In our research we analyze main effects which accompany IPO on emerging markets. We focus the attention on such countries as Russia, India, China, Brazil, Poland, Singapore, Malaysia, Egypt and other emerging markets. There are 161 placements in our sample which took place in 11 emerging markets. The major interest involves the effects accompanying privatization of state companies through IPO and how much retail investors win from participating in IPOs of the companies from emerging markets. We estimate the dependence of underpicing or initial return IPO (the price change measured from the offering price to the market price on the first trading day) and long-run IPOs performance from such factors as ownership of shares before placing (a state ownership/private property), origin of the company, shares allocation (retail/institutional investors), etc. Our research has revealed that retail IPO have the greatest initial return, than usual IPO. The hypothesis about the lower long-term yield of such placements in comparison with yield of the market is thus confirmed. Surprisingly, IPOs of the state companies have bigger underpricing (allowing investors to earn more in the first days of the quotations), than private companies IPO. However long-run abnormal return is also positive (at usual IPO it is negative in average) which shows that privatization IPO is a separate phenomenon. Country specific characteristics matter in retail IPO and sometimes the differences are crucial. Most of the peculiarities depend on the distinctions in institutional environment of the countries and the level of retail investors' participation in IPO. Moreover, countries authorities set various purposes at privatization of the state companies which could also affect IPO performance.
The paper studies the evolution of inequality in the distribution of work between Russian households using data from RLMS HSE for 1994–2014. Following [Gregg, Wadsworth, 2008], I estimate disparities between individual and household-based measures of joblessness and compare actual household workless rates with counterfactuals based on a random distribution of work. My findings show that the Russian labor market is characterized by low extent of inequality between households in access to employment. There are fewer workless households than expected if employment were randomly allocated. Only 6–7 percent of working-age adults live in workless households. The workless household rate remained at approximately 10 percent for the whole period. Cyclical fluctuations are less pronounced for the household-based workless rates than for individual-based rates suggesting that households have internal resources to cope with macroeconomic shocks. Low inequality in distribution of work is explained largely by persistently high level of employment in two-adult households: the common pattern is that both adults work in such households and this household type makes up the largest share of households. The actual workless household rate hardly changed over the period, which masks various offsetting forces. Changes in the household structure (growing share of single-adult households) and labor market developments (increase in the individual workless rate) contributed to the rise of the predicted workless rate. This rise was offset by a falling polarization of work across Russian households. Expansion of higher education contributed to the concentration of employment in the better-educated households.
In this paper I study and compare the earnings distributions for formal and informal workers using the data from the RLMS HSE survey for 2000-2010. I find that during the whole period earnings inequality was significantly higher in the informal sector than in the formal sector. Informality has statistically significant impact on the distribution of earnings, but its contribution is much smaller than the effects of other variable such as gender, education, region, and settlement type. Earnings inequality dramatically decreased in both sectors over the 2000-2010 period. In the formal sector the changes in the earning distribution were mainly generated by the changes in the distribution of hourly earnings. In the informal sector the reduction of inequality went through two channels: differences in both hourly rates and hours of work were declining. This reflects several underlying forces: a declining share of workers without permanent job and low barriers between the sectors (as inequality decreased by similar amount in both sectors). In fact, one third of the overall decline in the variance of logs over the 2000-2010 period is due to workers without permanent employment.
The paper attempts to quantify the effect of employment discrimination on the basis of disability status in Russia. We use data from the Russian Longitudinal Monitoring Survey - Higher School of Economics (RLMS-HSE) for 2005. This round of the RLMS HSE included a question on the presence of limitations on usual activities. The question allows distinguishing the effect of unobservable differences in productivity from the effect of discrimination on the basis of disability status. Parametric and nonparametric methods of decomposition are used to solve a problem of non-comparability of disabled and able-bodied individuals and to control for unobserved differences in productivity. Our findings show that nonparametric methods are more applicable to disability discrimination studies due to “lack of common support” problem. The evidence suggests that individuals with poor health face substantial discrimination on the basis of disability status in Russia. The discrimination explains up to 25 percent points of the total gap in employment probabilities. This effect should be interpreted as an upper bound of the discrimination after control for differences in observed and unobserved productivity characteristics. The effect may still include the impact of cash and non-cash disability benefits, self-selection into disability, environmental barriers, and wage discrimination. Our findings imply that current policy measures are not efficient in facilitating employment of the disabled.
