This paper reviews the contribution of Eugene Fama, Lars Hansen and Robert Shiller to financial asset pricing research. We show how the Nobel prize winners have changed the approach to asset pricing research, as well as the views of academic economists and investors about price predictability and the risk-return relationship.
Earlier papers revealed educational differences in mortality in Russia in 1970’s–1980’s were at least as significant as in Western countries, and were largely similar to those observed in Eastern Bloc. Starting from 1998 there is a little knowledge about socio-economic characteristics of mortality since data collection has been discontinued and resumed only in 2011. Contemporary vital statistics on death is suffering from missing data on educational attainment of deceased (25,4% of all records in 2015). By proposing three approaches to overcome difficulties with missing data this paper presents new estimates of life expectancy at age 30 (LE30) by educational attainment among Russian men and women in 2015. According to the third approach absolute mortality differences between high-educated and low-educated is 17,5 years for men, 14,5 – for women. Despite the fact that LE30 has been growing for the last decade and has returned to the level of the late 1980’s, the level of absolute and relative inequality in mortality has increased. In terms of the causes of death mortality burden of infectious and parasitic diseases, external causes, diseases of the respiratory organs is more unevenly distributed between educational groups in modern Russia and is primarily on low-educated population.
A monopolist can price-discriminate between two consumer groups with linear demands that can cross (violate the Spence-Mirrlees condition). We derive complete parametric taxonomy of the outcomes. Switching from simple uniform pricing to two-part tariff or package pricing «generally» decreases the monopolistic deadweight loss. Switching from two-part tariff to packages also «generally» decreases the loss. However, we specify a small parameters' region where both these conclusions fail. Additionally, we find parameters yielding discrimination benefits to «big» or to «small» consumers. Thereby, we show the demand-specific and pricing-scheme specific reasons for/against public restrictions on price discrimination.
The issue about relevancy of usage of concepts of representative and aggregate agents in modern economic science is very actual. The theoretical model [Malakhov, Pospelov, 2014] showed that the distribution of banks on proportions of assets is stable over time. If this result is correct for real data, then it will be another argument to use the concept of an aggregate agent in modeling a banking sector, which is an actual topic for macroeconomists. In this paper we provide an empirical test of this result using data from the Russian banking system. We also analyze other key variables, such as households’ deposits, firm’s credits, interbank credits, etc., because if distributions of proportions of these variables are stable too, then it will be an additional argument to use the concept of aggregate agents. This paper is aimed at selecting the optimal (in some sense) functional forms of distribution of proportions of the key variables and validating stability of these distributions over time. The actuality of this topic is also confirmed by recent events in Russian economy and banking system in particular.
We show that using generalized versions of well-known distributions, we can accurately describe the distribution of Russian banks in terms of a turnover balance sheet. In particular, the Pareto distribution of type IV and asymmetric generalized error distribution show a very high accuracy of approximation, these results being correct for all considered variables. The quality of approximation by these distributions is robust both in time and in the cross-sectional dimensions, however, individual banks can move within this distribution. Thus, we consider rather the distribution of banks of the entire Russian banking system than the distribution of individual banks.
Moreover, estimations of parameters of the distribution of proportions of assets have slightly changed during observation period and these changes could be possibly connected with structural shifts in the banking industry. Kolmogorov-Smirnov test shows that the differences between the distributions of proportions of assets become significant at 5% confidence level only when the difference between periods is more than 8 months. Thus, the theoretical model [Malakhov, Pospelov, 2014] mainly passes the empirical test.
We consider the problem of determining indices for periods with non-constant prices. The structurally-dynamic quantity indices and price indices-deflators of value flows are induced for aggregated periods consisting of the sequences elementary and homogeneous ones (which can not be represented as a series of others with less duration). These indices depend on changes in the quantities and average prices of products in these sequences. So they are distinguished from the traditional static indices, defined only by amounts of values and quantities of products in the aggregate periods. The definition of indices, consistent in reference to aggregation of products, which is natural for practical uses, is suggested. Recommended chained Divisia - Montgomery price indices possess such a property. We also consider an alternative definitions of homogeneity of period with non-constant prices and the corresponding methods of calculating average product prices on the base of available statistical data. The definition based on the properties of Divisia - Montgomery indices is preferred.