli modelisa,

gansxvavebulia mxolod moralurobis riski. am SemTxvevaSic, modeli

naTlad aRwers im garemoebas, rom 2007 wlis globalur krizisamde

bankebis maRali kapitalis maRali done, finansuri Suamavlobis

Seuferxebel muSaobas ganapirobebda da xels uwyobda iseT wonasworobas

rodesac resursebis ganawileba maqsimalurad efeqtiani iyo. krizisis

Semdgom, bankebis kapitalis Semcirebam, saprocento spredebis zrda da

Sesabamisad finansuri Suamavlobis Seferxeba ganapiroba. modelis CarCos

detalurad ar mimovixilav mxolod zogadi aRweriT Semovifarglebi.

modelis daSvebis Tanaxmad, ekonomikaSi warmodgenilia usasrulod bevri

Sinameurneoba, romelTagan TiToeuli Sedgeba aseve usasrulod bevri

„bankirebisa“ da „dasaqmebulebisgan“. modeli aris orperiodiani. bankirebi

pirvel periodSi memkvidreobiT Rebuloben garkveul kapitals, romelsac

mozidul depozitebTan erTad abandeben firmebis mier gamoSvebul fasian

qaRaldebSi. ekonomikaSi aris firmebis usasrulo raodenoba, romelTagan

TiToeuls mxolod erT sainvesticio proeqtze wvdoma aqvT. sainvesticio

proeqtTagan zogi aris pirobiTad kargi proeqti, romelSic investireba

iZleva maRal (fiqsirebul) amonagebs. pirvel periodSi investirebuli

erTeuli resursi meore periodSi iZleva amonagebs. danarCeni proeqtebi

warmoadgens pirobiTad cud proeqtebs da maTSi investireba iZleva

amonagebs, sadac < . Tavis mxriv da warmoadgenen egzogenurad

gansazRvrul sidideebs, romlebic teqnologiebzea damokidebuli.

depozitebis sargeblis ganakveTi warmoadgens urisko amonagebs (R).

Sinameurneobis sargeblianobis funqcias wina TavSi ganxiluli modelis

82

saxe aqvs. Sesabamisad, maT sargeblianobis maqsimizaciis piroba

Semdegnairia:

, , ( ( ) + ( ))sabiujeto SezRudvebiT c + d = y da = +bankebi pirvel periodSi memkvidreobiT Rebuloben N NsakuTar kapitals,

romelTac isini depozitebTan erTad iyeneben firmis fasiani qaRaldebis

SesaZenad. modelisve daSvebiT firmebi imyofebian srulyofil

konkurenciaSi da banki srulad Rebulobs firmis mier sainvesticio

proeqtis amonagebs. albaToba imisa, rom bankis mier SeZenili fasiani

qaRaldi aris kargi sainvesticio proeqtis mqone firmis, moicema Semdegi

saxiT: ( ) = + , > 0sadac warmoadgens bankis mier firmis aqciis SeZenisas gaweul

Zalisxmevas. wonasworobisTvis modeli ganixilavs parametrebis iseT

mniSvnelobas, romelTaTvisac 0 < ( ) < 1.bankis mier fasiani qaRaldidan miRebuli amonagebis saSualo da dispersia

Semdegi saxiT moicema: ( ) = ( ) + (1 − ( ))( ) = ( )(1 − ( ))( − )unda aRiniSnos, rom ( ) = (1 − 2 ( ))(( − ) da ( ) > warmoadgens

uaryofiTs, Sesabamisad bankis mier Zalisxmevis zrdis Sedegad saSualo

amonagebi izrdeba xolo dispersia mcirdeba. modelSi ganxiluli analizi

gulisxmobs, rom ( ) > piroba kmayofildeba.

aRniSnuli modelis mTavari interesis sagans warmoadgens finansuri

friqcia, romelis mixedviTac depozitarisTvis ucnobia bankis mier

gaweuli Zalisxmeva ra gavlenas axdens modelis wonasworobaze.

83

im SeTxvevaSi, rodesac bankis mier gaweuli Zalisxmeva xilulia

depozitarisTvis, maSin gveqneba Semdegi suraTi. banksa da depozitars

Soris gaformebul kontraqts, axasiaTebs oTxi parametri. esenia: -

depozitis moculoba, - bankis meir investirebisas gaRebuli Zalisxmeva,

depozitis sargeblis ganakveT Tu kard bankSi anTavsebs Tanxas da

sargeblis ganakveT Tu cud bankSi anTavsebs Tanxas. bankis amocanaa,

airCios kontraqtisTvis aRniSnuli parametrebi Semdegi gamosaxulebis

maqsimizaciis mizniT:

( ) ( + ) − + 1 − ( ) ( + ) − − 12sabiujeto SezRudvebia: ( ) + [1 − ( )] =( + ) − ≥ 0, ( + ) − ≥ 0sadac, warmoadgens Zalisxmevis gaRebidan bankisTvis miRebul

sargeblianobis danaxarjs, xolo aRniSnavs bankis mflobelis moxmarebis

zRvrul sargebels. sabiujeto SezRudvebi warmoadgens pirobebs,

romlebic Sesabamisad uzrunvelyofen, rom depozitarebsa da bankebs Soris

Suamavali (mutual funds) srulyofili konkurenciis pirobebSia da nulovani

mogeba aqvs. amasTan depozitarebi Rebuloben R sargeblianobas bankis mier

nebismieri amonagebis miRebis SeTxvevaSi.

aRniSnuli daSvebebis pirobebSi, modelis wonasworoba gulisxmobs, rom, , , , , , , cvladebi unda akmayofilebdnen bankis zemoaRniSnul

maqsimizaciis pirobas da Sinameurneobebis sargeblianobis maqsimizaciis

pirobas dadebiTi , , , - Tvis.

wonasworobis aRniSnuli pirobis analizi (romlis teqnikur detalebsac

aq ar moviyvan) cxadyofs, rom depozitebis sargeblianobis ganakveTi

SesaZloa ar iyos damokidebuli bankis aqtivebis momgebianobaze ( = =), Tuki N bankebis sakuTari kapitali sakmarisad didia. im SemTxvevaSi,

84

rodesac bankis mier gaRebuli Zalisxmeva depozitarisTvis daukvirvebadia,

maSin wonasworoba am or SemTxvevaSi erTmaneTs emTxveva, mxolod maSin,

rodesac R (N + d) − R ≥ 0 da R (N + d) − R ≥ 0 sruldeba. anu bankis

aqtivebze nebismieri amonagebis realizebis SemTxvevaSi mas SeuZlia

depozitarebis momsaxureba. winaaRmdeg SemTxvevaSi, daukvirvebadi

Zalisxmevis wonasworobis d da R naklebia dakvirvebadi Zalisxmevis

wonasworobisaze da sargeblis ganakveTis marJac dadebiTia. aRniSnuli

Tviseba warmoadgens modelis ZiriTad meqanizms, romlis mixedviTac bankis

sakuTari kapitalis Semcireba uaryofiTad aisaxeba sargeblis ganakveTis

marJebze da finansuri Suamavloba ferxdeba, rac ekonomikis dakreditebisa

da investiciebis vardnas ganapirobebs.

85

თავი III. makro-finansuri modeli saqarTvelosTvis

postglobaluri finansuri krizisis periodSi makroekonomistebis

umniSvnelovanes gamowvevad iqca iseTi modelebis ageba, romlebic ara

mxolod axsnida warsul movlenebs, aramed sapasuxo RonisZiebebis

analizis saSulebas miscemda politikis gamtareblebs. rogorc xazgasmul

iqna msoflios wamyvani institutebis kvlevebSi (mag. Macroeconomic Assessment

Group, 2010), politikis gamtarebelTaTvis umTavres gamowvevas warmoadgens

balansis dacva, erTi mxriv, finansuri krizisebis SesaZlo moxdenis

riskebis Semcirebasa da im makropudenciuli politikis sazogadoebrivi

danaxarjs Soris, romelic normalur pirobebSi unda ganxorcieldes

finansuri krizisebis riskebis SemcirebisTvis. amdenad gansakuTrebul

mniSvnelobas iZens analitikuri CarCos Camoyalibeba, romelic swored am

tipis analizs Seuwyobs xels da politikis gamtareblebs balansis dacvis

saSualebas miscems.

winamdebare modeli swored zemoaRniSnuli Tvisebebis mqone,

makroekonomikuri da finansuri urTierTkavSirebis analizisTvis aris

gankuTvnili. kerZod, modeli ganixilavs finansuri da makroekonomikuri

cvladebis erTobliv kavSirebs, romlis saSualebiTac SesaZlebelia

gaanalizdes kerZo seqtoris dakreditebis zrda da sesxebis mSp–sTan

fardobis saprognozo dinamika saqmiani ciklebis gaTaliswinebiT. analizis

ZiriTadi Sedegia, SesaZlebeli iyos ekonomikaSi sesxebis zedmetad swrafi

zrdis da leveraJis Warbad dagrovebis riskebis identificireba da

Sesabamisi makroprudenciuli politikis dadgenisTvis orientireba. aseve,

modeli saSualebas iZleva gaanalizdes valutis SeusabamobiT gamowveuli

riskebi kerZo seqtorisTvis, romelic gansakuTrebul aqtualobas

ekonomikis maRali dolarizaciis pirobebSi iZens. modelis saSulebiT

aseve SesaZlebelia monetaruli politikisa da makroekonomikuri

prognozis analizi makroprudenciuli politikis endogenurobis pirobebSi

86

warimarTos, rac monetaruli da makroprudenciuli politikis

urTierTqmedebis gaanalizebis SesaZleblobas iZleva.

modeli ganekuTvneba axal-keinzianuri modelebis klass mcire da Ria tipis

ekonomikisaTvis da gafarToebulia finansuri seqtoris mocvis kuTxiT.

igi efuZneba dinamiuri, stoqasturi zogadi wonasworobis (Dynamic Stochastic

General Equilibrium, DSGE) modelirebas, Tumca naxevrad-struqturulia, rac




analizisTvis gankuTvnili modelebisa, Tumca damatebiT igi gamdidrebulia

finansuri friqciebis modelirebiT. makroprudenciuli politika

endogenurad aris warmodgenili kapitalis buferis kontr-cikluri wesiT1.

modelis finansuri bloki aseve Seicavs saWiro igiveobebs kerZo seqtoris

sakredito davalianebis dinamikurad aRwerisTvis.

modelis mikroekonomikuri struqtura moicavs Sinameurneobebs, romlebic

gaweuli Sromis fasad Rebuloben Semosavals xelfasis saxiT. Sualeduri

produqciis mwarmoeblebs, romlebic monopolisturi konkurenciis

pirobebSi awarmoeben usasrulod diferencirebul saqonels, sabanko

seqtors da konkurentul finansur bazrebs, romlebic finansur Suamavlebs

warmoadgenen. modelSi warmodgenilia sagareo seqtori, romelTanac

qveyana vaWrobs da aseve komerciuli bankebi Rebuloben sesxebs, xolo

monetarul da makroprudenciul politikas Sesabamisi miznebiT

axorcielebs centraluri banki. modelis moqmedebis meqanizmi sqematurad

diagrama 1-zea warmodgenili.

1kontr–cikluri wesi gulisxmobs bankebisTvis minimaluri dasacavi kapitalis normiszrda ekonomikuri bumis dros, xolo mis Semcireba recesiis dros.

87

diagrama 1 – modelis sqematuri struqtura

modelSi finansuri seqtori warmodgenilia sabanko sistemiT, romelic

ekonomikis dakreditebas axdens. sabanko sistemis sakredito portfeli

modelSi warmodgenilia Tavisi struqturiT, valutebisa da sargeblis

ganakveTis vadianobis struqturebiT. sakredito portfelis momsaxurebis

tvirTi, kerZo seqtorisTvis ganisazRvreba sargeblis ganakveTsa da

dolarizaciidan gamomdinare gacvliT kursze, romelic mimdinare

makroekonomikuri faqtorebiT ganisazRvreba. Tavis mxriv, sakredito

portfelis zrda, romelsac bankebi prociklurad axorcieleben, kvlav

Warbi moTxovnis damatebiT maprovocirebeli xdeba. magaliTad, ekonomikuri

ciklis bumis fazaSi Warbi moTxovna Warb sakredito zrdas uwyobs xels,

romelic Tavis mxriv Warb moTxovnas ganapirobebs. amdenad, modelSi

warmodgenili es damokidebuleba erTobliv moTxovnasa da sakredito

zrdas Soris „finansuri aqseleratoris“ efeqts aRwers, romelic farTod

dakvirvebadi fenomenia msoflios finansuri krizisebis istoriaSi.

საოჯახომეურნეობები

შუალედურიმწარმოებლები

საბოლოოპროდუქტის

მწარმოებლები

ცენტრალურიბანკი

ბანკები

საგარეოსექტორი

შუალედურიპროდუქცია

მოხმარება

ფინანსურიპროდუქტები

სამუშაო ძალა

იმპორტულისაწარმოოფაქტორი

ვალი

მაკროპრუდენციული დამონეტარული პოლიტიკა

წმინდაექსპორტი

ფინანსურიპროდუქტები

88

makro-finansuri urTierTkavSiris kidev erTi mniSvnelovani arxia fiSeris

valis deflacia, romelic modelSi aseve warmodgenilia sakredito

portfelis realuri zrdis da inflaciis damokidebulebiT. kerZod,

erToblivi moTxovnis Semcirebis SemTxvevaSi, deflaciuri zewola

nominalurad gamosaxulebaSi fiqsirebuli valis tvirTs zrdis rac

damatebiT boWavs erTobliv moTxovnas. piriqiT xdeba, rodesac dadebiTi

moTxovnis Sokia. ufro detalurad modelis struqturaSi rogor aris

aRniSnuli arxi gaTvaliswinebuli, Semdgom TavebSi iqneba warmodgenili.

finansuri seqtoris analizisTvis modelSi erT-erTi mniSvnelovani

faqtoria gacvliTi kursi, romelsac didi yuradReba eTmoba. kerZod,

gacvliTi kursi, erTi mxriv, ekonomikis realur seqtorze

mastabilizirebel gavlenas axdens, xolo, meore mxriv, sesxebis

dolarizaciis fonze sakredito tvirTis cvlilebas iwvevs, rac

erTobliv moTxovnaze aisaxeba da aseve samomxmareblo fasebze gavlenas

axdens, rogorc importuli saqonlis fasebis, aseve mwarmoebelTa sesxebis

gavliT.

makroprudenciuli politika modelSi warmodgenilia kapitalis ciklis

sawinaaRmdego buferis dadgenis wesiT. makroprudenciuli politikis

mizania, saWiroebis SemTxevaSi SezRudos sabanko seqtoris dakrediteba

Warbi zrdisas da moamzados sabanko sistema bumis Semdgom daRmasvlis

fazaSi danakargebis gaZlebisaTvis da xeli Seuwyos dakreditebis mkveTri

Semcirebis Tavidan acilebas. monetaruli politika gansazRvravs

refinansirebis ganakveTs, romelic teiloris wesis msgavsad

ganisazRvreba. kerZod, refinansirebis ganakveTi dgindeba inflaciis

prognozisa da Warbi erToblivi gamoSvebis (mSp-s potenciuri donidan

gadaxra, igive mSp “gapi”) mixedviT.

modelis axali keinzianuri Tvisebebidan aRsaniSnavia erToblivi

moTxovnis da filipsis gantolebebi. kerZod, erToblivi moTxovna

warmodgenilia dinamiuri IS mrudiT, romelic ekonomikur aqtivobas

realur sargeblis ganakveTTan akavSirebs da iTvaliswinebs molodinebsa

da sxva faqtorebs. axali keinzianuri filifsis mrudi (New-Keynesian Phillips

89

Curve) erToblivi miwodebis mxares warmoadgens. igi inflacias

gansazRvravs Tavisive molodinebiT da erToblivi gamoSvebis potenciuri

donidan gadaxris (rogorc zRvruli xarjebis sazomis) mixedviT. Ria

ekonomikis pirobebSi kapitalis moZraobis SeuzRudveloba, nominaluri

gacvliTi kursis adgilobriv da ucxouri sargeblis ganakveTebs Soris

diferencialze damokidebulebas ganapirobebs. modelSi gacvliTi kursi

procentis paritetulis pirobis mixedviT ganisazRvreba.

modelis ZiriTadi nawilis mikroekonomikuri safuZveli msgavsia Teoriuli

DSGE modelebis safuZvlis, Tumca modeli aseve moicavs qcevis aRmwer

iseT damokidebulebebs, romlebic saqarTvelos ekonomikis Taviseburebebis

ukeT aRsawerad aris warmodgenili konkretuli mikroekonomikuri

safuZvlis modelSi cxadad warmodgenis gverdis avliT. politikis

analizis saWiroebidan da prognozirebis xarisxis gaumjobesebisa Tu

praqtikuli Tvisebebis realobaze ukeT morgebis mizniT naSromSi agebuli

modeli naxevrad-struqturulia rac farTod damaxasiaTebelia msgavsi

tipis mizniT agebuli modelebisTvis. Sesabamisad, naSromSi mokled

mimovixilavT modelis mikroekonomikur safuZvels da aqcents mxolod

modelis dayvanil formaze da mis gamoyenebaze gavakeTebT.

modeli seqtorebis mixedviT xuT ZiriTad blokad iyofa, esenia: (I)

finansuri seqtori, romelic modelSi warmodgenilia sabanko seqtoris

sakredito portfelis aRmweri dinamikuri gantolebiT da sargeblis

ganakveTis vadianobis struqturiT; (II) erToblivi moTxovnis dinamikuri IS

gantoleba; (III) filipsis mrudi, romelic inflacias gansazRvravs; (IV)

gacvliTi kursis gantoleba, romelic procentis paritetuli pirobiT aris

warmodgenili; (V) makroprudenciuli politikis da (VI) monetaruli

politikis formirebis wesi.

90

1 modelis mikroekonomikuri safuZveli

naSromSi warmodgenili modelis struqtura da misi mikroekonomikuri

safuZveli zogadi wonasworobis dinamikuri stoqasturi (DSGE) modelebis

msgavsia. Tumca, aqve unda aRiniSnos, rom naSromSi warmodgenili modeli

naxevrad-struqturuli (Semi-structural) modelebis klass ganekuTvneba.

Sesabamisad modeli moicavs qcevis aRmwer iseT damokidebulebebsac,

romlebic sasurveli empiriuli Tvisebebis mizniT aris modificirebuli

konkretuli mikroekonomikuri safuZvlis cxadad gaweris gareSe.

modelis ZiriTad daSvebas warmoadgens, rom ekonomikuri agentebi

racionaluri molodinebis safuZvelze iReben optimalur

gadawyvetilebebs. ekonomikur agentebad moiazrebian: a) Sinameurneobebi,

romlebic axdenen sakuTari sargeblianobis funqciis maqsimizacias

sabiujeto SezRudvebis pirobebSi; b) firmebi, romlebic awarmoeben

diferencirebul saqonels da aseve cdiloben mogebis maqsimizacias g)

centraluri banki, romelic makroprudenciul da monetarul politikas

warmarTvas Sesabamisi miznebis mixedviT. makroprudenciuli politikis

mizans, finansuri seqtoris prociklurobis ganeitraleba warmoadgens, rac

makroekonomikuri ciklis stabilizacias uwyobs xels. monetaruli

politika inflaciis TargeTirebis reJimiT warimarTeba, romelic adgens

monetaruli politikis ganakveTs misi miznis Sesabamisad.

modelSi daSvebis Tanaxmad, warmodgenilia Sinameurneobebis usasrulo

raodenoba i∈ (0,1), romlebic Semosavals iReben xelfasis saxiT Sualeduri

produqtis mwarmoebeli firmebisTvis samuSao Zalis miwodebis Sedegad.

maTi sargeblianobis funqcia dadebiTad aris damokidebuli moxmarebaze da

uaryofiTad muSaobaze. aseve, Sinameurneobebi agroveben danazogebs da

TiToeuli maTgani axdens sargeblis maqsimizacias sabiujeto SezRudvis

pirobebSi, romelic droSi gadanawilebasac (intertemporal) gulisxmobs.

daSvebis Tanaxmad, i-uri Sinameurneobis sargeblianobis funqcias Semdegi

saxe aqvs:

91

,1 − − ,1 +sadac, β diskontirebis faqtoria, - preferenciis Soki, , - i -uri

Sinameurneobis mier miwodebuli samuSao Zala, ხოლო , - i -uri

Sinameurneobis mier moxmarebuli sasaqonlo kalaTa.

Sinameurneobebi sakuTar dovlaTs droSi anawileben adgilobrivi da

ucxouri obligaciebis yidvis meSveobiT. maTi sabiujeto SezRudva Semdegi

saxiT moicema:

, + , + ,∗ ≤ , + (1 − ) , + ∗ ,∗ +sadac, , da ,∗ warmoadgens t-1 periodSi Sesyiduli im adgilobrivi da

ucxouri obligaciebis raodenobas, romelTac sargebeli t periodSi aqvT.

da ∗ sargeblis realuri ganakveTebia adgilobriv da ucxour

obligaciebze, – realuri gacvliTi kursi1, xolo warmoadgens wminda

erTjerad transfers/gadasaxads da Sualeduri produqtis mwarmoebeli

firmebis mogebis jams. garda amisa, Cven vuSvebT, rom adgilobrivi

obligaciebi riskiania da SesaZloa ganicadon defolti mcire

albaTobiT. es albaToba naSromSi riskis premiad moixsenieba da misi

arwera avtoregresiuli modeliT xdeba.

Sinameurneobebis optimizaciis problema lagranJianis saxiT Semdegnairad

Camoyalibdeba:

, , , , , , ,∗ ,1 − − ,1 +− , , + , + ,∗ − , − (1 − ) , − ∗ ,∗ −

sadac, , i-uri Sinameurneobis lagranJis mamravlia. pirveli rigis

pirobebi oTxive cvladis ( , , , , , , ,∗ ) mimarT Semdegi saxiT moicema:

1 ufro konkretulad aRniSnavs, erTi erTeuli ucxouri valutis realur Rirebulebasadgilobriv erTeulebSi.

92

, = , (3.1.1), = , (3.1.2), = (1 − ) ( , ) (3.1.3), = ∗ ( , ) (3.1.4)

unda aRiniSnos, rom (3.1.1) da (3.1.2) gantolebebi gansazRvravs moxmarebisa

da dasvenebas Soris optimalur gadanawilebas, xolo (3.1.3) da (3.1.4)

oileris gantolebas (Euler equation) warmoadgens, romelic moxmarebis droSi

optimalur gadanawilebas aRwers.

(3.1.3) da (3.1.4) gantolebebis gaerTianebiT miiReba saprocento ganakveTis

paritetuli pirobas realuri cvladebisTvis. kerZod, igi miuTiTebs, rom

adgilobrivi realuri saprocento ganakveTi warmoadgens realuri

ucxouri saprocento ganakveTis, realuri gacvliTi kursis mosalodneli

gaufasurebisa da risk premiis kompensirebas.

saboloo angraiSiT, Sinameurneobis yvela gadawyvetilebis gaerTianebiT

vRebulobT, rom oileris gantolebebidan gamomdinare, mTliani moxmareba

damokidebulia realur saprocento ganakveTze, risk premiasa da realur

gacvliT kursze (ix. amave Tavis 5-e qveTavi).

