Pub Date : 2023-01-01DOI: 10.22394/1993-7601-2023-72-58-72
Alexander Goryunov, Elena Ageshina, Igor Lavrentev, Polina Peretyatko
In 2014 Russian government enacted an ambitious policy of the “accelerated development” of the Far East. A number of special legal provisions, tax incentives and investment programs have been introduced as part of that policy. Several studies have since attempted to estimate the impact of the policy on the region’s economy using intertemporal or interregional comparisons of outcomes, with most studies finding there to be no significant impact. We use the synthetic control method to arrive at a quantitative estimate of the policy’s effect on the real per capita GRP of the Far East in 2014–2019. Using a pool of 59 regions to construct a counterfactual baseline and controlling for the overall level of higher education, share of the raw materials industry, share of investment in GRP and the share of working age population, we estimate that the policy had resulted in the creation of around 93 billion rubles of additional GRP in the Far East during 2014–2019. We also propose a procedure for estimating the statistical significance of the result in the case when Fischer’s Exact Test, which is normally used with synthetic controls, is not applicable due to the composition of the treated object. Using our proposed procedure, we find that our estimate of the policy’s effect is statistically significant at the 5% level.
{"title":"Estimating the effect of Russia’s development policy in the Far Eastern region: The synthetic control approach","authors":"Alexander Goryunov, Elena Ageshina, Igor Lavrentev, Polina Peretyatko","doi":"10.22394/1993-7601-2023-72-58-72","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-72-58-72","url":null,"abstract":"In 2014 Russian government enacted an ambitious policy of the “accelerated development” of the Far East. A number of special legal provisions, tax incentives and investment programs have been introduced as part of that policy. Several studies have since attempted to estimate the impact of the policy on the region’s economy using intertemporal or interregional comparisons of outcomes, with most studies finding there to be no significant impact. We use the synthetic control method to arrive at a quantitative estimate of the policy’s effect on the real per capita GRP of the Far East in 2014–2019. Using a pool of 59 regions to construct a counterfactual baseline and controlling for the overall level of higher education, share of the raw materials industry, share of investment in GRP and the share of working age population, we estimate that the policy had resulted in the creation of around 93 billion rubles of additional GRP in the Far East during 2014–2019. We also propose a procedure for estimating the statistical significance of the result in the case when Fischer’s Exact Test, which is normally used with synthetic controls, is not applicable due to the composition of the treated object. Using our proposed procedure, we find that our estimate of the policy’s effect is statistically significant at the 5% level.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"45 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":"135446987","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: 10.22394/1993-7601-2023-71-5-19
Juri Trifonov
The study examines the risk premium modeling for three major Russian stock market indices. The key feature is accounting for the asymmetry effect in the risk premium via the asymmetric GARCH‐M model. The empirical analysis provided evidence favoring a significant leverage effect in the risk premium in the Russian market. However, the effect sign is contrary to the hypothesis and the empirical evidence in the American market. These findings are probably explained by the violation of the efficient market hypothesis and the presence of a high proportion of irrational investors in the Russian stock market.
{"title":"Modeling the risk premium in the Russian stock market considering the asymmetry effect","authors":"Juri Trifonov","doi":"10.22394/1993-7601-2023-71-5-19","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-71-5-19","url":null,"abstract":"The study examines the risk premium modeling for three major Russian stock market indices. The key feature is accounting for the asymmetry effect in the risk premium via the asymmetric GARCH‐M model. The empirical analysis provided evidence favoring a significant leverage effect in the risk premium in the Russian market. However, the effect sign is contrary to the hypothesis and the empirical evidence in the American market. These findings are probably explained by the violation of the efficient market hypothesis and the presence of a high proportion of irrational investors in the Russian stock market.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"81 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":"135502356","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: 10.22394/1993-7601-2023-70-122-143
I. Stankevich
The paper investigates the application of Markov‐Switching MIDAS (Mixed Data Sampling) models to nowcasting of Russian GDP and its components. Different methods to get the resulting nowcast based on nowcasts under different regimes are proposed: weighted by regime probabilities, most probable regime, and perfectly predicted regime nowcasts. The model obtained is compared with standard econometric nowcasting models. Among all the models tested, Markov‐Switching MIDAS model with perfectly predicted regime yields the best results for most of the series analyzed. MS MIDAS models without perfect regime foresight also perform better than standard MIDAS models and MFBVAR models for most of the series analyzed.
