This paper measures the effects of the Russian Government and the Bank of Russia’s verbal interventions on the USD/RUB exchange rate. To take into account the verbal interventions by the Bank of Russia, we analyze the announcements made by the members of its Board of Directors and by the press-service. Concerning the communication policy of the Government, we search for the announcements by the President of the Russian Federation, the representatives of the President Administration and the members of the Government of the Russian Federation. The analysis of the verbal interventions from 2014 to 2016 reveals the main characteristics of the information policy of the Russian authorities. For example, the most announcements by the representatives of the Bank of Russia contain positive information about financial stability, while the most announcements by the Government representatives refer to the GDP dynamics. The information policy about the inflation dynamics is consistent among different policy authorities. The representatives of both the Bank of Russia and the Government have published the same number of announcements with similar content. In order to reveal the relationship between verbal interventions and the ruble exchange rate, we use daily data and estimate an ARMA(0,0)-GARCH(1,1) model. According to the results, the returns of the USD/RUB exchange rate were higher when the Bank of Russia communicated lower inflation risks and higher RUB devaluation in 2014-2016. The USD/RUB returns were also higher when the representatives of the Russian Government announced the higher exchange rate volatility and the higher deficit. The days when the Russian Government communicated higher inflation risks or stricter fiscal policy were characterized by lower USD/RUB returns.
The Prize in Economic Sciences in Memory of Alfred Nobel 2010 was awarded jointly to Peter Diamond from Massachusetts Institute of Technology, Dale Mortensen from Northwestern University and Christopher Pissarides from London School of Economics and Political Science «for fundamental contributions to search and matching theory», established in 70-80s of the last century, and constituting now the core of modern economics. The most important application of this approach has become the analysis of labour market with search costs or «frictions» that potential workers and firms face in their attempts to locate each other. The original approach has provided the basis for the study of equilibrium unemployment dynamics in terms of flow variables (eg. monthly measured numbers of new vacancies and unemployed, hired and fired workers, etc.). It has enabled researchers to conduct both positive and normative analysis of the labour market and social welfare in terms of concrete policy measures and instruments, such as unemployment benefits, hiring and firing costs, minimum wage laws, etc.
We study the market discipline by retail depositors of the foreign bank subsidiaries in Russia. We analyze the effect of the direct signal about the bank’s foreign origin – the bank’s title - to deposit growth (quantitative discipline) and interest rates (price discipline) sensitivity to the bank riskiness. We assume that the banks having direct indication of the fact that the owner is a foreign financial company in the banks’ titles, will enjoy greater confidence of retail depositors and therefore less intense market discipline, and this effect will remain unchanged in the crisis of 2008-2009. An alternative hypothesis originates from the consumer ethnocentrism approach, assuming that the signal of foreign ownership will provide an incentive for depositors to monitor the banks more attentively. We use data on 56 foreign banks for 2007-2015. The results suggest that if the bank’s title signals the foreign origin, the deposit growth is significantly more sensitive to a decrease in the capital adequacy ratio or in credit risk, which indicates the ethnocentrism effect, working for disciplining by both quantity and price. The effect for quantitative discipline persists during the crisis of 2008-2009, which is important due to the fact, that this period witnessed the significant inflow of deposits to state and foreign banks from national private ones. The one for price discipline, however, disappears: we witness a reduction in the intensity of price discipline during the crisis for both groups of foreign banks.
Sustainable reduction of investment in the Russian economy, observed since 2013, has become one of the most discussed issues. The aim of this work is to examine the contribution of several structural shocks to the dynamics of investment in 2003-2016. We want to consider the relationship between investment, GDP, domestic loans to non-financial corporations, the interest rate on these loans, external debt of Russian companies and the nominal exchange rate within the framework of sign restricted SVAR. In this work, four shocks are explored: terms of trade shock, shock of foreign funding (access to global capital markets), monetary policy shock and fiscal policy shock (public investment expenditures). The main results are as follows. External shocks dominate the dynamics of the Russian investment, and this applies not only to the terms of trade shock, but also to the shock of foreign funding availability. The sharp decline in access to it after the introduction of sanctions against Russia in 2014 had great negative impact on investments. In addition, the model estimates the role of monetary policy in 2015 as negative-neutral (thus offering an argument in favor of its easing), but at the same time rather insignificant. On the basis of our results we conclude that operational measures of economic policy are unlikely to crucially change the situation for the better. Removal of economic sanctions against Russia could promote investment, but only in the short-term period. In the long run reforms aimed at ridding the economy of such a high dependence on external factors are necessary.
This paper investigates the effect of inflation targeting adoption over foreign direct investments dynamics using a wide control group. We refer to the adoption of inflation targeting as a treatment, to the IT countries as a treated group and to the non–IT countries as a control group. There are several potential channels through which inflation targeting can stimulate the inflows of the foreign direct investments: reduction and stabilization of inflation level, enhancing the sustainability of the macroeconomic environment, increasing the transparency of the monetary policy, development of market economy institutions. Based on the panel date of more than 130 developing and developed countries over the period since 1980 to 2014, we directly evaluate the effect of inflation targeting by implementing a variety of propensity score matching methods. We find no evidence that the IT adoption enhances foreign direct investments inflows. Indeed, the average treatment effect is small and insufficient. This result is robust to the alternative definitions of the adoption dates and matching methods.
