Pub Date : 2023-01-01DOI: 10.17323/1813-8691-2023-27-3-390-411
K. Polyakov, M. Polyakova
This study is devoted to the analysis of the statistical relationship between the effectiveness of the bank and its specialization. Efficiency in the study is considered as a metric that evaluates the quality of management of an organization. Specialization in this case refers to the bank's concentration on certain types of banking products. The specifics of the study are largely determined by the lack of support for the specialization of banks at the legislative level in the Russian Federation. In accordance with Federal Law No. 92-FZ of May 01, 2017 "On Amendments to Certain Legislative Acts of the Russian Federation", all banks, mainly depending on the level of capital, receive universal or basic licenses. In this regard, the authors of the study introduce the concept of observed specialization, which is determined based on the shares of various types of bank assets in their total volume. There are three groups of banks - credit, with a large balance share of funds provided, investment - with a large balance share of securities and universal - not included in these groups. To assess the effectiveness, the methodology proposed in [Polyakov, Polyakova et al., 2022] based on shell data analysis (DEA) is used. Partial efficiency estimates obtained for a certain set of DEA model specifications are aggregated into several indicators using the principal component analysis method. The first component acts as an indicator of overall efficiency, the others allow you to determine its sources. There is a positive correlation between the overall performance indicator and the private performance indicators.The empirical analysis was carried out using data from the financial statements of banks for the period 2020 and the first three quarters of 2021 for a representative sample of banks.The results obtained allow us to assert that the general and, accordingly, all particular performance indicators have a statistical relationship with the observed specialization. Investment banks are the most efficient, and therefore have the best quality of management, followed by a groupof credit banks, which includes, in particular, all the largest banks in the Russian Federation and, finally, universal banks have the lowest overall efficiency on average.The results obtained may be of great interest to the management of banks, in particular, in the formation and management of bank holdings and groups. According to analysts of the II Congress of the Association of Banks of Russia by September 2020, these structures controlled more than 95% of the assets of the entire banking system of the Russian Federation. Thus, the stability and efficiency of the banking system as a whole is determined by the stability and efficiency of these structures. The results of this study show that the formation of stable and highly efficient bank holdings and groups can be ensured due to the different observed specialization of their participants.
{"title":"Influence of Specialization of Banking Business on its Efficiency","authors":"K. Polyakov, M. Polyakova","doi":"10.17323/1813-8691-2023-27-3-390-411","DOIUrl":"https://doi.org/10.17323/1813-8691-2023-27-3-390-411","url":null,"abstract":"This study is devoted to the analysis of the statistical relationship between the effectiveness of the bank and its specialization. Efficiency in the study is considered as a metric that evaluates the quality of management of an organization. Specialization in this case refers to the bank's concentration on certain types of banking products. The specifics of the study are largely determined by the lack of support for the specialization of banks at the legislative level in the Russian Federation. In accordance with Federal Law No. 92-FZ of May 01, 2017 \"On Amendments to Certain Legislative Acts of the Russian Federation\", all banks, mainly depending on the level of capital, receive universal or basic licenses. In this regard, the authors of the study introduce the concept of observed specialization, which is determined based on the shares of various types of bank assets in their total volume. There are three groups of banks - credit, with a large balance share of funds provided, investment - with a large balance share of securities and universal - not included in these groups. To assess the effectiveness, the methodology proposed in [Polyakov, Polyakova et al., 2022] based on shell data analysis (DEA) is used. Partial efficiency estimates obtained for a certain set of DEA model specifications are aggregated into several indicators using the principal component analysis method. The first component acts as an indicator of overall efficiency, the others allow you to determine its sources. There is a positive correlation between the overall performance indicator and the private performance indicators.The empirical analysis was carried out using data from the financial statements of banks for the period 2020 and the first three quarters of 2021 for a representative sample of banks.The results obtained allow us to assert that the general and, accordingly, all particular performance indicators have a statistical relationship with the observed specialization. Investment banks are the most efficient, and therefore have the best quality of management, followed by a groupof credit banks, which includes, in particular, all the largest banks in the Russian Federation and, finally, universal banks have the lowest overall efficiency on average.The results obtained may be of great interest to the management of banks, in particular, in the formation and management of bank holdings and groups. According to analysts of the II Congress of the Association of Banks of Russia by September 2020, these structures controlled more than 95% of the assets of the entire banking system of the Russian Federation. Thus, the stability and efficiency of the banking system as a whole is determined by the stability and efficiency of these structures. The results of this study show that the formation of stable and highly efficient bank holdings and groups can be ensured due to the different observed specialization of their participants.","PeriodicalId":37657,"journal":{"name":"HSE Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135156406","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01DOI: 10.17323/1813-8691-2023-27-3-435-448
