О точности сводных показателей экономической динамики в российской переходной экономике
Экономика и математические методы. 2002. Т. 38. № 2. С. 113-127.
Бессонов В. А. М.: Институт экономики переходного периода, 2003.
Added: Jan 28, 2013
Бессонов В. А., Петроневич А. В. Количественный анализ в экономике. WP2. Высшая школа экономики, 2013. № WP2/2013/04.
The paper analyzes aberrations that appear as a side-effect of seasonal adjustment when applied to time series of economic data in the neighborhood of an abrupt change in level, the pattern of dynamics that was typical for economic crises. Under these circumstances the standard algorithms of seasonal adjustment are shown to be able to produce spurious signals that we characterize as foreshocks and aftershocks. These signals can significantly distort the understanding of short-term behavior of data, particularly during first several years following the beginning of a crisis. The monitoring of short-term trends within this «blind zone» is extremely problematic.
Added: Sep 30, 2013
Методологические проблемы построения систем таблиц "затраты-выпуск" России в классификаторах отраслей и продуктов, соответствующих международным стандартам
Баранов Э. Ф., Ким И. А., Пионтковский Д. И. и др. Количественный анализ в экономике. WP2. Высшая школа экономики, 2013. № 6.
A methodology has been developed to construct a time series of Input-Output (IO) accounts for 2003 and subsequent years. This was based on the OKVED (All-Russian classifier of activities) and OKPD (All-Russian classifier of Products by Activity) classifications that are harmonized with the NACE rev.1/CPA. The construction used IO Accounts for 2003 built in the Soviet classifications as the starting point. The algorithms have been proposed to transform IO accounts for 2003 into the OKVED/OKPD classifications and construct time series of IO Accounts based on these classifications for 2004 and subsequent years on the basis of transformed IO accounts for 2003.
Added: Nov 18, 2013
Новый кейнсианский подход и влияние финансового сектора на реальную экономику в современных условиях
Кавицкая И. Л. Экономические науки. 2010. № 73. С. 384-388.
Added: Oct 14, 2012
Бессонов В. А. М.: Издательский дом ГУ-ВШЭ, 1998.
Added: Jan 28, 2013
Суринов А. Е. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 4. С. 604-613.
Added: Nov 5, 2012
Губанов В. А. Количественный анализ в экономике. WP2. Высшая школа экономики, 2002. № 01.
The paper presents a non-parametric seasonal adjustment algorithm based on variational principles. Basic relations of the suggested procedure are considered for two cases – continuous time and time series. Some features and restrictions of the algorithm are discussed. Numerical results of the algorithm are compared with Census X-11 and stationary seasonal wave extraction algorithms. Dynamic seasonal effects in transient economy time series are discussed having regard to the crisis of 1998.
Added: Mar 31, 2013
Тишкин А. М. В кн.: Инновации на основе информационных и коммуникационных технологий. Материалы Международной научно-практической конференции (2010). М.: МИЭМ, 2010. С. 578-580.
Added: Nov 23, 2012
Бессонов В. А. М.: Институт экономики переходного периода, 2005.
Added: Jan 28, 2013
Матвеенко В. Д. В кн.: Экономический рост, ресурсозависимость и социально-экономическое неравенство: Пленарные доклады III Всероссийской конференции. СПб.: Издательство Нестор-История, 2014. С. 79-92.
Added: Nov 16, 2014
Юрченко К. П. В кн.: Модернизация экономики и глобализация: В 3 кн. Кн. 3.. Кн. 3. М.: Издательский дом ГУ-ВШЭ, 2009. С. 476-486.
Added: Aug 20, 2013
Воскобойников И. Б. Экономический журнал Высшей школы экономики. 2004. Т. 8. № 1. С. 3-20.
Added: Oct 30, 2012
Экономика и управление: проблемы и перспективы развития. Сборник научных статей по итогам международной научно-практической конференции г.Волгоград 15-16 ноября 2010 г.
Ч. 1. Волгоград: Волгоградское научное издательство, 2010.
