Pub Date : 2023-01-01DOI: 10.22394/1993-7601-2023-72-5-22
Konstantin Krinichansky, Maksim Yurevich
This study focuses on the nature and limits of the relationship between financial development and economic growth. The revealed non-linearity of this relationship is associated with a latent restructuring of mechanisms of economic financing, which took place during the financial and economic crisis of 2007–2009 and the years following it. The crisis, which hit the banking sector the hardest, simultaneously increased the role of the stock market. Using the two-step system GMM approach and the structural breaks algorithm, it is shown that the economic growth rates after 2010 are significantly related to stock market indicators, rather than the credit depth ones commonly used in finance-growth models
{"title":"Finance and growth: Nonlinearity and structural shifts","authors":"Konstantin Krinichansky, Maksim Yurevich","doi":"10.22394/1993-7601-2023-72-5-22","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-72-5-22","url":null,"abstract":"This study focuses on the nature and limits of the relationship between financial development and economic growth. The revealed non-linearity of this relationship is associated with a latent restructuring of mechanisms of economic financing, which took place during the financial and economic crisis of 2007–2009 and the years following it. The crisis, which hit the banking sector the hardest, simultaneously increased the role of the stock market. Using the two-step system GMM approach and the structural breaks algorithm, it is shown that the economic growth rates after 2010 are significantly related to stock market indicators, rather than the credit depth ones commonly used in finance-growth models","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135446969","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: 10.22394/1993-7601-2023-69-91-120
Leonid Zhizhin, Alexey V. Knorre, R. Kuchakov, D. Skougarevskiy
The paper estimates the cost of crime in Russia through an indirect approach. Using a national victimization survey, we estimate the elasticity of life satisfaction with respect to victimization and income. With estimated elasticities, we calculate the compensating variation: the increase in household income which would compensate for the decrease in life satisfaction due to victimization. Assuming strict exogeneity, one crime costs 135.2 thousand rubles ($2190), and the total societal cost amounts to 1.75 trillion rubles ($28.3 billion) of annual household income (1.3% of GDP).
{"title":"Cost of crime in Russia: A compensating variation approach","authors":"Leonid Zhizhin, Alexey V. Knorre, R. Kuchakov, D. Skougarevskiy","doi":"10.22394/1993-7601-2023-69-91-120","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-69-91-120","url":null,"abstract":"The paper estimates the cost of crime in Russia through an indirect approach. Using a national victimization survey, we estimate the elasticity of life satisfaction with respect to victimization and income. With estimated elasticities, we calculate the compensating variation: the increase in household income which would compensate for the decrease in life satisfaction due to victimization. Assuming strict exogeneity, one crime costs 135.2 thousand rubles ($2190), and the total societal cost amounts to 1.75 trillion rubles ($28.3 billion) of annual household income (1.3% of GDP).","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68419059","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: 10.22394/1993-7601-2023-71-20-38
Olga Bekirova, Andrey Zubarev
In this paper, based on quarterly data on the financial statements of Russian banks for the period from mid‐2013 to the end of 2021, using econometric methods of analysis, we estimated the factors that affect both the probability of bank default as well as other indicators of its activity — risk and profitability. The results obtained showed that balance sheet ratios are significantly correlated with the probability of bank default, its risk of insolvency, and profitability. Asset quality, a bank’s size, a capital ratio, and liquidity creation are important determinants of these bank’s characteristics. The insolvency risk (measured as a Z‐score), in turn, is significantly negatively correlated with the probability of default and profitability (ROA).
{"title":"Determinants of risk, profitability and default probability of Russian banks","authors":"Olga Bekirova, Andrey Zubarev","doi":"10.22394/1993-7601-2023-71-20-38","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-71-20-38","url":null,"abstract":"In this paper, based on quarterly data on the financial statements of Russian banks for the period from mid‐2013 to the end of 2021, using econometric methods of analysis, we estimated the factors that affect both the probability of bank default as well as other indicators of its activity — risk and profitability. The results obtained showed that balance sheet ratios are significantly correlated with the probability of bank default, its risk of insolvency, and profitability. Asset quality, a bank’s size, a capital ratio, and liquidity creation are important determinants of these bank’s characteristics. The insolvency risk (measured as a Z‐score), in turn, is significantly negatively correlated with the probability of default and profitability (ROA).","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135500835","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: 10.22394/1993-7601-2023-72-38-57
Kseniia Rostislav, Dina Salimova, Yuri Ponomarev
The article analyzes the key determinants of the spatial distribution and volumes of air passenger traffic between pairs of Russian regions in 2009–2018 on the largest passenger traffic routes. The intensity of air travel between regions depends on a number of socio-economic factors, the impact of which has not been previously assessed. The presence of non-linear relationships in the influence on the volume of air travel is shown for some factors, which emphasizes the importance of their consideration in subsequent studies in this area.