Sualeduri produqtis mwarmoeblebi daSvebis Tanaxmad, monopolisturi

konkurenciis pirobebSi arian da Sesabamisad, aqvT unari daaweson

diferencirebuli fasebi diferencirebul saqonelze. Tumca, aseve daSvebis

Tanaxmad, adgili aqvs fasebis sixistes (msgavsad Calvo (1983)-is). kerZod,

daSvebis mixedviT, firmebis 1 − ∈ (0,1) nawili axerxebs optimalurad

daawesos axali fasi saqonelze maSin, roca darCenili θ nawili fass

inarCunebs araoptimalur doneze. Sualeduri produqtis mwarmoebeli

TiToeuli firma ∈ (0,1) awarmoebs saqonels masStabze mudmivi ukugebis

mqone teqnologiiT:

93

, ( ) = ( ) ( )sadac, egzogenuri teqnologiuri progresia, ( ) - j-uri firmis mier

daqiravebuli samuSao Zala, ( ) - importirebuli warmoebis faqtori,

xolo λ∈ (0,1) ki - samuSao Zalis wili warmoebis funqciaSi. rodesac

firmebs ar ZaluZT optimalurad daaweson fasi, isini cvlian mas

meqanikuri indeqsaciis wesis mixedviT:

, ( ) = , , , ( )indeqsaciis wesSi CarTulia importirebuli inflacia, radgan firmas ar

SeuZlia moaxdinos optimizacia sruli masStabiT da maSin mas

importirebul inflaciaze dayrdnobiT (adgilobrivTan erTad) fasis

cvlilebis aproqsimacia mainc ZaluZs, radgan warmoebis funqcia iyenebs

warmoebis importirebul faqtorebsac. am azriT fasebis sixiste xdeba

Sedegi ara firmebis fizikuri uunarobisa Secvalon fasi, aramed

kvalifikaciis naklebobisa gadawyviton optimizaciis, an gaurkvevlobis

pirobebSi, romelSic isini imyofebian. Sedegad, Sualeduri produqtis

mwarmoebeli j-uri firmis droSi gadanawilebis optimizaciis amocanas

Semdegi saxe aqvs:

,∗ ( ), , ( ), , ( ) , ( ) , ( ) − , ( ) − , ( )moTxovnis (3.1.12) SezRudvisa da fasebis dawesebis SezRudvis pirobebSi,

romelsac Semdegi saxe aqvs:

, ( ) = ,∗ ( ) 1 −, , , ( )

94

sadac, ,∗ ( )- axlad optimizirebul fass, xolo 1 − da Sesabamisad,

optimaluri fasis dadgenisa da meqanikuri indeqsacis gamoyenebis

albaTobebs warmoadgnes. aRniSnavs maTematikuri lodinis operators

dafuZnebuls nulovani periodis informaciaze, - stoqastur

diskontirebis faqtors, - nominalur xelfass da ki - realur gacvliT

kurss. lagranJianis formiT optimizaciis amocanas Semdegi saxe eqneba:

,∗ ( ), , ( ), , ( ) ⎩⎪⎨⎪⎧

⎝⎜⎜⎛ ,∗ ( ) ,, ,, , ( ) − , ( )

− , ( ) − ( ) , ( ) − ( ) ( )− ( ) ⎣⎢⎢⎢

⎢⎡ , ( ) − ⎝⎜⎛ ,∗ ( ) ,, ,,, ⎠⎟

⎞ , ⎦⎥⎥⎥⎥⎤⎠⎟⎟⎞⎭⎪⎬⎪⎫

sadac, ( ) da ( ) moTxovnis SezRudvasa da teqnologiur SezRudvasTan

asocirebuli lagranJis mamravlebia j-uri firmisTvis. maSasadame, pirveli

mamravlis interpretacia zRvruli mogebaa (damatebiT miRebuli mogeba

moTxovnis SezRudvis Semsubuqebisas), xolo meore mamravlis - zRvruli

danaxarji (damatebiT dazogili danaxarji warmoebis SezRudvis

Semsubuqebisas).

teqnikuri detalebis damatebiTi konkretikis gareSec advilia

davrwmundeT, rom mogebis maqsimizaciidan (an ekvivalenturad -

danaxarjebis minimizaciidan) gamomdinareobs, rom realuri zRvruli

danaxarjebi damokidebulia realur xelfassa da realur gacvliT kursze.

garda amisa, Tu gamoviyenebT Sinameurneobebis optimizaciis amocanis

pirveli rigis pirobas, firmebis optimizaciis pirveli rigis pirobas

P_ ,∗ ( ) -is mimarT, fasebis erToblivi dinamikis kanonsa da saqonlisa da

Sromis bazarze wonasworobis pirobebs, maSin miviRebT, , rom adgilobrivi

inflacia damokidebulia Tavis lagze, momavlis molodinebze (lidebze),

95

importirebul inflaciaze, realur gacvliT kurssa da adgilobriv

ekonomikur aqtivobaze1.

saboloo pruduqciis mwarmoebeli firmebi Sualedur produqcias CES

(Constant Elasticity of Substitution) teqnologiiT gardaqmnian saboloo

produqciad da mas Sinameurneobebze yidian. Sualeduri produqcia, Tavis

mxriv, warmoebis pirvel etapze erT kalaTaSi erTiandeba:

, = ∫ , ( ) (3.1.5)

sadac, , ( ) warmoadgens t periodSi Sualeduri produqciis mwarmoebeli j-

uri j ∈ (0,1)firmis mier warmoebul adgilobrivi saqonlis raodenobas.

warmoebis Semdeg etapze erTiandeba sxvadasxva qveyanaSi warmoebuli

sxvadasxva tipis Sualeduri saqoneli:

, = ∫ , ( ) (3.1.6)

sadac

, ( ) = ∫ , ( , ) (3.1.7)

da , ( , ) warmoadgens ucxouri saqonlis raodenobas, warmoebuls -uri ( ∈(0,1)) mwarmoeblis mier -ur ( ∈ (0,1)) qveyanaSi. δ >1 warmoadgens sxvadasxva

tipis saqonelTa Soris Canacvlebis elastiurobas da γ>1 ki - ucxour

qveyanaTa Soris Canacvlebis elastiurobas.

1firmis optimizaciis amocanidan axal-keinzianuri filipsis mrudi miRebulia Gali (2008) –

is mixedviT.

96

warmoebis bolo etapze erTiandeba adgilobrivi da ucxouri produqciis

kalaTebi saboloo produqtis misaRebad:

= ( , ) + (1 − ) , (3.1.8)

sadac, α∈[0,1] adgilobrivi produqciis mimarT mikerZoebis sazomia, xolo

η>0 ki Canacvlebis elastiurobas aRwers adgilobriv da ucxour saqonels

Soris.

saboloo produqtis mwarmoebeli firmisTvis optimizaciis amocanas

Semdegi saxe aqvs:

, ( ), , ( , ) ≡ − , ( ) , ( ) , ( , ) , ( , )(3.1.5), (3.1.6), (3.1.7) da (3.1.8) pirobebis gaTvaliswinebiT.

aRniSnuli optimizaciis amocanidan da wminda konkurenciidan

gamomdinareobs, rom adgilobrivi fasebis indeqsi moicema , =∫ , ( ) , xolo ucxouri fasebis indeqsi , = ∫ , ( ) ,

sadac , ( ) = ∫ , ( , ) , xolo , ( , ) warmoadgens -uri qveynidan

importirebuli -uri saqonlis fass. fasebis mTliani indeqsi moicema:

= ( , ) + (1 − )( , )SevniSnoT, rom, roca η=1, maSin mTliani inflacia (anu fasebis mTliani

indeqsis zrdis tempi) adgilobrivi da importirebuli inflaciebis

saSualo Sewonils warmoadgens1:= , + (1 − ) , (3.1.9)

aseve zemoTmoyvanili optimizacis amocanidan gamomdinareobs, rom

saboloo produqtis mwarmoebeli firmis moTxovnas adgilobrivi

mwarmoeblis Sualedur produqtze, Semdegi forma gaaCnia:

1rodesac η→1 miRebuli SedegisTvis logariTmis gamoyeneba da pirveli rigis sxvaobebiTwarmodgena aRniSnul Sedegs gvaZlevs.

97

, ( ) = , ( ), , (3.1.10)

dasasruls, modelSi monetaruli da makroprudenciuli politika

formirdeba sazogadoebrivi keTildReobis maqsimizaciiT. keTildReobis

danakargebi Sedegia im cvladebis meryeobisa, romlebic zegavlenas axdens

ekonomikuri agentebis sargeblianobaze. kerZod, monetaruli politika

miznad isaxavs, rom Seamciros inflaciisa da mSp-is gadaxra TavianTi

wonasworuli donidan, aseve Seamciros sargeblis nominaluri ganakveTebis

meryeoba. Tavis mxriv makroprudenciuli politikis mizania dakreditebis

donis meryeobis Semcireba da stabiluri ekonomikuri zrdis xelSewyoba.

kerZod, monetaruli politikis mizania mosalodneli keTildReobis

danakargebis funqciebis minimizacia,1 romelsac Semdegi saxe aqvs:= ∑ ( ( ) − ) + + ( − ) (3.1.11)

sadac, , > 0 parametrebia, romlebic sazogadoebis keTildReobisTvis

Sesabamisi cvladebis fardobiT mniSvnelovnebas gansazRvravs.

inflaciis miznobrivi maCvenebelia, - mSp-s gadaxra potenciuri donidan,

- nominaluri saprocento ganakveTi, xolo - neitraluri nominaluri

ganakveTia.

makroprudenciuli politikis mizania, mosalodneli keTildReobis

danaxarjis Semdegi funqciis minimizeba:= ∑ + . [3.1.12]

sadac, da parametrebi gansazRvraven, Sesabamisad sabanko dakreditebis

mSp-sTan fardobis ( ) da mSp-s ( ) wonasowruli donidan gadaxrebis

fardobiT mniSvnelovnebas sazogadoebrivi keTildReobisTvis.

zemoaRwerili struqturis garda, models igulisxmeba, rom ekonomikis

yvela seqtori wonasworobaSia. modelis amonaxsnis gawrfiveba-

galogariTmebis Sedegad miiReba modelis qceviTi gantolebebi, romlebic

1keTildReobis danakargebis funqcia - ingl. Welfare loss function danakargebis funqciaSinominaluri ganakveTis CarTvis magaliTi ixileT vudfordis (2003) naSromSi.

98

momdevno qveTavebSia ganxiluli. amasTan unda aRiniSnos, rom modeli

makroprudenciuli da monetaruli politikis analizSi fraqtikuli

gamoyenebis mizniT naxevrad-struqturulia da qcevis aRmweri gantolebebi

sasurveli empiriuli Tvisebebis mizniT modificirebulia.

2 Semosavlianobis mrudi

sargeblis ganakveTi da misi droiTi struqtura, ufro zogadad ki

Semosavlianobis mrudi, makroekonomikuri da finansuri politikis

TanakveTis areals warmoadgens. monetaruli da makroprudenciuli

politikis mosalodneli cvlilebebi, romelic ekonomikis realur

seqtorze damokidebulebiT icvleba, aisaxeba Semosavlianobis mrudze.

Tavis mxriv, Semosavlianobis mrudi, finansuri aqtivebis fasebsa da maT

amonagebs gansazRvravs.

naSromSi warmodgenil modelSi Semosavlianobis mrudi cxadad

warmodgenilia samTviani1, erTwliani da samwliani vadianobis sargeblis

ganakveTebiT, rogorc adgilobrivi ise ucxouri2 valutis aqtivebisTvis.

orive maTganSi ZiriTad saprocento ganakveTs moklevadiani sargeblis

ganakveTi warmoadgens. adgilobrivi valutis SemTxvevaSi, moklevadian

ganakveTs, rogorc monetaruli politikis ZiriTad instruments

centraluri banki fasebisa da ufro zogadad, makroekonomikuri

stabilizaciis miznis mixedviT adgens, xolo ucxouri valutis

SemTxvevaSi moklevadian ganakveTis londonis bankTaSorisi sesxebis

(LIBOR) erTTviani sargeblis ganakveTi warmoadgens. es ukanaskneli, Tavis

mxriv, damokidebulia aSS-s federaluri sarezervo sistemis monetaruli

politikis ZiriTad ganakveTze, romelic aSS-s ekonomikis stabilizaciis

miznebiT dgindeba. Semosavlianobis mrudis grZelvadiani ganakveTebi

1ufro zustad, monetaruli politikis ZiriTad instruments erT kviriani refinansirebisganakveTi warmoadgens, romelic modelSi kvartaluri sixSiriT aris warmodgenili.Sesabamisad, igi didi sizustiT emTxveva sam Tvian sargeblis ganakveTs.2ucxour valutis saprocento ganakveTebi gulisxmobs aSS dolaris sargeblis ganakveTebssaqarTvelos adgilobriv bazarze.

99

modelSi warmodgeba, rogorc momavlis moklevadiani ganakveTebis

mosalodneli mniSvnelobebis ariTmetikuli saSualo da riskis premiis

jami. es ukanaskneli moixsenieba rogorc likvidurobis premia da igi

Tavisi SinaarsiT investorisTvis, romelic grZelvadian aqtivs flobs,

momavalTan asocirebuli gaurkvevlobis kompensacias gulisxmobs.

likvidobis riskis premia gansxvavdeba vadianobebis mixedviT da igi

izrdeba vadianobis zrdasTan erTad.

SejamebisTvis unda iTqvas, rom Semosavlianobis mrudi aerTianebs

makroekonomikur da finansur arxebs. centraluri banki, romelic

iTvaliswinebs ra fundamentur makroekonomikur faqtorebs, monetaruli

politikis miznebidan gamomdinare adgens moklevadian saprocento

ganakveTs. moklevadiani ganakveTebi gadaecema grZelvadian ganakveTebs,

romelic, rogorc zemoT ukve vaxseneT arbitraJis SeuZleblobis daSvebas

efuZneba. amdenad, momavlis makroekonomikuri faqtorebis molodinebi aseve

asaxulia Semosavlianobis mrudze.

detalurad, rom aRvweroT, adgilobrivi valutisTvis Semosavlianobis

mrudi warmodgenilia Semdegnairad. -warmoadgens moklevadian saprocneto

ganakveTs (sam Tviani vadianobis), romelic monetaruli politikis

ZiriTadi instrumentia da centraluri bankis mier dgindeba (detalurad

ixileT merve qveTavSi monetaruli politikis Sesaxeb). erTwliani

sargeblis ganakveTi ganisazRvreba, rogorc monetaruli politikis

ganakveTis mosalodneli mniSvnelobebis saSualosa da droSi cvladi

likvidobis riskis premiis jami. samwliani sargeblis ganakveTi, ,

ganisazRvreba, rogorc erTwliani sargeblis ganakveTebis mosalodneli

mniSvnelobebis saSualosa da droSi cvladi Sesabamisi riskis premiis

jamis saxiT.

= ( ) ( ) ( ) + 1 (3.2.1)

= + 3 (3.2.2)

100

sadac, ( ), ( ) da ( ) aRniSnaven monetaruli politikis ganakveTis

racionalur molodinebs t+1, t+2 da t+3 periodebisaTvis1, xolo ( ) da( ) warmoadgenen, Sesabamisad, oTxi da rva kvartalebis Semdgomi

periodebisTvis arsebuli erTwliani sargeblis ganakveTis racionalur

molodinebs t periodSi arsebul informaciaze dayrdnobiT.

(3.2.1) da (3.2.2) -is eqvivalenturad aigeba realuri sargeblis ganakveTebis

mrudi. kerZod,

= ( ) ( ) ( ) + 1 (3.2.3)

= + 3 (3.2.4)

sadac, da aRniSnavs sargeblis realur ganakveTs, Sesabamisad

erTwliani da samwliani vadianobis aqtivebisTvis. warmoadgens

moklevadian realur sargeblis ganakveTs, romelic fiSeris gantolebiT

ganisazRvreba nominaluri sargeblis ganakveTisa ( ) da mosalodneli

inflaciis ( ) gaTvaliswinebiT:

= − (3.2.5)

aRsaniSnavia, rom (3.2.3) da (3.2.4)-Si gamoyenebulia igive likvidobis riskis

premia, romelic maT nominalur eqvivalentebSia ((3.2.1) da (3.2.2)), rac

niSnavs, rom riskis premiis cvlileba erTnairad axdens gavlenas, rogorc

nominalur, ise realuri sargeblis ganakveTebze. mdgradi

wonasworobisTvis Semosavlianobis mrudebi analogiurad Caiwereba imis

gaTvaliswinebiT, rom TiToeuli vadianobis saprocento ganakveTi da

riskis premia mdgradi wonasworobis Sesabamisia.

modelSi aseve warmodgenilia ucxouri valutis Semosavlianobis mrudi,

romlis saWiroebac finansuri seqtoris dolarizaciiT aris

ganpirobebuli. kerZod, 2014 wlis dekembris mdgomareobiT bankebis mier

1modeli agebulia kvartaluri sixSiris monacemebze, Sesabamisad t periodi aRniSnavskvartals.

101

kerZo seqtorze gacemuli sesxebis dolarizacia 61%-ia1. ucxouri

valutisTvis, sargeblianobis mrudi adgilobrivi valutis analogiurad

ganisazRvreba, Tumca ori mniSvnelovani gansxvavebiT. moklevadiani

sargeblis ganakveTi gansazRvrulia londonis bankTaSorisi sesxebis

bazarze (LIBOR) arsebuli ganakveTisa da qveynis riskis premiis jamiT.

kerZod, dolaris moklevadiani ganakveTi saqarTvelos adgilobriv

bazarze, _ , Semdegnairad formirdeba:

_ = ∗ + + ∗ (3.2.6)

sadac, ∗ warmoadgens londonis bankTaSorisi sesxebis bazarze (LIBOR)

erTTviani sargeblis ganakveTs, xolo -iT aRniSnulia qveynis riskis

premia, romelsac sxva Tanabar pirobebSi investorebi iTxoven qarTul

aqtivebSi investirebisTvis. mniSvnelovania aRiniSnos, rom

gansxvavdeba (3.2.1), (3.2.2) -Si gamoyenebuli likvidobis riskis premiisgan,

romelic momavalTan dakavSirebuli gaurkvevlobis risks asaxavda.

meore gansxvavebas warmoadgens, rom ucxouri valutis sargeblianobis

mrudis TiToeuli vadianobisTvis amonagebi gamosaxuli unda iyos

adgilobrivi valutis erTeulebSi, maSasadame sargeblis ganakveTTan

erTad gaTvaliswinebuli unda iyos gacvliTi kursis cvlilebac.

aRniSnuli ganpirobebulia im garemoebiT, rom erTobliv moTxovnaze

sargeblis ganakveTi gavlenas, dazogvasa da investirebas/moxmarebas Soris

arCevanis gziT axdens, amdenad ucxouri valutis sesxis SemTxvevaSi

ekonomikuri subieqtebi gadawyvetilebis miRebisas ucxouri valutis sesxis

faqtobriv tvirTs iTvaliswineben, romelic sargeblis ganakveTTan erTad

gacvliTi kursis cvlilebasac moicavs. aRniSnulis gaTvaliswinebiT,

dolaris moklevadiani (samTviani) sargeblis ganakveTi laris erTeulebSi,_ , Semdegi saxiT moicema:_ _ = _ + 4 ∗ (Δ ) (3.2.6)

1 wyaro: saqarTvelos erovnuli banki.

102

sadac, (Δ ) warmoadgens laris dolarTan mimarTebaSi nominaluri

gacvliTi kursis cvlilebis1 racionalur molodins t - periodSi arsebul

informaciaze dayrdnobiT. gacvliT kursis mosalodneli cvlileba

gawliurebulia oTxze gamravlebiT, raTa Sesadari iyos wliuri

procentisa.

laris erTeulebSi gamosaxuli dolaris erTwliani da samwliani

sargeblis ganakveTebi (3.2.1) da (3.2.2) -is analogiurad ganisazRvreba _ -

is mosalodneli mniSvnelobebiTa da riskis premiiT (gantolebebis sruli

aRweisTvis ixileT danarTi). unda aRiniSnos, rom modelSi daSvebis

Tanaxmad adgilobrivi da ucxouri valutis sargeblianobis mrudebi

erTidaigive vadianobis riskis premiebs iyenebs, rac emyareba im mosazrebas,

rom gacvliTi kursis riski _ -is meSveobiT ukve asaxulia dolaris

moklevadian ganakveTebSi (gantoleba 3.2.6), amdenad Semosavlianobis mrudi

adgilobrivi Tu ucxouri valutisTvis aRar ganasxvavebs likvidobis

riskis premias.

Tavis mxriv, qveynis riskis premia, , modelSi warmodgenilia rogorc

mdgradi wonasworuli mniSvnelobis da misgan gadaxris jamis saxiT, es

ukanaskneli avtoregresiuli procesiT aRiwereba, xolo mdgradi

wonasworuli mniSvneloba kalibrirebulia qveynis zogadi fundamenturi

faqtorebis gaTvaliswinebiT2. amis msgavsad aris modelSi warmodgenili

livkidobis riskis premiebic (detalizaciisTvis ixileT danarTSi

gantolebebis sruli sia).

1modelSi gamoyenebuli aRniSvniT, warmoadgens lari/dolaris nominaluri gacvliTikursis logariTmul mniSvnelobas romelic aszea gamravlebuli. SesabamisadΔ +1warmoadgens t+1 periodSi procentulad laris gaufasurebis pirveli rigismiaxloebiT mniSvnelobas.

2ixileT Tavi 4, modelis parametrizaciis Sesaxeb.

103

3 makroprudenciuli politika da makrofinansuri kavSirebi

modelSi gaTvaliswinebuli makropurdenciuli politkis mTavar

instruments kapitalis kontrcikluri buferi warmoadgens. amdenad

makroprudenciuli politika modelSi warmodgenilia kontrcikluri

buferis dadgenis wesiT, romlis mixedviTac misi politikis ZiriTad

mizans finansuri seqtoris prociklurobis ganeitraleba warmoadgens.

saqmiani ciklis aRmavlobis dros, rodesac mSp-s gadaxra misi potenciuri

donidan izrdeba, es sabanko seqtoris mxridan sakredito pirobebis

Semsubuqebas da sesxebis Warbi zrdis provocirebas axdens. es ki erTobliv

moTxovnaze aisaxeba, rac spiralur efeqts qmnis rogorc es ganxiluli

iyo makro-finansuri urTierTkavSirebis mimoxilvaSi (ixileT Tavi 2, 1-li

qveTavi). amdenad makroprudenciuli politika cdilobs SezRudos sesxebis

Warbi zrda ekonomikis realuri seqtoris Warbi zrdis SemTxvevaSi, xolo

waaxalisos igi recesiis Jams, amiT xels uwyobs makroekonomikur

stabilurobas.

modelSi kapitalis kontrcikluri buferis dadgena xdeba Semdegi wesiT= ∗ + (1 − ) ∗ + ∗ ∗ + (1 − ) ∗ ∗ +∗ (3.3.1)

sadac, aris kapitalis kontrcikluri buferi, romelic bankebis riskis

mixedviT Sewonili aqtivebis proporciulad moicema, misi grZelvadiani

wonasworuli done, - mTliani Sida produqtis potenciuridan gadaxra,

- sesxebis mTlian Sida produqtTan fardobis gadaxra misi wonasworobis

donidan, xolo makroprudenciuli politikis Soks warmoadgens. da

parametrebi, makroprudenciuli politikis prioritetebs gansazRvravs

ekonomikis stabilizaciis xelSewyobisa da kerZo seqtoris leveraJis

optimalur doneze SenarCunebas Soris. kontrcikluri buferis dadgenis

wesSi mniSvnelovani parametria , romelic makroprudenciuli

politikis prioritetebis cvalebadobas uzrunvelyofs ekonomikuri

mdgomareobis mixedviT. modelSi arawrfivad aris damokidebuli

104

saqmian ciklsa da kerZo seqtoris leveraJze. kerZod, sanam kerZo seqtoris

leveraJi dabalia (anu sesxebis mSp-sTan fardoba CamorCeba wonasworul

maCvenebels) parametri (3.3.1) gantolebaSi izrdeba, Sesabamisad

makroprudenciuli politika kontrcikluri miznebidan gamomdinare adgens

kapitalis bufers da xels uwyobs uSualod ekonomikis stabilizacias. im

SemTxvevaSi rodesac kerZo seqtoris dakrediteba maRalia, parametri

mcirdeba, Sedegad makroprudenciuli politikisTvis ufro prioritetuli

xdeba kerZo seqtoris leveraJis SezRudva da mcirdeba mis mier saqmiani

ciklis daregulirebis miznebiT gamoyenebis SesaZlebloba.

parametris konkretuli saxe diagrama III.11-ze aris gamosaxuli.

diagrama III.1 makroprudenciuli politikis damokidebuleba ekonomikis biznes ciklze

diagramidan Cans, rom rodesac sesxebis mSp-sTan fardoba izrdeba,

makroprudenciuli politika ufro prioritetulad miiCnevs kerZo

seqtoris leverejis sakiTxs, cb^cycle koeficienti nols uaxlovdeba da

1 = 2 ∗ −5sadac, - warmoadgens sesxebis mSp-sTan fardobis mimdinare dones, xolo (∙) e.wcomplementary error function.

0 1 2 3 4 5 6 7 8 9 10 11

0

0.2

0.4

0.6

0.8

1

sesxebis mSp-sTan fardobis gadaxra wonasworobidan, pp

CBcycle

105

makroprudenciuli politika kerZo seqtoris valis stabilizaciis

miznebidan gamomdinare dgindeba, xolo rodesac sesxebis mSp-sTan

fardobis gadaxra wonasworouli donidan zRvrul 10 procentian niSnuls

aRemateba makroprudenciuli politika srulad valis stabilurobaze

zrunavs. makroprudenciuli politikis cvalebadi preferencia aseve xSirad

ganpirobebulia sareitingo kompaniebisa Tu saerTaSoriso organizaciebis

zewolisagan iseTi RonisZiebebis gatarebaze, romelic kerZo seqtoris

davalianebis Semcirebisken iqneba mimarTuli. rodesac levereji ar

warmoadgens safrTxes da sesxebis mSp-sTan fardobis gadaxra misi

wonasworobis donidan 2 procentiani zRvruli niSnulis farglebSia,

parametri erTTan axlosaa da kapitalis kontrcikluri buferi

saqmiani ciklis (mSp-s potenciuri dinidan gadaxris) mixedviT dgindeba1 .

kapitalis kontrcikluri buferi, Tavis mxriv, gulisxmobs, rom

sazedamxedvelo politikis farglebSi safinanso seqtoris maregulirebel

komerciul bankebs riskis mixedviT Sewonili aqtivebis proporciulad

kapitalis odenobas uwesebs, romelic maT damatebiT unda iqonion.

aRniSnuli buferi komerciul banks dakreditebis xarjs uzrdis riTac

zRudavs sesxebze moTxovnas.

makropurdenciuli politikis gadacemis meqanizmi modelSi Semdegnairad

aris warmodgenili. gantoleba (3.3.2) aRwers dakreditebis moculobis

damokidebulebas kapitalis kontrciklur buferze da ekonomikis saqmian

ciklze. kerZod, sesxebis mSp-sTan fardobis gadaxra misi wonasworobis

mdgomareobidan2 ( ) damokidebulia inflaciis ( ) gadaxraze misi

miznobrivi donidan, mTliani Sida produqtis gadaxraze misi potenciuri

donidan ( ) da kapitalis kontrcikluri buferis gadaxraze misi

neitraluri donidan. misi neitraluri done gulisxmobs im niSnuls,

1zRvruli maCveneblebi aRebulia kapitalis kontrcikluri buferis dadgenis wesis Sesaxeb

bazelis komitetis mier SemuSavebuli sagzao rukis Sesabamisad, Guidance for national authoritiesoperating the countercyclical capital buffer, 2010.2 SegaxsenebT, sesxebis mSp-sTan fardobis trendi gulisxmobs misi istoriul trends,romelic ekonomikis mdgradi zrdis Sesabamisia da finansuri Suamavlobis mdgradfunqcionirebas ganapirobebs.

