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On Persistence of Uncertainty Shocks
Egiev S.
I study real effects of uncertainty shocks. Using time-varying volatility of the forecast error, I construct a two-part uncertainty metric that consists of persistent and volatile, burst- like components. These indices are used to study empirically several predictions of un- certainty models: that uncertainty shocks have real effects, that these effects realize in a downturn/overshoot pattern and that persistence of uncertainty shocks decreases this pat- tern’s frequency and increases its amplitude. Using the constructed metric in a simple VAR framework I show that real effects are there, that shock to the volatile uncertainty causes significant downturn/overshoot pattern, and that shock to the persistent component causes severe and prolonged damage.
Publication based on the results of:
Vinogradov D., / Heidelberg University. Series DP600 "AWI Discussion Paper Series". 2007. No. 442.
The paper examines the effects of ambiguity in regulation on the equilibrium allocation. Under ambiguous bailout policy, agents’ suffer from a lack of information with regards to the insolvency resolution method, which would be chosen by the regulator if a financial institution fails. In this case, beliefs of bankers regarding whether an insolvent bank is ...
Added: June 27, 2018
Смирнов С.В., Френкель А. А., Кондрашов Н.В., Вопросы статистики 2016 № 12 С. 29-38
This article proposes an original method for estimating regional economic activity in Russia. It is based on monthly official regional statistics in five main sectors of the Russian economy (industry, construction, retail trade, wholesale trade and paid services) but transforms it into specially constructed dichotomous variables which eliminate an excessive volatility of initial time-series.
Indices of ...
Added: December 19, 2016
Rozmainsky I. V., Economic Herald of the Donbas 2015 No. 4 (42) P. 12-17
The paper offers the following hypothesis: the Big Band (Shock Therapy) strategy of the 1990s in Russia has led to more non-rational behavior of the ordinary Russian people. The point is that in order to make completely rational decisions a person needs avoid both lack of information and information overload. Radical “transition to the market ...
Added: October 20, 2016
Smirnov S. V., Kondrashov N. V., / Высшая школа экономики. Series EC "Economics". 2017. No. 169.
Regional statistics published by the Russian Federal State Statistics Service (Rosstat) are reviewed in terms of quality, and radical disagreement between “month-on-month” and “year-on-year” monthly statistics is identified. In view of this, an original method is proposed for estimating the level of Regional Economic Activity (REA), based on monthly official regional statistics in five key ...
Added: August 9, 2017
Springer, 2019
This volume focuses on the analysis and measurement of business cycles in Brazil, Russia, India, China and South Africa (BRICS). Divided into five parts, it begins with an overview of the main concepts and problems involved in monitoring and forecasting business cycles. Then it highlights the role of BRICS in the global economy and explores ...
Added: June 21, 2016
Zhemkov M., / Bank of Russia. Series No. 68 / February 2021 "Bank of Russia Working Paper Series". 2021. No. 68.
This paper presents a forecast combination approach for short-term assessment of economic growth in Russia. Our method significantly expands the existing domestic academic literature and embraces most advanced nowcasting techniques. The key feature of our approach is forecasting the growth rates of components GDP by expenditure using scenario indicators and a huge set of high-frequency ...
Added: May 11, 2021
Kitrar L. A., Lipkind T. M., Вопросы статистики 2021 Т. 28 № 2 С. 24-41
The article proposes a new set of composite indicators-predictors in business tendency surveys, which allow identifying early information signals of a cyclical nature in the economic behavior of business agents. The main criterion for the efficiency of such indicators is their sensitivity to a cyclical pattern and changes in the dynamics of statistical referents. Property ...
Added: May 11, 2021
Naidenova I., Journal of Economic Studies 2022 Vol. 49 No. 5 P. 902-919
Purpose: The research aims to examine the impact of economic policy uncertainty (EPU) on a company's behaviour concerning its human capital. Additionally, the difference in effect for companies with specific human capital is analysed.
Design/methodology/approach: The hypotheses are tested on a multi-industry sample of large public companies from five European countries, using panel data modelling. The index of ...
Added: July 2, 2021
Smirnov S. V., / Высшая школа экономики. Series EC "Economics". 2014. No. 77.
There is evidence in the economic literature that near cyclical peaks an optimistic bias exists in private expert forecasts of real GDP growth rates. Other evidence concerns differences in the accuracy of GDP forecasts made during expansions and those made during contractions. It has also been hypothesized that a wishful bias may hamper the ability ...
Added: November 28, 2014
Doz C., Petronevich A., / . Series " ". 2014.
The purpose of this paper is to develop a tool that would permit to identify the turning points of the business cycle of the French economy in a more timely and transparent manner than the existing institutions, such as OECD, do. We use the basic two-regime Markov Switch- ing Dynamic Factor Model and estimate it ...
Added: October 20, 2014
Krivda S., Варсегов А. Г., Управленческий учет 2015 № 9 С. 19-29
The article offers the author's method of analysis and evaluation of legal risks in a commercial organization. Contains the definition of legal risk, offers their classification. This paper proposes a mechanism for calculating the valuation of legal risks, as well as the interrelation of legal risks and financial condition of the commercial organization. ...