{"title":"Interregional air passenger flows determinants in Russia","authors":"Kseniia Rostislav, Dina Salimova, Yuri Ponomarev","doi":"10.22394/1993-7601-2023-72-38-57","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-72-38-57","url":null,"abstract":"The article analyzes the key determinants of the spatial distribution and volumes of air passenger traffic between pairs of Russian regions in 2009–2018 on the largest passenger traffic routes. The intensity of air travel between regions depends on a number of socio-economic factors, the impact of which has not been previously assessed. The presence of non-linear relationships in the influence on the volume of air travel is shown for some factors, which emphasizes the importance of their consideration in subsequent studies in this area.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135446974","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: 10.22394/1993-7601-2023-70-5-33
Natalia A. Krasnopeeva
This paper investigated the causality between expenditures and revenues of consolidated regional budgets of 83 subjects of the Russian Federation in the period from 2002 to 2019. Based on panel data, the Granger‐causality test was implemented with the calculation of critical values using the bootstrapping procedure for each individual region. The analysis is based on indicating the direction of the relationship between expenditures and revenues of regional budgets in the context of four hypotheses: “tax-spend”, “spend-tax”, “fiscal synchronization” and “fiscal disunity”. It has been shown that 25% of Russian regions fulfill the “tax-spend” hypothesis, 7% — “spend-tax” hypothesis, 47% — “fiscal synchronization” hypothesis, and 20% —“fiscal disunity” hypothesis. Regions in the “fiscal disunity” group are characterized by a high level of public debt, which for one‐third of them may create risks for their fiscal sustainability, and subsequently risks for the federal budget.
{"title":"Revenues and expenditures of Russian regional budgets: Granger causality analysis","authors":"Natalia A. Krasnopeeva","doi":"10.22394/1993-7601-2023-70-5-33","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-70-5-33","url":null,"abstract":"This paper investigated the causality between expenditures and revenues of consolidated regional budgets of 83 subjects of the Russian Federation in the period from 2002 to 2019. Based on panel data, the Granger‐causality test was implemented with the calculation of critical values using the bootstrapping procedure for each individual region. The analysis is based on indicating the direction of the relationship between expenditures and revenues of regional budgets in the context of four hypotheses: “tax-spend”, “spend-tax”, “fiscal synchronization” and “fiscal disunity”. It has been shown that 25% of Russian regions fulfill the “tax-spend” hypothesis, 7% — “spend-tax” hypothesis, 47% — “fiscal synchronization” hypothesis, and 20% —“fiscal disunity” hypothesis. Regions in the “fiscal disunity” group are characterized by a high level of public debt, which for one‐third of them may create risks for their fiscal sustainability, and subsequently risks for the federal budget.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68419389","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: 10.22394/1993-7601-2023-69-5-27
Mikhail Makushkin, V. Lapshin
The article is devoted to Value‐at‐Risk estimation of bonds based on Dynamic Nelson–Siegel model (DNS). Instead of dealing with estimation of future interest rates and their volatiles, DNS model forecasts several unobservable shape parameters of the yield curve. We illustrate that for practical purposes one factor model is enough to correctly estimate bond VaR — this factor being long‐term level of interest rates. We recommend to use AR(1)‐GARCH(1,1) model to describe the evolution of interest rates level. Such dynamics specification provides accurate risk estimates while minimizing the number of consecutive VaR violations. We emphasize that the choice of optimization algorithm for estimation of yield curve parameters is crucial for accurate VaR forecasting since it might bring additional model noise into time series of yield curve parameters.