106

romelsac sabanko seqtori saSualod inarCunebs dakreditebis mdgrad

dones.= ∗ − ∗ ( − ) + ∗ − ∗ ( − ) + ∗ (Δ − Δ ) +∗ (3.3.2)

unda aRiniSnos, λ parametri aRwers kapitalis adekvaturobis koeficientis

1 procentuli punqtiT zrdis gavlenas sesxebze. igi damokidebulia

safinanso seqtoris mikroekonomikur struqturasa da kerZo seqtoris mier

sesxebis moTxovnis elastiurobaze saprocento ganakveTis mimarT. (3.4.2)

gantolebaSi warmoadgens egzogenur Soks sakredito portfelze.

makrofinansuri urTierTkavSirebis warmosadgenad, modelSi

gansakuTrebuli datvirTva aqvs parametrs, romelic sesxebis saqmian

ciklze damokidebulebas aRwers. kerZod, igi warmoadgens finansuri

seqtoris prociklurobis sazoms, romelic Tavis mxriv, sagiravno aqtivis

fasebis prociklurobisa da informaciis asimetriulobiT aris

ganpirobebuli (ixileT amave Tavis 1-li qveTavi). sabanko seqtoris

dakreditebis tempis biznes ciklze dadebiTi damokidebuleba modelSi

warmodgenili „finansuri aqseleraciis“ meqanizmis nawilia. es ukanaskneli

ki gulisxmobs, rom bankis mier gacemuli sesxis marJa damokidebulia

ekonomikis biznes ciklze. kerZod, ekonomikuri recesiis Jams, rodesac

mcirdeba aqtivebis fasebi mcirdeba ra sesxis mimRebis wminda Rirebuleba,

es aisaxeba investoris mier proeqtis Tanadafinansebis SesaZleblobaSi da

Sedegad izrdeba bankis mier sesxis riskisTvis gaTvaliswinebuli marJa. es

ukanaskneli ki sesxebze moTxovnis Semcirebasa da dakreditebis Senelebas

iwvevs. piriqiT xdeba ekonomikuri bumis Jams, romelic sesxebis zrdis

waxalisebas ganapirobebs.

„finansuri aqseleraciis“ meqanizmis srulad warmodgenisTvis modelSi

aseve gaTvaliswinebulia sesxebis Warbi zrdis gavlena ekonomikur

aqtivobaze. Warbi sesxebis zrda Tavis mxriv gulisxmobs, sesxebis mSp-sTan

fardobis gadaxras misi wonasworobis donidan ( ), romelic gavlenas

107

axdens aseve mTliani Sida produqtis gadaxraze misi potenciuri donidan

(aRniSnuli gantoleba detalurad ixileT Semdeg TavSi). amdenad, SeiZleba

iTqvas, rom modelis mikroekonomikur safuZvelSi sakredito bazris

SezRudvebis Sesaxeb iribad warmodgenili daSvebebis saSualebiT modeli

iTvaliswinebs „finansuri aqseleratoris“ meqanizms, romlis Sedegadac

finansuri seqtori ekonomikaSi arsebuli Sokebis gaZlierebasa da

gaxangrZlivebas ganapirobebs.

finansuri friqciebis makroekonomikuri gavlenis kidev erTi mniSvnelovani

arxia e.w. „fiSeris deflaciis efeqti“, romlis warmodgenasac modeli

cdilobs. kerZod, e.w. „fiSeris deflaciis efeqti“ gulisxmobs, rom

inflacia cvlis valis realur tvirTs nominaluri moculobis

ucvlelobis pirobebSic ki. ekonomikuri recesiis dros, rodesac

inflaciis done mosalodnelze naklebia, es valis realuri tvirTis

damZimebas ganapirobebs, rac investiciebze aisaxeba da recesiis

gaRrmavebas uwyobs xels. ekonomikuri bumis dros, izrdeba ra inflaciis

done mosalodnelze metad, igi amcirebs valis realur tvirTs rac

ekonomikaSi investiciebis zrdas ganapirobebs. amdenad e.w. „fiSeris

deflaciis efeqti“ aZlierebs ekonomikur meryeobas recesiisa Tu bumis

periodebSi1.

(3.3.2) gantolebis mixedviT, sesxebis tvirTi damokidebulia inflaciaze

romlis Tanaxmadac inflaciis zrda miznobrivi maCveneblis miRma,

sakredito portfelis tvirTis Semcirebas uzrunvelyofs. amdenad,

miznobrivze maRali inflacia sakredito tvirTis Semsubuqebis

ganapirobebs da ekonomikur gamoSvebas zrdis, xolo miznobrivze dabali

inflacia piriqiT, sesxebis momsaxurebis tvirTis zrdas da ekonomikuri

gamoSvebis Semcirebas ganapirobebs.

1amis sapirispirod, ekonomikis stabilurobas uwyobs xels, rodesac ekonomikaSi gvxvdebamiwodebis Soki da sapirispiro mimarTulebiT moZraobs gamoSveba da fasebis done. esufro xSirad Ria da mcire zomis ekonomikis mqone qveynisTvis aris damaxasiaTebeli,

romelic sagareo Sokis zegavlenas ganicdis.

108

4 sakredito portfeli

modelSi sesxebis mSp-sTan fardobis dinamikur analizs mniSvnelovani

yuradReba eTmoba. kerZod, rogorc 3.3 TavSi iqna aRwerili, igi gamoiyeneba

kapitalis kontrcikluri buferis dadgenisas da masze damokidebulebiT

makroprudenciuli politika kerZo seqtoris Warbi dakreditebis

SezRudvas axdens. sesxebis mSp-sTan fardoba ( ) Semdegi saxiT moicema

= − ( + ) (3.4.4)

sadac, - sesxebis, - mTliani Sida produqtis, xolo - samomxmareblo

fasebis indeqsis logariTmul mniSvnelobebs aRniSnaven. unda aRiniSnos,

rom mSp deflatoris magivrad samomxmareblo fasebis donea gamoyenebuli,

rac gulisxmobs daSvebas, rom maTi dinamika saSualod erTmaneTs unda

emTxveodes. aqve ganvmartoT sesxebis mSp-sTan fardobis wonasworobidan

gadaxra, romlic Semdegnairad moicema:

sadac= − (3.4.5)

sadac, sesxebis mSp-sTan fardobis wonasworobis dones warmoadgens.

Tavis mxriv, igi aRiwereba, misi zrdis tempiT (Δ , romelic

avtokorelaciis koeficientiT miiswrafvis misi grZelvadiani

mniSvnelobisken (Δ ). kerZod, sesxebis mSp-sTan fardobis wonasworobis

dinamikisa da misi wonasworobis zrdis tempis gantolebas Semdegi saxe

aqvT:Δ = 4 ∗ ( − ) (3.4.6)

Δ = ∗ Δ + (1 − ) ∗ Δ + ∗ (3.4.7)

sadac, Δ - sesxebis mSp-sTan fardobis mdgradi zrdis temps warmoadgens(misi konkretuli mniSvnelobis SefasebisTvis ixileT pirveli qveTavi).

109

5 erToblivi moTxovna

modelSi, moTxovnis mxare warmodgenilia dinamiuri IS mrudiT, romelic

ekonomikur aqtivobasa da realur saprocento ganakveTs akavSirebs, aseve

iTvaliswinebs molodinebisa da sxva faqtorebis gavlenas erTobliv

moTxovnaze. aRniSnuli damokidebuleba gamoiyvaneba mikroekonomikuri

safuZvlidan, romelic zemoT iqna moyvanili da standartulad

damaxasaiTebelia msgavsi tipis modelebisTvis1.

moTxovnis mruds Semdegi saxe aqvs:= ∗ ( ) + ∗ − ∗ + ∗ + ∗ − ∗(Δ − Δ ) + ∗ ∗ ∗ + ∗ + ∗ (3.5.1)

sadac, y , warmoadgens gamoSvebis Warb moculobas, r - realuri saprocento

ganakveTis da - qveynis riskis premiis gadaxrebs maTive wonasworobis

doneebidan. z warmoadgens realuri efeqturi gacvliTi kursis gadaxras

misi wonasworobis donidan, xolo y∗ - Warb sagareo gamoSvebas. makro-

finansuri urTierTkavSirebis warmosadgenad gansakuTrebuli datvirTva

aqvs saqmiani ciklis dakavSirebas finansur ciklTan. aRniSnuli kavSiri

warmodgenilia erToblivi moTxovnis damokidebulebiT sesxebis mSp-sTan,

fardobis wonasworobidan gadaxrasTan ( ). ε aRniSnavs moTxovnis Soks,

romelsac standartuli normaluri ganawileba gaaCnia da igi

skalirebulia parametriT, romelic Tavis mxriv moTxovnis Sokis

standartul gadaxras asaxavs.

1 standartuli tipis dinamiuri IS mrudis detaluri gamoyvanisTvis ix. Gali (2008), sagareo

ekonomikuri aqtivobisa da gacvliTi kursis gantolebaSi warmosadgenad – Gali and Monaccelli(2005), xolo inerciulobis Tvisebis aRsawerad (lagis SemotanisTvis) – Smets and Wouters(2003).

110

6 erToblivi miwodeba

modelSi miwodebis mxare warmodgenilia axali keinzianuri filifsis

mrudiT, romlis mixedviTac inflaciis mTavari ganmsazRvrelia

inflaciuri molodinebi da Warbi adgilobrivi gamoSveba. inflaciis

miznobriv doneze SenarCuneba monetaruli politikis Sedegia, rac

teiloris principis SesrulebiT miiRweva. axali keinzianuri filifsis

mrudis mikroekonomikuri safuZveli gulisxmobs, rom ekonomikuri

agentebis racionaluri molodinebis pirobebSi monopolistur

konkurenciaSi myofi firmebi zrunaven mogebis maqsimizaciisTvis da

iTvaliswineben iseT faqtorebs, rogoricaa importuli Sualeduri

saqonelis fasebi da sixiste faswarmoqmnisas. amasTan, mTliani inflacia

garda Sualeduri importuli saqonlis fasebisa, uSualodac aris

importul fasebze damokidebuli, romelsac samomxmareblo kalaTaSi

mniSvnelovani wvlili aqvs. kerZod, inflaciis gantolebas Semdegi saxe

aqvs:

= ∗ + ∗ + 1 − − ∗ + ∗ + ∗ + ∗(3.6.1)

sadac, - inflacias, - inflaciur molodins, xolo - importul

inflacias aRniSnavs, warmoadgens Warb adgilobriv gamoSvebas, xolo -Ti realuri efeqturi gacvliTi kursis wonasworobidan gadaxra aris

aRniSnuli. aRniSnavs miwodebis Soks, romelsac standartuli normaluri

ganawileba gaaCnia da igi skalirebulia parametriT, romelic Tavis

mxriv mowodebis Sokis standartul gadaxras asaxavs.

axali keinzianuri midgomis Tanaxmad, inflaciaze mniSvnelovani gavlena

aqvs racionalur molodinebs, romelic Tavis mxriv ekonomikuri agentebis

Sors mWvretelobazea damokidebuli. modelSi warmodgenili daSvebis

Tanaxmad, inflaciuri molodinebi racionaluri da adapturi molodinebis

sinTeziT ganisazRvreba, kerZod ki Semdegi saxe aqvs:

111

= ∗ ( ) + (1 − ) ∗ 4 (3.6.2)

sadac, inflaciis mosalodneli mniSvneloba ( ) damokidebulia

racionalur molodinebze parametris mixedviT, xolo 1 − warmoadgens

adapturi molodinebis wonas. inflaciuri molodinebis aRniSnuli wesiT

modelireba gulisxmobs, rom daSvebis Tanaxmad ekonomikuri agentebis

wils racionaluri, xolo 1 − nawils adapturi molodinebi aqvT.

modelSi warmodgenili inflaciis gantolebis Tanaxmad importuli

fasebis gadmocema inflaciaze ZiriTadad ori gziT xdeba. pirveli, es aris

importuli saqoneli, romelic adgilobrivi warmoebis Sualedur saqonels

warmoadgens (igi asaxulia parametrSi, romelic realuri efeqturi

gacvliTi kursis gavlenas zomavs inflaciaze), xolo meore, es aris

saboloo moxmarebis importuli saqoneli, romelic uSualod

samomxmareblo kalaTis nawilia. gantolebaSi parametri

kalibrirebulia importuli saqonlis wilis Sesabamisad samomxmareblo

kalaTaSi. mimdinare SefasebiT misi wili 30%-is farglebSia. Tavis mxriv

importuli inflaciis gantolebas Semdegi saxe aqvs:

= + Δ − Δ (3.6.3)

sadac, - saqarTvelos savaWro partniorebis saSualo Sewonil inflacias,

xolo Δ da Δ , Sesabamisad, laris dolarTan mimarTebiT nominaluri

gacvliTi kursisa da wonasworobis realuri efeqturi gacvliTi kursis

cvlilebebs aRniSnaven.

7 gacvliTi kursi

naSromSi warmodgenili modeli morgebulia mcire da Ria tipis ekonomikas,

sadac mcuravi gacvliTi kursis reJimi moqmedebs. Sesabamisad, gacvliTi

kursi erT-erT centralur rols asrulebs, ise rogorc monetaruli

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politikis gadacemis, aseve makroekonomikuri stabilizaciisa da finansur

seqtorze gavlenis moxdenis mimarTulebiT.

gacvliTi kuris modelSi warmodgenilia procenti paritetuli pirobiT.

aRniSnuli piroba gulisxmobs, rom investori rodesac adgilobriv

bazarze axorcielebs investicias, misi mosalodneli amonagebi unda

utoldebodes am investiciis alternatiul danaxarjs, rac moicema sagareo

saprocento ganakveTis (i∗), mosalodneli gaufasurebisa da adgilobriv

ekonomikasTan dakavSirebuli riskis premiis (prem ) jamis saxiT. gacvliTi

kursis gantolebas Sedegi saxe aqvs:= ∗ + 4 ∗ ( − ) + + ∗ (3.7.1)

sadac, s nominaluri gacvliTi kursia, gacvliTi kursis mosalodneli

mniSvneloba, prem –Ti aRniSnulia qveynis suverenuli riskis premia, xolo

ε gacvliTi kursis Soks aRniSnavs, romelsac standartuli normaluri

ganawileba gaaCnia da igi skalirebulia parametriT, romelic Tavis

mxriv gacvliTi kursis Sokis standartul gadaxras asaxavs.

gacvliT kursis mosalodneli mniSvneloba modelSi Semdegi saxiT

aRiwereba:

= ∗ ( ) + (1 − ) ∗ ( + 2 ∗ (Δ + − )/4) (3.7.2)

aRniSnuli wesis Tanaxmad, gacvliTi kursis molodini formirdeba

racionaluri da adapturi molodinebis sinTezis gziT. kerZod, (3.7.2)

gantolebaSi, parametri warmoadgens racionaluri molodinebis, xolo 1 −Sesabamisad adapturi molodinebis wils. gantolebaSi + 2 ∗ (Δ + −)/4 wevri aRniSnavs wina periodis gacvliTi kursis trendiT

gaTvaliswinebuli cvlilebas, romelic adapturi molodinebis SemTxvevaSi

eqneboda bazris monawileebs.

(3.7.1) -is msgavs pirobas unda akmayofilebdes grZelvadiani wonasworobis

realuri cvladebic, rac realuri saprocento ganakveTebis paritetuli

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pirobiT aris cnobili (detaluri ganxilvisTvis ixileT danarTi A

gantolebebis srulis siisTvis).

8 monetaruli politika

monetaruli politika modelSi teiloris wesiT aris warmodgenili,

romelic refinansirebis saprocento ganakveTs mosalodneli inflaciis

miznobriv maCvenebelTan SesabamisobiT adgens. kerZod, monetaruli

politikis wess Semdegi saxe aqvs:= ∗ + (1 − ) ∗ ( + ( 4 ) − ) + ∗ + ∗ (3.8.1)

sadac, monetaruli politikis ganakveTia, – misi neitraluri done. –

inflaciis miznobrivi maCvenebeli, xolo ( 4 ) – momavali wlis

mosalodneli inflaciaa. – monetaruli politikis Soks aRniSnavs. sxva

Sokebis msgavsad masac standartuli normaluri ganawileba gaaCnia.

monetaruli politikis Soki gantolebaSi skalirebulia parametriT,

romelic monetaruli politikis Sokis standartul gadaxras asaxavs.

neitraluri ganakveTi modelSi warmodgenilia realuri ganakveTis

wonasworobis donisa da inflaciis jamis saxiT. kerZod:= + 4 (3.8.1)

zemoT ganxilul ZiriTad gantolebebTan erTad modeli kidev mraval

gantolebas Seicavs, romelTagan nawili igiveobaa, xolo nawili

avtoregresiuli procesiT moicema1. gantolebebis detaluri aRwerisTvis

ixileT danarTi A.

1 mag. sagareo seqtoris prognozebi, rogoricaa savaWro partniorebis mosalodneliekononikuri aqtivoba, inflacia da saprocetno ganakveTebi umjobesia sxva analitikuriwyaroebidan (saerTaSoriso savaluto fondi, msoflio banki, Bloomberg da sxva....)moviZioT nacvlad modelis farglebSi damoukidebeli Sefasebisa. amdenad maTigantolebebi ZiriTadad teqnikuri xasiaTisaa da modelSi egzogenurad xdeba maTiprognozebis gaTvaliswineba.

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თავი IV. modelis empiriuli analizi

1 parametrizacia da baiesianuri Sefaseba

am TavSi warmodgenilia modelis parametrebis kalibracia da baeisianuri

Sefasebis Sedegebi, aseve monacemTa zogadi aRwera, romelic empriuli

analizisTvis aris gamoyenebuli. modelis parametrebi SeZleba daiyos sam

ZiriTad kategoriad: (I) es aris parametrebi, romlebic gansazRvraven

modelis mdgrad mdgomareobas (steady state); (II) modelis qceviTi

gantolebebis (behavioral equations) parametrebi, romlebic moklevadian

dinamikas gansazRvraven; (III) Sokebis standartuli gadaxrebi, romlebic

modelis stoqastur Tvisebebs gansazRvraven.

mdgradi wonasworobis aRmweri parametrebi kalibrirebulia saqarTvelos

bolo 10 – 15 wlis istoriul monacemebze dayrdnobiT da asaxavs qveynis

ekonomikur trendebs. kerZod, mdgradi wonasworobis parametrebi moicavs

ekonomikuri zrdis bunebriv dones, miznobriv inflacias, riskis premiisa

da saprocento ganakveTebis wonasworul doneebs, aseve finansuri blokisa

da sagareo seqtoris trendis parametrebs.

modelSi mTliani Sida produqtis bunebrivi zrdis wliuri tempi Seadgens

5%-s romelic Seesabameba istoriulad mSp-s saSualo zrdis temps (mSp-s

potenciuri zrdis empiriuli SefasebisTvis ixileT mag., ananiaSvili 2010).

wliuri inflaciis miznobrivi maCvnebeli 2009 – 2014 wlebSi 6%, 2015 – 2016

wlebSi 5%, xolo grZelvadiani miznobrivi maCvenebeli 3%-ia. realuri

efeqturi kursis wonasworuli gamyareba 3%-ia, rac gamomdinareobs balasa-

samuelsonis efeqtidan da gulisxmobs qveynis savaWro partniorebTan

mimarTebaSi produqtiulobis zrdis sam-procentuli punqtiT sxvaobas.

aRniSnuli aseve Seesabameba realuri efeqturi kursis istoriul dinamikas.

riskis premia aRebulia qveynis suverenuli obligaciebis amonagebisa da

aSS-s saxelmwifo fasiani qaRaldebis amonagebs Soris sxvaobis mixedviT

da oTx-procentul punqts Seadgens. realuri sapocento ganakveTis

wonasworuli done ganisazRvreba realuri saprocento ganakveTebis

paritetuli pirobiT (Uncovered Interest Parity), romelis mixedviT igi

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damokidebulia sagareo realuri saprocneto ganakveTis, qveynis

riskpremiisa da realuri efeqturi kursis gamyarebis wonasworul

maCveneblebze. aRniSnulis gaTvaliswinebiT, realuri saprocento

ganakveTis wonasworuli done wliuri 1.7 %-ia.

modelSi finansuri seqtoris mdgradi wonasworobis parametrebs

warmoadgens sesxebis mSp-sTan fardobis zrdis tempi, rac sabanko seqtoris

penetraciis dones asaxavs ekonomikaSi. modelSi aseve gamoiyeneba

kapitalis adekvaturobis done da saprocento ganakveTebis droiTi

struqturis parametrebi. sesxebis mSp-sTan fardoba mdgradi

wonasworobisas wliurad sam-procentuli punqtiT izrdeba, rac

warmodgens aRniSnuli maCveneblis istoriul saSualo mniSvnelobas.

kapitalis adekvaturobis minimaluri moTxovna modelSi 12%-ia, rac

Seesabameba istoriulad bankebisTvis kapitalis adekvaturobis minimalur

moTxovnebs.

sagareo seqtoris blokSi modeli iyenebs saqarTvelos ZiriTadi savaWro

partniorebis inflaciis, saprocento ganakveTisa da gacvliT kursis

wonasworobis aRmwer parametrebebs. savaWro partniorebis saSualo

inflacia da laris realuri efeqturi gacvliTi kursi miiReba TiToeuli

savaWro partniori qveynis Sesabamisi maCveneblebis SewonviT. modelSi

warmodgenilia 5 savaWro partniori qveyana, Sesabamisi wonebiT. esenia: aSS

- 35%, TurqeTi - 23%. evrozona - 22%, ukraina - 12%, ruseTi - 8%. savaWro

partniorebis wonebi asaxavs saqarTvelos savaWro brunvaSi1 TiToeuli

maTganis wvlils istoriulad. ucxouri realuri saprocento ganakveTad

modelSi gamoyenebulia londonis bankTaSoris sesxebis bazarze (LIBOR)

dolaris moklevadiani ganakveTis Sesabamisi realuri ganakveTi, romlis

wonasworuli mniSvneloba istoriul saSualoze dayrdnobiT aRebulia

0.7%-is tolad. TiToeuli savaWro partnioris wonasworuli inflacia

aRebulia maTi monetaruli politikis Sesabamisad, gacxadebuli miznobrivi

maCveneblis mixedviT, xolo valutis gacvliTi kursis wonasworuli

1savaWro brunvebi koreqtirebulia sasaqonlo jgufebis (commodities) gaTvaliswinebiT,romelTa faswarmoqmna aSS dolarSi xdeba. amdenad aSS-s wona asaxavs dolarismniSvnelovnebas savaWro brunvaSi da ara uSualod aSS-sTan saqarTvelos vaWrobismoculobas.

116

dinamika gamomdinareobs myidvelobiTi unaris paritetis mixedviT

(Purchasing Power Parity, PPP). mdgradi wonasworobis parametrebis

mniSvnelobebi detalurad SegiZliaT ixiloT danarTSi cxrili A-3.

saqarTvelos msgavsi, an ufro zogadad, ganviTarebadi qveynebisTvis,

romlebic mniSvnelovan struqturul cvlilebebs ganicdian istoriis

mokle manZilze, unda aRiniSnos, rom rTulia modelis qceviTi

gantolebebis parametrebis SefasebisTvis klasikuri ekonometrikuli

midgoma iqnes gamoyenebuli. monacemebi zog SemTxvevaSi an ar arsebobs, an

mokle istorias faravs, rac modelis zomidan gamomdinare arasakmaris

safuZvels iZleva wminda empiriuli kvlevisTvis.

aseT SemTxevaSi, kalibrirebuli1 modelis upiratesoba calsaxaa. garda

mwiri monacemTa istoriisa, romelic kalibraciis upiratesobas

gansazRvravs, gasaTvaliswinebelia, rom gansakuTrebiT bolo ori

aTwleulis manZilze modelirebis kuTxiT ekonomistebSi mniSvnelovani

codna dagrovda. codnisa da gamocdilebis gamoyeneba ufro metad im

qveynebis praqtikidan aris sasargeblo, romlebic saqarTvelos

ganviTarebis msgavs etaps gadiodnen2.

warmodgenili naSromis midgomaa, baeisianuri (Bayesian) Sefasebis meTodiT

ganisazRvros modelis parametrebi da gamoyenebul iqnes kalibracia

parametrebis baiesianuri SefasebebisTvis saWiro apriori mniSvnelobebis

gansazRvrisaTvis. baiesianuri Sefasebis gamoyeneba saqarTvelos specifikis

ukeT gaTvaliswinebis mizniT gansakuTrebiT mniSvnelovania, radgan

finansuri seqtoris qceviTi gantolebebisa Tu makroprudenciuli

politikis mamoZravebeli parametrebis kalibraciisTvis naklebi Teoriuli

codna arsebobs, radgan maTi Sesabamisi ekonomikuri Teoria jer kidev ar

aris srulad gamokvleuli. baiesianuri Sefasebis meTodis gamoyenebas aseve

didi upiratesoba aqvs modelSi warmodgenili Sokebis standartuli

1 kalibracia gulisxmobs modelis parametrebis gansazRvras ekonomikuri Teoriis, sxvaqveynebis gamocdilebis da eqspertuli Sefasebebis gamoyenebiT. Semdgom, kalibrirebuli

modelis validacia istriul monacemebze da kontr-faqtiuri (counterfactual) analizi,

modelis Sefasebis empiriul safuZvelsac iZleva.2 iseTi qveynebi rogoricaa, axali zelandia, kanada, CexeTi, norvegia, israeli da sxvaintensiurad iyeneben kalibrirebul modelebs bolo ori aTwleulis manZilze.