{"title":"Application of Markov-Switching MIDAS models to nowcasting of GDP and its components","authors":"I. Stankevich","doi":"10.22394/1993-7601-2023-70-122-143","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-70-122-143","url":null,"abstract":"The paper investigates the application of Markov‐Switching MIDAS (Mixed Data Sampling) models to nowcasting of Russian GDP and its components. Different methods to get the resulting nowcast based on nowcasts under different regimes are proposed: weighted by regime probabilities, most probable regime, and perfectly predicted regime nowcasts. The model obtained is compared with standard econometric nowcasting models. Among all the models tested, Markov‐Switching MIDAS model with perfectly predicted regime yields the best results for most of the series analyzed. MS MIDAS models without perfect regime foresight also perform better than standard MIDAS models and MFBVAR models for most of the series analyzed.","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":"68419268","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: 10.22394/1993-7601-2023-70-72-88
Anastasia Kosyakina
A modification of the repeat-sales method is proposed, which allows estimating housing price indices taking into account changes in the qualitative characteristics of the properties being sold over time, as well as limitations in Russian data. The results of evaluation of indices for Moscow and St. Petersburg are given. It is concluded that in real terms and taking into account the change in the quality of purchased objects, the price levels for the secondary housing in these cities at the end of 2021 are comparable to the level of the end of 2012.
{"title":"A bubble in the housing market? Analysis based on the repeat-sales method for the secondary market in Moscow and Saint Petersburg","authors":"Anastasia Kosyakina","doi":"10.22394/1993-7601-2023-70-72-88","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-70-72-88","url":null,"abstract":"A modification of the repeat-sales method is proposed, which allows estimating housing price indices taking into account changes in the qualitative characteristics of the properties being sold over time, as well as limitations in Russian data. The results of evaluation of indices for Moscow and St. Petersburg are given. It is concluded that in real terms and taking into account the change in the quality of purchased objects, the price levels for the secondary housing in these cities at the end of 2021 are comparable to the level of the end of 2012.","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":"68419506","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: 10.22394/1993-7601-2023-69-121-140
S. Arzhenovskiy
The share of the shadow economy in the GDP of Russia and by region — in the GRP of the regions, was estimated in the study, based on quarterly data. The methodology included two approaches — structural modeling and using of the cash demand model. Estimation of consumer price index elasticity factors by the share of shadow economy in GDP/GRP was carried out. Comparison of empirical results of the study with obtained other authors and other methods, both by country and by region, showed their comparability.
{"title":"Estimate of shadow economy dynamics in Russia and regions: The inflationary aspect","authors":"S. Arzhenovskiy","doi":"10.22394/1993-7601-2023-69-121-140","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-69-121-140","url":null,"abstract":"The share of the shadow economy in the GDP of Russia and by region — in the GRP of the regions, was estimated in the study, based on quarterly data. The methodology included two approaches — structural modeling and using of the cash demand model. Estimation of consumer price index elasticity factors by the share of shadow economy in GDP/GRP was carried out. Comparison of empirical results of the study with obtained other authors and other methods, both by country and by region, showed their comparability.","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":"68418634","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: 10.22394/1993-7601-2023-69-48-64
Germán Colomá
This paper analyzes the issue of demand estimation and market definition in industries where products differ according to their quality levels. An econometric methodology based on substitution elasticities is explained, and then applied to the Argentine beer industry, using data from the period 2011–2017. The results are compared to equivalent ones obtained using an alternative methodology, concluding that in Argentina we can identify two relevant markets inside the beer industry (corresponding to high/medium quality beers, and low quality beers).