{"title":"Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation","authors":"Mikhail Makushkin, V. Lapshin","doi":"10.22394/1993-7601-2023-69-5-27","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-69-5-27","url":null,"abstract":"The article is devoted to Value‐at‐Risk estimation of bonds based on Dynamic Nelson–Siegel model (DNS). Instead of dealing with estimation of future interest rates and their volatiles, DNS model forecasts several unobservable shape parameters of the yield curve. We illustrate that for practical purposes one factor model is enough to correctly estimate bond VaR — this factor being long‐term level of interest rates. We recommend to use AR(1)‐GARCH(1,1) model to describe the evolution of interest rates level. Such dynamics specification provides accurate risk estimates while minimizing the number of consecutive VaR violations. We emphasize that the choice of optimization algorithm for estimation of yield curve parameters is crucial for accurate VaR forecasting since it might bring additional model noise into time series of yield curve parameters.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68418946","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: 10.22394/1993-7601-2023-72-23-37
Jamilu Said Babangida
This research examines the presence of nonlinearities in N‑11 developing economies using various nonlinearity tests. The initial tests include BDS and Runs tests as indicators of nonlinearity. Subsequently, direct nonlinearity tests by White (1989) and Teräsvirta et al. (1993), Keenan (1985) and Tsay (1986) are employed. Finally, the Threshold Autoregressive test is conducted to complement other test. The results reveal the prevalence of nonlinearities and cyclical patterns in the stock indexes of these economies, challenging the assumptions of the Efficient Market Hypothesis (EMH).
{"title":"Nonlinearity in emerging market indices: A comprehensive study of stock exchange market dynamics","authors":"Jamilu Said Babangida","doi":"10.22394/1993-7601-2023-72-23-37","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-72-23-37","url":null,"abstract":"This research examines the presence of nonlinearities in N‑11 developing economies using various nonlinearity tests. The initial tests include BDS and Runs tests as indicators of nonlinearity. Subsequently, direct nonlinearity tests by White (1989) and Teräsvirta et al. (1993), Keenan (1985) and Tsay (1986) are employed. Finally, the Threshold Autoregressive test is conducted to complement other test. The results reveal the prevalence of nonlinearities and cyclical patterns in the stock indexes of these economies, challenging the assumptions of the Efficient Market Hypothesis (EMH).","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135447962","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: 10.22394/1993-7601-2023-70-109-121
S. Gogolev, E. Ozhegov
In the paper we study the behavior of models estimated using asymmetric loss function for the prediction of product‐level sales. The paper is focused on the deriving of a loss function from the newsvendor model where the cost of sales over‐ and underprediction are not equal. We describe the properties of the asymmetric loss function and validate its performance on transactional sales data. The results show that when costs of sales over‐ and underprediction are non‐equal, the prediction function obtained using asymmetric loss leads to lower economic costs compared with symmetric one. Our findings suggest implementing this type of forecasting method to predict product‐level sales in the retail and restaurant industries to better accommodate business goals when solving inventory planning tasks.
{"title":"Asymmetric loss function in product-level sales forecasting: An empirical comparison","authors":"S. Gogolev, E. Ozhegov","doi":"10.22394/1993-7601-2023-70-109-121","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-70-109-121","url":null,"abstract":"In the paper we study the behavior of models estimated using asymmetric loss function for the prediction of product‐level sales. The paper is focused on the deriving of a loss function from the newsvendor model where the cost of sales over‐ and underprediction are not equal. We describe the properties of the asymmetric loss function and validate its performance on transactional sales data. The results show that when costs of sales over‐ and underprediction are non‐equal, the prediction function obtained using asymmetric loss leads to lower economic costs compared with symmetric one. Our findings suggest implementing this type of forecasting method to predict product‐level sales in the retail and restaurant industries to better accommodate business goals when solving inventory planning tasks.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"92 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68418623","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: 10.22394/1993-7601-2023-72-121-139
Anastasia Dubnovitskaya, Kirill Furmanov
Using the RLMS-HSE data of Russian workers from 2002 to 2019 we investigate the relationship between job satisfaction and its components, videlicet satisfaction in pay, working conditions and promotion opportunities. We compare quantitative contribution estimates for each component. We found that satisfaction with working conditions is the major contributor to overall job satisfaction.
{"title":"Job satisfaction in Russia: Wages, working conditions and promotion opportunities","authors":"Anastasia Dubnovitskaya, Kirill Furmanov","doi":"10.22394/1993-7601-2023-72-121-139","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-72-121-139","url":null,"abstract":"Using the RLMS-HSE data of Russian workers from 2002 to 2019 we investigate the relationship between job satisfaction and its components, videlicet satisfaction in pay, working conditions and promotion opportunities. We compare quantitative contribution estimates for each component. We found that satisfaction with working conditions is the major contributor to overall job satisfaction.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135446984","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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