Pub Date : 2020-01-01DOI: 10.22394/1993-7601-2020-60-5-25
A. Lozinskaia, A. Redkina, E. Shenkman
In the paper, a medium-term forecast of electricity consumption is built on monthly data from January 2008 to September 2019 for all regions of the Urals integrated power system. A key feature of the work is the use of linear combinations of forecasts that are produced with time series basic models with deterministic and stochastic seasonality. The proposed methodology demonstrates high and robust forecast accuracy in comparison with the basic models and can be applied by various players in the electricity market.
{"title":"Electricity consumption forecasting for integrated power system with seasonal patterns","authors":"A. Lozinskaia, A. Redkina, E. Shenkman","doi":"10.22394/1993-7601-2020-60-5-25","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-60-5-25","url":null,"abstract":"In the paper, a medium-term forecast of electricity consumption is built on monthly data from January 2008 to September 2019 for all regions of the Urals integrated power system. A key feature of the work is the use of linear combinations of forecasts that are produced with time series basic models with deterministic and stochastic seasonality. The proposed methodology demonstrates high and robust forecast accuracy in comparison with the basic models and can be applied by various players in the electricity market.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"60 1","pages":"5-25"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416144","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-58-32-54
S. Benson, R. Burroughs, Vladimir Ladyzhets, J. Mohr, A. Shemyakin, David Walczak, Hua Zhang
The objective of the paper is to introduce a copula methodology of economic capital modeling, which is practically applicable for life insurance companies. Copula methods make it possible to address multiple dependent risk factors including both investment and underwriting risks in the framework of a portfolio approach. We identify a relevant set of asset and liability variables, and suggest a copula model for the joint distribution of these variables. Estimates of economic capital are constructed via VaR and TVaR calculations based on the tails of this joint distribution. This approach requires ARIMA and copula model selection followed by Monte Carlo simulation of the time series of the joint asset/liability portfolio. Models are implemented in open source software (R and MS Excel) and tested using historical and simulated asset/liability data. The results are applied to the construction of a software tool which can be utilized for customization and direct user application. The novelty of the approach consists in estimating interdependent underwriting and investment risks in one multivariate model taking into account short-term (daily or monthly) fluctuations of the market. In particular, we address the challenges that life insurance companies face in the low interest environment, using the market data for the 15-year period 2003–2018.
{"title":"Copula models of economic capital for life insurance companies","authors":"S. Benson, R. Burroughs, Vladimir Ladyzhets, J. Mohr, A. Shemyakin, David Walczak, Hua Zhang","doi":"10.22394/1993-7601-2020-58-32-54","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-58-32-54","url":null,"abstract":"The objective of the paper is to introduce a copula methodology of economic capital modeling, which is practically applicable for life insurance companies. Copula methods make it possible to address multiple dependent risk factors including both investment and underwriting risks in the framework of a portfolio approach. We identify a relevant set of asset and liability variables, and suggest a copula model for the joint distribution of these variables. Estimates of economic capital are constructed via VaR and TVaR calculations based on the tails of this joint distribution. This approach requires ARIMA and copula model selection followed by Monte Carlo simulation of the time series of the joint asset/liability portfolio. Models are implemented in open source software (R and MS Excel) and tested using historical and simulated asset/liability data. The results are applied to the construction of a software tool which can be utilized for customization and direct user application. The novelty of the approach consists in estimating interdependent underwriting and investment risks in one multivariate model taking into account short-term (daily or monthly) fluctuations of the market. In particular, we address the challenges that life insurance companies face in the low interest environment, using the market data for the 15-year period 2003–2018.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"58 1","pages":"32-54"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415129","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-57-119-139
E. Kossova, L. Kupriianova, B. Potanin
This article is devoted to the comparative analysis of parametric and semiparametric sample selection models with two selection equations. Comparison has been conducted on simulated data under different random errors distributional assumptions: student, beta and mixture of normal. The results suggest that for student and beta distributions parametric models’ estimates are more or equally accurate as semiparametric. However, former methods provide more accurate estimates under mixture distribution case. Therefore, parametric sample selection model estimators seem to be robust to violations of normality assumption in terms of tails thickness and asymmetry but fail to account for bimodality as good as their semiparametric counterparts
{"title":"Parametric and semiparametric multivariate sample selection models estimators’ accuracy: Comparative analysis on simulated data","authors":"E. Kossova, L. Kupriianova, B. Potanin","doi":"10.22394/1993-7601-2020-57-119-139","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-57-119-139","url":null,"abstract":"This article is devoted to the comparative analysis of parametric and semiparametric sample selection models with two selection equations. Comparison has been conducted on simulated data under different random errors distributional assumptions: student, beta and mixture of normal. The results suggest that for student and beta distributions parametric models’ estimates are more or equally accurate as semiparametric. However, former methods provide more accurate estimates under mixture distribution case. Therefore, parametric sample selection model estimators seem to be robust to violations of normality assumption in terms of tails thickness and asymmetry but fail to account for bimodality as good as their semiparametric counterparts","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"260 1","pages":"119-139"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415204","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-58-55-75
N. Artamonov, A. Voronina, N. Emelyanov, A. Kurbatskiĭ
The article examines the impact of US government Treasury bonds yield on the return of mutual funds relative to the respective benchmark. The sample includes 376 American funds over 12 years of observations from 2006 to 2017 using data from Bloomberg and the highly specialized CRSP database. Panel data model with fixed individual effects was constructed in which the dependent variable is the so-called tracking error, obtained as the difference between the return of the Fund and the return of the benchmark. The explanatory variables are a number of micro-variables and the yield of government bonds. It turns out that the yield of US government bonds is a significant factor for the mutual funds “alpha”, which in practice should allow them to hedge against the risk of underperformance.
