This paper analyzes the mortgage borrowing process from a Russian state-owned supplier of residential housing mortgages concentrating on the estimation of demand function with heterogeneous borrowers’ preferences. Analysis takes into account the underwriting process and the choice of contract terms of all loans originated from 2008 to 2012. Our dataset contains demographic and financial characteristics for all applications, loan terms and the performance information for all issued loans by one regional bank which operates government mortgage programs.
We use a multistep semiparametric approach to estimate the determinants of bank and borrower choice controlling for possible sample selection and endogeneity of product characteristics. The main contribution is modeling choice of contract terms as interdependent by structural system of simultaneous equations with heterogeneous marginal effects.
We found that demand of low-income households who are unable to afford improving of housing conditions by other instruments than government mortgage is less elastic according to the change both in interest rate and maturity.
Families with children in Russia are particularly exposed to risk of poverty. Child benefits, as a source of income for families with children, can reduce this risk. But some of the child benefits in Russia are means-tested, so eligibility for benefits depends on family’s poverty. To avoid this endogeneity problem we estimate model of multivariate probit with two depending variables: probability of poverty (absolute, relative or subjective) and probability of receiving child benefits. We also compare estimates of this model with estimates of probit model of poverty.
The results obtained show that child benefits reduce the probability of absolute and relative poverty. Their impact on subjective poverty is more complex. In general, they reduce the likelihood of subjective poverty, but in some cases, their positive impact on subjective poverty is overweighted by stigmatization from receiving benefits.
This paper analyzes the problems of credit risk modeling on the Russian residential mortgage market. The structural model of the credit risk evaluation, which controls for the sample selection bias and endogeneity, is presented. It estimates based on the regional mortgage data. Obtained results can be used to develop the effective risk management systems in credit organizations.
Our work is focused on Russian mutual funds managers’ skills versus luck estimating. Using bootstrap procedure we build Jensen’s alpha density for each fund. We find that only 5% of Russian equity mutual funds do have skills (in contrast to luck) to outperform the benchmark.
The purpose of this paper to determine what impact of on-the-job training on employee wages. The information base is RLMS HSE (2004-2011). The empirical methodology involves estimation using quantile regression and the method of double difference-in-differences. These results confirm the potential benefits of on-the-job training and allow you to see how much different level of influence among workers with high/low unobserved abilities.
The purpose of the research is the investigation and detecting the regions with satisfied, under satisfied and excessive demand for foreign direct investment (FDI). The methodology of the estimation of unobserved demand level is based on the partial adjustment model of several specifications constructed according to three theoretical approaches. After the estimation of dynamic models on regional panel data from Rosstat and Central Bank of Russia over the period 2011–2015 we obtained the values of unobserved demand for FDI adjusted to GRP and ranked Russian regions on the base of demand satisfaction. Then the results for three regions are discussed.
Authors investigate forming of transfer fee of professional football players. They analyze influence on its value factors, which define «human capital» of athlete, such as age, professional achievements and «level of publicity», i.e. his ability to attract spectators’ attention. It have been determined that strength of influence of professional achievements diminishes with age and taking into account «level of publicity» significantly rise quality of transfer fee modeling.
The work is devoted to estimates of individual returns to additional professional training (APT) on the example of a metallurgical enterprise of Sverdlovsk region of 2006–2010. We compare results of the OLS, fixed effects and difference-in-differences estimators. APTs that expand possibilities of intra firm mobility showed statistically significant influence on wages. The types of training referred by us to the rise of qualification have significantly smaller impact on earnings. The found effects are expressed at men in comparison with women more brightly.
The existence of economies of scale or the Deaton–Paxson paradox significantly complicates the estimations of household consumption significantly. This paper investigates whether this paradox is present for some core elements of the consumption of Russian households based on RLMS data. The results confirmed the existence of the paradox, but showed that during an economic crisis it has the least effect. In addition, it was found that indicators of the economy of scale differ for households with various income and composition and for different types of goods. Findings of the study indicate that for more accurate estimations in calculating the economic indicators that take into account household expenditures, such as level and depth of poverty using alternative approaches, adjustment for economies of scale is necessary. The study also provides an analysis of the same type with the power switch on the effect of the other when changing the size of the household in trying to understand the source of the paradox. The results show that switching phenomenon does exist, but acting in different directions with the addition to the family of the child and adult. The study also offers an examination of the “switching effect” in order to understand the real source of the paradox. The results show that “switching phenomenon” does exist, but works in different directions with the addition of the child or the adult to the family.
The article is devoted to modeling the level of long term wages changes expectations of employees, depending on events in their life or in society (channels of wage mobility) which are caused the corresponding expectations. The shadow price of different wage mobility channels is calculated. Shadow price is considered as a cost for the state and society caused by social expectations of the channels profitability. Two approaches to measuring the shadow price are proposed when shadow price recognized: (a) as a societal characteristic that reflects the gap between the expectations associated with the use of certain mobility channels and the basic (minimum) level of social expectations in society or (b) as a characteristic that means the difference between individual wage expectations and the prediction of wages based on the minimum individual life chances on the labor market. We consider channels of wage mobility with internal and external locus of expectations' formation (individual changes vs. changes in the macro environment) and with the source of changes determined by individual activity or the natural course of events (intentional vs. inertial changes). We are also focusing on the wage mobility channels that reflect the social expectations of realizing the "protective" policy by the state. The calculations are based on data of mass survey conducted in May-June 2018 using national representative quota sample.
This work was supported by the Russian Science Foundation under Grant number 16-18-10270.
This paper deals with the construction of the price indices for the works of art by Henri Matisse and Kees van Dongen. Two methodologies of index construction are compared: hedonic price regression and Heckit model. The latter takes into account the unsold paintings, which resolves the problem of self-selection bias of the sample and allows computation of more precise price indices. The results are the following: the dynamics of indices demonstrates the presence of negative masterpiece effect for paintings by Matisse. During these periods the return on paintings by less famous artist Kees van Dongen is higher. However according to the most of the estimates the risk measured by standard deviation is higher for him too.
Pooling the data from a number of universities into a single sample poses a problem for researchers who are performing regression analysis of student attrition. Academic year can be divided into different academic terms in different universities, and this discrepancy has to be taken into account. This paper considers a problem of using data with different periodicity in the framework of discrete-time event history analysis and gives an example of an estimated attrition model.
The data of 82 homeowners associations (HOAs) in Moscow and Perm regions that underpin HOA formation are studied. Physical conditions of the housing stock, size of the buildings and socio-economic parameters of homeowners community are revealed; ability of tenants to resolve the collective action problem in operating housing infrastructure is shown to be of primary importance. Thus HOA formation by homeowners is a signal of their ability to manage a house. Wealth and education also matter for the decision to make a HOA.