A. Shvedov
Cournot duopoly with yield uncertainty is of interest both from a theoretical standpoint and a practical standpoint. In many sectors of economy, the actual products produced and the targeted quantities do not coincide. Commonly, random variables are used to model yield uncertainty. However, the models with random yields have a known drawback. When the number of firms greater than three, the expected firm’s profit first increases when level of uncertainty (i.e.,variance of a random variable) increases and then decreases. When the number of firms no greater than three, there is no that drawback, the expected firm’s profit always decreases when level of uncertainty increases. In this paper, fuzzy sets are used for the first time to model Cournot competition in the presence of yield uncertainty. This article deals both with Cournot oligopoly with fuzzy yields and Cournot oligopoly with fuzzy random yields. In the fuzzy random approach, probabilistic methods and fuzzy methods are combined. In this paper, equilibrium quantities and expected firms’ profits are found. For models with fuzzy yield, the drawback mentioned above is absent. For any number of firms, expected profit of a firm decreases when level of uncertainty increases. Also, in the fuzzy random approach, Cournot duopoly in which one firm is overconfident is studied. That firm forecasts the quantity produced unreasonably accurately. For this case, equilibrium quantities and expected firms’ profits are also presented in the paper.
{"title":"Cournot Equilibrium under Fuzzy Random Yield","authors":"A. Shvedov","doi":"10.17323/1813-8691-2023-27-3-435-448","DOIUrl":"https://doi.org/10.17323/1813-8691-2023-27-3-435-448","url":null,"abstract":"Cournot duopoly with yield uncertainty is of interest both from a theoretical standpoint and a practical standpoint. In many sectors of economy, the actual products produced and the targeted quantities do not coincide. Commonly, random variables are used to model yield uncertainty. However, the models with random yields have a known drawback. When the number of firms greater than three, the expected firm’s profit first increases when level of uncertainty (i.e.,variance of a random variable) increases and then decreases. When the number of firms no greater than three, there is no that drawback, the expected firm’s profit always decreases when level of uncertainty increases. In this paper, fuzzy sets are used for the first time to model Cournot competition in the presence of yield uncertainty. This article deals both with Cournot oligopoly with fuzzy yields and Cournot oligopoly with fuzzy random yields. In the fuzzy random approach, probabilistic methods and fuzzy methods are combined. In this paper, equilibrium quantities and expected firms’ profits are found. For models with fuzzy yield, the drawback mentioned above is absent. For any number of firms, expected profit of a firm decreases when level of uncertainty increases. Also, in the fuzzy random approach, Cournot duopoly in which one firm is overconfident is studied. That firm forecasts the quantity produced unreasonably accurately. For this case, equilibrium quantities and expected firms’ profits are also presented in the paper.","PeriodicalId":37657,"journal":{"name":"HSE Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135156387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01DOI: 10.17323/1813-8691-2023-27-3-364-389
A. Korikov, K. Yurchenko, O. Mariev, N. Kislyak, K. Sidorov
This study provides a description of the monetary rules evolution, applied in Central banks’ monetary policy decisions across different countries, and the research defines its limitations. The authors underline the increasing importance of monetary rules over several last decades, providing predictability of monetary policy. And, consequently, its effectiveness compared with macroeconomic targets, which Central banks are obliged to reach. The paper provides a discussion of rules’ configurations and implementation practices between economists and methodological foundations of monetary rules’ application. The application has been considered in the historical and economic context, which peculiarities frequently lead to economists’ radical revision of monetary policy instruments’ usage in academics and in practice including regimes of targeting exchange rate, money supply and inflation. The authors conduct as empirical assessment of the FRS, the ECB and Bank of Russia monetary policy decisions’ compliance with monetary rules, based on vintage data and key rate variations determined by current macroeconomic conditions and its dynamics. The assessment demonstrates that Bank of Russia followed monetary rules logic at most from the end of 2013 to the end of 2021. In the final part, the researchers make an attempt to answer a question, if monetary rules, which configurations depend on Central banks’ targets to a large extent, are benchmarks for the policy assessment.