The paper discusses the composition and dynamics of low paid workers whose hourly wages do not exceed two thirds of the median value. Using RLMS-HSE data for 2002–2016, we analyze how the size and the composition of low-paid employment, and the likelihood of being low-paid have changed over time. Our findings suggest that the size of the group has decreased from 30 до 24% of the total employment over the study period, while the chances of being low paid are significantly higher for those who have lower level of education, who are employed in low skilled jobs, and who reside outside large cities. However, the main focus of the study is on the earnings mobility of low paid workers. The key question is whether the low paid state is a dead-end and a long-term trap or is it just a stepping stone towards the high pay group? In order to answer this question, we apply a dynamic random effects multinomial logit-model, which allows to control for unobserved heterogeneity and to account for initial conditions problem. The study demonstrates high degree of structural dependence: two out of three low paid workers cannot exit this state over the year. This trap effect is stronger for women than for men. Though the stepping stone effect is also present, it is much weaker and relates to only one out of four low paid workers.
The article explores the issue of capturing the value added in international trade flows using international input-output frameworks. We review the methodology employed by foreign researchers to develop an approach for a decomposition of gross trade flows into value added components of certain origin and destination and to comprehensively analyse global value chains. Two sets of inter-country input-output tables provide statistical input to derive new and easy-to-handle indicators that show Russia’s role in the global value chains as at 2005. Russia appears to be an active part of the European value chains thanks to its exports of raw energy resources. Demand for the latter is created by the direct importers, but is also indirectly fuelled by consumption of third countries, i.e. further downstream. We provide evidence that the value added originating in Russia’s oil and gas sector is hidden in other countries’ and other sectors’ exports. However, these multiplicative effects are significant for Russia’s total trade rather than its partners’ trade, with the exception of some Eastern European economies, primarily Baltic countries. This is perhaps a sub-optimal model of integration into the global value chains, but secures Russia’s position as a relatively large net exporter of value added alongside top contributors among developed and developing countries. We supplement our results with a brief description of the analytical capabilities of the international input-output frameworks, existing experience and prospects of their use for policy making.
This paper considers a seasonal adjustment procedure that is capable of preparing data to the use in applied general equilibrium models. It is shown that standard seasonal adjustment procedures do not satisfy the property of invariance to deflating, that hinders their use in applied general equilibrium models. A system of axioms that describes the desired properties of a seasonal adjustment procedure is suggested. The impossibility of simultaneous fulfillment of additivity and invariance to deflation properties is shown. Therefore, one needs to choose the desired property depending on the type of the task that is solved. The proposed procedure models the seasonality as a set of seasonal multiplicative dummy variables, so it can not only remove the seasonality, but also return it to the data in order to obtain forecasts. The procedure also has a built-in outlier detector, which enables it to handle noise and outliers in data of different types. It is compared to the popular X12 seasonal adjustment procedure using Monte-Carlo method. It is shown that the preciseness of the proposed procedure is comparable to X12 in terms of resistance to outliers and preservation of statistical properties of the series in the specific set of problems connected to the estimation of general equilibrium models. Several examples of its application to real data are shown. The obtained results allow us to make a conclusion about applicability of the suggested procedure to the removal of seasonality from the data that is used in the estimation of macroeconomic models.
The paper offers a new method of decomposition of GDP and its elements. It is based on the idea that every сomponent can be represented as a combination of a smaller number of aggregates. The proposed method has a range of important theoretical properties that insure its correctness and reproduces the statistics with very high quality. The theoretical reasoning of the procedure is presented, 3-product decomposition is analysed. Decomposition of indicators in both current and fixed prices is presented. The proposed decomposition has a range of advantages compared to earlier procedures. First, it does not link any model products to aggregates, observed in statistics. Second, it decomposes the statistics into a higher number of unobserved products, and these products and their prices can be reasonably interpreted. Finally, the important distinction from earlier procedures in non-linearity in real prices. Apart from that, the paper proposes a method of harmonization of GDP and its elements statistics that is needed to work with these indicators after two recent methodology changes.