117

gadaxrebisa da avtoregresiuli parametrebis SefasebisTvis, romelTa

kalibracia am parametrebis ZiriTadad, teqnikuri xasiaTis daniSnulebis

gamo Zalzed rTulia. amis sapirispirod, modelis iseTi ZiriTadi

struqturuli parametrebisTvis, romelTa miRma makroekonomikuri Teoria

dgas da mravali qveynis gamocdilebisa Tu mecnieruli gamokvlevaTa

safuZvelze SesaZlebelia sarwmuno mniSvnelobis gansazRvra, kalibraciis

meTodis upiratesoba calsaxaa, yvela sxva alternativasTan SedarebiT.

baiesianuri Sefasebis meTodi emyareba e.w. „subieqturi albaTobis

paradigmas“, romelic albaTobas ganixilavs rogorc subieqturad aRqmul

ganuzRvrelobas xdomilebis Sesaxeb. standartuli statistikuri midgoma

gulisxmobs, rom albaToba warmoadgens xdomilebis moxdenis sixSires

grZelvadian periodSi. mag. monetis agdebis SemTxvevaSi TiToeuli mxaris

mosvlis albaToba tolia maTi mosvlis sixSirisa usasrulod ganmeorebis

SemTxvevaSi. amisgan gansxvavebiT, baiesianur midgomaSi ar arsebobs

usasrulod ganmeorebadi movlenis cneba, aramed albaToba wamoadgens

subieqturad aRqmul fsons ama Tu im xdomilebis moxdenisa. movlenis

Sedegis yoveli dadgomisas, Tavdapirveli, apriori albaToba, ganaxldeba

axali informaciiT. amdenad es aris midgoma romelSic axali monacemebiT

(monacemebiT) xdeba sawyisi informaciis ganaxleba da amdenad sawyisi

subieqturi codna erwymeba monacemebs.

ufro konkretulad, rom aRvweroT statistikis mizans warmoadgens,

monacemTa SerCevis safuZvelze imsjelos populaciis ucnob parametrze.

mag. SerCevis saSualo gamoiyeneba populaciis ucnobi saSualos

Sesafaseblad, an regresiuli analizisas populaciis ucnob koeficients

vafasebT monacemTa SerCevis regresul analizze dayrdnobiT. klasikurad,

statistikaSi Sefasebisas gamoiyeneba maqsimumis dasajereobis meTodi

(Maximum Likelihood), romelic gulisxmobs, rom populaciis ucnobi

parametri aris mudmivi sidide. baiesianuri midgomis mTavar

ganmasxvavebels klasikuri midgomisagan, swored is warmodgens, rom igi

ucnob parametrs ganixilavs rogorc SemTxveviT sidides, romelsac gaaCnia

Tavisi albaTuri ganawileba.

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 apriorul ganawilebas SeiZleba qondes

normaluri ganawilebis saxe, romlis saSualo ucnobi parametris

apriorul mniSvnelobas warmoadgens, xolo aprioruli ganawilebis

dispersia misi gaurkvevlobis dones gansazRvravs. kerZod, rac ufro didia

dispersia miT ufro naklebad aris mkvlevari darwmunebuli ucnobi

parametris apriorul mniSvnelobaSi. mcire dispersia, aprioruli

mniSvnelobis sizusteze miuTiTebs. apriorul ganawilebas SeiZleba

hqondes normaluri ganawilebisgan gansxvavebuli saxec, magaliTad, mudmivi

(uniform) ganawileba, gausis Sebrunebuli (inverse Gaussian) ganawileba an sxva.

aprioruli ganawilebis SerCeva populaciis Sesafasebeli parametris

bunebidan gamomdinare unda moxdes.

meore ZiriTad ingredients warmoadgens, monacemebidan informaciis miReba,

romelic klasikuri maqsimumis dasajerobis (Maximum likelihood) meTodis

gamoyenebas gulisxmobs. kerZod, igi gulisxmobs gansazRvros ucnobi

parametrebis yvelaze albaTuri mniSvnelobebi, romelic mocemul

monacemebs Seesabameba. baiesianuri Sefasebis meTodis mesame

umniSvnelovanes ingredients warmoadgens aprioruli ganawilebisa da

monacemTa statistikuri analiziT miRebuli Sedegebis Serwyma, romlis

Sedegadac miiReba post-apriori (posterior distribution) ganawileba. es

ukanaskneli miiReba baiesis (Bayes) Teoremis safuZvelze, romelic

gulisxmobs, rom parametrebis post-apriori Sefaseba mimdinare monacemebis

mocemulobis pirobebSi, damokidebulia apriorul informaciaze da miiReba

misi SewonviT monacemTa maqsimumis dasajerobis meTodiT miRebul

SedegebTan. faqtobrivad, SeiZleba iTqvas, rom post-aprioruli Sefaseba

warmoadgens aprioruli informaciisa da monacemTa statistikuri

analiziT miRebuli Sedegebis sinTezs.

119

zemoaRniSnulis gaTvaliswinebiT, baiesianuri Sefasebis meTodi,

SesaZlebelia mokled, Semdegnairad aRvweroT; baiesianuri meTodiT

Sefasebis dros monacemebi erwymeba ekonomikur Teoriasa da eqspertul

codnaze dafuZnebul apriorul informacias da Sedegad miiReba post-

aprioruli ganawileba (posterior distribution), romlis moda (an

mediana) warmoadgens Sesafasebeli ucnobi parametris wertilovan

Sefasebas. aprioruli informacia gaiTvaliswineba apriorul informaciaSi

Cadebuli dasajerobis donis Sesabamisad.

modelis makro-finansuri kavSirebis aRmweri parametrebis baiesianuri

Sefasebebi mocemulia დიაგრამა 4.1-ze. kerZod, diagramaze warmodgenilia

Sedegi parametrebis Sefasebebi: , romelic aRwers „fiSeris valis

deflaciis“ efeqtis gavlenas sesxebis tvirTze, - aRwers dakreditebis

biznes ciklze gavlenas, rac finansuri aqseleratoris erTi nawilia,

xolo α - aRwers dakreditebis gavlenas erTobliv moTxovnaze da igi

finansuri aqseleratoris meore mniSvnelovani nawilia. da α

parametrebi erToblivad aRweren dakreditebisa da erToblivi moTxovnis

urTierTqmedebis spirals, romelic makroekonomikuri da finansuri

urTierTkavSirebis erT-erT mniSvnelovan arxs warmoadgens. diagramaze

aseve warmodgenilia parametri, romelic modelSi makroprudenciuli

politikis ZiriTadi instrumentis, kapitalis sawinaaRmdego buferis

gavlenas asaxavs dakreditebaze. – parametri aRwers gacvliTi kursis

cvlilebis gavlenas kerZo seqtoris sakredito tvirTze, rac

dolarizaciis efeqts asaxavs, xolo α - aseve aRwers erTobliv

moTxovnaze dolarizaciis Sedegad gacvliTi kursis cvlilebis efeqts,

sabalanso uwyisis gavliT.

120

diagrama IV.1 parametrebis baiesianuri Sefasebis Sedegebi

lurji wyvetili xazi aRniSnavs apriorul ganawilebas (prior

distribution), xolo wiTeli vertikaluri mis saSualo mniSvnelobas,

romelic Sesafasebeli parametris apriorul mniSvnelobas warmoadgens.

mwvane vertikaluri xazi parametris post-apriori (priori) wertilovani

Sefaseba.

finansuri aqseleratoris parametrebis Sefasebebi gviCvenebs, rom

aprioruli informaciis Sesabamisad, ikveTeba makroekonomikuri da

finansuri urTierTkavSiris spiraluri efeqti rac mosalodneli iyo.

kerZod, sesxebis Warbi erToblivi moTxovnis 1 procentuli punqtiT zrda

sesxebis mSp-sTan Tanafardobis 0.4 procentuli punqtiT zrdas

ganapirobebs, rac dakreditebis prociklur xasiaTze miuTiTebs. Tavis

mxriv, sesxebis mSp-sTan fardobis zrda 1 procentuli punqtiT 0.1

procentuli punqtiT zrdis Warb erTobliv moTxovnas.

fiSeris valis deflaciis aRmweri parametris Sefaseba gviCvenebs, rom

sesxebis tvirTze inflaciis gavlena 0.3-is farglebSia. kerZod, inflaciis

1 procentuli punqtiT zrda sakredito tvirTis mSp-sTan SefardebiT 0.3

procentuli punqtiT Semcirebas ganapirobebs. parametris Sefaseba

0 0.5 10

1

2

3

prior: normal =0.4 =0.1maximised poster: 0.293181

start: 0.4

0 0.5 10

1

2

3

CB


start: 0.2

0 0.2 0.40

2

4

s


start: 0.15

0 0.01 0.02 0.030

20

40

60

bs


start: 0.01

0 0.2 0.4 0.6 0.80

1

2

3

y


start: 0.5

0.05 0.1 0.150

10

20

30

LtY


start: 0.1

121

miuTiTebs, rom kapitalis sawinaaRmdego buferis 1 procentuli punqtiT

zrda sesxebis mSp-sTan fardobis 0.3 procentuli punqtiT Semcirebas

ganapirobebs. rac SeexebaT, dol da α parametrebis Sefasebebs, rogorc

diagramazea naCvenebi maTi mniSvnelobebi Sesabamisad 0.2 da 0.1 Seadgens,

rac niSnavs, rom laris dolarTan mimarTebiT nominaluri gacvliTi

kursis 1 procentiani gaufasureba sesxebis mSp-sTan fardobis 0.2

procentuli punqtiT zrdas, xolo sabalanso efeqtis gavleniT erToblivi

moTxovnis 0.1 procentuli punqtiT SezRudvas ganapirobebs1. amasTan, unda

aRiniSnos, rom es Sefasebebi asaxavs mxolod mimdinare periodSi (myisier)

gavlenebs, xolo grZelvadiani efeqtebi aseve damokidebulia modelis

dinamikur struqturaze. impulsis sapasuxo funqciebis detaluri

analizisTvis ixileT 3.3 Tavi.

modelis parametrebis Sefasebebi srulad warmodgenilia danarTSi,

cxrili A-4-Si, sadac parametris dasaxelebis gaswvriv mocemulia

aprioruli ganawileba da misi maxasiaTeblebi (μ - saSualos, xolo σ-

standartul gadaxra), baiesianuri Sefasebis mTavari Sedegi- wertilovani

Sefaseba da post-aprioruli ganawilebis standartuli gadaxra.

parametrebi Sefasebulia saqarTvelosTvis, kvartalur monacemebze

dayrdnobiT 2002 – 2014 wlebisTvis. kerZod, modelis empiriuli

analizisTvis gamoyenebulia Semdegi cvladebi: realuri mSp,

samomxmareblo fasebis indeqsi, monetaruli politikis ganakveTi,

adgiobrivi da ucxouri valutis sesxebis saprocento ganakveTebi, sesxebis

mSp-sTan fardoba, riskis premia da laris gacvliTi kursebi aSS dolaris,

evros, liris, rublisa da grivnis mimarT. ucxouri monacemebidan,

gamoyenebulia msoflios Warbi erToblivi gamoSveba, londonis

bankTaSoris sesxebis bazarze (LIBOR) dolaris erTTviani ganakveTi,

savaWro partniori qveynebis fasebis indeqsebi da gacvliT kursebi.

1aRniSnuli efeqti gulisxmobs, gacvliTi kursis mxolod sabalanso uwyisis efeqtisgavlenas da igi ar moicavs wminda eqsportze pozitiuri gavlenas. gacvliTi kursis

erTobliv moTxovnaze gavlenis srulad aRwerisTvis gaTvaliswinebul unda iqnes 5parametris mniSvneloba, romelic realuri efeqturi gacvliTi kursis gavlenas aRwers

erTobliv gamoSvebaze.

122

modelSi gamoyenebuli monacemTa detaluri aRwerisTvis ixileT cxrili

IV-1.

cxrili IV-1 modelSi gamoyenebuli monacemebi

cvladi aRwera

mTliani Sida produqti, mudmiv (2003 wlis) fasebSi.inflacia (samomxareblo fasebis indeqsis mixedviT)

kvartaluri gawliurebuli, procentebSi.saqarTvelos erovnuli bankis monetaruli politikisganakveTi, procentebSi.sesxebis nominalur mSp-sTan fardoba, procentebSi.

kapitalis adekvaturobis koeficienti, procentebSi.saqarTvelos suverenuli obligaciebi spredi (JPMorganEMBI), procentul punqtebSi.laris nominaluri gacvliTi kursi dolarTan

mimarTebaSi GEL/USD.∗ londonis bankTaSoris sesxebis (LIBOR) dolaris erTTviani ganakveTi, procentebSi.∗ msoflios Warbi mTliani Sida produqti (saerTaSorisosavaluto fondis Sefaseba), procentebSi.

USD/EUR evros nominaluri gacvliT kursi dolarTanmimarTebaSi.

TRL/USD liris nominaluri gacvliTi kursi dolarTanmimarTebaSi.

RUB/USD rublis nominaluri gacvliT kursi dolarTanmimarTebaSi.

UAH/USD grivnis nominaluri gacvliTi kursi dolarTanmimarTebaSi.aSS inflacia (samomxmareblo fasebis indeqsis mixedviT),wliuri, procentebSi.evrozonis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.TurqeTis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.ruseTis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.ukrainis inflacia (samomxmareblo fasebis indeqsismixedviT), wliuri, procentebSi.

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2 istoriuli analizi kalman filtris gamoyenebiT

parametrizaciis Semdgomi etapia istoriul monacemTa interpretacia da

daukvirvebadi faqtorebis Sefaseba. es etapi warmoadgens modelis

empiriuli Tvisebebis Semowmebis saukeTeso gzas.

am mizniT naSromSi gamoyenebulia kalmanis filtri (Kkalman filter), romelic

msgavsi tipis samecniero literaturaSi farTodaa gavrcelebulia.

faqtobrivad, igi warmoadgens daukvirvebadi faqtorebis mqone modelisTvis

Sefasebis erT-erT yvelaze mZlavr meTods. am meTodis Tanaxmad, modelis

gawrfivebuli forma dakavSirebulia dakvirvebad monacemebTan, romlebic

mocemulia cxrili IV-1. modelis daukvirvebad faqtorebsa da Sokebs

kalmanis filtri afasebs umcires kvadratTa meTodis gamoyenebiT. sxva

sityvebiT rom vTqvaT, kalman filtri, algoriTmis Tanaxmad poulobs

daukvirvebad monacemebisa da Sokebis yvelaze mosalodnel mniSvnelobebs,

im pirobiT, rom modelis gantolebebi dakmayofildes da moergos

dakvirvebad monacemebs. aqve, mniSvnelovania aRiniSnos, rom Sokebis

raodenoba aRemateba dakvirvebadi cvladebis raodenobas.

kalmanis filtriT analizis procesSi gamoyenebulia modelis Sefasebuli

paramterbi, romelic mocemulia amave Tavis pirvel qveTavSi (aseve ixileT

cxrili A-3 და A-4). kalmanis filtis Sedegebze, mniSvenlovani gavlena aqvs

modelis Sokebis stadnartul gadaxrebs da maT SefardebiT zomebs. mag.

Sokebs, romelTac dabali standartuli gadaxra aqvT modelis sxva

SokebTan SedarebiT, mosalodnelia, rom mcire wvlils Seitanen

istoriuli monacemebis axsnaSi.

diagrama IV.2 uCvenebs modelis mier potenciuri mSp-is istoriuli

monacemebis Sefasebas. unda aRiniSnos, rom modeli savsebiT logikurad

miuTiTebs 2006 – 20081 wlebSi saqmiani ekonomikuri ciklis aRmavlobis

fazas, xolo 2009 – 2010 wlebSi ekonomikis recesias, romelic globaluri

finansuri krizisisa da ruseT-saqarTvelos omis ekonomikaze gavleniT iyo

ganpirobebuli.

1 2008 wlis mesame kvartalamde.

124

diagrama IV.2 faqtiuri da potenciuri mSp

diagrama IV.3 warmodgens faqtiuri da potenciuri mSp-s zrdis tempebs, aseve

sxvaobas maT Soris, romelsac Warb mSp-s vuwodebT. rogorc diagramidan

Cans, modelis Sefasebis Tanaxmad, 2008 wlis krizisamde, mSp-s potenciuri

zrdis tempi 7%-is farglebSi iyo, xolo 2008 wlis Semdeg saSuaload 5%-

ia. maRali potenciuri zrdis tempi, 2008 wlamde, ekonomikis struqturuli

reformebis Sedegad produqtiulobis maRali zrdis tempiTa Ria

ekonomikis fonze mkveTri zrdis efeqtiT iyo ganpirobebuli. globaluri

finansuri krizis Semdgom, ekonomikis potenciuri zrdis tempis Semcireba

SeiniSneba msoflios masStabiT, maT Soris centraluri da aRmosavleT

evropis sxva qveynebiSic1.

1 mag. IMF, 2015, Global Economic Output, Chapter 3.

125

diagrama IV.3 faqtobrivi da potenciuli realuri mSp-s zrda, Warbi mSp

modelis saSualebiT daukvirvebadi monacemebis Sefasebis mniSvnelovani

Sedegia sesxebis mSp-sTan fardobis potenciuri donis Sefaseba. diagrama

IV.4 uCenebs sesxebis mSp-sTan fardobis faqtiur da potenciur

mniSvnelobebs istoriuload 2002 wlis I kvartalidan 2014 wlis IV

kvartalis CaTvliT. rogorc diagramidan Cans sakredito cikli didwilad

emTxveva ekonomikis saqmian cikls, Tumca mcire lagiT. 2003 – 2005 wlebSi,

ekonomikis swrafi zrdis fonze dakreditebis done CamorCeboda mis

potenciur dones, xolo 2006 wlidan sesxebis mSp-sTan fardoba swrafad

izrdeba. 2007 – 2008 wlebSi dakrediteba mniSvnelovnad aRemateboda mis

potenciur dones, rac aseve erT-erTi mizezi gaxda ekonomikis gadaxurebisa

da uZravi qonebis fasebis buStis warmoqmnis. krizisis Semdgom 2009 – 2011

wlebSi dakreditebis done mcirdeboda mSp-sTan mimarTebaSi, rac post-

krizisul periodSi finansuri sqtoris gadaWarbebuli sifrTxilis Sedegi

iyo. 2012 wlidan dakreditebis done stabilurad izrdeba da igi

mniSvnelovani meryeobis gareSe miuyveba potenciur dones.

126

diagrama IV.4 sesxebi mSp-sTan fardoba da misi trendi

makroekonomikuri da finansuri urTierTkavSirebis isotriuli analizis

kuTxiT, mniSnelovania kalman filtris Sedegebze dakvirveba, romelic

diagrama IV.5 da diagrama IV.6-zea warmodgenili. kerZod, diagrama IV.5

waroadgens ekonomikis saqmiani ciklis (Warbi mSp) ganpirobebl faqtorebs

(3.5.1) gantolebis mixedviT. aRniSnulis gaTvaliswinebiT, Warbi mSp

warmoadgenilia rva kontributori wevris mixedviT, rogorc es

gantolebaSia. makro-finansuri kavSrebis aRsawerad am wevrebidan

gamosayofia finansuri aqseleratoris da sabalanso uwyisis efeqtebi.

pirveli mTgani vuwodeT (3.5.1) gantolebaSi sesxebis mSp-sTan fardobis

wevrs, radgan modelSi misi saSualebiT aRiwereba sakredito ciklis

gavlena ekonomikis realur seqtorze. sabalanso uwyisis efeqti

warmoadgens dolarizaciis fonze lari/dolari gacvliTi kuris

cvlilebiT gamowveul efeqts. igi models warmodgenilia lari/dolari

gacvliTi kursis trendisgan gansxvavebuli cvlilebis wevriT, romelic

mSp-ze axdens gavlenas.

ekonomikis saqmian ciklze finansuri aqseleratorisa da sabalanso uwyisis

kontribuciebis analizi cxadyofs, rom finansuri seqtori prociklur

gavlenas axdens ekonomikur gamoSvebaze da zrdis mis meryeobas saqmiani

127

ciklis periodSi. kerZod, 2003-2005 wlebSi, rodesac ekonomikis gamoSveba

CamorCeboda mis potenciur dones, finansuri aqseleratoris efeqts

uaryofiTi wvlilil hqonda. 2006 – 2008 wlebSi dakreditebis donis

swrafma zrdam xeli Seuwo ekonomikis gadaxurebas, xolo postkrizisul

periodSi finansuri aqseleratoris gavlena uaryofiTi iyo ekonomikaze.

aseve, mcired, Tumca uaryofiTi gavlena iqonia 2013-2014 wlebSi finansuri

seqtoris Senelebulma aqtivobam mSp-s potenciuridan CarmoCenaze (ix.

diagrama IV.5). Tavis mxriv finansuri seqtoris Seneleba, sagareo Sokis

fonze ekonomikaSi gazrdili riskebis pasuxi iyi. aRniSnul wlebSi mSp-s

potenciuridan CarmoCena sagareo faqtorebma ganapiroba, kerZod

saqarTvelos ZiriTad savaWro partnior qveynebSi gamwvavebuli ekonomikuri

krizisi gaxda saqarTveloSi ekonomikuri zrdis Senelebis mTavari

faqtori.

diagrama IV.5 Warbi mSp dekompozicia faqtorebis mixedviT

diagrama IV.6-ze warmaodgenilia sesxebis mSp-sTan fardobis

wonasworobidan gadaxris ganmapirobebeli faqtorebi (3.3.2) gantolebis

mixedviT. makrofinansuri kavSirebis aRsawerad gansakuTrebiT

mniSvnelovania procikluri nawili, fiSeris deflaciisa da sabalanso

efeqtebi. procikluri nawili aRniSnavs saqmiani ciklis gavlenas

128

dakreditebaze, romelic (3.3.2) gantolebaSi parametriT moicema. fiSeris

deflaciis efeqti aRniSnavs inflaciis gavlenas sakredito tvirTze,

romelsac (− π) parametri aRwers, xolo sabalanso efeqti ewodeba

gacvliTi kursis cvlilebis gavlenas sakredito tvirTze. gantolebaSi

igi warmodgenilia parametriT.

diagrama IV.6 uCvenebs, rom finansuri seqtoris aqtivobis mniSvenlovani

ganmapirobebelia ekonomikis saqmiani cikli. kerZod, 2006 – 2008 wlebSi

dakreditebis donis swraf zrdas xels uwyobda ekonomikis saqmiani cikli,

xolo 2010 wlidan igi mis Senelebas ganapirobebda. Tuki aRniSnul

garemoebas diagrama IV.5-ze warmodgenil SedegebTan erTianobaSi

gavaanalizebT, miviRebT, rom erTi mxriv, ekonomikis saqmiani cikli

ganapirobebs sakredito aqtivobas, xolo, meore mxriv, es ukanaskneli

kvlav ekonomikis aqtivobaze aisaxeba. ekonomikis realuri da finansuri

seqtorebis swored es urTierTdamokidebuleba ganapirobebs

makroekonomikuri Sokebis Sedegad meryeobis zrdasa da gaRmavebas.

aRniSnuli Sedegi srulad TanxedraSia finansuri aqseleratoris

meqanizmTan, romelic Bernanke, Gertler and Gilchrist, 1999 SromaSi iqna pirvelad

warmodgenili da markofinansuri urTierTkavSirebis erT-erT mTavar

meqanizms warmoadgens.

makrofinansuri kavSirebis meore ZiriTadi meqnanizmi, fiSeris valis

deflaciis efeqti, aseve ikveTeba diagrama IV.6 warmodgenili Sedegebis

mixedviT. kerZod, 2005 – 2006 da 2009 – 2010 wlebSi fiSeris deflaciis

efeqti sakredito ciklis gaRrmavebas ganapirobebda. 2009 wels, krizis

Semdgom, SezRuduli erToblivi moTxovnis fonze inflacia miznobrivze

dabali iyo, ramac nominalur moculobaSi fiqsirebuli kreditebis

faqtobrivi tvirTi gazarda, xolo 2010 wels inflaciis mniSvnelovnad

zrdam, sakredito tvirTis Semcireba ganapiroba. 2011 – 2014 wlebSi

inflacia CarmorCeboda miznobriv dones, rac sakredito tvirTze

uaryofiTad aisaxeboda. rogorc diagramidan Cans, fiSeris deflaciis

efeqti sakredito ciklis gaRrmavebas yovelTvis ar ganapirobebs. kerZod,

moToxvnis Sokis dros, rodesac ekonomikuri zrda da inflacia erTi

mimarTulebiT moZraobs, mxolod maSin axdens fiSeris deflaciis efeqti

129

ekonomikuri ciklis gaRrmavebas. miwodebis Sokis pirobebSi, ki, rodesac

inflacia ekonomikuri Senelebis paralelurad izrdeba, fiSeris

deflaciis efeqti sakredito ciklis da Sesabamisad ekonomikis saqmiani

ciklis normalizebas uwyobs xels. aqve unda aRiniSnos, rom fiSeris

deflaciis efeqti inflaciis ekonomikaze gavlenis mxolod erTi nawilia

da ar unda gavakeTT daskvna, rom maRali inflacia kargia ekonomikisTvis,

Tundac is sakredito tvirTis Semcirebas ganapirobebdes. maRali

inflaciis uaryofiTi gavlena ekonomikaze farTo konsesus warmoadgens

ekonomista Soris da mis detalur ganxilvas gverds avuvliT, ramdenadac

igi scildeba naSromSi ganxilul Tematikas.

diagrama IV.6 sesxebis mSp-sTan fardobis dekompozicia

saqarTveloSi finansuri seqtoris deloarizacia istoriulad maRali iyo,

rac didwilad 90-ani wlebis hiperinflaciisa damoukidebeli monetaruli

politikis arsebobis mokle istoriis fonze, mTavrobisadmi mosaxleobis

dabali ndobis Sedegia. 2000 wlidan moyolebuli finansuri seqtoris

dolarizaciis Semcirebis tendenciis miuxedavad, misi done kvlav maRalia.