{"title":"Estimation of interest rates’ impact on mutual funds’ performance in the USA","authors":"N. Artamonov, A. Voronina, N. Emelyanov, A. Kurbatskiĭ","doi":"10.22394/1993-7601-2020-58-55-75","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-58-55-75","url":null,"abstract":"The article examines the impact of US government Treasury bonds yield on the return of mutual funds relative to the respective benchmark. The sample includes 376 American funds over 12 years of observations from 2006 to 2017 using data from Bloomberg and the highly specialized CRSP database. Panel data model with fixed individual effects was constructed in which the dependent variable is the so-called tracking error, obtained as the difference between the return of the Fund and the return of the benchmark. The explanatory variables are a number of micro-variables and the yield of government bonds. It turns out that the yield of US government bonds is a significant factor for the mutual funds “alpha”, which in practice should allow them to hedge against the risk of underperformance.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415404","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-60-26-47
K. Chakraborty
This paper examines the relationship between insurance market development and economic growth and various conditions that affect the insurance-growth nexus. The conditions tested are degree of financial development, banking activity, and demographic profile of a country. The empirical study uses cross country panel data from 90 countries for the period 1995 to 2015 and applies Hausman–Taylor random effect model. The main findings confirm a positive non-linear relationship between insurance market development and economic growth. The study also finds the impact of banking and stock market developments reduce the positive effect of insurance market activities on economic growth implying these activities are substitutes for insurance market promoting economic growth. Two major contributions for this study are: (i) it tests the hypothesis that the impact of insurance development on economic growth is non-linear, which implies at a higher level of economic development increased insurance spending would reduce economic growth; and (ii) it tests the hypothesis whether banking development and stock market activities are substitute or complement to insurance market development in the economic growth process.
{"title":"Development of financial market activities and economic growth: A cross-country evidence","authors":"K. Chakraborty","doi":"10.22394/1993-7601-2020-60-26-47","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-60-26-47","url":null,"abstract":"This paper examines the relationship between insurance market development and economic growth and various conditions that affect the insurance-growth nexus. The conditions tested are degree of financial development, banking activity, and demographic profile of a country. The empirical study uses cross country panel data from 90 countries for the period 1995 to 2015 and applies Hausman–Taylor random effect model. The main findings confirm a positive non-linear relationship between insurance market development and economic growth. The study also finds the impact of banking and stock market developments reduce the positive effect of insurance market activities on economic growth implying these activities are substitutes for insurance market promoting economic growth. Two major contributions for this study are: (i) it tests the hypothesis that the impact of insurance development on economic growth is non-linear, which implies at a higher level of economic development increased insurance spending would reduce economic growth; and (ii) it tests the hypothesis whether banking development and stock market activities are substitute or complement to insurance market development in the economic growth process.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"60 1","pages":"26-47"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416075","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-60-115-138
K. Makshanchikov
This study aims to examine how Russian adults make their choices about expenditures on non-professional sports to improve their health. The data was taken from Levada-Center survey on the attitude of people to their health and the quality of medical care in Russia, conducted in 2017. Probabilistic models of binary choice, Heckman selection model and semiparametric model by Newey were employed. The results of the study showed positive relationship between expenditures on sports and individual’s income. Gender, age, profession, rural and entourage were among other factors that determined individual expenditures on sport.
