Euler equation with habits and measurement errors: estimates on Russian micro data
Economics/EC. WP BRP. Высшая школа экономики , 2014. No. 52.
This paper presents estimates for the consumption Euler equation for Russia. The estimation is based on micro-level panel data and accounts for the preference heterogeneity, measurement errors, and the impact of macroeconomic shocks. The presence of multiplicative habits is checked with the LM-test in a GMM framework. We obtain estimates of the elasticity of intertemporal substitution and of the subjective discount factor, which are consistent with the theoretical model and can be used for calibration, as well as for a Bayesian estimation of DSGE models for the Russian economy. We also show that the effects of habit formation are not significant. The hypotheses on habits (external, internal, and both external and internal) are not supported by the data
Research target: Economics and Management
Priority areas: economics
, , , Panoeconomicus 2016 Vol. 4 No. 63 P. 395-409
This paper presents estimates for the consumption Euler equation for Russia. The estimation is based on micro-level panel data and accounts for the preference heterogeneity, measurement errors, and the impact of macroeconomic shocks. The presence of multiplicative habits is checked with the LM-test in a GMM framework. We obtain estimates of the elasticity of intertemporal ...
Added: April 21, 2014
, Финансовая аналитика: проблемы и решения 2014 № 18(204) С. 30-37
This paper investigates the household consumption behavior in Russia. The model assumes that household consumption can be described by the Euler equation. Using panel data on household from 2002 to 2011, we obtained the estimates of the elasticity of intertemporal substitution, which are different for lenders or borrowers. ...
Added: March 24, 2014
, , , Households Consumption Behavior in Russia: Estimates on Micro Data / SSRN. Series Social Science Research Network "Social Science Research Network". 2013.
This paper investigates the household consumption behavior in Russia. The model assumes that household consumption can be described by both the Euler equation and the rule-of-thumb. Using panel data on households (Russian Longitudinal Monitoring Survey – Higher School of Economics [RLMS-HSE]) from 2000 to 2011, we obtain the estimates of the elasticity of intertemporal substitution ...
Added: December 9, 2013
, , , Прикладная эконометрика 2013 Т. 32 № 4 С. 29-44
This paper investigates household consumption behavior in Russia. The model assumes that household consumption can be determined both by Euler equation and the rule of thumb. Using panel data on households (RLMS-HSE) from 2000 to 2011, we present estimates of elasticity of intertemporal substitution and show that an essential part of households consume part of ...
Added: September 23, 2013
, , , В кн. : Системное моделирование социально-экономических процессов: труды 39-й Международной научной школы-семинара. : Воронеж : Воронежский государственный педагогический университет, 2016.
In this paper, we investigate the consumption Euler equation for the Russian households under Epstein and Zin (1989) preferences. Firstly, we investigate the impact of liquidity constraints and non-tradable assets on the Euler equation, and then use these theoretical results for the estimation and testing. We get the estimate of the elasticity of intertemporal substitution, ...
Added: December 12, 2016
, , , Научные исследования экономического факультета. Электронный журнал 2015 Т. 6 № 4 С. 47-62
Целью работы является оценка параметра уравнения Эйлера – эластичности межвременного замещения. Анализ учитывает неоднородность домохозяйств с точки зрения их финансового статуса (кредитор или заемщик), а также различие ставок заимствования и размещения денежных средств. На основе панельных данные опроса российских домохозяйств RLMS-HSE за период с 2002 по 2013 гг. создана выборка и выделены наблюдения, соответствующие характеристикам ...
Added: December 7, 2015
, , , CONSUMPTION EULER EQUATION UNDER LIQUIDITY CONSTRAINTS / Высшая школа экономики. Series WP BRP "Economics/EC". 2015.
In this paper, we investigate the consumption Euler equation for the Russian households under Epstein and Zin (1989) preferences. The problem of liquidity constraint arises in a natural way. Because of the low stock market participation rate, for the estimation, we use interest rates on deposits and on loans. Both loans and deposits imply liquidity ...
Added: December 7, 2015
, , Финансовая аналитика: проблемы и решения 2014 № 42(288) С. 15-23
In this article we investigate nominal wage rigidity in Russia for the period from 2001 to 2012. The importance of wage rigidity for the financial policy of a firm is defined by the fact that this concept explains why firms do not decrease wages even if its environment asks for that decrease. The novelty of ...
Added: March 17, 2015
, , , Прикладная эконометрика 2016 Т. 41 С. 47-61
The paper estimates the wage elasticity of labor supply in Russia. As a measure of labor supply elasticity, the percent change of the probability of having a job in response to wage change is used. The paper shows that an estimate of the elasticity can be obtained from the two-step Heckman’s procedure (Heckman, 1979). Empirical ...
Added: December 10, 2015
, , , Экономический журнал Высшей школы экономики 2016
The theory of intertemporal substitution is the most popular theory of the dynamics of household consumption used in different studies. However, there is no consensus among researchers on what model describes consumer preferences more accurately and which parameters can be considered to be correct. In light of this problem, the first section of the article ...