2014 wlis dekembris monacemebiT bankebis sasexo portfelis 61% dolariT

deniminirebulia. finansuri seqtoris dolarizacia gacvliTi kursis

130

SeusabamobiT gamowveul risks qmnis1, rac ekonomikis realuri seqtoris

mowyvladobas zrdis gacvliT kursis cvlilebis mimarT. diagrama IV.6-ze

moyvanili Sedegebi adastuerbs, rom gacvliTi kursis cvlilebas

mniSvenlovani gavlena aqvs kerZo seqtoris sakredito tvirTze. kerZod,

sayuradReboa misi wvlili ekonomikis Senelebis periodebSi. 2009 wels,

rodesac ekonomiuri gamoSveba Semcireda, gacvliTi kursis gaufasurebam

damatebiT uaryofiTi gavlena iqonia sakredito tvirTze. msgavsi gavlena

hqonda 2014 welsac. sagareo Sokis Sedegad gacvliTi kursis gaufasurebam

sakredito zrda ganapiroba.

gacvliTi kursis cvlilebis Sedegad dolarizebuli msesxeblebis

sakredito tvirTze gavlena sabolood kvlav ekonomikur gamoSvebaze

aisaxeba. kerZod, erTi mxriv, sesxebis momsaxurebis faqtobrivad gazrdili

xarjebi, xolo, meore mxriv, valdebulebebis zrdis Sedegad Semcirebuli

wminda simdidre uayrofiad aisaxeba rogorc erTobliv moxmarebaze aseve

investiciebze. aRniSnuli efeqtis wvlili diagrama IV.5-ze warmodgenilia

sabalnso uwyisis efeqtiT, romelic miuTiTebs, rom misi gavlena

ekonomikur gamoSvebaze procikluria. kerZod, 2008 wlamde igi ekonomikis

gadaxurebas, xolo krizis Semdgom mis Senelebas uwyobda xels.

sabalanso uwyisis efeqti warmoadgens gacvliT kursis ekonomikaze

gavlenis mxolod erT mxares. kerZod, igi ganpirobebulia finansuri

seqtoris dolarizaciiT. aqve unda aRiniSnos, rom es ar aris mxolod

erTaderTi arxi, romliTac gacvliTi kursi ekonomikaze aisaxeba. misi

tradiciuli gavlena ekonomikaze gulisxmobs, rom kursis meryeoba sagareo

Sokis STaTqmas ganapirobebs, rac xels uwyobs ekonomikuri gamoSvebis

stabilurobas. diagrama IV.5-ze aRniSnuli efeqti gacvliT kursis

saxelwodebiT aris warmodgenili, romelis mixedviTac gacvliT kurss

ekonomikis damastabilurebeli gavlena aqvs. kerZod, 2005 – 2007 wlebSi igi

ekonomikis gadaxurebas zRudavda, xolo 2010 – 2011 da 2013 – 2014 wlebSi

ekonomikur zrdas uwyobda xels.

1Currency Induced Credit Risk (CICR) – warmoiqmneba, maSin redesac ekonomikuri subieqtis

sakredito davalianebis da Semosavlis valuta ar emTxveva erTmaneTs.

131

3 modelis implusze reaqciis analizi

modelis moqmedebis meqnizmisa da misi dinamikuri Tvisebebis Seswavlis

saukeTeso gzas, impulsze modelis reaqciaTa dakvirveba warmoadgens1.

impulsze reaqciaTa funqcia warmoadgens modelis mTavari cvladebis

pasuxs sxvadasxva Sokebze. aRniSnuli Sokebis analizi, saSualebas iZleva

davakvirdeT, rogor xdeba amaTuim sagareo da adgilobrivi Sokebis

gadacema ekonomikaSi da rogoria modelis mixedviT sapasuxo monetaruli

da makroprudenciuli politika. aRniSnuli tipis analizs eqsperimentis

daniSnuleba aqvs da mxolod hipoTeturi scenaris simulirebas

warmoadgens.

simulaciis dasawyisSi iTvleba, rom ekonomika imyofeba grZelvadian

wonasworobaSi da Semdeg igi ganicdis erTi periodis xangrZlivobis Soks

(mocemul SemTxvevaSi mxolod erTperiodiani Sokebis analizia

warmodgenili). unda aRiniSnos, rom realobaSi ekonomika arasdros

imyofeba wonasworobaSi da amasTan, ganicdis mravali Sokisgan erTdroul

zemoqmedebas, Tumca, modelis Tvisebebis Sesaswavlad miRebulia, rom

Sokebis efeti rac SeiZleba martivi xerxiT iqnas gaanalizebuli. amdenad,

TiToeuli Sokis efeqti individualurad aris ganxiluli. Sokebis

nebismieri kombinaciisas jamuri efeqti calkeuli efeqtebis SejamebiT

miiReba, rasac modelis wrfivi saxe uzrunvelyofs2.

hipoTeturi Sokebi arCeulia globaluri da adgilobrivi ekonomikuri

garemos aqtualuri Tematikis mixedviT. kerZod, impulsis sapasuxo

funqciebis analizisTvis gamoyenebulia iseTi Sokebi, rogorebicaa

adgilobrivi ekonomikis moTxovnisa da miwodebis Sokebi, qveynis riskis

premiis Soki, sakreidto da makroprudenciuli politikisa da aseve

sagareo seqtoris Sokebi, kerZod ki londonis bankTaSorisi sesxebis

bazarze aSS dolaris saprocento ganakveTisa da saqarTvelos savaWro

1 zogjer amas, impulsis sapasuxo funqcis analizsac uwodeben (impulse reponse finaction (IRF)).2unda RniSnos, rom models arawrfivi saxe mxolod sakmarisad maRali Skebis SemTxevaSiaqvs, rodesac sesxebis mSp-sTan fardobis gadaxra wonasworulidan kritikul zRvarsaRwevs. am TavSi ganxiluli SokebisTvis impulsis zoma, moicema erTi procentuli punqtistolad, rac mkveTrad naklebia aRniSnul kritikul zRvarze.

132

partniori qveynebis moTxovnis Sokebi. Sokebi SesaZloa iyos, rogorc

dadebiTi, aseve uaryofiTi. am konkretul analizSi Sokebis niSani mxolod

pirobiTad aris arCeuli da ar asaxavs saprognozo scenars an raime

mosalodnel movlenas. aseve unda aRiniSnos, rom mcire SokebisTvis

modelis wrfivi saxis gaTvaliswinebiT Sokis niSanis cvlileba impulsze

reaqciis simetriulad gansxvavebul Sedegs mogvcems.

adgilobrivi moTxovnis Soki. es Soki asaxavs, erToblivi moTxovnis

egzogenur zrdas 1 procentuli punqtiT. realobaSi aRniSnuli Soki

SesaZloa iyos biznes ganwyobis, saxelmwifos daugegmavi xarjebis

an/da msxvili masStabis sainvesticio proeqtis Sedegi.

riskis premiis Soki. aRniSnuli Soki gulisxmobs qveynis risk premiis

100 sabaziso punqtiT zrdas egzogenurad. risk premiis zrda umetes

SemTxvevaSi sakredito reitingis gauaresebis Sedegia, rac Tavis

mxriv qveyanaSi ekonomikuri arastabilobis zrdis, an/da gazrdili

geopolitikuri riskebis Sedegi SiZleba iyos. aseve savaWro partnior

qveynebSi ekonomikuri, Tu politikuri riskebi xSirad aisaxeba

adgilobrivi ekonomikaze, rac 2013-wlidan saqarTvelos

ekonomikisTvis mniSvnelovan gamowvevas warmoadgens.

miwodebis Soki. es Soki gulisxmobs, inflaciis zrdas 1 procentuli

punqtiT, rac Sedegia inflaciaze moqmedi miwodebis Sokis. aRniSnuli

tipis Soki, umetes SemTxvveaSi ukavSirdeba enrogomatareblebis, an/da

sxva sasaqonle jgufebis fasebis zrdas saeraSoriso bazrebze.

saqarTvelo, iseve rogorc yvela Ria mcire zomis ekonomomika

mniSvnelovnad aris damokidebuli saeraSoriso fasebze da inflaciis

meryeobis didi nawili swored aRniSnul Soks ukavSirdeba.

133

sakredito Soki. aRniSnuli Soki gulisxmobs sesxebis mSp-sTan

fardobis egzogenurad zrdas 1 procentuli punqtiT. am Sokis buneba

waagavs globalur finansur krizisamde periodSi, mravali qveynis

finansuri seqtoris problmebas, romelTac Warbi sakredito zrda

hqonda. ganviTarebad qveynebSi am Soks egzogenuri saxe hqonda,

ramdenadac Warb sakredito zrdas saerTaSoriso bazrebze arsebuli

tendenciebi gansazRvravda.

makroprudenciuli politikis Soki. es Soki gulisxmobs, rom

davakvirdeT kapitalis kontrcikluri buferis 1 procentuli

punqtiT zrdis gavlenas sxva cvladebze.

aSS dolaris saprocento ganakveTis Soki. aRniSnuli Soki

gansakuTrebiT aqtualuria, aSS-s federaluri sarezervo bankis mier

gamocxadebuli politikis kvaldakval, romelis mixdviTac igi

gamodis Serbilebuli monetaruli politkidan. aRniSnuli

gulisxmobs, 2007 wlidan nulovan niSnulze SenarCunebuli

saprocento ganakveTebis etapobriv zrdas da raodenobrivi

Serbilebis farglebSi Sesyiduli fasiani qaRaldebis fortfelis

Secmirebas. am yovelives Sedegi unda iyos aSS dolaris saprocento

ganakveTebis zrda. impulsis reaqciis analizi am SokisTvis

gulisxmobs, londonis bankTaSorisi sesxebis bazarze aSS dolaris

saprocento ganakveTis 100 sabaziso punqtiT zrdas.

ucxouri moTxovnis Soki. aRniSnuli Soki gulisxmobs, ucxouri

gamoSvebis 1 procentiT Semcirebas, rac qveynis eqsportze moTxovnis

Semcirebas ganapirobebs. 20014-2015 wlebSi ruseT - ukrainis omis da

navTobis fasebis Semcirebis fonze regionSi Semcirebuli

Semosavlebi saqarTvelos ekonomikisTvis sagareo moTxovnis

Semcirebis naTeli magaliTia.

134

diagrama IV.7-ze warmodgenilia adgilobrivi moTxovnis Sokis simulacia.

rogorc diagramazea aRniSnuli Sokis fonze izrdeba gamoSveba bunebriv

donesTan SedarebiT. zrda aRemateba erT procentul punqts (romelic

scenaris daSveba iyo), radgan lagisa da lidis arseboba gantilebaSi

uzrunvelyofs meqanizms, romliTac xdeba sawyisi Sokis gaZliereba.

gamoSvebis zrda ganapirobebs aRmaval wnexs inflaciaze, ris pasuxadac

centraluri banki amkacrebs monetarul politikas. monetaruli politikis

ganakveTis zrda realuri saprocento ganakveTis zrdas iwvevs, rac Tavis

mxriv nominaluri da realuri gacvliTi kursis gamyarebaze aisaxeba.

inflaciaze erToblivi moTxovnis gavlenas monetaruli politikis

gamkacrebis fonze gacvliTi kursis gamyarebas zRudavs.

mniSvnelovania davakvirdeT modelis finansuri blokis muSaobis meqnizms.

erToblivi moTxovnis Soki sakredito aqtivobis Warb zrdas uwyobs xels

da rogorc diagramazea moyvanil Sedegebzea asaxuli, izrdeba sesxebis

mSp-sTan fardobis gadaxra wonasworuli donidan, ris pasuxadac

optimaluri makroprudenciuli politika kapitali kontrcikluri buferi

gamkacrebis saWiroebas ganapirobebs. aRniSnul SemTxvevaSi,

makroprudenciuli da monetaruli politikis miznebi TanxvedraSia

ramdenadac finansuri aqsleratoris meqanizmi erTdroulad ganapirobebs

inflaciur zewolasa da kerZo seqtoris leverejis zrdas. modelSi

makroekonomikuri stabilizaciis meqanizms monetaruli da

makroprudenciuli politikis instrumentebi warmoadgnen. kerZod,

saprocento ganakveTisa da kapitali kontrcikluri buferis zrda

uzrunvelyofs, erToblivi moTxovnisa sakredito aqtivobis SezRudvas,

rac, Tavis mxriv, amcirebs inflaciur zewolas da ekonomikis wonasworul

doneze dabrunebas ganapirobebs.

saprocento ganakveTebisa da kapitalis kontrcikluri buferis dadgenis

wesSi warmodgenili lagi, maTi cvlilebebis gluv xasiaTs ganapirobes.

aRniSnulis gaTvaliswinebiT, saprocento ganakveTebi da kapitalis

kontrcikluri buferi 5 – 10 kvartalis ganmavlobaSi wonasworulze

maRal niSnulze narCundeba, rac erTblivi moTxovnis wonasworulze met

135

Semcirebasac ganapirobebs. monetaruli da makproprudenciuli politikebis

Semdgomi Serbileba gacvliTi kursis gaufasurebasa erToblivi moToxvnis

gaZlierebas ganapirobes, rasac sabolood wonasworobaSi abrunebs

ekonomikas.

unda aRiniSnos, rom monetaruli da makroprudenciuli politikis

gansazRvris wesebSi lagebis arseboba aRwers maT istoriul xasiaTs, rac

damaxasiaTebelia, ara mxolod saqarTvelos, aramed msoflios masStabiT

mravali qveynisTvis. Tumca, maTi daniSnuleba mxolod empriuli Tvisebebis

gasaumjobeseblad ar aris. prognozi, romelze dayrdnobiTac aRniSnuli

politikis gadawyvetilebebi miiReba, Tavis mxriv eyrdnoba Sefasebebs

mimdinare ekonomikuri mdgomareobisTvis damaxasiaTebeli daukvivebadi

monacemebis Sesaxeb, mag. mSp, realuri saprocento ganakveTebisa da

gacvliT kursebis gadaxrebs TavianTi wonasworuli doneebidan,

infalciisa da sxva faqtorebis mosalodnel mniSvnelobebs da sxva. aseve,

prognozi damokidebulia im mizez-Sedegobriv damokidebulebebze,

romlebic modelSia gaTvaliswinebuli. drois cvlilebasTan erTad,

icvleba informaciac da gamodis axali statistikuri monacemebi, romlebic

modelSi gaTvaliswinebis Semdgom aisaxeba prognozis ganmsazRvrel

TiToeul faqtorze, amdenad kvartalidan kvartalamde prognozi icvleba

da Sesabamisad, didia is gaurkvevloba, romelic prognozs axlavs Tan. es

yovelive ki ganapirobebs, rom monetaruli da makroprudenciuli politika

unda iyos Tanmimdevruli da iTvaliswinebdes im riskebs, romlebic

ekonomikis mimdinare mdgomareobis Sefasebas axlavs Tan.

136

diagrama IV.7 adgilobrivi moTxovnis Soki

diagrama IV.8 –ze warmodgenilia miwodebis Sokze modelis sapasuxo

reqciis Sedegebi. miwodebis Soki gulisxmobs, inflacize egzogenuri Sokis

moqmedebas 1 procentuli punqtis toli odenobiT, ris Sedegadad, erTi

mxriv, izrdeba inflaciis gadaxra miznobriv maCveneblidan, xolo, meore

mxriv, mcirdeba erToblivi moTxovna potenciur donesTan SedarebiT.

centraluri banki myisierad pasuxobs gazrdil inflaciur molodinebs

monetaruli politikis gamkacrebiT. nominaluri saprocento zrda, iwvevs

realuri saprocento ganakveTis zrdasac, rac kidev ufro amwvavebdes

erTobliv moTxovnaze uaryofiT gavlenas, Tumca zRudavs inflaciaze

Sokis gadacemas da misi meore raundis efeqtebs. monetaruli politkis

gamkacreba nominaluri gacvliTi kursis gamyarebas ganapirobebs pirveli 2-

3 kvartalis ganmavlobaSi, xolo Semdeg igi ufasurdeba, rasac Sokis

Sedegad ekonomikuri aqtivobis Semcireba ganapirobebs. nominlurTan

0 20 40

0

0.5

1

Output Gap

0 20 400

0.05

0.1

Overall Inflation (% QoQ)

0 20 40

0

0.2

0.4

Loan-to-GDP GAP

0 20 400

0.1

0.2

Policy rate

0 20 400

0.05

0.1

0.15

Real Interest rate

0 20 40

0

0.1

0.2

0.3

Countercyclical capital buffer deviation

0 20 40

-1

-0.5

0

Exchange rate

0 20 40

-1

-0.5

0Real exchange rate gap

0 20 400

0.2

0.4

0.6

Cumulative output

137

SedarebiT ufro mkveTrad myardeba realuri efeqturi gacvliTi kursi,

radgan nominaluri gamyarebis garda, gazrdili inflacia aseve

ganapirobebs mis gamyarebasa da kunkurentunarianobis Semcirebas.

rogorc simulaciis Sedegebi cxadyofs, ekonomikaSi miwodebis Soki

sesxebis mSp-sTan fardobis wonasworul donesTan SedarebiT Semcirebas

iwvevs. unda aRiniSnos, rom masze ori faqtori moqmedebs. erTi mxriv,

inflaciis zrda fiSeris valis deflaciis efeqtis arxiT, sakredito

tvirTs amcirebs, xolo, meore mxriv, Semcirebuli ekonomikuri aqtivoba

finansuri aqseleratoris meqanizmiT sakredito aqtivobis Semcirebas

iwvevs. aRniSnulis pasuxad, centraluri banki makroprudenciuli

politikiT sakredito aqtivobis waxalisebas axdens, ra mizniTac igi

amcirebs kapitalis kontrciklur bufers. unda aRiniSnos, rom miwodebis

Sokis SemTxvevaSi, monetaruli da makroprudenciuli politikebi

urTierTsawinaaRmdego mimarTulebiT moqmedebs, rac maTi miznebidan

gamomdinare interesTa konfliqts warmoqmnis. miuxedavad amisa, miwodebis

Sokis gavlena etapobrivad miileva da 5-10 kvartalis Semdgom, ekonomika

kvlav wonasworul mdgomareobas ubrundeba.

138

diagrama IV.8 miwodebis Soki

diagrama IV.9-ze warmodgenilia kapitalis kontrcikluri buferis Sokis

analizis Sedegebi. aRniSnuli Soki gulisxmobs kapitalis konctrcikluri

buferis egzogenur zrdas 1 procentuli punqtiT.

rogorc diagramezea warmodgenili, aRniSnuli Sokis gavleniT mcirdeba

sakredito aqtivoba da sesxebis mSp-sTan fardoba wonasworul dones

daaxloebiT 0.2 procentuli punqtiT amcirebs, rac kidev ufro mcire,

Tumca uaryofiT gavlenas axdens erTobliv gamoSvebaze. aRsaniSnavia, rom

aRniSnuli Sokis gavleniT ufasurdeba nominaluri da realuri efeqturi

gacvliTi kursebi, rac inflaciaze zrdis zewolas qmnis, Tumca maTi

efeqti inflaciaze maleve miileva da susti erToblivi moTxovna mis

Semcirebas ganapirobebs. deflaciuri zewolis gasaneitraleblad

monetruli politikis ganakveTi mcirdeba, rasac mcire lagiT mihyveba

realuri saprocnto ganakveTic. am yovelives ZalisxmeviT, kapitalis

0 20 40

-0.6

-0.4

-0.2

0

Output Gap

0 20 40

0

0.5

1


0 20 40

-0.8-0.6-0.4-0.2

0Loan-to-GDP GAP

0 20 40-0.2

0

0.2

0.4

Policy rate

0 20 40-0.1

0

0.1

0.2

0.3

Real Interest rate

0 20 40

-0.6

-0.4

-0.2

0Countercyclical capital buffer deviation

0 20 40

0

0.5

1Exchange rate

0 20 40-1

-0.5

0

0.5

Real exchange rate gap

0 20 40

-0.8-0.6

-0.4-0.2

0Cumulative output

139

kontrcikluri buferis Sokis efeqti 5-10 kvartali Semdgom srulad

miileva da ekonomika mniSvnelovani meyeobebis gareSe ubrundeba

wonasworul dones.

diagrama IV.9 kapitalis kontrcikluri buferis Soki

modelis makrofinansuri urTierTkavSirebis meqanizmis aRsawerad kidev

erTi saintereso magaliTia sakredito Sokis analizi, romelic diagrama

IV.10-zea warmodgenili. aRniSnuli Soki gulisxmobs, rom sakredito

aqtivobis egzogenuri zrdis Sedegad sesxebis mSp-sTan fardoba 1

procentuli puntqiT izrdeba. rogorc diagramazea aRniSnuli, sakredito

aqtivobis zrda erToblivi gamoSvebis zrdas ganapirobebs potenciur

donesTan SedarebiT. gadaxra maqsismums 2-3 kvartalis Semdeg aRwevs da

daaxloebiT 0.15 procentuli punqtis farglebSia. unda aRiniSnos, rom

sakredito Sokis gamoSvebaze gavlena damokidebulia ekonomikis

gaxsnilobaze. kerZod, rac ufro Ria ekonomika aqvs qveyanas, miT naklebad

0 20 40-0.06

-0.04

-0.02

0

Output Gap

0 20 40

-0.01

0

0.01

0.02


0 20 40

-0.2

-0.1

0Loan-to-GDP GAP

0 20 40

-0.02

-0.01

0

Policy rate

0 20 40

-0.02

-0.01

0

0.01

Real Interest rate

0 20 400

0.20.40.60.8


0 20 400

0.05

0.1

Exchange rate

0 20 400

0.05

0.1


0 20 40

-0.06

-0.04

-0.02

0Cumulative output

140

eqvemdebareba erToblivi gamoSveba Sida faqtorebis stimulirebas,

ramdenadac gazrdili xarjebis mniSvnelovani nawili importze moTxovnas

zrdis.

sakredito Sokis pasuxad, centraluri banki makroprudenciuli politikis

gamkacrebas axorcilebs da kapitalis kontrcikluri buferi myisierad

izrdeba daaxloebiT 0.5 procentuli punqtiT, rac uzrunvelyofs

sakredito Sokis ganeitralebas. Tavis mxriv, gamoSvebis gadaxra

potenciuri donidan inflaciaze zewolis safrTxes qmnis, rasac

monetaruli politika mcired, Tumca gamkacrebiT pasuxobs. aRniSnuli ki

nominaluri da realuri gacvliTi kursebis gamyarebas ganapirbebs, rac

saboloo jamSi erToblivi moTxovnis potenciuridan gadaxris SeboWvas

ganapirobebs. 5-10 kvartalis Semdeg ekonomikaze Sokis moqmedebis efeqti

TiTqmis srulad miileva da ekonomika Tavis wonasworul dones ubrundeba.

diagrama IV.10 sakredito Soki

0 20 40

0

0.05

0.1

0.15

Output Gap

0 20 40

-0.02

0

0.02

0.04Overall Inflation (% QoQ)

0 20 400

0.20.40.60.8

Loan-to-GDP GAP

0 20 40

0

0.02

0.04

0.06

Policy rate

0 20 40

0

0.02

0.04

0.06

Real Interest rate

0 20 400

0.2

0.4


0 20 40-0.3

-0.2

-0.1

0

Exchange rate

0 20 40-0.3

-0.2

-0.1


0 20 400

0.05

0.1

0.15Cumulative output

141

diagrama IV.11-ze warmodgenilia qveynis riskis premiis Soki, romelic

gulisxmobs, rom qveynis riskis premia egzogenurad izrdeba 1 procentuli

punqtiT. aRniSnuli Sokis myisieri Sedegia gacvliT kursis gaufasureba,

amdenad riskis premiis Soks meorenairad SegviZlia gacvliTi kursis Sokic

vuwodoT.

aRniSnuli Sokis gavleniT mcirdeba gamoSveba, romelic CamorCeba mis

potenciur dones, xolo izrdeba inflaciis gadaxra samizne maCveneblidan.

nominaluri da realuri gacvliTi kursebis gaufasureba nawilobriv

abalansebs gamoSvebaze Sokis uaryofiT gavlenas, Tumca zrdis inflaciaze

zewolas da miuxedavad susti erToblivi moTxovnisa, igi swrafad izrdeba

da maqsmialuri gadaxra saminze maCveneblidan daaxloebiT 0.6 procentuli

punqtia. unda aRiniSnos, rom Sokis pasuxad monetaruli politika

mkacrdeba rac mimarTulia inflaciuri zewolis ganetiralebisken, xolo

makroprudenciuli politika Serbilebis miamrTulebiT icvleba, romelic

sakredito aqtivobis aRdgenisa da gamoSvebis wasaxaliseblad icvleba.

aRniSnuli Sokis buneba yvelaze kargad aRwers 2014-2015 wlebSi

saqarTvelos savaWro regionSi navTobis fasis vardnisa da ruseT-ukrainis

omis gavleniT gazrdil riskebs, rac regionis TiToeuli qveynisTvis

gacvliTi kursis gaufasurebasa da infalciur zewolaSi gadaizarda,

miuxedavad gamoSvebis Semcirebisa potenciur donesTan SedarebiT.

