Эмпирический анализ формирования доходности на российском рынке государственных ценных бумаг
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.
In this paper the influence of branch tendencies of development of small retail business on dynamics of one of the leading quantitative indices of economic development of Russia - the index of physical volume (IPV) of the retail trade turnover is investigated.
The response of the macro aggregate to the artificial shocks entered into dynamics of the not quantitative composite indicators (CI) characterizing business tendencies of small trade business is simulated. For carrying out such analysis there was involved, based on modern VAR approaches, the impulse response function constructed on the VECM model.
This paper studies fiscal policy in Russia 2004–2010 with the aid of structural budget balance and fiscal impulse measures. To check for robustness several methods estimating the potential GDP are employed. The research suggests a hypothesis that the output in Russia is subject to two types of shocks: persistent outward shocks and short-term internal shocks. In 2004–2010, fiscal policy coped with the internal shocks but could not smooth outward instability. Fiscal policy in Russia is procyclical; it does not stabilize the output.
We address the external effects on public sector efficiency measures acquired using Data Envelopment Analysis. We use the health care system in Russian regions in 2011 to evaluate modern approaches to accounting for external effects. We propose a promising method of correcting DEA efficiency measures. Despite the multiple advantages DEA offers, the usage of this approach carries with it a number of methodological difficulties. Accounting for multiple factors of efficiency calls for more complex methods, among which the most promising are DMU clustering and calculating local production possibility frontiers. Using regression models for estimate correction requires further study due to possible systematic errors during estimation. A mixture of data correction and DMU clustering together with multi-stage DEA seems most promising at the moment. Analyzing several stages of transforming society’s resources into social welfare will allow for picking out the weak points in a state agency’s work.