{"title":"Demand estimation and market definition in quality-differentiated products: The case of beer in Argentina","authors":"Germán Colomá","doi":"10.22394/1993-7601-2023-69-48-64","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-69-48-64","url":null,"abstract":"This paper analyzes the issue of demand estimation and market definition in industries where products differ according to their quality levels. An econometric methodology based on substitution elasticities is explained, and then applied to the Argentine beer industry, using data from the period 2011–2017. The results are compared to equivalent ones obtained using an alternative methodology, concluding that in Argentina we can identify two relevant markets inside the beer industry (corresponding to high/medium quality beers, and low quality beers).","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":"68418875","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: 10.22394/1993-7601-2023-70-34-54
T. Gopane, Tanyaradzwa Gandanhamo, J. Mabejane
The study asks whether technology firms adjust their capital structures towards predetermined targets, and if so, at what speed? Also, is there an intra‐industry leverage‐level effect? The study empirically evaluates the listed technology firms in South Africa’s Johannesburg Stock Exchange (JSE). Methodologically, a generalised method of moments (GMM) is em‐ ployed on 34 firms over 21 years (1999–2019), resulting in a sample size of 714 observations. The results show that technology firms adjust their debt‐equity ratios towards target levels with speed above other industries at 45 to 57%. A comparison with prior research shows that this adjustment pace is consistent with the experience of technology firms in Asian emerging markets but differs markedly from that of developed economies. These results support the literature observation that technology is characterised differently in less developed economies, yet research on technology firms’ capital structure dynamics is scant. The results of this study should enlighten industrialists, investors, and policymakers involved with technology industries. Intuitively, the partial capital adjustment process should play an essential role in project financing decisions. Maintaining optimal capital adjustment speeds should lead to better industrial activity like maximised innovation and technology diffusion.
{"title":"Technology firms and capital structure adjustment: Application of two-step system generalised method of moments","authors":"T. Gopane, Tanyaradzwa Gandanhamo, J. Mabejane","doi":"10.22394/1993-7601-2023-70-34-54","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-70-34-54","url":null,"abstract":"The study asks whether technology firms adjust their capital structures towards predetermined targets, and if so, at what speed? Also, is there an intra‐industry leverage‐level effect? The study empirically evaluates the listed technology firms in South Africa’s Johannesburg Stock Exchange (JSE). Methodologically, a generalised method of moments (GMM) is em‐ ployed on 34 firms over 21 years (1999–2019), resulting in a sample size of 714 observations. The results show that technology firms adjust their debt‐equity ratios towards target levels with speed above other industries at 45 to 57%. A comparison with prior research shows that this adjustment pace is consistent with the experience of technology firms in Asian emerging markets but differs markedly from that of developed economies. These results support the literature observation that technology is characterised differently in less developed economies, yet research on technology firms’ capital structure dynamics is scant. The results of this study should enlighten industrialists, investors, and policymakers involved with technology industries. Intuitively, the partial capital adjustment process should play an essential role in project financing decisions. Maintaining optimal capital adjustment speeds should lead to better industrial activity like maximised innovation and technology diffusion.","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":"68419323","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: 10.22394/1993-7601-2023-72-73-99
Valentin Voytenkov, Olga Demidova
This paper investigates the impact of the COVID‑19 pandemic on household consumption patterns in Russia. We use household budget survey data, modelling the impact of household socioeconomic characteristics on consumption patterns. Additionally, we account for the regional heterogeneity of the severity of the quarantine measures. The results indicate a quantitative change in household consumption structure, but consumers’ behaviour patterns remain unchanged.