142

diagrama IV.11 qveynis risk premiis Soki

Ria mcire zomis ekonomikisTvis mniSvnelovan Soks warmoadgens sagareo

moToxvnis Soki, romelic diagrama IV.12--ze warmodgenilia. kerZod, scenari

iTvaliswinebs sagareo moTxovnis egzogenur zrdas 1 procentuli punqtiT.

rogorc diagramazea aRniSnuli, sagareo moTxovnis zrda dadebiTad

aisaxeba gamoSvebis zrdaze da 3-4 kvartalis lagiT adgilobrivi

gamoSvebis gadaxra potenciuri donidan maqsimalur mniSnelobas da

daaxloebiT 0.4 procentuli punqtis farglebSia. adgilobriv ekonomikaze

sagareo) gamoSvebis maRali gavlena saqarTvelos ekonomikis regionis

ekonomikaSi maRal integraciaze miuTiTebs, rac ara mxolod saqonlisa da

momsaxurebis vaWrobis arxs, aramed fuladi gzavnilebisa da investiciebis

arxebsac moicavs.

sagareo moToxvnis dadebiTi Soki nominaluri da realuri gacvliTi

kursebis gamyarebas ganapirobebs ramdenime kvartalis lagiT, rac

0 20 40-0.4

-0.2

0

Output Gap

0 20 40

0

0.2

0.4

0.6


0 20 400

0.5

1Country risk premium

0 20 40-0.1

0

0.1

0.2

Policy rate

0 20 40-0.1

00.10.20.3

Real Interest rate

0 20 40-0.3

-0.2

-0.1


0 20 400

0.5

1

Exchange rate

0 20 400

0.20.40.60.8


0 20 40-0.4

-0.2

0Loan-to-GDP GAP

143

inflaciis mizmobrivTan niSnulTan Semcirebas uwyobs xels. unda

aRiniSnos, rom inflacia erToblivi moTxovnis zrdis, xolo gacvliTi

kursi Semcirebis mimarTulebiT moqmedebs. sawyis periodSi inflaciaze

gacvliTi kursis gavlena Warbobs erToblivi moTxovnis gavlenas, Tumca

daaxloebiT 5 kvartalis Semdeg gacvliT kursis gavlena miileva da

inflacia mcired aWarbebs miznobriv dones. mniSvnelovania aRiniSnos, rom

gacvliTi kursis inflaciaze myisier da maRal gadacemas ramdenime

faqtori ganapirobebs. kerZod, importuli saqonlis wili samomxareblo

kalaTaSi 30 %-is farglebSia, rac maRali maCvenebelia, Tumca amas garda

mniSvnelovnia importuli Sualeduri saqonlisa da momsaxurebis wili

adgilobriv warmoebaSi da sesxebis dolarizaciis maRali done. kerZod,

importis fardoba mSp-sTan 2014 wlis monacemebiT, 50% -is farglebSia,

xolo amave periodisTvis ekonomikaze gacemuli sesxebis saSualod 60%

dolariT denominirebulia. dazustebisTvis aseve mniSvnelovania aRiniSnos,

rom inflaciaze moqmdebs nominaluri efeqturi gavliTi kursi da ara

romelime konkretuli valutis mimarT. diagramaze warmodgenili

nominaluri gacvliTi kursi, warmoadgens laris dolarTan mimarTebaSi

gavcliT kurss, da radganac daSvebis Tanaxmad Soki mxolod erTobliv

moTxovnas exeba da ara savaWro partniori qvynebis valutis kursebs

dolarTan mimarTebaSi, amdenad laris dolarTan gacvliTi kursis

dinamika emTxveva laris nominaluri efeqturi gacvliTi kursis dinamikas,

rac realobaSi yovelTvis ese araa. kerZod, 2014-2015 wlebSi sagareo

moTxovnis Soks Tan sdevda savaWro partniri qveynebis valutebis

gaufasureba dolarTan mimarTebaSi, ramac laris nominaluri efeqturi

kursi mniSvnelovnad daicva gaufasurebisgan da Sesabamisad inflaciaze

zewolac SedarebiT mcire iyo.

144

diagrama IV.12 sagareo moTxovnis Soki

sagareo seqtoris Sokebis analizis kidev erT mniSvenlovan SemTxvevas

warmoadgens aSS-s dolaris saprocneto ganakveTis Soki. aRniSnuli Soki,

bolo wlebSi gansakuTrebul aqtualobas iZens, ramdenadac ganviTarebadi

da mzardi ekonomikis mqone qveynebisTvis globalur gamowvevad iqca aSS-s

mier Serbilebuli monetaruli politikidan gamosvla. diagrama IV.13-ze

warmodgenilia ucxouri saprocento ganakveTebis Sokis gavlena modelSi

warmodgenil ZiriTad cvladebze. Soki gulisxmobs, londonis

bankTaSorisi sesxebis bazarze aSS dolaris arsebuli ganakveTebis zrdas

1 procentui punqtiT.

modelis mier simulciis Sedegi cxadyofs, rom sagareo saprocento

ganakveTebis zrda iwvevs gamoSvebis Semcirebas mis potenciur donesTan

SedarebiT. Semcireba ramdenime kvartalis lagiT xdeba da maqsimalur

mniSvnelobas 0.4 pocentul punqts aRwevs. gamoSvebis Semcirebis mTavar

wyaros investiciebis Semodinebis Semcireba, an/da gadineba warmoadgens,

0 20 40

0

0.2

0.4Output Gap

0 20 40-0.2

-0.1

0


0 20 400

0.1

0.2

Loan-to-GDP GAP

0 20 400

0.5

1Foreign Demand gap

0 20 40-0.05

0

0.05

0.1

0.15

Policy rate

0 20 40-0.1

0

0.1

Real Interest rate

0 20 400

0.1

0.2


0 20 40

-1

-0.5

0Exchange rate

0 20 40

-1

-0.5


145

rasac dolaris urisko aqtivebze (igulisxmeba aSS-s saxazino obligaciebi

da sxva maRal reitinguli aqtivebi) sargeblianobis zrda ganapirobebs.

ucxouri saprocneto ganakveTebis zrda, aseve negatiurad aisaxeba gacvliT

kursze. laris nominaluri da realuri gacvliTi kursebi ufasurdeba, rac

inflaciaze zrdis zewolas. gamoSvebis Semcirebis miuxedavad, inflacia

myisierad izrdeba da miznobriv niSnuls 1 procentuli punqtiT aRemateba.

aRniSnulis pasuxad, zomeirad mkacrdeba monetaruli politika, raTa

inflaciaze moqmedi faqtorebi gaaneitralos. amis sapirispirod,

centraluri banki arbilebs makroprudenciul politikas, rac miznad

isaxavs sakredito aqtivobis xelSewyobas, raTa aRmofxvras gamoSvebis

CamorCena potenciuri donidan. monetaruli da makroprudenciuli

politikebis gavleniT, inflacia da erToblivi gamoSveba etapobrivad

ubrundeba wonasworul dones da 5-10 kvartalis Semdgom ekonomikaze Sokis

efeqti miileva.

diagrama IV.13 ucxouri saprocento ganakveTis Soki

0 20 40

-0.4

-0.2

0Output Gap

0 20 40

00.2

0.40.6


0 20 40

-0.4

-0.2

0Loan-to-GDP GAP

0 20 400

0.5

1Foreign Interest Rate

0 20 400

0.2

0.4

0.6Policy rate

0 20 400

0.2

0.4

0.6

Real Interest rate

0 20 40

-0.4

-0.2


0 20 400

0.5

1

1.5Exchange rate

0 20 400

0.5

1


146

თავი V. prognozireba da alternatiuli scenarebis analizi

1 prognozi sabaziso scenariT

naSromSi agebuli modelis erT-erT ZiriTad daniSnulebas prognozireba

da makroprudenciuli politikis analizi warmoadgens. kerZod,

prognozirebis amocana gulisxmobs sagareo da adgilobrivi ekonomikis

egzogenur faqtorebze garkveuli daSvebebis pirobebSi Sefasebul iqnas

iseTi cvldebis saprognozo dinamika, rogoricaa sesxebis mSp-sTan

fardoba, mSp-is zrda, inflacia, saprocento ganakveTebi da gacvliTi

kursi. modelSi makroprudenciuli politikis gansazRvra konkretuli

wesis mixedviT xdeba, romlis parametrebic istoriuli analiziT

ganisazRvreba. Tumca, modelis praqtikaSi danergvisiTvis da

makroprudenciuli Tu monetaruli politikis analizisTvis,

mniSvenlovania politikis gamtarebelTa xedva modelSi srulad iyos

warmodgenili, rac maTi preferenciebisa da prioritetebis asaxvasac

gulisxmobs. amis gaTvaliswinebiT, winamdebare kvleva sabaziso CarCos

warmoadgens, romlis morgeba da adaptireba SesaZloa saWiroebisamebr

moxdes konkretuli institutisa da ekonomikuri saWiroebis mixedviT.

naSromSi warmodgenili midgomis mTavar maxasiaTebels endogenuri

makroprudenciuli da monetaruli politika warmoadgens. es gulisxmobs,

rom makroprudenciuli da monetaruli politika garkveul wesebze

dayrdnobiT dgindeba imdagvarad, rom ekonomikis dakrediteba, gamoSveba da

inflacia saSualovadian periodSi daubrundes TavianT wonasworul

doneebs. prognozirebis amocanisTvis umniSvnelovanes faqtors warmoadgens

mimdinare ekonomikuri viTarebis Sefaseba, romelic gulisxmobs

ekonomikaze moqmedi Sokebis identificirebasa da wonasworobidan gadaxris

Sefasebas. prognozi ki warmoadgens ekonomikis mimdinare weritilidan

wonasworulze gadanacvlebis traeqtoriis Sefasebas, romelic Tavis mxriv

makroprudenciul da monetarul politikazea damokidebuli. amdenad,

modelis struqturaze dayrdnobiT, prognozis nawils warmoadgens

kapitalis kontrcikluri buferis da saprocento ganakveTebisTvis saWiro

traeqtoriis Sefaseba, romelsac ekonomikis mdgrad wonasworobaSi

gadayvanas optimalurad axorcielebs. aqedan gamomdinare, am tipis analizs

147

mniSvnelovani rolis Sesruleba SeuZlia makroprudenciuli da

monetaruli politikis analizisTvis.

kvlevis ZiriTad mizans saqarTvelosTvis makrofinansuri modelis ageba

warmoadgens, Tumca amave kvlevis farglebSi gvinda sailustraciod

prognozic warmovadginoT, romlis mizani ara movlenebis SesaZlo

ganviTarebis gamocnobaa, aramed agebuli modelis SesaZleblobis

demonstrireba warmoadgens.

struqturuli modelis saSualebiT prognozirebisTvis mniSvnelovan

elements warmoadgens daSvebebi, romlebsac igi efuZneba. yoveli

prognozisTvis gamoiyeneba daSvebebi ise faqtorebze, rogoricaa:

ekonomikis sawyisi cikluri pozicia, sagareo seqtoris saprognozo

maCveneblebi1 da ekonomikis grZelvadiani wonasworobis maCveneblebi.

sawyisi cikluri poziciis Sefaseba xdeba kalmanis filtris meTodiT

(romlis Sedegebic warmodgenili iyo IV Tavis me-2 qveTavSi). sagareo

faqtorebis mxriv, mniSvnelovania aSS dolaris saprocento ganakveTebi,

saqarTvelos savaWro partniorebis ekonomikuri zrda, maTi inflacia da

gacvliTi kursebi dolarTan mimarTebaSi (detalurad modelSi

gamoyenebuli cvladebis Sesaxeb ixileT damarTi AA cxrili A-1).

prognozisTvis aseve mniSvenlovania ekonomikis mdgradi wonasworobis

grZlevadiani maCveneblebi, iseTebi, rogorebicaa ekonomikis gamoSvebis

bunebrivi zrdis done, inflaciis miznobrivi maCvenebeli, riskis premiis,

realuri saprocento ganakveTebisa da efeqturi gacvliTi kursis

wonasworuli maxasiaTeblebi. naSromSi warmodgenli prognozis ZiriTadi

daSvebebia:

mSp-s potenciuri zrdis tempi 4%, realuri gacvliTi kursis

wonasworuli gamyarebis tempi 2%-ia, rac konvergenciis fonze

produqtiulobis zrdis diferencialis daSvebas efuZneba, xolo

qveynis riskis premiis wonasworuli done 4%-ia.

1unda aRiniSnos, rom modelSi sagareo seqtori egzogenurad aris warmodgenili.saerTaSoriso kvleviTi institutebis mier mniSvenlovan sagareo faqtorebze prognozebisxelmisawvdomoba SesaZlebels xdis modeli damatebiT garTulebis gareSe SevinarCunoT.

148

inflaciis miznobrivi maCvenbeli 5%-ia, Tumca igi etapobrivad

mcirdeba 3%-mde grZelvadian periodSi1.

sagareo seqtoris daSvebebi emyareba saerTaSoriso savaluto

fondisa da blumbergis mier warmoebul konsesus-prognozebs.

diagrama V.1-ze warmodgenilia makrekonomikuri da finansuri cvladebis

saprognozo dinamika 2015 – 2018 wlebisTvis.

diagrama V.1 ZiriTadi cvladebis saprognozo dinamika

diagramaze warmodgenili Sedegebidan, gansakuTrebiT mniSvnelovania

sesxebis mSp-sTan fardobis dinamika, romelic mimdinare periodSi

1saqarTvelos parlamentis mier damtkicebuli monetaruli politikis Sesaxeb ZiriTadimimarTlebebis Sesabamisad.

GDP

14Q3 15Q3 16Q3 17Q3 18Q3

-5

0

5

GDP Gr.Potential Gr.GDP Gap

Loan-to-GDP

14Q3 15Q3 16Q3 17Q3 18Q3

40

45

50

Loan-to-GDPLoan-to-GDP trend

Inflation

14Q3 15Q3 16Q3 17Q3 18Q3

2

3

4

5

6

7

Inflation.Target

Counter-cyclical policy

14Q3 15Q3 16Q3 17Q3 18Q3

10

11

12

13

14

Interest Rates

14Q3 16Q3 18Q3 20Q3

5

10

15

20

Gel rateFX rate

Exchange Rates

14Q3 15Q3 16Q3 17Q3 18Q3-35

-30

-25

-20

-15

-10

REERTrend

149

wonasworulTan SedarebiT Warbia da mosalodnelia, rom igi TandaTanobiT

dauaxlovdes wonasworul dones da mcired CamorCes kidec. aRniSnuli

maCveneblis Semcirebas, sakredito aqtivobis Seneleba warmoadgens,

romelic, Tavis mxriv, sagareo Sokis Sedegad ekonomikuri zrdis

Senelebisa da gacvliTi kursis gaufasurebis fonze, finansuri

SuamavlobisTvis gacvliTi kursis SeusabamobiT gamowveuli riskebis

Sedegia. amis pasuxad, mniSvenlovania makroprudenciuli politikis

reagireba, romlis mixedviTac mkacri makroprudenciuli politika unda

SenarCundes garkveuli periodis ganmavlobaSi, xolo Semdgom sakredito

aqtivobis Semcirebis kvaldakval saWiroa makroprudenciuli politikis

Serbileba, rac kontrcikluri kapitalis buferis Semcirebas gulisxmobs.

makroekonomikur faqtorTagan, mniSvenlovania aRiniSnos, rom inflacia

miznobriv maCvenebels aRemateba, romlis pasuxad monetaruli politika

gamkacrebulia, miuxedavad ekonomikuri gamoSvebis CamorCenisa misi

potenciuri donidan. aRniSnuli, erTi mxriv, asaxavs, sagareo Sokis fonze

gacvliTi kursis gaufasurebis gavlenas, romelic inflaciis zrdis

mimarTulebiT moqmedebs sesxebis dolarizaciis gamo, xolo, meore mxriv,

sagareo Soki ekonomikuri aqtivobis SezRudvas ganapirobebs. prognozis

Tanaxmad, saSualovadian periodSi inflacia miznobriv maCvenebels

ubrundeba, rac monetaruli politikis ZiriTadi instrumentis, saprocento

ganakveTebis Semcirebis saSualebas iZleva, xolo sagareo Sokis aRmofxvra

erToblivi gamoSvebis potenciurTan daaxloebas ganapirobebs. aseve,

aRsaniSnavia, realuri efeqturi kursis prognozi, romelis mixedviTac

mosalodnelia misi gamyareba da wonasworul donesTan daaxloeba.

mniSvnelovania aRiniSnos, rom zemoT warmodgenili prognozi momavali

Sokebisagan abstragirebas axdens. aRniSnuli gulisxmobs, rom prognoziT

warmodgenilia maCveneblebis saSualo mniSvnelobebis traeqtoria da ar

iTvaliswinebs maT stoqastur Tvisebebs. saprognozo dinamikis stoqasturi

analizisTvis, aseve SesaZlebelia modelSi warmodgenili sxvadasxva

Sokebis siamulacia. diagrama V.2--ze warmodgenilia sabazo prognozis e.w.

„fan-CarTebi“, romlebic prognozis stoqastur ganawilebas asaxaven.

aRniSnuli Sedegi saprognozo periodSi Sokebis simulaciiT miiReba.

150

Sokebis generireba albaTur ganawilebaze dayrdnobiT xdeba. es

ukanaskneli ki istoriul monacemebze dayrdnobiT aris Sefasebuli.

diagrama V.2 cvladebis stoqasturi saprognozo dinamika

2 alternatiuli scenarebis analizi

makroprudenciuli da monetaruli politikis analizisTvis gansakuTrebiT

mniSvnelovania, makroekonomikuri da finansuri Sokebis gavlenis Sefaseba

saprognozo cvladebze. warmodgenili modeli saSualebas iZleva

SevafasoT Sokebis gavlena saprognozo cvaldebze da SeviswavloT

makroprudenciuli da monetaruli politikis swori pasuxi, ama Tu im

scenarSi. msgavsi tipis analizi, garda politikis gamtarebelTaTvis, aseve

potenciuri investorebisTvis da kerZo seqtorisTvisac sainteresoa,

151

ramdenadac maT eqnebaT swori molodinebi makroekonomikuri politikis

reagirebaze, ama Tu im egzogenuri Sokis pasuxad.

am mizniT, kvlevaSi warmodgenilia alternatiruli saprognozo scenarebi,

romlebic gulsixmobs adgilobrivi da sagareo Sokebis zemoqmedebas. unda

aRiniSos, rom sabaziso scenaris msgavsad, scenarebi hipoTeturia da ar

isaxavs miznad movlenebis realuri ganviTarebis aRweras, aramed modelis

SesaZlo gamoyenebis demonstrirebas warmoadgens. alternatiuli

saprognozo scenarebi, iseve rogorc sabaziso scenari, saWiro daSvebebis

cvlilebebiT SesaZloa adaptirdes da gamoyenebuli iqnas nebismieri

institutis mier saWiroebisamebr, konretuli kvlevis farglebSi.

alternatiuli scenarebi ganixilavs, pozitiur da negatiur Sokebs. kerZod,

pozitirui Soki gulisxmobs adgilobrivi gamoSvebis mosalodnelze

mkveTr zrdas, investorTa ganwyobis sabaziso scenariT gaTvaliswinebulze

ufro swrafi gaumjobesebis meSveobiT. aRniSnulis mzezi mravali

SesaZloa iyos, iseve rogorc sagareo, aseve Sida faqtorebidan. mag.

evrokavSirTan Tavisufali da yovlismomcveli Tavisufali savaWro

sivcris SeTanxmebis fonze, vizaliberalizaciis miRwevam SesaZloa qveynis

sainvesticio garemoze mosalodnelze maRali gavlena iqonios, rac

investiciebis zrdas Seuwyobs xels. Sida faqtorebidan, fiskaluri Tu

monetaruli politikis stimuli, SesaZloa samomxmareblo ganwyobis

maprovocierebli aRoCndes, ramac moklevadian periodSi erToblivi

gamoSvebis mosalodnelze maRali zrda ganapirobos. amis sapirispirod,

negatiuri Soki gulisxmobs, sagareo Sokis gaRmavebas, romelic erTnairad

aisaxeba qveynis riskis premiis zrdasa da qveynis eqsportis SezRudvaze.

aRniSnulis mizezi, SesaZloa saqarTvelos savaWro regionSi

geopolitikuri riskebis damatebiT gamwvaveva, an/da aSS-is federaluri

sarezervo bankis mier Serbilebuli monetaruli politikidan

mosalodnelze swrafi gamosvla gaxdes.

diagrama V.3-ze warmodgenilia sabaziso da alternatiuli saprognozo

scenarebis Sedegebi. rogorc Sedegebidan Cans, pozitiuri scenaris

SemTxvevaSi, erToblivi gamoSvebis maRali zrda pozitiruad aisaxeba

152

sakredito aqtivobaze da sesxebis mSp-sTan fardoba aRemateba sabaziso

scenariT miRebul Sedegebs. makroprudenciuli politika, romelic

modelSi kapitalis kontrcikluri buferiT aris warmodgenili, pozitiur

scenarSi naklebad mcirdeba, rac makroprudenciuli politikiT ekonomikis

waxalisebis nakleb saWiroebaze miuTiTebs.

monetaruli politikis kuTxiT, gansakuTrebiT sainteresoa pozitiuri

scenaris gavlena inflaciaze. es ukanaskneli miuxedavad sabazosTan

SedarebiT maRali gamoSvebisaa, praqtikulad ufro mcirea vidre sabaziso

SemTxvevaSi. aRniSnul garemoebas ori faqtori ganapirobebs, romlebic

SinaarsiT msgavsia, Tumca, amave dros gansxvavebulic. pirveli faqtoria,

rom mimdinare inflacia miwodebis mxridan moqmedi Sokis gavlenas

ganicdis, rac dolarizaciis fonze gacvliTi kursis gaufasurebis

Sedegia. Sesabamisad, pozitiuri Sokis pirobebSi, rodesac realuri

efeqturi gacvliTi kursi myardeba da aRmoifxvreba miwodebis Soki es

aneitralebs inflaciaze moqmed miwodebis Soks. meore faqtors

warmoadgens, rom efeqtur gacvliT kurss inflaciaze maRali gadacema

gaaCnia (mag. mdivniSvili, 2014), rac damaxasiaTebelia Ria da mcire zomis

ekonomikebisTvis, romlebic aramxolod samomxmareblo, aramed warmoebis

Sualeduri saSulebebisTvisac importze arian damokidebulni.

pozitiuri scenaris SemTxvevaSi, inflaciis sabazosTan SedarebiT dabali

maCvenebeli, monetruli politikisTvis Serbilebis SesaZleblobas aCens.

amdenad monetaruli politikis ganakveTi mcired, Tumca naklebia sabaziso

scenariT prognozirebul maCvenebelTan.

negatiuri scenaris SemTxvevaSi, riskis marJis zrda da savaWiro

partniorebis ekonomikuri mdgomareobis gauareseba, ekonomikis erTblivi

gamoSvebis Sesustebas ganapirobebs. aRsaniSnavia, rom negatiuri Sokis

dros sakredito aqtivoba sustdeba, rac finansuri aqseleratoris

meqanizmis gaTvaliswinebiT logikuria, xolo makroprudenciuli politika

Serbilebas saWiroebs, raTa isedac Semcirebuli sakredito aqtivoba

waaxalisos.

153

monetaruli politikis kuTxiT, sainteresoa, rom inflaciaze gadacema ar

aris didi, rasac sabazosTan SedarebiT ufro Serbilebuli monetruli

politika ganapirobebs. kerZod, erToblivi moTxovnis Sesusteba, inflaciis

Semcirebis mimarTulebiT ubiZgebs, xolo erToblivi moTxvnis waxalisebis

mizniT, Serbilebuli monetaruli politika gacvliTi kursis arxiT,

inflaciaze Semcirebis mimarTulebiT moqmed zewolas aneitralebs.

diagrama V.3 alternatiruli saprognozo scenarebi

GDP

14Q3 15Q3 16Q3 17Q3

830

835

840

Loan-to-GDP

14Q3 15Q3 16Q3 17Q338

40

42

44

46

48

Inflation

14Q3 15Q3 16Q3 17Q3

2

3

4

5

6

7

Counter-cyclical policy

14Q3 15Q3 16Q3 17Q39

10

11

12

13

14

Interest Rates

14Q3 15Q3 16Q3 17Q34

5

6

7

8

Baseline Positive Negative

Exchange Rates

14Q3 15Q3 16Q3 17Q3

-25

-20

-15

-10

154

daskvna

naSromSi agebulia saqarTvelosTvis makrofinansuri modeli, romelic

SesaZleblobas iZleva: (I) gavaanalizoT kerZo seqtoris Warbi

dakreditebisa da Sesabamisad, leveraJis zedmetad zrdis riskebi; (II)

ganvaxorcieloT makroekonomikuri prognozireba makroprudenciuli da

monetaruli politikis endogenurobis pirobebSi; (III) iyos gzamkvlevi

makroprudenciuli da monetaruli politikis dadgenisTvis; (IV)

gavaanalizoT sxvadasxva hipoTeturi Sokebis gavlena da maTi sapasuxo

optimaluri politika; (V) xeli SevuwyoT makroekonokuri politikis

sxvadasxva instrumentebis koordinacias.

modeli ganekuTvneba axal-keinzianuri modelebis klass mcire da Ria tipis

ekonomikisaTvis da gafarToebulia finansuri seqtoris mocvis kuTxiT.

igi efuZneba dinamiuri, stoqasturi zogadi wonasworobis (Dynamic Stochastic

General Equilibrium, DSGE) modelirebas, Tumca naxevradstruqturulia, rac




analizisTvis gankuTvnili modelebisa, Tumca damatebiT igi gamdidrebulia

finansuri friqciebis modelirebiT da makroprudenciuli politika

endogenurad aris warmodgenili kapitalis buferis kontr-cikluri wesiT.

modelis finansuri bloki aseve Seicavs damatebiT saWiro igiveobebs,

kerZo seqtoris sakredito davalianebis dinamikurad aRwerisTvis.

modelis mikroekonomikuri struqtura moicavs Sinameurneobebs, romlebic

gaweuli Sromis fasad Rebuloben Semosavals xelfasis saxiT, Sualeduri

produqciis mwarmoeblebs, romlebic monopolisturi konkurenciis

pirobebSi awarmoeben usasrulod diferencirebul saqonels, sabanko

seqtors da finansur bazrebs, romlebic finansur Suamavlebs

warmoadgenen. modelSi warmodgenilia sagareo seqtori, romelTanac

qveyana vaWrobs da aseve komerciuli bankebi Rebuloben sesxebs, xolo

155

monetarul da makroprudenciul politikas Sesabamisi miznebiT

axorcielebs centraluri banki.

modeli seqtorebis mixedviT xuT ZiriTad blokad iyofa, esenia: (I)

finansuri seqtori, romelic modelSi warmodgenilia sabanko seqtoris

sakredito portfelis aRmweri dinamikuri gantolebiT da sargeblis

ganakveTis vadianobis struqturiT; (II) erToblivi moTxovnis dinamikuri IS

gantoleba; (III) filipsis mrudi, romelic inflacias gansazRvravs; (IV)

gacvliTi kursis gantoleba, romelic procentis paritetuli pirobiT aris

warmodgenili; (V) makroprudenciuli politikisa da monetaruli

politikis formirebis aRmweri gantolebebi.

