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Влияние вербальных интервенций Банка России на фондовые индексы
AlterEconomics (ранее - Журнал экономической теории). 2016. № 4. С. 18-27.
Kuznetsova O., Ulyanova S.
Kuznetsova O., Ulyanova S., / Высшая школа экономики. Series WP BRP "Economics/EC". 2016. No. 155.
This paper analyzes the intraday impact of the Bank of Russia’s verbal interventions on the Russian stock exchange indices in 2014-2015. We construct a communication index which summarizes the verbal interventions of the Bank of Russia during this period. We use GARCH-modelling on intraday data on the returns of the RTS and MICEX indices. We ...
Added: November 28, 2016
Kuznetsova O., Ulyanova S., Экономический журнал Высшей школы экономики 2018 Т. 22 № 2 С. 228-250
This paper measures the effects of the Russian Government and the Bank of Russia’s verbal interventions on the USD/RUB exchange rate. To take into account the verbal interventions by the Bank of Russia, we analyze the announcements made by the members of its Board of Directors and by the press-service. Concerning the communication policy of ...
Added: September 14, 2018
Zhemkov M., Kuznetsova O., Журнал Новой экономической ассоциации 2019 Т. 2 № 42 С. 49-69
Stability of inflation expectations is a necessary part of inflation targeting. Among many factors that may affect the dynamics of inflation expectations, one of the most important is the communication policy of the central bank and representatives of the government. This paper measures the effectiveness of verbal interventions by the Government and the Bank of Russia on the high-frequency ...
Added: July 14, 2019
Telegin O., Merzlyakov S., AlterEconomics (ранее - Журнал экономической теории) 2019 № 4 С. 654-672
This paper is devoted to the analysis of the Bank of Russia verbal interventions from 2014 to 2017 and relationship between verbal interventions and interest rates in Russian economy. As verbal interventions of the regulator, all statements made by officials of the Bank of Russia were examined, as well as statements by the press service ...
Added: October 23, 2019
Malakhov D., Stankevich I., - 2016
We propose new GARCH model, which have two separate errors - negative and positive shocks, which are connected by copula. First estimation results showed, that this model, despite of very complicated routine of likelihood function maximizing, outperformed standard models. ...
Added: October 16, 2015
Juri Trifonov, Potanin B., / SSRN. Series "Working Papers". 2022.
We proposed the new method (GARCH-M-LEV) that allows capturing the asymmetry both in the variance and return equations. The development of the model is encouraged by the stylized fact that investors demand a higher risk premium during ”bad” volatility periods rather than ”good” ones. To study the properties of the obtained estimators, we conducted a ...
Added: November 22, 2022
Borzykh D., Khasykov M., Yazykov A., Вестник Воронежского государственного университета. Серия: Экономика и управление 2017 № 2 С. 97-105
The article proposes a new method of structural breaks detection in time series in the piecewise-specified GARCH-models. The method is based on the moving likelihood ratio statistics. In case of absence of structural breaks lower and upper 95 %- and 99 %- bounds were found for the likelihood ratio statistics. The criterion of structural breaks ...
Added: April 28, 2017
Kuznetsova O., / Высшая школа экономики. Series WP BRP "Economics/EC". 2016. No. 126.
Economic literature is far from having a consensus about the social value of public information. Nevertheless, most studies agree that strategic complementarity increases the weight of public signals in private actions. In our paper we show that this result is not general. In a two-region model we relax the autarky assumption, common to previous studies, ...
Added: March 22, 2016
Merzlyakov S., Khabibullin R. A., Вопросы экономики 2017 № 11 С. 141-151
This paper examines the impact of the main regular communication channel of the Bank of Russia – press releases after the Bank of Russia Board of Directors meetings on monetary policy issues – on the Moscow Prime Offered Rate (MosPrime Rate). We show that the press releases of the Bank of Russia can have a significant ...
Added: October 21, 2017
Kuznetsova O., Merzlyakov S., Деньги и кредит 2016 № 11 С. 19-25
Since 2013, the Bank of Russia has been applying the signals about the future policy moves as an instrument of forward guidance. The goal of the paper is to understand the effectiveness of this policy and its future prospects in Russia. To this purpose, the authors reconsider the main issues of time-based and data-based forward ...
Added: November 10, 2016
Kuznetsova O., Merzlyakov S., Деньги и кредит 2015 № 12 С. 34-39
The paper is devoted to the information policy of the central banks. In particular, the authors consider regular and irregular
communication channels of the Bank of Russia used for the transmission of information, and compare them to other countries
with inflation targeting. Moreover, they discuss further improvement of the Bank of Russia’s transparency. ...
Added: December 4, 2015
Gokhberg L., Kitova G. A., Kuznetsova T., Политэкономика 2008 № 9-10 С. 45-48
В бюджете на ближайшую трехлетку заложено, что расходы на науку гражданского назначения составят: в 2008 г. 119,3 млрд руб., в 2009 г. — 139,8 млрд и в 2010 г. — 173,7 млрд руб. Это выше уровня 2007 г. соответственно в 1,2, 1,4 и 1,7 раза, но, безусловно, ничтожно мало. Ведь расходы на науку составляют всего ...
