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Производство электроэнергии в России и ВВП: анализ коинтеграции
Прикладная эконометрика. 2016. Т. 44. С. 38-49.
Arkhipov R., Katyshev P. K.
We consider the problem of cointegration of the macro indices of Russian economy (GDP, money aggregate M2, budget expenses, real effective exchange rate) and electric power generation. It is assumed that on time interval (1999–2015) under consideration a structural change (regime shift) is allowed, and as a result the cointegration relationship may be changed. The existence of cointegration is established and the moment of the structural change is estimated.
Arkhipov R., Прикладная эконометрика 2016 Т. 44 С. 38-49
We consider the problem of cointegration of the macro indices of Russian economy (GDP, money aggregate M2, budget expenses, real effective exchange rate) and electric power generation. It is assumed that on time interval (1999–2015) under consideration a structural change (regime shift) is allowed, and as a result the cointegration relationship may be changed. The ...
Added: February 26, 2018
Р.Ю.Архипов, П.К.Катышев, Прикладная эконометрика 2016 Т. 44 С. 38-49
We consider the problem of cointegration of the macro indices of Russian economy (GDP, money aggregate M2, budget expenses, real effective exchange rate) and electric power generation. It is assumed that on time interval (1999–2015) under consideration a structural change (regime shift) is allowed, and as a result the cointegration relationship may be changed. The ...
Added: March 14, 2017
Teplova T., Rodina V., Eurasian Economic Review 2019
The paper studies the nature and dynamic properties of the reinvestment risk premium in the Treasury bond market. Reinvestment risk has recently gained due attention in investment practice, for example, in managing direct investment portfolios, mutual and pension funds, insurance portfolios and credit portfolios. The reinvestment risk
premium is estimated by reconstructing a coupon bond with ...
Added: December 14, 2018
Kopnova E., Rodionova L., Прикладная эконометрика 2020 Т. 60 № 12 С. 80-101
The work is devoted to modeling the dynamic relationship of globalization and the level of socio-economic 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 ...
Added: January 4, 2021
Mironov V., Petronevich A., Resources Policy, Great Britain 2015 Vol. 46, Part 2 P. 113-126
This paper examines the problem of Dutch disease in Russia during the oil boom of the 2000s, from both the theoretical and empirical points of view. Our analysis is based on the classical model of Dutch disease by Corden and Neary (1982). We examine the relationship between changes in the real effective exchange rate of ...
Added: September 30, 2015
Левин С. Н., Kislitsyn D., Сурцева А. А., Журнал институциональных исследований 2019 Т. 11 № 4 С. 61-76
The paper describes the institutional organization of the resource type regions. The advantages of the political and economic approach based on structural alternatives of development identification are justified. The choice between those alternatives is decided by dominant political and economic actors’ interactions, motivations and limitations of the actors are regarded in the context of path ...
Added: January 13, 2020
Voskoboynikov I., Solanko L., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Online". 2014. No. 6.
Based on newly available data, we argue that multifactor productivity increases over the period 1995–2008 generated only about a half of Russia’s GDP growth, a smaller increase than most previous estimates. Further, growth in multifactor productivity seems to have contributed to a smaller share of GDP growth in 2003–2008 than in the first seven years ...
Added: June 7, 2014
Самойлов Д. В., Экономический журнал Высшей школы экономики 2010 Т. 14 № 2 С. 244-267
This article deals with the influence of different factors on the RTSI in the period from March 2007 to August 2009. The period is further subdivided into three subperiods − pre-crisis, high oil prices and time of crisis ones. The stationarity testing, the Granger causality analysis, the analysis of cointegration, the impulse response functions and ...
Added: October 13, 2012
Ершов Э. Б., Kadreva O., Экономический журнал Высшей школы экономики 2015 Т. 19 № 3 С. 199-217
Consumption behavior of Russian households as macroeconomic agent is changing and converging with behavior of populations of developed countries. This agent finances the purchase of goods and services by current income, savings and loan. Repayments of loans, which are generally used to acquire durable goods and services, are distended in time. Consequently, there are factors ...
Added: October 22, 2015
Maksimov A. G., Telezhkina M., Прикладная эконометрика 2019 Т. 55 С. 91-112
Analysis of factors, characterizing globalization, on transformation of higher education system, called as the «fundamental shift» by Kwiek (2001), is conducted with the use of data for 195 countries for the period 1988–2016. Models of dynamics of share of youth, getting higher education, before and after positive demand shock in higher education are considered. Globalization ...
Added: October 9, 2019
Mironov V., Petronevich A., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2015.
This paper examines the problem of Dutch disease in Russia during the oil boom of the 2000s, from both the theoretical and empirical points of view. Our analysis is based on the classical model of Dutch disease by Corden and Neary (1982). We examine the relationship between changes in the real effective exchange rate of ...
Added: January 29, 2015
Lipatnikov V. S., Ломджария С. Г., Мазуровский П. А. et al., Банковское дело 2017 № 5 С. 47-51
In this article the market-neutral strategy of paired statistical arbitrage is considered. This trading strategy is relatively new for the Russian stock market, but is widespread among western investors. The essence of paired statistical arbitration is revealed and the effectiveness of this method is estimated on the basis of the model developed by the authors. ...