Added: October 1, 2015
Grigorieva S., Панькова И. Д., Финансы и бизнес 2020 Т. 16 № 3 С. 61-78
One of the main considerations in any M&A transaction is the method of payment. The right choice of method of payment contributes to the reduction of the company's cost of capital, risk diversification, and shareholders' wealth creation. The article presents the analysis of earnout contracts, which have been increasing in popularity in the last decades. ...
Added: April 16, 2021
Mamonov M. E., Pestova A., Pankova V. et al., Экономическая политика 2020 Т. 15 № 5 С. 130-159
This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the ...
Added: July 9, 2021
Nazarova V., Ильина М. Е., Науковедение 2014 № 3(22) С. 118EVN314
The relevance of the topic is supported by high growth of IT-industry and the tendency of commercializing of innovated products. High demand on IT-services and software was a base of its diversification both for corporate and private clients. Nowadays business valuation of IT-companies plays a supported role for managers in performing operational and strategic goals. ...
Added: January 3, 2015
Grishchenko N., Journal of International Business and Economics 2019 Vol. 7 No. 1 P. 18-25
Uncertain economic situations like shock, crisis, and fall impact significantly on the personal investments, main of them are life insurance and savings. Taking into account the importance of precautionary life insurance and savings as the future buffers due to current ambiguity, it is essential to understand individuals’ behavior regarding to the economic uncertainty. This article ...
Added: September 12, 2019
Petronevich A., Billio M., / University Ca' Foscari of Venice. Series WP/2017 "University Ca' Foscari of Venice, Dept. of Economics Research Paper Series". 2017.
We adopt the Dynamical Influence model from computer science and transform it to study the interaction between business and financial cycles. For this purpose, we merge it with Markov-Switching Dynamic Factor Model (MS-DFM) which is frequently used in economic cycle analysis. The model suggested in this paper, the Dynamical Influence Markov-Switching Dynamic Factor Model (DI-MS-FM), ...
Added: October 20, 2017
Pestova A., / Высшая школа экономики. Series EC "Economics". 2014.
The main objective of this paper is to develop leading indicators of business cycle turning points for OECD countries and Russia, in order to reveal common factors of their macroeconomic processes over a long period of time. To predict cycle turning points, leading indicator models with a discrete dependent variable reflecting a business cycle phase ...
Added: February 20, 2014
Pestova A., Вопросы экономики 2013 № 7
The objective of this study is to develop a system of leading indicators of the business cycle turning points on a wide range of countries, including Russia, over a more than thirty years period. We use a binary choice model with the dependent variable of the state of economy: the recession, there is no recession. ...
Added: June 6, 2013
Smirnov S. V., Экономический журнал Высшей школы экономики 2010 Т. 14 № 2 С. 185-201
The article demonstrates that cyclical fluctuation of industrial outputs (consumer products, equipments, materials and supplies) have important, specific features in Russian and US's economies. The result allows to better understand the formation of business cycles of national economies within their structural peculiarity. Based on statistical analysis of physical industrial output (for Russia relevant indexes were ...
Added: October 13, 2012
Koshovets O., Igor E. Frolov, Journal of International Scientific Publications: Economy & Business 2014 Vol. 8 P. 399-412
It is now widely accepted that modern economic science failed to foresee the financial and economic crisis of 2008-2009. However it is appear that there is still a lack of understanding fundamental causes of this crush and its aftermath. The available standard forecasting models and theories for the growth of the global economy are barely ...
Added: October 15, 2014
Smirnov S. V., / Высшая школа экономики. Series EC "Economics". 2011. No. 02.
Contemporary global economic life is measured in days and hours, but most common economic indicators have inevitable lags of months and sometimes quarters (GDP). Moreover, the real-time picture of economic dynamics may differ in some sense from the same picture in its historical perspective, because all fluctuations receive their proper weights only in the context ...
Added: August 28, 2012
Korotin V., Popov Victor, Tolokonsky A. et al., Omega 2017 Vol. 72 P. 50-58
This work deals with investment decision in downstream, and as is wellknown no two refineries are exactly alike, even if they are owned by the same company(Cheremisinoff 2001). Each was designed with a combination of several technologies to meet requirements (market opportunities, availabilities, financial capability, environmental realities) (Energy 2009). One of the most commonly used ...
Added: February 15, 2017
Smirnov S. V., / Высшая школа экономики. Series WP2 "Количественный анализ в экономике". 2011. No. 03.
The cyclical indicators approach has been used for decades but the last recession has once more rekindled an interest for them throughout the world. Several new techniques and indicators were introduced in recent years but the actual quality of these ‘newcomers‘ was not well established. During the last recession, performance of such ‘veterans’ as indexes ...
Added: December 26, 2012
Makasheva N. A., Вопросы экономики 2013 № 10 С. 47-65
The paper aims at tracing the connection between the ideas of Keynes, Knight and Mises on uncertainty and probability. It also highlights the links between economic ideas, ethical presuppositions and practical implications these scholars drew. Both similarities and differences are found, influenced for the large part by the context of dealing with the problems under consideration. ...
Added: November 17, 2013