{"title":"Monetary Rules: Evolution, Shortcomings, and Empirical Evaluation of Usage","authors":"A. Korikov, K. Yurchenko, O. Mariev, N. Kislyak, K. Sidorov","doi":"10.17323/1813-8691-2023-27-3-364-389","DOIUrl":"https://doi.org/10.17323/1813-8691-2023-27-3-364-389","url":null,"abstract":"This study provides a description of the monetary rules evolution, applied in Central banks’ monetary policy decisions across different countries, and the research defines its limitations. The authors underline the increasing importance of monetary rules over several last decades, providing predictability of monetary policy. And, consequently, its effectiveness compared with macroeconomic targets, which Central banks are obliged to reach. The paper provides a discussion of rules’ configurations and implementation practices between economists and methodological foundations of monetary rules’ application. The application has been considered in the historical and economic context, which peculiarities frequently lead to economists’ radical revision of monetary policy instruments’ usage in academics and in practice including regimes of targeting exchange rate, money supply and inflation. The authors conduct as empirical assessment of the FRS, the ECB and Bank of Russia monetary policy decisions’ compliance with monetary rules, based on vintage data and key rate variations determined by current macroeconomic conditions and its dynamics. The assessment demonstrates that Bank of Russia followed monetary rules logic at most from the end of 2013 to the end of 2021. In the final part, the researchers make an attempt to answer a question, if monetary rules, which configurations depend on Central banks’ targets to a large extent, are benchmarks for the policy assessment.","PeriodicalId":37657,"journal":{"name":"HSE Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135158179","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01DOI: 10.17323/1813-8691-2023-27-2-159-195
M. Elkina
In this paper we study whether financial frictions should be accounted for in a DSGE model of Russian economy. We compare the baseline two-sector DSGE model of a small open economy with its version extended by financial accelerator and another version which assumes an agency problem between bankers and depositors. Using calibrated versions of these models, we show how the assumptions regarding the peculiarities of financial market change the transmission mechanisms of macroeconomic shocks. Specifically, the responses of investment and consequently other variables depend on the dynamics of risk premium. In case of financial accelerator model risk premium depends on net worth and leverage ratio of capital owners. In case of agency problem model financial position of bankers drives changes in risk premium. As a result, the risk premium either changes in the same direction in both models or changes in the opposite way. It determines whether the reaction of investment is amplified in case of financial frictions or not. Estimation of all three models using the same data set which does not include data on risk premium allows us to conclude that the baseline model fits the data better than models with financial frictions. However, the difference between the baseline model and the financial accelerator model is not that substantial. Estimation of two financial frictions models on the full data set which includes data on risk premium shows that the financial accelerator model is strongly preferred to the agency problem model. In addition, impulse response functions from estimated models indicate that accounting for financial frictions can noticeably alter our assessment of transmission of various shocks. For example, if we do not account for financial accelerator, we can underestimate the positive response of output to government consumption shock and underestimate the reaction of output and inflation to monetary shocks. Moreover, financial sector shocks play a non-negligible role in explaining the fluctuations in output and other variables in historical data. We conclude that optimal economic policy decisions require using a combina tion of DSGE models with different financial sector assumptions.