modelSi finansuri seqtori warmodgenilia sabanko sistemiT, romelic

ekonomikis dakreditebas axdens adgilobrivi da ucxouri valutis

sesxebiT, xolo sargeblis ganakveTs modelSi gaaCnia Tavisi vadianobis

struqtura. sakredito portfelis momsaxurebis tvirTi, kerZo

seqtorisTvis ganisazRvreba sargeblis ganakveTsa da arahejirebuli

msesxeblebisTvis ucxouri valutis sesxebidan gamomdinare gacvliT

kursze damokidebulebiT. Tavis mxriv, sakredito portfelis zrda,

romelsac bankebi prociklurad axorcieleben, kvlav saqmiani ciklis

gamaZlierebeli xdeba. magaliTad, ekonomikuri ciklis bumis fazaSi Warbi

moTxovna Warb sakredito zrdas uwyobs xels, romelic Tavis mxriv kvlav

Warb moTxovnas aZlierebs. amdenad, modelSi warmodgenili es

damokidebuleba erTobliv moTxovnasa da sakredito zrdas Soris

„finansuri aqseleratoris“ efeqts aRwers, romelic farTod dakvirvebadi

fenomenia msoflios finansuri krizisebis istoriaSi.

finansuri seqtoris analizisTvis modelSi erT-erTi mniSvnelovani

faqtoria gacvliTi kursi, romelsac didi yuradReba eTmoba. kerZod,

gacvliTi kursi, erTi mxriv, ekonomikis realur seqtorze

mastabilizirebel gavlenas axdens, xolo, meore mxriv, arahejirebuli

msesxeblebis dolarizaciis fonze sakredito tvirTis cvlilebas iwvevs,

rac erTobliv moTxovnaze aisaxeba da aseve samomxmareblo fasebze

156

gavlenas axdens, rogorc importuli saqonlis fasebis, aseve mwarmoebelTa

sesxebis gavliT.

makroprudenciuli politika modelSi kapitalis ciklis sawinaaRmdego

buferis dadgenis wesiT aris warmodgenili. makroprudenciuli politikis

mizania, Warbi zrdisas SezRudos sabanko seqtoris dakrediteba da

moamzados sabanko sistema bumis Semdgom daRmasvlis fazaSi danakargebis

gaZlebisaTvis da xeli Seuwyos dakreditebis mkveTri Semcirebis Tavidan

acilebas. monetaruli politika gansazRvravs refinansirebis ganakveTs,

romelic teiloris msgavsi wesiT ganisazRvreba. kerZod, refinansirebis

ganakveTi dgindeba inflaciis prognozisa da gamoSvebis potenciuri

dinidan gadaxris mixedviT.

modelis axali keinzianuri Tvisebebidan aRsaniSnavia erToblivi

moTxovnis da filipsis gantolebebi. kerZod, erToblivi moTxovna

warmodgenilia dinamiuri IS mrudiT, romelic ekonomikur aqtivobas

realur sargeblis ganakveTTan akavSirebs da iTvaliswinebs molodinebsa

da sxva faqtorebs. axali keinzianuri filifsis mrudi (New-Keynesian Phillips

Curve) erToblivi miwodebis mxares warmoadgens. igi inflacias

gansazRvravs Tavisive molodinebiT da gamoSvebis potenciuri donidan

gadaxris mixedviT. Ria ekonomikis pirobebSi kapitalis moZraobis

SeuzRudveloba, nominaluri gacvliTi kursis adgilobriv da ucxouri

sargeblis ganakveTebs Soris diferencialze damokidebulebas

ganapirobebs. modelSi gacvliTi kursi procentis paritetulobis pirobis

mixedviT ganisazRvreba.

modelis ZiriTadi nawilis mikroekonomikuri safuZveli msgavsia Teoriuli

DSGE modelebis safuZvlis, Tumca modeli aseve moicavs qcevis aRmwer iseT

damokidebulebebs, romlebic saqarTvelos ekonomikis Taviseburebebis ukeT

aRsawerad aris warmodgenili konkretuli mikroekonomikuri safuZvlis

modelSi cxadad warmodgenis gverdis avliT. politikis analizis

saWiroebidan da prognozirebis xarisxis gaumjobesebisa Tu praqtikuli

Tvisebebis realobaze ukeT morgebis mizniT, naSromSi agebuli modeli

naxevradstruqturulia, rac farTod damaxasiaTebelia msgavsi tipis

157

mizniT agebuli modelebisTvis. naSromSi mokled mimoxiluli iyo

modelis mikroekonomikuri safuZveli da aqcenti modelis dayvanil

formasa da mis gamoyenebazea gakeTebuli.

finansuri seqtoris mniSvnelovnebis warmosaCenad makroekonomikisTvis

bolo wlebis globaluri finansuri krizisi da ganviTarebuli qveynebis

ekonomikuri tendenciebis analizi sruliad sakmarisia, Tumca

makrofinansuri kavSirebis istoria jer kidev didi depresiis periodidan

iRebs saTaves, romelic msoflio istoriaSi yvelaze mZime finansur

kriziss warmoadgens. Friedman and Schwartz, 1967 aRwers didi depresiis

periods da aseve amtkicebs, rom aSS-is im droindeli federaluri

sarezervo sistemis (centraluri banki) mcdarma politikam xeli Seuwyo

finansuri Sokis ekonomikur krizisSi gardaqmnas. finansuri krizisis

gadazrda did depresiaSi naTlad warmoaCens finansuri friqciebis

gavlenas realur ekonomikaze, rac Semdgom makrofinansuri modelirebis

sagani gaxda.

makrofinansurma analizma gansakuTrebuli aqtualoba SeiZena globaluri

finansuri krizisis Semdgom, romelmac naTlad warmoaCina

makroekonomikuri da finansuri urTierTkavSirebis siRrmiseuli analizis

saWiroeba. kerZod, krizisma cxadyo, rom cal-calke makroekonomikurma da

finansuri seqtoris analizma maTi dinamikuri urTierTkavSirebis

gaTvaliswinebis gareSe, SesaZloa araswor daskvnamde migviyvanos.

safinanso seqtoris zedamxedvelobis politikaSi sistemuri xasiaTis

riskebis arasaTanadod Sefaseba da Sesabamisi midgomebis ararseboba,

finansuri krizisis erT-erT xelmSemwyob mizezad iqca. amdenad, krizisis

Semdgom makroekonomistebis mier mzardi yuradReba daeTmo

makroprudenciuli politikis analizsa da misi instrumentebis efeqtianad

gamoyenebas. msoflios wamyvani institutebis kvlevebSi naTlad iqna

xazgasmuli (mag. Macroeconomic Asseement Group, 2010), rom politikis

gamtarebelTaTvis umTavres gamowvevas swori balansis dacva warmoadgens,

finansuri krizisebis SesaZlo moxdenis riskebis Semcirebasa da Sesabamisi

makroprudenciuli politikis ekonomikur danaxarjs Soris, romelic

normalur pirobebSi unda gaiRos qveyanam. naSromSi wamodgenili

158

makrofinansuri modeli, swored am tipis analizis xelSewyobas isaxavda

miznad.

bolo aTweulebis manZilze, msoflios masStabiT am Tematikaze miZRvnil

mniSvnelovan kvlevebis analizze dayrdnobiT, naSromSi warmodgenili da

Seswavlili iyo, finansuri friqciebis moqmedebis meqanizmi da maTi

makroekonomikuri gavlena. am kvlevebis mTavar mizans warmoadgenda, imis

axsna, Tu rogor SeiZleba erTi SexedviT mcire Sokma ekonomikis didi

meryeoba gamoiwvios, rogorc es msoflio krizisebis istoriis araerT

SemTxvevaSi momxdara.

winamdebare naSromSi gansakuTrebuli yuradReba aris gamaxvilebuli iseT

kvelebze, rogoricaa mag. Bernanke, Gertlet, Gilchrist 1999; Kiotaki, Moore 1997;

Gertler, Kiotaki, 2010; Christiano Motto Rostagno, 2003, 2010 da sxva. aRniSnuli

kvlevebi aRweren makrofinansuri urTierTkavSrebis meqanizmebs, romlebic

mocemuli kvlevis farglebSi agebuli modelis safuZvels warmoadgebs,

amdenad maTi analizi Zalzed mniSvnelovania. kerZod, makrofinansuri

kavSirebis Tematikaze miZRvnili Sromebidan gamokveTilia ori

mniSvnelovani arxi, esenia: „finansuri aqseleratoris“ meqanizmi da

„fiSeris valis deflaciis efeqti“.

„finansuri aqseleratoris“ meqanizmi Semdegia: sesxis saprocento marJa

uaryofiTad aris damokidebuli sesxis mimRebis wminda Rirebulebaze.

Tavis mxriv, uaryofiTi damokidebuleba imis Sedegia, rom rodesac

investoris wminda Rirebuleba mcirea, aseve mcirea misi sakuTari

kapitaliT monawileoba proeqtis dafinansebaSi, rac amwvavebs potenciur

interesTa konfliqts investorsa da mis kreditors Soris. gazrdili

agentis xarjebi saprocetno marJaze aisaxeba. kerZod, msesxeblebi maRal

kompensacias iTxoven arsebuli riskebis kompensirebisTvis. imis

gaTvaliswinebiT, rom investorTa wminda Rirebuleba procikluria

(ramdenadac procikluria mogeba, fasiani qaRaldebis fasebi da sxva),

sesxis saprocento marJa izrdeba ekonomikuri recesiis dros, xolo

mcirdeba bumis periodSi. aRniSnuli efeqti aisaxeba dakreditebis

159

moculobaze da Sesabamisad investiciebsa Tu xarjebze, rac aZlierebs da

axangrZlivebs ekonomikur ciklebs.

finansuri friqciebis makroekonomikuri gavlenis meore mniSvnelovan arxs

warmodgens e.w. „fiSeris deflaciis efeqti“, romelic gulisxmobs, rom

fasebis moulodneli cvlilebis Sedegad icvleba firmis vali realur

gamosaxulebaSi. aRniSnuli efeqti, aZlierebs ekonomikur cikls da

ekonomikur meryeobas uwyobs xels, radgan ekonomikuri recesiis dros

fasebis done mcirdeba, rac valis realuri tvirTis zrdas ganapirobebs.

Sedegad mcirdeba investiciebi, xolo es ukanaskneli recesiis gaRrmavebas

ganapirobebs. amas sapirispiro gavlena aqvs ekonomikuri ciklis bumis

fazaSi, rodesac fasebis zrda valis realur tvirTs amcirebs da

investiciebis waxalisebis gziT ekonomikuri aqtivobis zrdas ganapirobebs.

aRniSnuli efeqti gansakuTrebiT maRalia levarejis mqone firmisTvis,

romelTaTvisac „fiSeris deflaciis efeqti“ gaZlierebuli saxiT aisaxeba

maT wminda Rirebulebaze.

unda aRiniSnos, rom es ori arxi erTmaneTs ekonomikuri Sokis mixedviT, an

aZlierebs, an abaTilebs. Tuki Sokis gavleniT ekonomikuri aqtivoba da

fasebi erTi da imave mimarTulebiT icvleba, maSin finansuri aqseleracia

da fiSeris deflaciis efeqti urTierTgamaZlierebeli iqneba (finansuri

krizisebis gamomwvevi Sokebi umetesad am tips ganekuTvneba), xolo

rodesac Sokis gavleniT fasebi da ekonomikuri aqtivoba sawinaaRmdego

mimarTulebiT icvleba, es ori efeqti erTmaneTs abaTilebs (am tipis

Sokebs ganekuTvneba miwodebis Sokebi mag. navTobis fasis cvlileba).

saqarTvelos ekonomikuri istoridan swored es efeqtebia aRwerili

naSromSi agebuli modelis mier. kerZod, naSromSi warmoadgenilia

modelis saSualebiT kamlan filtris Sedegebi, romlebic daukvirvebadi

faqtorebis Sefasebis erT-erT yvelaze mZlavr meTods warmoadgens. kalman

filtris gamoyenebiT Sefasebulia iseTi faqtorebis, rogorebicaa mSp-s

gadaxra misi potenciuri donidan, sesxebis mSp-sTan fardobis mdgradi

wonasworobis done, realuri gacvliTi kursisa da saprocento

160

ganakveTebis bunebrivi doneebi. aseve modelSi gamoyenebuli TiToeuli

faqtoris ganmapirobebeli sxva faqtorebi.

unda aRiniSnos, rom modeliT kalman filtris analizi logikurad xsnis

saqarTvelosTvis saqmiani ekonomikuri ciklis aRmavlobisa da recesiis

fazebs, 2008 wlis tyupi krizisis gavlenas ekonomikaze, aseve Sefasebas

axdens makrofinansuri kavSirebis gavlenisa ekonomikaze. kerZod,

ekonomikis saqmian ciklze finansuri aqseleratorisa da sabalanso uwyisis

kontribuciebis analizi cxadyofs, rom finansuri seqtori prociklur

gavlenas axdens ekonomikur gamoSvebaze da zrdis mis meryeobas saqmiani

ciklis periodSi. kerZod, 2003-2005 wlebSi, rodesac ekonomikis gamoSveba

CamorCeboda mis potenciur dones, finansuri aqseleratoris efeqts

uaryofiTi wvlilil hqonda. 2006 – 2008 wlebSi dakreditebis donis

swrafma zrdam xeli Seuwo ekonomikis gadaxurebas, xolo postkrizisul

periodSi finansuri aqseleratoris gavlena uaryofiTi iyo ekonomikaze.

aseve, mcired, Tumca uaryofiTi gavlena iqonia 2013-2014 wlebSi finansuri

seqtoris Senelebulma aqtivobam mSp-s potenciuridan CarmoCenaze. Tavis

mxriv finansuri seqtoris Seneleba, sagareo Sokis fonze ekonomikaSi

gazrdili riskebis pasuxi iyo, romelic ZiriTadad savaWro partnior

qveynebSi gamwvavebuli ekonomikurma krizisma ganapiroba.

kalman filtris saSualebiT ganxorcielebuli istoriuli analizi, aseve

cxadyofs „fiSeris valis deflaciis“ efeqtis gavlenas ekonomikaze.

kerZod, 2005 – 2006 da 2009 – 2010 wlebSi fiSeris deflaciis efeqti

sakredito ciklis gaRrmavebas ganapirobebda. 2009 wels, krizisis Semdgom,

SezRuduli erToblivi moTxovnis fonze inflacia miznobrivze dabali

iyo, ramac nominalur moculobaSi fiqsirebuli kreditebis faqtobrivi

tvirTi gazarda, xolo 2010 wels inflaciis mniSvnelovnad zrdam,

sakredito tvirTis Semcireba ganapiroba. 2011 – 2014 wlebSi inflacia

CarmorCeboda miznobriv dones, rac sakredito tvirTze uaryofiTad

aisaxeboda. rogorc Sedegebidan gamoCnda, fiSeris deflaciis efeqti

sakredito ciklis gaRrmavebas yovelTvis ar ganapirobebda. kerZod,

moToxvnis Sokis dros, rodesac ekonomikuri zrda da inflacia erTi

mimarTulebiT moZraobs, mxolod maSin axdenda fiSeris deflaciis efeqti

161

ekonomikuri ciklis gaRrmavebas. miwodebis Sokis pirobebSi, ki, rodesac

inflacia ekonomikuri Senelebis paralelurad izrdeboda, fiSeris

deflaciis efeqti sakredito ciklis da Sesabamisad ekonomikis saqmiani

ciklis normalizebas uwyobda xels.

modelis parametrebi Sefasebulia baiesianuri moTodiT, xolo

parametrebis apriori mniSvnelobebis gansazRvrisaTvis gamoyenebulia

kalibrirebuli mniSvnelobebi. saqarTvelosTvis, romelic ganviTarebadi

qveynebis msagvsad mniSvnelovan struqturul cvlilebebs ganicdis,

istoriis mokle manZilze, rTulia modelis SefasebisTvis klasikuri

ekonometrikuli midgoma iqnes gamoyenebuli. monacemebi zog SemTxvevaSi, an

ar arsebobs, an mokle istoria aqvs, rac modelis zomidan gamomdinare

arasakmaris safuZvels iZleva wminda empiriuli kvlevisTvis.

kalibrirebuli modelis upiratesoba calsaxaa. garda mwiri monacemTa

istoriisa, romelic kalibraciis upiratesobas gansazRvravs,

gasaTvaliswinebelia, rom gansakuTrebiT bolo ori aTwleulis manZilze

modelirebis kuTxiT ekonomistebSi mniSvnelovani codna dagrovda.

codnisa da gamocdilebis gamoyeneba ufro metad im qveynebis praqtikidan

aris sasargeblo, romlebic saqarTvelos ganviTarebis msgavs etaps

gadiodnen.

modelis moqmedebis meqnizmisa da misi dinamikuri Tvisebebis Seswavlis

mizniT, naSromSi warmodgenili iyo modelis impuslze reaqciis analizi.

aRniSnulma analizma, saSualeba mogvca Segveswavla, Tu rogor xdeba ama

Tu im sagareo da adgilobrivi Sokebis gadacema ekonomikaSi da rogoria

modelis mixedviT sapasuxo monetaruli da makroprudenciuli politika.

Sokebi arCeul iqna globaluri da adgilobrivi ekonomikuri garemos

aqtualuri Tematikis mixedviT. kerZod, analizisTvis gamoyenebuli iyo

iseTi Sokebi, rogorebicaa adgilobrivi ekonomikis moTxovnisa da

miwodebis Sokebi, qveynis riskis premiis Soki, sakreidto da

makroprudenciuli politikisa da aseve sagareo seqtoris Sokebi, kerZod

ki londonis bankTaSorisi sesxebis bazarze aSS dolaris saprocento

ganakveTisa da saqarTvelos savaWro partniori qveynebis moTxovnis Sokebi.

162

impulsze reaqciis analizis Sedegebi warmoaCens, modelis mier Sokebze

logikur reagirebas, rac, erTi mxriv, modelis dabalansebul dinamikur

Tvisebebze miuTiTebs, xolo, meore mxriv, saSualebas iZleva SeviswavloT

Sokebis ekonomikuri gavlena saqarTvelos magaliTze. mniSvenlovania

aRiniSnos, rom impulsis reaqciis analiziT gamovlinda makroprudenciuli

da monetaruli politikis urTierTSemavsebeli rolic da interesTa

konfliqtis SemTxvevbi. kerZod, moTxovnis da sakredito Sokebis dros,

monetaruli da makroprudenciuli politika erTnairad pausxobs da

erTmaneTis gavlenas aZlierebs ekonomikaze, xolo miwodebis, riskis

marJisa da ucxouri gamoSvebis Sokebis pirobebSi interesTa konfliqts

qmnian da ekonomikaze erTmaneTis efeqts aneitraleben. aRniSnuli tipis

analizi, ukiduresad mniSvenlovania monetaruli da makroprudenciuli

politikis koordinaciis uzurvelsayofad.

unda aRiniSnos, rom yvela Sokis SemTxvevaSi, modeli uzrunvelyofs, rom

swori monetaruli da makroprudenciuli politikis pasuxad, ekonomika 5-10

kvartalis periodSi praqtikulad ubrundeba Tavis wonasworul

mdgomareobas mniSvenlovani meryeobebis gareSe.

naSromSi agebuli modelis erT-erT ZiriTad daniSnulebas pognozireba da

makroprudenculi Tu monetaruli politikis analizi warmoadgens. am

mizniT, kvlevaSi sailustraciod warmodgenili iyo prognozis sabaziso da

alternatiuli scenarebi. unda aRiniSnos, rom prognozis mizans ara

movlenebis SesaZlo ganviTarebis gamocnoba, aramed agebuli modelis

SesaZleblobis demonstrireba warmoadgens.

ekonomikis sawyisi cikluri poziciis, sagareo seqtoris saprognozo

maCveneblebisa da ekonomikis grZelvadiani wonasworobis maCveneblebze

dayrdnobiT, warmodgenilia makroekonomikuri da finansuri cvaldebis

saprognozi dinamika 2015 – 2018 wlebisTvis. saprognozo cvaldebis

stoqasturi analizisTvis, naSromSi aseve warmodgenili iyo prognozi

Sokebis SesZlo gavleniT, rac prognozis stoqasturi ganwilebiT

moicemoda marao grafikis gamoyenebiT.

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prognozis sabaziso scenarTan erTad, aseve ganvixilavdi or alternatiul

scenars, pirobiTi saxelwodebebiT- pozitiuri da negatiuri. pozitiuri

scenari gulisxmobs, adgilobrivi gamoSvebis mosalodnelze mkveTr zrdas,

investorTa ganwyobis sabaziso scenariT gaTvaliswinebulze ufro swrafi

gaumjobesebis meSveobiT. negatiuri scenari gulisxmobs, savaWro regionSi

geopolitikuri riskebis damatebiT gamwvavebis, an/da aSS-is federaluri

sarezervo bankis mier Serbilebuli monetaruli politikidan

mosalodnelze swrafi gamosvlis fonze, sagareo Sokis gaRmavebas,

romelic erTnairad aisaxeba qveynis riskis premiis zrdasa da qveynis

eqsportis SezRudvaze.

aRniSnuli prognozis mTavar maxasiaTebels endogenuri makroprudenciuli

da monetaruli politika warmoadgens. es SesaZlebeli gaxda

makroprudenciuli da monetaruli politikis modelSi gaTvaliswinebiT,

romlebic garkveul wesebze dayrdnobiT dgindeba imdagvarad, rom

ekonomikis dakrediteba, gamoSveba da inflacia saSualovadian periodSi

daubrundes TavianT wonasworul doneebs. prognozi, Tavis mxriv,

makroprudenciul da monetarul politikazea damokidebuli. prognozi

erTgvarad makroprudenciuli da monetaruli politikisTvis gzamkvlevvis

rols asrulebs, ramdenadac prognosis gviCvenebs kapitalis kontrcikluri

buferisa da saprocento ganakveTebis saprognozo traeqtorias, romelsac

ekonomika optimalurad mihyavs wonasworobaSi.

164

A. danarTi

cxrili A-1 modelSi gamoyenebuli cvladebi

saxeli aRwera

realuri mTliani Sida produqti (100*log).mTliani Sida produqtis bunebrivi done (100*log).Δ mTliani Sida produqtis kvartaluri bunebrivi zrda,gawliurebuli (procentebSi).Warbi mTliani Sida produqti (gapi), (procentebSi).

samomxmareblo fasebis indeqsi (100*log).kvartaluri inflacia, gawliurebuli (procentebSi).4 wliuri inflacia (procentebSi).mosalodneli kvartaluri inflacia, gawliurebuli(procentebSi).kvartaluri importuli inflacia, gawliurebuli(procentebSi).ucxouri samomxmareblo fasebis indeqsi.ucxouri kvartaluri inflacia dolarebSi gamosaxuli,gawliurebuli (procentebSi).sesxebis mSp-sTan fardoba (procentebSi).sesxebis mSp-sTan fardobis gadaxra wonasworobisdonidan.sesxebis mSp-sTan fardobis wonasworobis done.Δ sesxebis mSp-sTan fardobis wonasworobis zrdis tempi,kvartaluri gawliurebuli.kapitalis kontrcikluri buferi (procentebSi).kapitalis kontrcikluri buferis mgrZnobiaroba sesxebismSp-sTan fardobis mimarT.laris 3 Tviani sargeblis realuri ganakveTi(procentebSi).laris 1 wliani sargeblis realuriganakveTi(procentebSi).laris 3 wliani sargeblis realuriganakveTi(procentebSi).laris sargeblis saSualo realuri ganakveTi(procentebSi).monetaruli politikis ganakveTi (procentebSi).monetaruli politikis neitraluri ganakveTi(procentebSi).laris 1 wliani sargeblis nominaluri ganakveTi(procentebSi).laris 3 wliani sargeblis nominaluri ganakveTi(procentebSi).laris sargeblis nominaluri saSualo ganakveTi(procentebSi).