This paper has several important differences from previous theoretical works. Firstly, we use a wide control group, which can be result in less biased estimates (we can consider the role of unobserved factors more accurately). Secondly, we consider the period from 1980 to 2014, and evaluates trends associated with the global financial crisis.
One important policy recommendations based on the results of this paper is that monetary policy itself is not a good instrument for attracting foreign investors.
This paper examines the influence of alcohol consumption on employment, working hours and income of workers on Russian labor market using the data from the Russia Longitudinal Monitoring Survey (RLMS) from 2007 to 2009. For the purpose of correcting for endogeneity of alcohol consumption and estimation of complex influence of alcohol consumption on the position of the individual on the labor market the system of simultaneous equation was used. Estimates of the coefficients received using a method of maximum simulated likelihood. The result shows that moderate drinkers have higher probability of employment, work more hours and have higher income than abstainers or heavy drinkers. However heavy drinking for males has a negative effect on labor market relative to abstention and moderate drinking reducing probability of employment, hours of work and income. For females heavy drinking is positively connected with income and hours of work relative to abstention, but leads to lower probability of employment.
The study considers the evolution of wages of Russian workers over their life cycle. There is a large stock of evidence for developed countries that wages grow over age monotonically though with diminishing rate. Wage declines, if they take place, occur late in working life and are not large in magnitude. This shape of the profile is considered a stylized fact and has got explanation in a few influential economic theories, among which the human capital theory plays a leading role. However, recent studies exploiting data from less developed countries challenge universality of the monotonically rising shape. Some empirical evidence from Russia also raise doubts that this pattern is universal for all. This study uses various data sets for 2005–2015 to explore wage growth over age in Russia. All data sources suggest that the Russian age-wage profile looks «substandard». Wage stops growing by age 40 and starts declining fast after. The paper considers age-related changes in various components of the human capital. Among them are the level of formal education, incidence and intensity of participation in post-school training programs, development of cognitive and non-cognitive skills, the utilization of acquired occupational skills in everyday work. None of these components shows a monotonic rise that could contribute to shaping the age-wage profile as more «standard». Of course, deviation of the observed shape from the expected one can be driven by cohort differences, not by age ones. Though a robust separation of age, cohort and period effects deserves a special scrutiny, the evidence presented in the paper suggests that the age effect is likely to persist.
A methodology has been developed to construct a time series of Russian 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.
An iterative algorithm has been proposed to transform these tables for 2003 into the OKVED/OKPD classifications. In the first step Use table (initial approximation) at purchasers' prices has been transformed using the conversion table bridging the Soviet classifications to the OKVED/OKPD classifications. In the second step the initial approximations of the 5 components of Use table at purchasers’ prices have been developed: the use of domestic goods and services at basic prices, the use of imported goods and services at basic prices; transport margins; trade margins and net taxes on products are developed. In the third step balancing each of the five tables has been taken place to ensure compliance of the row totals with the respective targets of national accounts. In the fourth step the final version of the use table at purchasers' prices has been calculated as the sum of the balanced five tables.
The method has been proposed to construct time series of IO Accounts at current prices based on these classifications for 2004 and subsequent years on the basis of transformed IO accounts for 2003 using the RAS procedure. RAS method is applied in two stages, first to determine the column totals of each of the calculated five tables and then to calculate all other items of these tables. Unlike traditional applications, in this paper RAS method is used to calculate matrices of intermediate consumption and final demand of goods and services simultaneously.
IO Accounts at basic prices account for 2004 and subsequent years have also been derived at previous year prices. For this purpose the deflators have been calculated on the basis of national accounts variables and statistics of international trade in goods and services.
In this paper, we study how household’s migration experience affects migrants’ current choice of location within a single receiving country. Unlike most of previous research on migrants’ location choice, we analyze the case of temporary repeated migrations. We focus on two aspects of the effect of migration experience. First, we aim to identify history dependence that might exist in migrants’ destination choices. Second, we show how this history dependence and general migration experience influence the importance of regions’ economic characteristics: average wage and unemployment rate. To do this we employ 2007 and 2009 rounds of Tajikistan Living Standards Survey. Panel structure of the data set allows us to distinguish between new and repeated migrants and to control for households’ migration experience in 2007 while analyzing 2009 migrants’ location choices. We find considerable path dependence in destination choices by Tajik migrants. Previously chosen destination that were associated with higher wages and employment opportunities largely define the current ones. We also find that migration experience, both general and at specific destination, reduces the importance of receiving regions’ economic characteristics on location choice. In particular, after controlling for the migration history, wages and unemployment rate at the destination turn out to have less or no effect on migrants’ location choice. In addition, the effect of regional economic characteristics on the destination choices for new migrants is higher than for repeated.