{"title":"Impact of COVID‑19 on household consumption in Russia","authors":"Valentin Voytenkov, Olga Demidova","doi":"10.22394/1993-7601-2023-72-73-99","DOIUrl":"https://doi.org/10.22394/1993-7601-2023-72-73-99","url":null,"abstract":"This paper investigates the impact of the COVID‑19 pandemic on household consumption patterns in Russia. We use household budget survey data, modelling the impact of household socioeconomic characteristics on consumption patterns. Additionally, we account for the regional heterogeneity of the severity of the quarantine measures. The results indicate a quantitative change in household consumption structure, but consumers’ behaviour patterns remain unchanged.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"166 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":"135446971","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: 10.22394/1993-7601-2022-65-45-64
E. Zubova
The novelty of this research is that there are provided first estimates of the value of statistical life in Russia, considering wage differential for occupational risks, based on the analysis of panel data (2010–2020). The resulting estimates of VSL in Russia adjusted for two‐way effects are in the range of 231.7 and 288.3 mln rubles that are considerably lower than ones obtained with pooled regression (397 mln) and between‐estimator (420.6 mln) and comparable with corresponding values for the USA (11.4–11.6 mln US dollars).
{"title":"Value of statistical life in Russia: Estimates based on panel microdata for 2010–2020","authors":"E. Zubova","doi":"10.22394/1993-7601-2022-65-45-64","DOIUrl":"https://doi.org/10.22394/1993-7601-2022-65-45-64","url":null,"abstract":"The novelty of this research is that there are provided first estimates of the value of statistical life in Russia, considering wage differential for occupational risks, based on the analysis of panel data (2010–2020). The resulting estimates of VSL in Russia adjusted for two‐way effects are in the range of 231.7 and 288.3 mln rubles that are considerably lower than ones obtained with pooled regression (397 mln) and between‐estimator (420.6 mln) and comparable with corresponding values for the USA (11.4–11.6 mln US dollars).","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417921","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: 10.22394/1993-7601-2022-67-74-96
E. Podkolzina, Lada Kuletskaya, O. Demidova
We argue neighbors play a crucial role in voting behavior for the main candidate in Russia. Moreover, the official status of the region and connectedness with the ruling party matter. The neighborhood effects we explain with the idea that voters base on public choices and illustrate it on the example of Privolzhskiy federal district regions with an emphasis on Tatarstan and its effect on voting on the municipal level. The Republic of Tatarstan is an interesting case also because it is the republic in Russia that has reference to sovereignty in its constitution and at the same time is loyal to the Kremlin. This paper presents a detailed spatial analysis of voters’ responses at the municipal level covering Russian presidential elections in 2018 year using the example of the Republic of Tatarstan and its surrounding regions. The preferred 2-step OLS specification with instruments shows that Tatarstan had a strong positive effect on neighboring regions in terms of voting for the main candidate, while surrounding regions voted differently and negatively affected each other. Municipalities with better economic conditions had a negative impact on the share of votes for the main candidate and positive for the opposite.
{"title":"Spatial modelling of voting preferences: The “Mystery” of the Republic of Tatarstan","authors":"E. Podkolzina, Lada Kuletskaya, O. Demidova","doi":"10.22394/1993-7601-2022-67-74-96","DOIUrl":"https://doi.org/10.22394/1993-7601-2022-67-74-96","url":null,"abstract":"We argue neighbors play a crucial role in voting behavior for the main candidate in Russia. Moreover, the official status of the region and connectedness with the ruling party matter. The neighborhood effects we explain with the idea that voters base on public choices and illustrate it on the example of Privolzhskiy federal district regions with an emphasis on Tatarstan and its effect on voting on the municipal level. The Republic of Tatarstan is an interesting case also because it is the republic in Russia that has reference to sovereignty in its constitution and at the same time is loyal to the Kremlin. This paper presents a detailed spatial analysis of voters’ responses at the municipal level covering Russian presidential elections in 2018 year using the example of the Republic of Tatarstan and its surrounding regions. The preferred 2-step OLS specification with instruments shows that Tatarstan had a strong positive effect on neighboring regions in terms of voting for the main candidate, while surrounding regions voted differently and negatively affected each other. Municipalities with better economic conditions had a negative impact on the share of votes for the main candidate and positive for the opposite.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68418114","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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