Индекс рискоустойчивости отраслей промышленности – март 2021 г.
НИУ ВШЭ, 2021.
Keywords: Индекс рискоустойчивости добывающей промышленности Индекс рискоустойчивости обрабатывающей промышленностиИндекс рискоустойчивости электроэнергетикиконъюнктурный мониторинг
Publication based on the results of: Conjuncture monitoring and development of indicators of business tendencies, entrepreneurial sentiment and digital climate in Russia(2020)
Added: Jul 14, 2020
Деловой климат, рискоустойчивость и бизнес-потенциал строительного сегмента в условиях COVID-2019: финальные тенденции 2020 года
Added: Feb 21, 2021
Лола И. С. Инвестиции в России. 2019. № 6. С. 25-31.
Added: Aug 9, 2019
Added: Sep 30, 2014
Практика идентификации ненаблюдаемых компонент в траектории ВВП: потенциальный уровень и краткосрочные разрывы
The authors systematize the most well-known concepts and definitions of potential output and gaps according to the various economic schools approaches. The article also provides a typology of basic econometric methods for estimating potential level and output gap in the national gross product dynamics. The authors give a brief description of various econometric methods of statistical decomposition of the Gross Value Added dynamics for long-term potential level and short-term deviation – from simple statistical filtering to complex dynamic stochastic general equilibrium models. In particular, they describe properties of one-dimensional filters, which based on statistical evaluation of interrelations in the output dynamics only, with decomposing long-term level by probabilistic methods without taking into account any settings of economic theory. Also, authors examine advantages and disadvantages of multi-dimensional and structural methods for estimating potential levels and output gaps, which allow consider-ing the economic interrelations through inclusion of additional relevant variables. These include multidi-mensional Hodrick-Prescott filter, multivariate models with unobserved components, structural vector autoregression models, and stochastic dynamic general equilibrium model. The analysis of decomposition methods and numerous studies devoted to this problem lead to conclusion that decomposition of time series for long-term and cyclical components is not a trivial task, which may have a unique solution. Many of decomposition methods are sensitive to input data, including presence of additional parameters in the model, therefore more complex algorithms may show poorer re-sults than algorithms based on statistical analysis, without taking into account an economic nature of in-vestigated series. Finding the best decomposition method in various countries is possible only through empirical studies.
Added: Dec 16, 2015
Уровень цифровой активности и распространение технологий в низко-, средне- и высокотехнологичных отраслях обрабатывающей промышленности в 2019 году
Лола И. С., Бакеев М. Б. НИУ ВШЭ, 2020.
Added: Apr 17, 2020
Экономика и управление: проблемы и перспективы развития. Сборник научных статей по итогам международной научно-практической конференции г.Волгоград 15-16 ноября 2010 г.
Ч. 1. Волгоград: Волгоградское научное издательство, 2010.
Added: Jan 18, 2013
Penikas H. I. Financial Economics. FE. Высшая школа экономики, 2012. No. 03.
The Basel Committee of Banking Supervision initiated a discussion on the most efficient practices to prevent bank managers from excessive risk-taking. This paper proposes a game-theoretical approach, describing the decision-making process by a bank manager who chooses his own level of risk and effort. If the level of risk implies the variability of the future outcome, the amount of effort applied affects the probability of a positive outcome. Although effort is unobserved for the bank’s stakeholders, the risk level is under control, and is associated with certain indicators such as capital adequacy ratio or leverage level. The risk-neutral utility function of a bank manager and a binary game outcome of gaining profit or loss for a bank are assumed. Starting from the general incentive contract scheme having the fixed and variable parts of remuneration, it is proposed that differentiating the variable part of remuneration is sufficient to motivate bank managers to make fewer risky decisions. More precisely, the variable part of remuneration (e.g. the share of the bank’s profit) needs to be higher in proportion to the higher variance of outcome for the high -risk outcome case to stimulate a bank manager to opt for lower-risk decisions in place of higher-risk situations.
Added: May 3, 2012
Anisimova A. I., Muradyan P. A., Vernikov A. V. SSRN Working Paper Series. Social Science Research Network, 2011. No. 1919817.
This empirical paper adds to competition and industrial organization literature by exploring the interplay between industry structure and competitiveness on local, rather than nation-wide, markets. We use micro-level statistical data for banks in two Russian regions (Bashkortostan and Tatarstan) to estimate Herfindahl-Hirschman index, Lerner index, and Panzar-Rosse model. We estimate Panzar-Rosse model in two ways: via the widely used price-equation that accounts for scale effects and then via a revenue-equation that disregards scale effects as suggested by Bikker et al. (2009). We find both regional markets to be ruled by monopolistic competition, although estimation by revenue-equation does not reject monopoly hypothesis for Tatarstan. Existence of sizeable locally-owned and operated institutions does not necessarily lead to higher competitiveness of the given regional market, and the results from non-structural methods of estimation suggest that bank competition in Bashkortostan is stronger than in Tatarstan. Going further away from aggregated analysis we compute Lerner indices in two product segments of Tatarstan – retail and corporate loans – and find that retail segment is significantly more competitive. Local banks exert more market power in corporate loans, while federal branches – in retail loans.
Added: May 14, 2012
Added: Feb 22, 2013
Уринсон Я. М. Вестник Европы. 2014. № 38-39.
Added: Feb 5, 2018
Penikas H. I., Titova Y. Financial Economics. FE. Высшая школа экономики, 2012. No. 02.
In this paper we elaborate a simple model that allows for the predicting of possible reactions from financial institutions to more stringent regulatory measures introduced by the Basel Committee on Banking Supervision (BCBS) in regard to global systemically important banks (G-SIBs). The context is framed by a 2011 BCBS document that proposes higher capital requirements for global systemically important banks. We attempt to analyze bank interactions in an oligopolistic market that is subject to demand constraints on loan amounts and additional loss absorbency requirements introduced by the regulator. We distinguish between the bank’s announced funding cost that determines both the loan amount issued and the market interest rate, and the bank’s true funding cost that has a direct impact on retained earnings. We conclude that in a two-stage game both banks will announce the highest funding cost, thus reducing the amount of loans granted (in line with the regulator’s objective), but at the expense of a higher cost of borrowing established in the market. If the game is repeated, then both banks also choose lower loan amounts in the periods prior to the last one in which the declared funding cost is the lowest possible. It should be noted that the designated outcome also coincides with the findings of the Monetary Economic Department of the Basel Committee on Banking Supervision.
Added: May 3, 2012
Added: Jun 24, 2011
Трунин П. В., Дробышевский С. М., Евдокимова Т. В. М.: Издательский дом «Дело» РАНХиГС, 2012.
Added: Mar 26, 2013
Яковлев А. А. Общественные науки и современность. 2008. № 4. С. 21-37.
Added: Sep 22, 2012