165

_ dolaris 3 Tviani sargeblis ganakveTi (procentebSi)._ _ dolaris 3 Tviani sargeblis ganakveTi, larSigadamoyvanili (procentebSi)._ _ dolaris 1 wliani sargeblis ganakveTi, larSigadamoyvanili (procentebSi)._ _ dolaris 3 wliani sargeblis ganakveTi, larSigadamoyvanili (procentebSi)._ _ dolaris 3 Tviani sargeblis realuri ganakveTi(procentebSi)._ _ dolaris sargeblis saSualo nominaluri ganakveTi(procentebSi)._ _ dolaris 1 wliani sargeblis realuriganakveTi(procentebSi)._ _ dolaris 3 wliani sargeblis realuriganakveTi(procentebSi)._ _ dolaris sargeblis saSualo realuri ganakveTi(procentebSi).∗ ucxouri sargeblis ganakveTi, Libor 3 Tviani (procentebSi).∗ ucxouri sargeblis ganakveTis bunebrivi done(procentebSi). 3 Tviani sargeblis realuri ganakveTis bunebrivi done(procentebSi). 1 wliani sargeblis realuri ganakveTis bunebrivi done(procentebSi). 3 wliani sargeblis realuri ganakveTis bunebrivi done(procentebSi).sargeblis nominaluri efeqturi ganakveTi (procentebSi).sargeblis realuri efeqturi ganakveTi (procentebSi). sargeblis realuri efeqturi ganakveTis bunebrivi done(procentebSi). sargeblis realuri efeqturi ganakveTis gadaxrabunebrivi donidan (procentebSi).qveynis suverenuli riskis marJa (procentebSi).1 1 wliani likvidobis marJa (procentebSi).3 3 wliani likvidobis marJa (procentebSi).qveynis suverenuli riskis marJis bunebrivi done(procentebSi).1 1 wliani likvidobis marJis bunebrivi done (procentebSi).3 3 wliani likvidobis marJis bunebrivi done (procentebSi).qveynis suverenuli riskis marJis bunebrivi donidangadaxra (procentebSi).laris nominaluri gacvliTi kursi dolarTan

mimarTebaSi, GEL/USD, (100*log).Δ laris dolarTan mimarTebiT nominaluri gacvliTikursis kvartaluri gaufasurebis tempi, gawliurebuli(procentebSi).laris nominaluri gacvliTi kursis mosalodneli

166

mniSvneloba dolarTan mimarTebaSi, GEL/USD, (100*log).evros nominaluri gacvliT kursi dolarTan mimarTebaSi,USD/EUR, (100*log).liris nominaluri gacvliTi kursi dolarTan

mimarTebaSi, TRL/USD, (100*log).rublis nominaluri gacvliT kursi dolarTan

mimarTebaSi, RUB/USD, (100*log).grivnis nominaluri gacvliTi kursi dolarTan

mimarTebaSi, UAH/USD, (100*log).Δ evros dolarTan mimarTebiT nominaluri gacvliT kursisgamyarebis tempi, procentebSi.Δ liris dolarTan mimarTebiT nominaluri gacvliT kursisgaufasurebis tempi, procentebSi.Δ rublis dolarTan mimarTebiT nominaluri gacvliTkursis gaufasurebis tempi, procentebSi.Δ grivnis dolarTan mimarTebiT nominaluri gacvliTkursis gaufasurebis tempi, procentebSi.laris realuri efeqturi gacvliTi kursis indeqsi

(100*log).Δ laris realuri efeqturi gacvliTi kursis gaufasureba(procentebSi). laris realuri efeqturi gacvliTi kursis bunebrividone.Δ laris realuri efeqturi gacvliTi kursis bunebrivigaufasureba (procentebSi). laris realuri gacvliTi kursis gadaxra bunebrividonidan (procentebSi).aSS-s samomxmareblo fasebis indeqsi.evrozonis samomxmareblo fasebis indeqsi.TurqeTis samomxmareblo fasebis indeqsi.ruseTis samomxmareblo fasebis indeqsi.ukrainis samomxmareblo fasebis indeqsi.aSS-s inflaciis tempi, procentebSi.evrozonis inflaciis tempi, procentebSi.TurqeTis inflaciis tempi, procentebSi.

ruseTis inflaciis tempi, procentebSi.ukrainis inflaciis tempi, procentebSi.∗ ucxouri Warbi mTliani Sida produqti (procentebSi).spredi laris fuladi bazris ganakveTsa da sesxebisganakveTs Soris (procentebSi).

laris fuladi bazris ganakveTsa da sesxebis ganakveTsSoris spredis bunebrivi done (procentebSi).laris fuladi bazris ganakveTsa da sesxebis ganakveTsSoris spredis gadaxra bunebrivi donidan (procentebSi).

167

cxrili A-2 modelis parametrebi

saxeli mniSvneloba aRwera

0.26 sesxebis mSp-sTan fardobisinerciulobis parametri.

0.29 sesxebis mSp-sTan fardobiselastiuroba inflaciis TargeTidangadaxris mimarT.

0.37 sesxebis mSp-sTan fardobiselastiuroba mSp-s potenciuri donidangadaxris mimarT.

0.25 sesxebis mSp-sTan fardobiselastiuroba kapitalis kontrcikluribuferis mimarT.

0.17 sesxebis mSp-sTan fardobiselastiuroba lari/dolaris gacvliTikursis cvlilebis misive grZlevadianitrendidan gadaxris mimarT.

0.45 kapitalis kontrcikluri buferisinerciulobis parametri.

0.14 kapitalis kontrcikluri buferisreaqciis parametri mSp-s potenciuridonidan gadaxris mimarT.

0.90 kapitalis kontrcikluri buferisreaqciis parametri sesxebis mSp-sTanfardobis drendidan gadaxris mimarT.

0.10 IS gantolebaSi mSp-s potenciuridonidan gadaxris inerciulobisparametri.

0.40 IS gantolebaSi mSp-s potenciuridonidan gadaxris winmswrebi wevrisparametri.

0.15 IS gantolebaSi mSp-s potenciuridonidan gadaxris realuri saprocentoganakveTis elastiurobis parametri.

0.20 IS gantolebaSi riskis premiiswonasworuli donidan gadaxris mSp-spotenciuri donidan gadaxraze gavlenisparametri.

0.15 IS gantolebaSi mSp-s potenciuridonidan gadaxris elastiurobisparametri realuri efeqturi gacvliTikursis mimarT.

0.01 IS gantolebaSi mSp-s potenciuridonidan gadaxraze dolarizaciidagamomdinare lari/dolaris kursiscvlilebiT gamowveuli sabalansouwyisis efeqtis parametri.∗ 0.15 IS gantolebaSi mSp-s potenciuri

168

donidan gadaxris elastiuroba savaWropartniorebis mSp-s mimarT.

0.09 IS gantolebaSi mSp-s potenciuridonidan gadaxris elastiurobasakredito tvirTis mimarT.

0.75 realur efeqtur saprocento ganakveTSilaris realuri ganakveTis wona.

0.40 laris 3 Tvemde vadianobis saprocentoganakveTis wona saSualo realursaprocento ganakveTSi.

0.30 laris 1 wliani vadianobis saprocentoganakveTis wona saSualo realursaprocento ganakveTSi.

0.30 laris 3 wliani vadianobis saprocentoganakveTis wona saSualo realursaprocento ganakveTSi.

0.30 ucxouri valutis 3 Tvemde vadianobissaprocento ganakveTis wona saSualorealur saprocento ganakveTSi.

0.30 ucxouri valutis 1 wliani vadianobissaprocento ganakveTis wona saSualorealur saprocento ganakveTSi.

0.40 ucxouri valutis 3 wliani vadianobissaprocento ganakveTis wona saSualorealur saprocento ganakveTSi.

0.24 filipsis mrudSi mosalodneliinflaciis parametri.

0.33 filipsis mrudSi importuli inflaciisparametri.

0.78 filipsis mrudSi inflaciiselastiurobis parametri mSp-spotenciuri donidan gadaxris mimarT.

0.20 filipsis mrudSi inflaciiselastiurobis parametri realuriefeqturi gacvliTi kursis mimarT.

0.28 inflaciis molodinebis formirebaSimomavalze orientirebulobis parametri.

0.80 monetaruli politikis dadgenis wesSilagis parametri.

2.21 monetaruli politikis dadgenis wesSireaqciis parametri inflaciisTargeTidan gadaxraze.

0.22 monetaruli politikis dadgenis wesSireaqciis parametri mSp-s potenciuridonidan gadaxraze.

0.50 erTwliani likvidobis riskis premiisinerciulobis parametri.

0.50 samwliani likvidobis riskis premiis

169

inerciulobis parametri.

0.70 sakredito marJis wonasworulidangadaxris inerciulobis parametri.

0.50 gacvliTi kursis molodinebismomavalze orientirebulobis parametri.

0.72 riskis premiis wonasworulidangadaxris inerciulobis parametri.

0.35 aSS dolaris wona efeqturi gacvliTikursis gamoTvlisTvis.

0.22 evros wona efeqturi gacvliTi kursisgamoTvlisTvis.

0.23 Turquli liris wona efeqturigacvliTi kursis gamoTvlisTvis.

0.08 rusuli rublis wona efeqturigacvliTi kursis gamoTvlisTvis.

0.12 ukrainuli hrivnis wona efeqturigacvliTi kursis gamoTvlisTvis.

0.61 mSp-s potenciuri zrdis tempisinerciulobis parametri. 0.42 realuri efeqturi gacvliTi kursiswonasworuli cvlilebis tempisinerciulobis parametri. 0.74 wonasworuli realuri saprocentoganakveTis inerciulobis parametri.∗ 0.82 wonasworuli ucxouri realurisaprocento ganakveTis inerciulobisparametri.

0.38 sesxebis mSp-sTan fardobis zrdiswonasworuli donis inerciulobisparametri.

0.55 suverenuli riskis premiiswonasworuli donis inerciulobisparametri.

0.44 sakredito marJis wonasworuli donisinerciulobis parametri.

0.50 erTwliani vadianobis likvidobispremiis wonasworuli donisinerciulobis parametri.

0.50 samwliani vadianobis likvidobispremiis wonasworuli donisinerciulobis parametri.∗ 0.85 sagareo gamoSvebis inerciulobisparametri.∗ 0.96 sagareo nominaluri ganakveTisinerciulobis parametri.

0.78 aSS inflaciis lagis parametri.

0.88 evrozonis inflaciis lagis parametri.

0.76 TurqeTis inflaciis lagis parametri.

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0.65 ruseTis inflaciis lagis parametri.

0.58 ukrainis inflaciis lagis parametri.

0.82 dolari/evros gacvliTi kursiscvlilebis lagze damokidebulebisparametri.

0.73 dolari/liris gacvliTi kursiscvlilebis lagze damokidebulebisparametri.

0.80 dolari/rublis gacvliTi kursiscvlilebis lagze damokidebulebisparametri.

0.65 dolari/grivnis gacvliTi kursiscvlilebis lagze damokidebulebisparametri.

6.80 sesxebis mSp-sTan fardobis Sokisstandartuli gadaxra.

1.47 kapitalis kontrcikluri buferisSokis standartuli gadaxra.

0.24 IS mrudSi erToblivi moTxovnis Sokisstandartuli gadaxra.

0.94 filipsis mrudSi inflaciis Sokisstandartuli gadaxra.

1.98 monetaruli politikis dadgenis wesSisaprocento ganakveTis Sokisstandartuli gadaxra.

0.38 erTwliani vadianobis likvidobisriskis premiis Sokis standartuligadaxra.

0.42 samwliani vadianobis likvidobis riskispremiis Sokis standartuli gadaxra.

1.35 sagareo saprocento ganakveTis Sokisstandartuli gadaxra.

2.92 sakredito marJis Sokis standartuligadaxra.

13.3 procentis paritetul pirobaSigacvliTi kursis Sokis standartuligadaxra.

0.87 riskis premiis Sokis standartuligadaxra.

0.39 wonasworuli mSp-s zrdis Sokisstandartuli gadaxra. 0.32 wonasworuli realuri efeqturigacvliTi kursis cvlilebis Sokisstandartuli gadaxra.∗ 0.67 ucxouri realuri saprocentoganakveTis Sokis standartuli gadaxra.

0.18 sesxebis mSp-sTan fardobiswonasworuli donis cvlilebis Sokis

171

standartuli gadaxra.

0.75 riskis premiis wonasworuli donisSokis standartuli gadaxra.

0.67 sakredito marJis wonasworuli donisSokis standartuli gadaxra.

0.32 erTwliani vadianobis likvidobispremiis wonasworuli donis Sokisstandartuli gadaxra.

0.32 samwliani vadianobis likvidobispremiis wonasworuli donis Sokisstandartuli gadaxra.∗ 0.15 ucxouri gamoSvebis Sokis standartuligadaxra.∗ 0.87 ucxouri saprocento ganakveTis Sokisstandartuli gadaxra.

1.80 aSS-s inflaciis Sokis standartuligadaxra.

1.66 evrozonis inflaciis Sokisstandartuli gadaxra.

2.20 TurqeTis inflaciis Sokisstandartuli gadaxra.

2.59 ruseTis inflaciis Sokis standartuligadaxra.

2.89 ukrainis inflaciis Sokis standartuligadaxra.

1.42 dolari/evro gacvliTi kursis Sokisstandartuli gadaxra.

1.32 lira/dolari gacvliTi kursis Sokisstandartuli gadaxra.

1.65 rubli/dolari gacvliTi kursis Sokisstandartuli gadaxra.

0.89 hrivna/dolaris gacvliTi kursis Sokisstandartuli gadaxra.

cxrili A-3 mdgradi wonasworobis parametrebi

saxeli mniSvneloba aRweraΔ 5 mSp-s mdgradi wonasworobiszrdis tempi (procentebSi)Δ -3 mdgradi wonasworobis realuriefeqturi gacvliTi kursisgaufasurebis tempi (procentebSi)

3 suverenuli riskis mdgradiwonasworobis done (procentebSi)Δ 10 sakredito portfelis mdrgadiwonasworobis zrdis tempi

172

(procentebSi)

12 mdgradi wonasworobissavaldebulo kapitalisadekvaturobis done(procentebSi)

3 inflaciis grZelvadianimiznobrivi maCvenebeli(procentebSi)

2 Inflaciis grZelvadianimiznobrivi maCvenebeli(procentebSi)1 1 likvidobis marJis mdgradiwonasworuli done (procentebSi)3 3 likvidobis marJis mdgradiwonasworuli done (procentebSi)

12 laris spredis mdgradiwonasworuli done (procentebSi)∗ 0.7 ucxouri sargeblis realuriganakveTis mdgradi wonasworulidone (procentebSi)

2 aSS-s inflaciis grZelvadianimiznobrivi done

2 evrozonis inflaciisgrZelvadiani miznobrivi done

5 TurqeTis inflaciisgrZelvadiani miznobrivi done

4 ruseTis inflaciis grZelvadianimiznobrivi done

4 ukrainis inflaciis grZelvadianimiznobrivi doneΔ 0 USD/EUR wonasworobis dinamikaΔ 3 TRY/USD wonasworobis dinamikaΔ 2 RUB/USD wonasworobis dinamikaΔ 2 UAH/USD wonasworobis dinamika

modelis gantolebaTa sruli sia

finansuri bloki

- sesxebis tvirTis damokidebuleba ekonomikis realur seqtorze= ∗ − ∗ ( − ) + ∗ − ∗ ( − ) + ∗ (Δ − Δ )+ ∗

173

- sesxebis mSp-sTan fardobis gadaxra wonasworobis mniSvnelobisgan= −Δ = 4 ∗ ( − )makroprudenciuli politika

- kapitalis kontrcikluri buferis gansazRvris wesi= ∗ + (1 − ) ∗ + ∗ ∗ + (1 − ) ∗ ∗ +∗- კაპიტალის კონტრციკლური ბუფერის სესხების მშპ-სთან ფარდობის გადახრაზე

რეაგირების წონა

= 2 ∗ −5erToblivi moTxovna

- Warbi mTliani Sida produqti= −- IS mrudi= ∗ ( ) + ∗ − ∗ + ∗ + ∗ − ∗ (Δ − Δ )+ ∗ ∗ ∗ + ∗ + ∗

- realuri efeqturi saprocento ganakveTis gadaxra wonasworuli

mniSvnelobidan

= − - realuri efeqturi saprocento ganakveTi

174

= ∗ + (1 − ) ∗ _ _- adgilobrivi valutis realuri sargeblis saSualo ganakveTi= ∗ + ∗ + ∗ +- lariT gamosaxuli ucxouri valutis realuri sargeblis saSualo

ganakveTi _ _ = ∗ + ∗ + ∗ _ _ +- fiSeris gantoleba = −

miwodebis mxare

- filipsis mrudi= ∗ + ∗ + 1 − − ∗ + ∗ + ∗ + ∗- inflaciis molodinis formireba= ∗ ( ) + (1 − ) ∗ 4- importuli inflacia = + Δ − Δ

monetaruli politika

- monetaruli politikis ganakveTis dadgenis wesi= ∗ + (1 − ) ∗ ( + ( 4 ) − ) + ∗ + ∗- neitraluri ganakveTis done

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= + 4Semosavlianobis mrudi

- erT wliani sargeblis nominaluri ganakveTi= ( + ( ) + ( ) + ( ))/4 + 1- erTwliani sargeblis nominaluri ganakveTi= ( + ( ) + ( ))/3 + 3- erTwliani sargeblis realuri ganakveTi= ( + ( ) + ( ) + ( ))/4 + 1- erTwliani sargeblis realuri ganakveTi= ( + ( ) + ( ))/3 + 3- erTwliani likvidobis riskis premia1 = ∗ 1 + 1 − ∗ 1 + ∗- erTwliani likvidobis riskis premia

3 = ∗ 3 + 1 − ∗ 3 + ∗- ucxouri valutis nominaluri sargeblis ganakveTi_ = ∗ + + ∗- lariT gamosaxuli ucxouri valutis nominaluri sargeblis ganakveTi_ _ = _ + 4 ∗ (Δ )- lariT gamosaxuli ucxouri valutis erTwliani sargeblis

nominaluri ganakveTi

176

_ _ = ( _ _ + ( _ _ ) + ( _ _ ) + ( _ _ ))/4 + 1- ucxouri valutis samwliani sargeblis nominaluri ganakveTi lariT

gamosaxuli_ _ = ( _ _ + ( _ _ ) + ( _ _ ))/3 + 3- fiSeri gantoleba lariT gamosaxuli ucxouri valutis realuri

sargeblis ganakveTisTvis _ _ = _ _ −- lariT gamosaxuli ucxouri valutis erTwliani sargeblis realuri

ganakveTi_ _ = ( _ _ + ( _ _ ) + ( _ _ ) + ( _ _ ))/4 + 1- lariT gamosaxuli ucxouri valutis samwliani sargeblis realuri

ganakveTi_ _ = ( _ _ + ( _ _ ) + ( _ _ ))/3 + 3efeqturi saprocento ganakveTebi

- adgilobrivi valutis sargeblis nominaluri saSualo ganakveTi= ∗ + ∗ + ∗ +- lariT gamosaxuli ucxouri valutis sargeblis nominaluri saSualo

ganakveTi _ _ = ∗ + ∗ + ∗ _ _ +- efeqturi nominaluri sargeblis ganakveTi= ∗ + (1 − ) ∗ _ _- efeqturi nominaluri sargeblis ganakveTi= ∗ + (1 − ) ∗ _ _

177

- sakredito marJa = +- sakredito marJis gadaxra wonasworobis donidan

= ∗ + ∗procentis paritetuli piroba= ∗ + 4 ∗ ( − ) + + ∗- mosalodneli gacvliTi kursi= ∗ ( ) + (1 − ) ∗ ( + 2 ∗ (Δ + − )/4)- riskis premia = +- riskis premiis gadaxra wonasworobis donidan= ∗ + ∗

efeqturi gacvliTi kursi

- realuri efeqturi gacvliTi kursi= + −- realuri efeqturi gacvliTi kursis gadaxra wonasworobis donidan = − - sagareo fasebis done (savaWro partniorebis mixedviT saSualo

Sewonili)= ∗ + ∗ ( + ) + ∗ ( + ) + ∗ ( + ) +∗ ( + )

178

mdgradi wonasworobis gantolebebi

- bunebrivi mSp zrdaΔ = ∗ Δ + 1 − ∗ Δ + ∗- realuri gacvliTi kursis wonasworuli gamyarebis tempiΔ = ∗ Δ + (1 − ) ∗ Δ + ∗ - realuri saprocento ganakveTebis paritetuli piroba = ∗ + (1 − ) ∗ ( ∗ + + Δ )- erTwliani realuri saprocento ganakveTis wonasworobis done = ( + ( ) + ( ) + ( ))/4 + 1- samwliani realuri saprocento ganakveTis wonasworobis done = ( + ( ) + ( ))/3 + 3- efeqturi realuri saprocento ganakveTis wonasworobis done = ∗ + + + + (1 − ) ∗ + + +

- ucxouri realuri saprocento ganakveTis wonasworobis done∗ = ∗ ∗ + (1 − ∗) ∗ + ∗ ∗ ∗- sesxebis mSp-sTan fardobis wonasworobis dinamika

Δ = ∗ Δ + (1 − ) ∗ Δ + ∗- suverenuli riskis premiis wonasworobis done= ∗ + 1 − ∗ + ∗- sakredito marJis wonasworobis done= ∗ + 1 − ∗ + ∗- erTwliani vadianobis likvidobis premiis wonasworobis done1 = ∗ 1 + 1 − ∗ 1 + ∗- samwliani vadianobis likvidobis premiis wonasworobis done3 = ∗ 3 + 1 − ∗ 3 + ∗

179

igiveobebi = + 4= + 4= + 4= + 4= + 4= + 4= + 4= + Δ4 = + Δ 44 = + + +4= + Δ 4= + Δ4= + Δ4= + Δ4Δ = 4 ∗ ( − )Δ = 4 ∗ ( − )

Warbi sagareo gamoSveba

180

∗ = ∗ ∗ + ∗ ∗ ∗

sagareo nominaluri saprocento ganakveTi

∗ = ∗ ∗ ∗ + (1 − ∗) ∗ ( ∗ + ) + ∗ ∗ ∗

savaWro partniori qveynebis inflacia= ∗ + (1 − ) ∗ + ∗= ∗ + 1 − ∗ + ∗= ∗ + 1 − ∗ + ∗= ∗ + 1 − ∗ + ∗= ∗ + 1 − ∗ + ∗savaWro partniori qveynebis gacvliTi kursebiΔ = ∗ Δ + 1 − ∗ Δ + ∗Δ = ∗ Δ + 1 − ∗ Δ + ∗Δ = ∗ Δ + 1 − ∗ Δ + ∗Δ = ∗ Δ + 1 − ∗ Δ + ∗cxrili A-4 baiesianuri Sefasebis Sedegebi

parametri apriori ganawileba( , ) Sefasebuli mniSvnelobawertilovani

Sefasebastandartuli gadaxra

Normal (0.3 , 0.15 ) 0.26 0.20Normal (0.4 , 0.1) 0.29 0.13Normal (0.5 , 0.1) 0.37 0.27Normal (0.2 , 0.1) 0.25 0.14

Normal (0.15 , 0.075) 0.17 0.08

181

Normal (0.5 , 0.1 ) 0.45 0.24Normal ( 0.2 , 0.1 ) 0.14 0.06

Normal (1 , 0.2) 0.90 0.34Normal (0.2 , 0.1) 0.10 0.08Normal (0.6 , 0.1) 0.40 0.18Normal ( 0.2 , 0.1 ) 0.15 0.29Normal (0.5 , 0.25 ) 0.20 0.13Normal ( 0.1 , 0.05 ) 0.15 0.12Normal (0.01 , 0.005) 0.01 0.01∗ Normal (0.15 , 0.05 ) 0.15 0.09Normal (0.1 , 0.01) 0.09 0.05Normal ( 0.3 , 0.1 ) 0.24 0.28Normal ( 0.3 , 0.1 ) 0.33 0.22Normal ( 0.9 , 0.1 ) 0.78 0.30Normal ( 0.15 , 0.1 ) 0.20 0.15Normal ( 0.3 , 0.1 ) 0.28 0.05Normal (0.75 , 0.2 ) 0.80 0.38Normal ( 2.5 , 0.5 ) 2.21 0.80Normal (0.2 , 0.1) 0.22 0.09

Normal (0.5 , 0.25 ) 0.50 0.15Normal (0.5 , 0.25) 0.50 0.15Normal ( 0.65 , 0.2) 0.70 0.30Normal (0.6 , 0.2 ) 0.50 0.28Normal ( 0.6 , 0.2 ) 0.72 0.27Normal (0.5 , 0.2 ) 0.61 0.36 Normal (0.5 , 0.2 ) 0.42 0.23 Normal (0.5 , 0.2 ) 0.74 0.14∗ Normal (0.9 , 0.1 ) 0.82 0.03Normal (0.5 , 0.1 ) 0.38 0.24Normal (0.5 , 0.1 ) 0.55 0.32Normal (0.5 , 0.1 ) 0.44 0.18Normal (0.5 , 0.25 ) 0.50 0.37Normal (0.5 , 0.25 ) 0.50 0.20∗ Normal (0.9 , 0.1 ) 0.85 0.10∗ Normal (0.9 , 0.1 ) 0.96 0.34Normal ( 0.9 , 0.1 ) 0.78 0.20Normal ( 0.9 , 0.1 ) 0.88 0.18Normal ( 0.9 , 0.1 ) 0.76 0.28Normal ( 0.9 , 0.1 ) 0.65 0.25Normal ( 0.9 , 0.1 ) 0.58 0.44Normal ( 0.9 , 0.1 ) 0.82 0.40Normal ( 0.9 , 0.1 ) 0.73 0.25

182

Normal ( 0.9 , 0.1 ) 0.80 0.31Normal ( 0.9 , 0.1 ) 0.65 0.12Inv.gamma (8 , 3) 6.80 4.59

Inv.gamma (1 , 0.5) 1.47 0.43Inv.gamma (0.3 , 0.1) 0.24 0.09Inv.gamma (1 , 0.5) 0.94 0.39

Inv.gamma (1.5 , 0.7) 1.98 0.59Inv.gamma (0.5 , 0.3) 0.38 0.44Inv.gamma (0.5 , 0.3) 0.42 0.57Inv.gamma (1 , 0.5) 1.35 0.15Inv.gamma (2 , 1) 2.92 2.41Inv.gamma (9 , 5) 13.3 4.78Inv.gamma (2 , 1) 0.87 1.10

Inv.gamma (0.3 , 0.1) 0.39 0.21 Inv.gamma (0.2 , 0.1) 0.32 0.48∗ Inv.gamma (1 , 0.5) 0.67 0.60Inv.gamma (0.3 , 0.2) 0.18 0.59Inv.gamma (0.5 , 0.3) 0.75 0.24Inv.gamma (0.5 , 0.3) 0.67 0.58Inv.gamma (0.5 , 0.3) 0.32 0.45Inv.gamma (0.5 , 0.3) 0.32 0.65∗ Inv.gamma (0.2 , 0.1) 0.15 0.07∗ Inv.gamma (1 , 0.5) 0.87 0.32Invgamma (1 , 0.5) 1.80 0.62Inv.gamma (1 , 0.5) 1.66 0.89Inv.gamma (1 , 0.5) 2.20 1.45Inv.gamma (1 , 0.5) 2.59 0.97Inv.gamma (1 , 0.5) 2.89 0.37Inv.gamma (1 , 0.5) 1.42 1.43Inv.gamma (1 , 0.5) 1.32 0.98Inv.gamma (1 , 0.5) 1.65 1.25Inv.gamma (1 , 0.5) 0.89 1.39

183

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