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Regular version of the site
Of all publications in the section: 330
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Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 2. С. 265-293.
Added: Nov 5, 2012
Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 3. С. 423-464.
Added: Nov 5, 2012
Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 1. С. 101-138.
Added: Nov 5, 2012
Article
Пономаренко А. Н. Экономический журнал Высшей школы экономики. 1998. Т. 2. № 1. С. 95-122.
Added: Nov 5, 2012
Article
Пономаренко А. Н. Экономический журнал Высшей школы экономики. 1998. Т. 2. № 2. С. 245-268.
Added: Nov 5, 2012
Article
Газман В. Д. Экономический журнал Высшей школы экономики. 2007. Т. 11. № 1. С. 35-54.
Added: Aug 29, 2012
Article
Смирнов А.Д. Экономический журнал Высшей школы экономики. 2013. Т. 17. № 4. С. 585-616.
Added: Feb 3, 2014
Article
Кузьмич О. С., Рощин С. Ю. Экономический журнал Высшей школы экономики. 2008. Т. 12. № 1. С. 29-56.

This paper considers the economic returns to health in the Russian labor mar-ket. Empirical analysis the impact of health on labor supply and wages is provided on the base of RLMS data for 1994-2004. The problem of measuring health and dif-ferent of subjective and objective health characteristics are discussed. The problem of health endogeneity is concerned. The results of estimation show considerable negative influence of poor health and relatively less in absolute value positive influence of good health on employment. We also have found a positive impact of good health on earnings.

Added: Oct 11, 2012
Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 2010. Т. 141. № 4. С. 401-439.

Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. On a macrolevel of a system its behaviour was modeled by a differential equation depending on three parameters. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.

Added: Oct 13, 2012
Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 2010. Т. 14. № 3. С. 275-310.

Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. The irrationality of financial investors, as it was well known, had been empirically explained by «the greater fool theory». This process, in modern terms, was represented as the autocatalytic process leading to a system's singularity. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high le-verage might produce the total collapse of a financial system. On a macrolevel the behaviour the of a system was modeled by a differential equation depending on three parameters. Such an outcome was explained on the system's microlevel as a process of financial percolation which was modeled, quite surprisingly, by the same equation of a Bernoulli type. Invariant constants of percolation were used to estimate different parameters of a model. The model application to the study of 2007-2010 credit crunch has given rise to the impressively coherent results in terms of probabilities and the return time periods of critical events that took place on the global financial markets.

 

Added: Oct 13, 2012
Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 2006. Т. 10. № 2. С. 165-192.
Added: Oct 19, 2012
Article
Струченевский А. А. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 1. С. 82-100.
Added: Nov 5, 2012
Article
Елкина М. А., Пекарский С. Э. Экономический журнал Высшей школы экономики. 2020. Т. 24. № 4. С. 475-502.

To explore the role of financial frictions for macroeconomic policy transmission, this paper compares macroeconomic effects of tightening financial repression in the standard medium-scale DSGE model which assumes perfect capital markets and the one with financial frictions. Introducing financial frictions into the model deepens negative impact of financial repression on private investment, it but leads to weaker initial negative response in output. This result is driven by two effects. Firstly, in the model with financial frictions, investment is more sensitive to changes in the economic activity because negative shock worsens financial health of entrepreneurs and leads to tighter borrowing conditions. Secondly, in the model with financial frictions, the problem of households who consume and save and that of entrepreneurs who invest in capital are considered separately. Financial repression reduces return on capital, which further worsens financial stance of entrepreneurs, but does not impact return received by creditors because it is fixed in the contract. Hence, the impact of financial repression on households and their consumption is smaller in the model with financial frictions. In the consumption-led economy the overall effect on output is less prominent if we model financial market explicitly. Quantitatively, this effect can be quite substantial, so we conclude that analysis of financial repression effects calls for explicit modeling of financial market and its specific characteristics despite possible benefits of a simpler model. Furthermore, when compared to various distor- 1 The reported study was funded by RFBR, project number 19-310-90064. 2020 HSE Economic Journal 501 tionary taxation measures as a way to finance an increase in government purchases, financial repression produces lower fiscal multipliers.

Added: Jun 6, 2021
Article
Шугаль Н. Б. Экономический журнал Высшей школы экономики. 2006. Т. 10. № 2. С. 243-266.
Added: Oct 19, 2012
Article
Дмитриев А. С., Шугаль Н. Б. Экономический журнал Высшей школы экономики. 2006. Т. 10. № 3. С. 420-447.
Added: Oct 30, 2012
Article
Демешев Б. Б., Малаховская О. А. Экономический журнал Высшей школы экономики. 2016. Т. 20. № 4. С. 691-710.

This paper compares the forecasting performance of random walk, frequentist vector autoregression  (VAR), and Bayesian vector autoregression with Minnesota prior (BVAR) models on quarterly Russian data sample running from 1995 to 2014. Maximal number of variables included in the model is equal to 14 that requires an endogenous search of optimal shrinkage hyperparameter.  The search procedure follows [Bańbura et al., 2010] and [Bloor and Matheson, 2011].  According to the selection method the shrinkage hyperparameter equates the forecasting quality of the frequentist VAR and BVAR for the minimal considered dimension of the model (three variables). For any dimension of the BVAR model the optimal shrinkage hyperparameter is robust to considered functions of relative forecasting accuracy.

We show that the BVAR provides a more accurate forecast than the frequentist VAR on the studied sample. For key macro indicators (the industrial production index, consumer price index and the interbank interest rate), forecasting horizons, and all model sizes, the mean squared error of the BVAR is lower than that of the frequentist VAR. Moreover, the results show that the forecast made using the BVAR is more precise than the forecast made using random walk model for the CPI and using white noise model for the interbank rate. However, the BVAR cannot beat the random walk while forecasting the industrial production index.  

Added: Dec 9, 2016
Article
Колосницына М. Г., Суворова И. К. Экономический журнал Высшей школы экономики. 2005. Т. 9. № 4. С. 543-565.
Added: Oct 30, 2012
Article
Митрова Т. А., Галкина А. А. Экономический журнал Высшей школы экономики. 2013. Т. 17. № 3.
Added: Nov 27, 2013
Article
Малахов Д. И., Пильник Н. П. Экономический журнал Высшей школы экономики. 2013. Т. 17. № 4. С. 660-686.

This paper discusses the problems of modeling efficiency of firms. There are two the most popular methods to estimate efficiency of firms: DEA (data envelopment analysis) and SFA (stochastic frontier analysis), and popularity of the last one is fast growing. There are a lot of different SFA models, so most researches often choose in advance one or two models, which they are going to estimate. So survey of different SFA models is one of goals of this paper. We discuss 15 popular SFA models. Also we discuss problems of SFA models and their prospects. In our paper we compare models, estimated by classical method of moments (MoM), and models, estimated by maximum likelihood approach (MML). Today there are no such papers, so we try to discuss pros and cons of using method of moments approach in SFA models. Interesting, that this method is very unpopular today, but its’ estimates are asymptotical normal and consistent. Because there are no formal criteria to compare different SFA models, we investigate the estimation results from 9 SFA models on the concrete industry data. We use correlation analysis of estimates of efficiency ranks and also we try to find out the causes of the most serious differences between models.

Added: Mar 25, 2014
Article
Чернина Е. М., Локшин М. М. Экономический журнал Высшей школы экономики. 2013. Т. 17. № 1. С. 41-74.
Added: Apr 8, 2013
Article
Рощина Я. М. Экономический журнал Высшей школы экономики. 2009. Т. 13. № 3. С. 428-451.
Added: Oct 15, 2012