{"title":"Financial Frictions in a DSGE Model of Russian Economy","authors":"M. Elkina","doi":"10.17323/1813-8691-2023-27-2-159-195","DOIUrl":"https://doi.org/10.17323/1813-8691-2023-27-2-159-195","url":null,"abstract":"In this paper we study whether financial frictions should be accounted for in a DSGE model of Russian economy. We compare the baseline two-sector DSGE model of a small open economy with its version extended by financial accelerator and another version which assumes an agency problem between bankers and depositors. Using calibrated versions of these models, we show how the assumptions regarding the peculiarities of financial market change the transmission mechanisms of macroeconomic shocks. Specifically, the responses of investment and consequently other variables depend on the dynamics of risk premium. In case of financial accelerator model risk premium depends on net worth and leverage ratio of capital owners. In case of agency problem model financial position of bankers drives changes in risk premium. As a result, the risk premium either changes in the same direction in both models or changes in the opposite way. It determines whether the reaction of investment is amplified in case of financial frictions or not. Estimation of all three models using the same data set which does not include data on risk premium allows us to conclude that the baseline model fits the data better than models with financial frictions. However, the difference between the baseline model and the financial accelerator model is not that substantial. Estimation of two financial frictions models on the full data set which includes data on risk premium shows that the financial accelerator model is strongly preferred to the agency problem model. In addition, impulse response functions from estimated models indicate that accounting for financial frictions can noticeably alter our assessment of transmission of various shocks. For example, if we do not account for financial accelerator, we can underestimate the positive response of output to government consumption shock and underestimate the reaction of output and inflation to monetary shocks. Moreover, financial sector shocks play a non-negligible role in explaining the fluctuations in output and other variables in historical data. We conclude that optimal economic policy decisions require using a combina tion of DSGE models with different financial sector assumptions.","PeriodicalId":37657,"journal":{"name":"HSE Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136372667","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01DOI: 10.17323/1813-8691-2023-27-1-49-77
A. Aganin, V. Manevich, A. Peresetsky, P. Pogorelova
{"title":"Comparison of Cryptocurrency and Stock Market Volatility Forecast Models","authors":"A. Aganin, V. Manevich, A. Peresetsky, P. Pogorelova","doi":"10.17323/1813-8691-2023-27-1-49-77","DOIUrl":"https://doi.org/10.17323/1813-8691-2023-27-1-49-77","url":null,"abstract":"","PeriodicalId":37657,"journal":{"name":"HSE Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67840533","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.17323/1813-8691-2022-26-3-475-486
Quang Phu Tran, The Kien Nguyen
Many studies have agreed that innovation leads to product and process improvements, allows firms to grow more quickly, be more efficient, and ultimately be more profitable than non-innovators. In this study, we explore the impact of innovation (including product innovation, process innovation, organizational innovation, and marketing innovation) on firms’ financial performance and employees’ wages in Vietnamese agricultural firms. We take a survey from 257 agricultural firms in Vietnam and analyze our dataset with the Bayesian multiple regression approach. Our results show that product, process, and marketing innovations positively affect firms’ financial performance, while organizational innovation contrib-utes positively to an increase in average labor wage. These results give some inside implications for firms and the government in distributing resources efficiently for promoting different aspects of innovation.
{"title":"Does Innovation Increase Labor Wage and Boost Firm’s Financial Performance? Evidence of Agricultural Firms in Vietnam with Bayesian Approach","authors":"Quang Phu Tran, The Kien Nguyen","doi":"10.17323/1813-8691-2022-26-3-475-486","DOIUrl":"https://doi.org/10.17323/1813-8691-2022-26-3-475-486","url":null,"abstract":"Many studies have agreed that innovation leads to product and process improvements, allows firms to grow more quickly, be more efficient, and ultimately be more profitable than non-innovators. In this study, we explore the impact of innovation (including product innovation, process innovation, organizational innovation, and marketing innovation) on firms’ financial performance and employees’ wages in Vietnamese agricultural firms. We take a survey from 257 agricultural firms in Vietnam and analyze our dataset with the Bayesian multiple regression approach. Our results show that product, process, and marketing innovations positively affect firms’ financial performance, while organizational innovation contrib-utes positively to an increase in average labor wage. These results give some inside implications for firms and the government in distributing resources efficiently for promoting different aspects of innovation.","PeriodicalId":37657,"journal":{"name":"HSE Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67839015","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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