Added: Jan 18, 2013
Anisimova A. I., Muradyan P. A., Vernikov A. V. SSRN Working Paper Series. Social Science Research Network, 2011. No. 1919817.
This empirical paper adds to competition and industrial organization literature by exploring the interplay between industry structure and competitiveness on local, rather than nation-wide, markets. We use micro-level statistical data for banks in two Russian regions (Bashkortostan and Tatarstan) to estimate Herfindahl-Hirschman index, Lerner index, and Panzar-Rosse model. We estimate Panzar-Rosse model in two ways: via the widely used price-equation that accounts for scale effects and then via a revenue-equation that disregards scale effects as suggested by Bikker et al. (2009). We find both regional markets to be ruled by monopolistic competition, although estimation by revenue-equation does not reject monopoly hypothesis for Tatarstan. Existence of sizeable locally-owned and operated institutions does not necessarily lead to higher competitiveness of the given regional market, and the results from non-structural methods of estimation suggest that bank competition in Bashkortostan is stronger than in Tatarstan. Going further away from aggregated analysis we compute Lerner indices in two product segments of Tatarstan – retail and corporate loans – and find that retail segment is significantly more competitive. Local banks exert more market power in corporate loans, while federal branches – in retail loans.
Added: May 14, 2012
Added: Feb 22, 2013
Трунин П. В., Дробышевский С. М., Евдокимова Т. В. М.: Издательский дом «Дело» РАНХиГС, 2012.
Added: Mar 26, 2013
Яковлев А. А. Общественные науки и современность. 2008. № 4. С. 21-37.
Added: Sep 22, 2012
Penikas H. I. Financial Economics. FE. Высшая школа экономики, 2012. No. 03.
The Basel Committee of Banking Supervision initiated a discussion on the most efficient practices to prevent bank managers from excessive risk-taking. This paper proposes a game-theoretical approach, describing the decision-making process by a bank manager who chooses his own level of risk and effort. If the level of risk implies the variability of the future outcome, the amount of effort applied affects the probability of a positive outcome. Although effort is unobserved for the bank’s stakeholders, the risk level is under control, and is associated with certain indicators such as capital adequacy ratio or leverage level. The risk-neutral utility function of a bank manager and a binary game outcome of gaining profit or loss for a bank are assumed. Starting from the general incentive contract scheme having the fixed and variable parts of remuneration, it is proposed that differentiating the variable part of remuneration is sufficient to motivate bank managers to make fewer risky decisions. More precisely, the variable part of remuneration (e.g. the share of the bank’s profit) needs to be higher in proportion to the higher variance of outcome for the high -risk outcome case to stimulate a bank manager to opt for lower-risk decisions in place of higher-risk situations.
Added: May 3, 2012
Уринсон Я. М. Вестник Европы. 2014. № 38-39.
Added: Feb 5, 2018
Penikas H. I., Titova Y. Financial Economics. FE. Высшая школа экономики, 2012. No. 02.
In this paper we elaborate a simple model that allows for the predicting of possible reactions from financial institutions to more stringent regulatory measures introduced by the Basel Committee on Banking Supervision (BCBS) in regard to global systemically important banks (G-SIBs). The context is framed by a 2011 BCBS document that proposes higher capital requirements for global systemically important banks. We attempt to analyze bank interactions in an oligopolistic market that is subject to demand constraints on loan amounts and additional loss absorbency requirements introduced by the regulator. We distinguish between the bank’s announced funding cost that determines both the loan amount issued and the market interest rate, and the bank’s true funding cost that has a direct impact on retained earnings. We conclude that in a two-stage game both banks will announce the highest funding cost, thus reducing the amount of loans granted (in line with the regulator’s objective), but at the expense of a higher cost of borrowing established in the market. If the game is repeated, then both banks also choose lower loan amounts in the periods prior to the last one in which the declared funding cost is the lowest possible. It should be noted that the designated outcome also coincides with the findings of the Monetary Economic Department of the Basel Committee on Banking Supervision.
Added: May 3, 2012
Added: Jun 24, 2011