{"title":"Russians’ spending on sports: Econometric analysis on Levada-Center data","authors":"K. Makshanchikov","doi":"10.22394/1993-7601-2020-60-115-138","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-60-115-138","url":null,"abstract":"This study aims to examine how Russian adults make their choices about expenditures on non-professional sports to improve their health. The data was taken from Levada-Center survey on the attitude of people to their health and the quality of medical care in Russia, conducted in 2017. Probabilistic models of binary choice, Heckman selection model and semiparametric model by Newey were employed. The results of the study showed positive relationship between expenditures on sports and individual’s income. Gender, age, profession, rural and entourage were among other factors that determined individual expenditures on sport.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"60 1","pages":"115-138"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416537","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-58-5-31
M. Kartseva, P. Kuznetsova
n this paper we estimate the contribution of inequality of opportunity to income inequality in Russia. We apply the parametric and nonparametric methods to the national representative survey «Man, family, society» carried out by the RANEPA in 2013. We conclude that the contribution of inequality of opportunity is 23–25% for labor incomes and 16–19% for average per capita income. The key factors of inequality of opportunity for labor incomes are gender and place of birth, while for average per capita incomes — place of birth and parental education.
{"title":"Is income inequality fair in Russia? Inequality of opportunity and income inequality","authors":"M. Kartseva, P. Kuznetsova","doi":"10.22394/1993-7601-2020-58-5-31","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-58-5-31","url":null,"abstract":"n this paper we estimate the contribution of inequality of opportunity to income inequality in Russia. We apply the parametric and nonparametric methods to the national representative survey «Man, family, society» carried out by the RANEPA in 2013. We conclude that the contribution of inequality of opportunity is 23–25% for labor incomes and 16–19% for average per capita income. The key factors of inequality of opportunity for labor incomes are gender and place of birth, while for average per capita incomes — place of birth and parental education.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"58 1","pages":"5-31"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415324","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-58-96-141
A. Skrobotov, M. Ranepa, Saint Petersburg Russian Federation Spbu
his review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.
{"title":"Survey on structural breaks and unit root tests","authors":"A. Skrobotov, M. Ranepa, Saint Petersburg Russian Federation Spbu","doi":"10.22394/1993-7601-2020-58-96-141","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-58-96-141","url":null,"abstract":"his review discusses methods of testing for a unit root in a time series in the presence of structural breaks. Separately the methods for break date estimation under uncertainty over the order of integration are considered. The review covers a large number of recently developed testing methods that are robust to various types of data uncertainty, including initial conditions and time-varying volatility. The survey introduces the reader to practical application of modern testing methods together with an understanding of the development of these methods.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"58 1","pages":"96-141"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415964","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-60-80-101
E. Kopnova, L. Rodionova
The work is devoted to modeling the dynamic relationship of globalization and the level of socioeconomic development in Russia. Vector error correction models taking into account structural shifts in trend parameters for short time series are considered. The results of the calculations are compared with the counterparts in Switzerland and the Netherlands. The bidirectionality of this connection is justified. The priority of separate processes of globalization is shown. The relations between its actual and institutional components are determined.
{"title":"Globalization and socio-economic development in Russia","authors":"E. Kopnova, L. Rodionova","doi":"10.22394/1993-7601-2020-60-80-101","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-60-80-101","url":null,"abstract":"The work is devoted to modeling the dynamic relationship of globalization and the level of socioeconomic development in Russia. Vector error correction models taking into account structural shifts in trend parameters for short time series are considered. The results of the calculations are compared with the counterparts in Switzerland and the Netherlands. The bidirectionality of this connection is justified. The priority of separate processes of globalization is shown. The relations between its actual and institutional components are determined.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"60 1","pages":"80-101"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416339","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 : 2020-01-01DOI: 10.22394/1993-7601-2020-60-102-114
S. Arzhenovskiy, T. Sinyavskaya, A. Bakhteev
The paper presents an original approach to assessing behavioral risks during audit procedures based on a multivariate probit model. Dependent variables in the model were binary behavioral characteristics of individual responsible for financial statement: tolerance to legislation violations, pathological monetary type, propensity to increased risk, belief in impunity, and illiteracy in accounting legislation. It is found that the same factors tend to increase the chances of having one and reduce the chances of having another characteristic, which does not allow us to formulate the “highest risk” profile. The results can be used by auditors in the procedure of assessing the risks of falsification of financial statement.
{"title":"Multivariate probit model for a priori assessment of behavioral risks in audit","authors":"S. Arzhenovskiy, T. Sinyavskaya, A. Bakhteev","doi":"10.22394/1993-7601-2020-60-102-114","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-60-102-114","url":null,"abstract":"The paper presents an original approach to assessing behavioral risks during audit procedures based on a multivariate probit model. Dependent variables in the model were binary behavioral characteristics of individual responsible for financial statement: tolerance to legislation violations, pathological monetary type, propensity to increased risk, belief in impunity, and illiteracy in accounting legislation. It is found that the same factors tend to increase the chances of having one and reduce the chances of having another characteristic, which does not allow us to formulate the “highest risk” profile. The results can be used by auditors in the procedure of assessing the risks of falsification of financial statement.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"60 1","pages":"102-114"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416455","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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