Added: January 15, 2013
Kuznetsova O., Merzlyakov S., / Высшая школа экономики. Серия WP12 "Научные доклады лаборатории макроэкономического анализа". 2015. № 02.
Our paper is devoted to the Bank of Russia’s information policy. In particular, we consider regular and irregular communication channels used for the transmission of information, and compare them to other countries with inflation targeting. Moreover, we discuss further improvement of the Bank of Russia’s transparency: publication of the Bank of Russia Board of Directors’ ...
Added: October 22, 2015
Lakshina V. V., / Высшая школа экономики. Series FE "Financial Economics". 2014. No. 37.
The paper proposes the thorough investigation of in-sample and out-of-sample performance of four GARCH and two stochastic volatility models, estimated on the Russian financial data. The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression ...
Added: October 2, 2014
Telegin O., Журнал Новой экономической ассоциации 2022 № 54 С. 130-155
This paper investigates the relationship between the volatility of various indicators of the financial markets of Russia and the communication policy of the Bank of Russia, namely, regular communications channel - press releases and press conferences following the meetings of the Board of Directors of the Bank of Russia. The results of econometric analysis using ...
Added: November 24, 2021
Костырка А. В., Malakhov D., Прикладная эконометрика 2021 Т. 61 С. 110-139
In this article, two popular tests for structural breaks are considered for return volatilities: the ICSS algorithm employing the AIT test, and the least-squares (LS) estimator. We show that the AIT test is sensitive to many features of the time series, and the use of asymptotic critical values is not always justified. The LS method ...
Added: April 20, 2021
Ulanov V. L., Минеральные ресурсы России. Экономика и управление 2015 № 1 С. 1-7
The role of indexes and ratings in evaluating the condition and prospects of development is shown. The impact of external factors is analysed The importance of manufacturing characteristics of companies is stressed. The necessity to create national ratings is discussed. ...
Added: November 18, 2014
Skiperskih A., Губин М. А., Известия Тульского государственного университета. Серия: Гуманитарные науки 2010 № 2 С. 259-268
Сделана попытка рассмотреть процесс легитимации политической власти в контексте осуществления информационной политики. По мнению авторов, правящие элиты, узурпировавшие информационные ресурсы, активно используют их для утверждения во власти, периодически прибегая к информационному принуждению. ...
Added: November 9, 2014
Щерба А. В., Прикладная эконометрика 2011 № 4 С. 58-70
The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back testing analysis is performed to evaluate the accuracy of the alternative models and to find ...
Added: September 23, 2012
Borzykh D., Khasykov M., Прикладная эконометрика 2018 Т. 51 С. 126-139
We suggest a hybrid algorithm for structural breaks detection when using a class of piecewise-specified GARCH(1,1) models. The algorithm comprises two steps. In the first step the moments of structural breaks are detected using KL-ICSS method based on (Kokoszka, Leipus, 1999) and (Inclán, Tiao, 1994). In the second step previously detected moments of structural breaks ...
Added: September 9, 2018
Borzykh D., Yazykov A., Прикладная эконометрика 2019 Т. 54 С. 90-104
We propose a new method of a structural break detection for GARCH(1,1) model. This new method is called the KS method since it is based on Kolmogorov-Smirnov statistics. By using Monte-Carlo experiments we show that the KS method has good statistical properties. We compare our method with three well-known CUSUM methods: (Kokoszka, Leipus, 1999) referred ...
Added: March 28, 2019
Arkhipova M., Sirotin V., Воронкова Т. Н. et al., Эдитус, 2022
В монографии рассматриваются тенденции цифровизации: цифровые достижения государственного управления, цифровая экономика в сфере купли-продажи, цифровизация в образовании и др. Особое внимание уделено трансформации современного мегаполиса в условиях цифровой среды. Издание адресовано студентам, аспирантам и преподавателям вузов, работникам сферы повышения квалификации. ...
Added: January 12, 2023
Juri Trifonov, Bogdan Potanin, HSE Economic Journal 2022 Vol. 26 No. 4 P. 623-646
This study raises the problem of modeling conditional volatility under the random shocks’ normality assumption violation. To obtain more accurate estimates of GARCH process parameters and conditional volatilities, we propose two semi-nonparametric GARCH models. The implementation of the proposed methods is based on an adaptation of the [Gallant, Nychka, 1987] semi-nonparametric method to the family ...
Added: December 6, 2022
Borzykh D., Khasykov M., Yazykov A., Труды Московского физико-технического института 2017 Т. 9 № 3 С. 115-121
In this article we propose a new method of structural breaks detection for GARCHmodels called V-MLR. We use two numerical experiments consisting of 10 000 simulations to compare our V-MLR method with the well-known CUSUM method. In the first experiment with a single structural break V-MLR method found the correct number of structural breaks in ...
Added: July 12, 2017