Added: August 12, 2017
Dorofeuk Y. A., Гольдовская М. Д., Киселева Н. Е., Проблемы управления 2013 № 3 С. 33-40
научная статья ...
Added: November 15, 2013
NY : Oxford University Press, 2015
This book provides a unique and timely analysis of the role of structural change in the economic development of Brazil, Russia, India, China, and South Africa (BRICS) with a consideration for the role of industry, and in particular manufacturing. The emergence of BRICS reflects an ongoing change in the international economic order. BRICS now account ...
Added: July 29, 2015
Mkhitarian V., Karelina M., Ivanova T., Model Assisted Statistics and Applications 2016 Vol. 11 P. 39-59
This paper presents an empirical analysis of the Russian market of mergers and acquisitions (the largest market for corporate control in Central and Eastern Europe) in 2003-2012 in terms of the total volume and value of the merger and acquisition deals of the holding companies. This analysis allowed for the conclusion that, to assess and ...
Added: September 5, 2016
Montiel Olea J. L., Meyer M., Gafarov B., / New York University. Series 1 "1". 2016.
This paper studies Structural Vector Autoregressions that impose equality and/or
inequality restrictions to set-identify a single shock (e.g., a monetary shock). We
make three contributions to the literature.
(i) We present an algorithm to compute—for each horizon, each variable, a fixed
vector of reduced-form parameters, and a given collection of equality and/or inequality
restrictions—the largest and smallest value of the ...
Added: October 17, 2016
Radionova M. V., Фролова Н. В., Чичагов В. В., Пермь : Пермский государственный университет, 2011
Пособие подготовлено авторами на основе опыта преподавания эконометрики для студентов экономических факультетов ПермГНИУ и НИУ ВШЭ – Пермь. В учебном пособии изложены основные сведения по разделам курса «Эконометрика». Помимо необходимого теоретического материала приведено много примеров практического применения теоретических результатов. Большое количество практических примеров, приложений и статистических таблиц, а также заданий для самостоятельной работы студентов призвано ...
Added: February 5, 2013
Voskoboynikov I., Review of Income and Wealth 2020 Vol. 66 No. 2 P. 394-417
Strong growth, intensive structural change and expanding informality have characterized many developing and emerging economies in recent decades. Yet most empirical investigations into the relationship between structural change and productivity growth overlook informality. This paper includes the informal sector in an analysis of the effects of structural changes in the Russian economy on aggregate labour ...
Added: March 9, 2019
de Vries G. J., Erumban A. A., Timmer M. P. et al., / Высшая школа экономики. Series EC "Economics". 2011. No. 04.
This paper studies structural transformation and its implications for productivity growth in the BRIC countries based on a new database that provides trends in value added and employment at a detailed 35-sector level. We find that for China, India and Russia reallocation of labour across sectors is contributing to aggregate productivity growth, whereas in Brazil ...
Added: August 28, 2012
Montiel Olea J. L., Meyer M., Gafarov B., / New York University. Series 1 "1". 2016.
This paper studies the properties of projection inference for set-identified Structural Vector Autoregressions. The objective is to provide a confidence region for the structural impulse-response function without specifying prior probability distributions for the structural parameters. The proposal is to project a nominal 1 − α Wald ellipsoid for the model’s reduced-form parameters (autoregressive coefficients and ...
Added: October 17, 2016
Karminsky A. M., Столбов М. И., Корпоративные финансы 2016 № 1(37) С. 77-87
В статье предложен подход к оценке взаимосвязи финансовой устойчивости и системного риска публичных кредитных организаций, основанный на каноническом корреляционном анализе (canonical correlation analysis, CCA). Преимущество данного подхода заключается в вычислении коэффициентов корреляции для двух наборов индикаторов, а также в возможности выявить наиболее влиятельные переменные внутри рассматриваемых наборов. Он реализован на примере Сбербанка и ВТБ за ...
Added: April 8, 2016
Н. Новгород : Национальный исследовательский университет Высшая школа экономики в Нижнем Новгороде, 2014
Added: November 21, 2014
Stankevich I., Труды Института системного анализа Российской академии наук 2018 Т. 68 № 2 С. 55-58
The paper analyses the necessity of seasonal adjustment in dynamic models. It is shown, that seasonal adjustment of the time series can influence its’ properties in terms of unit root and cointegration tests. This influence depends of the seasonal adjustment procedure and the test selected. If there is a cointegration between series, seasonal adjustment of ...
Added: October 22, 2018
Merikas A., Merika A., Penikas H. I., Procedia Computer Science 2013 Vol. 17 P. 1125-1133
The paper is the first to the knowledge of the authors to apply copula models to reconstructing joint distribution of time charter rates for dry bulk ship. Based on the Clarksons dataset for the last 20 years it is claimed that Gumbel copula is enough to perform the mentioned objective. To arrive at the conclusion ...
Added: June 11, 2013