Added: November 30, 2016
, , Вестник Воронежского государственного университета. Серия: Экономика и управление 2014 № 2 С. 9-18
The research focuses on empirical estimates of what Russians think about everyday corruption in Russia. We use LITS, WVS and RLMS-HSE data sets. It was discovered concave dependence of corruption expectations on age and positive on income. Level of education and town habitation increase confidence in necessity of bribes. Retrospective questions confirm that corruption did ...
Added: October 7, 2014
, Non-Keynesian savings of Russians / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 20.
Russian recession of 2014/2015 began with ruble run and rise of inflation. It is just the opposite of the western-type deflationary slump combined with money hoarding. Does it mean that Russians need different micro-model to describe saving and consumption behavior? This study show that work-horse log-linearized rational SDF with CRRA utility still provides good explanation ...
Added: November 20, 2015
, , , Euler Equation: Estimation on Emerging Markets Data / SSRN. Series Social Science Research Network "Social Science Research Network". 2016.
We address the issue of estimating the Euler equation for emerging mar- kets. Using panel data for Russian households, we show that accounting for consumer type and income level is crucial. Consumers, who have nei- ther savings nor loans, as well as consumers with low income, face liquidity constraints so that the Euler equation for ...
Added: December 10, 2016
, , , Вестник Воронежского государственного университета. Серия: Экономика и управление 2015 № 4 С. 152-161
В данной работе мы проверяем гипотезу о глубоких привычках в потреблении. Для этого мы оцениваем уравнение Эйлера, разделяя текущее потребление на две группы — продукты питания и прочие товары и услуги. Оценка строится с помощью обобщенного метода моментов на основе микроэкономических данных панельного обследования домохозяйств «Российский мониторинг экономического положения и здоровья населения НИУ-ВШЭ» (RLMS-HSE). Результаты ...
Added: March 17, 2016
, , , in : Proceedings of the International Scientific Conference for Doctoral Students and Young Researchers EDAMBA 2013. : Bratislava : Publishing House EKONOM, 2013. P. 1077-1089.
This paper investigated the household consumption behavior in Russia. The model assumes that household consumption can be described by the Euler equation. Using panel data on households (Russian Longitudinal Monitoring Survey–Higher School of Economics [RLMSHSE]) from 2000 to 2011, we obtained the estimates of the elasticity of intertemporal substitution. ...
Added: February 28, 2014
, , Religiosity and Life Satisfaction in Russia: Evidence from the Russian Data / . 2017.
Does religiosity make you happy? Many studies document positive associations between religiosity and various forms of subjective wellbeing. This is also true for general life satisfaction in normal economic conditions and in the case of economic shocks. However, both life satisfaction and religiosity may be correlated with unobserved individual and household traits or unobserved life ...
Added: November 21, 2017
Voluntary private health insurance, health-related behaviours and health outcomes: evidence from Russia
, , , European Journal of Health Economics 2021 Vol. 22 No. 2 P. 281-309
This paper contributes to the discussion around ex-post (increased utilisation of health care) and ex-ante (changes in health behaviours) moral hazard in supplemental private health insurance. Applying a range of methodologies to data from the Russian Longitudinal Monitoring Survey—Higher School of Economics we exploit a selection mechanism in the data to compare the impact of workplace provided and ...
Added: December 24, 2020
, , Corruption perception in Russian Federation: economic or social issue? / Высшая школа экономики. Series WP BRP "Economics/EC". 2014.
Bribery is often judged by its consequences, which can be increasing or bounding the economic efficiency. But in the society vulnerable to corruption, in order to improve legislation, it's necessary to be sure of the causes of bribe loyalty. These can be divided as social, economic and political factors. This research consideres grassroots corruption from ...
Added: October 24, 2013
, , , Экономический журнал Высшей школы экономики 2016 Т. 20 № 4 С. 553-587
This study presents new estimates for returns to tenure for the Russian labour market. It exploits the RLMS-HSE panel data set that covers the period 1994–2014 and it differs from previous studies in a few important aspects. First, we try to account for the specifics of the transition period dividing the total observed tenure into ...
Added: December 30, 2016
, Generalized Calvo Approach / Высшая школа экономики. Series EC "Economics". 2011. No. 06.
This paper presents a generalized application of the Calvo pricing approach, assuming that in each particular market, both prices and quantities are adjusted according to the Calvo approach. With certain restrictions placed on the parameters, the system of log-linearized equations that I derived using the generalized Calvo approach produces similar dynamics within the economy as are ...
Added: August 29, 2012
, Вестник Российского мониторинга экономического положения и здоровья населения НИУ ВШЭ 2015 № 5 С. 141-167
В работе используются данные специального модуля по мобильности, проводившегося в 2008 г. в качестве дополнения к 17-му раунду Российского мониторинга экономики и здоровья населения (РМЭЗ-ВШЭ). Эти данные позволяют восстановить полные трудовые биографии респондентов с января 2003 г. по сентябрь 2008 г. Эти данные использовались ранее для изучения последствий вынужденных увольнений (Lehmann et al., 2011 и ...
Added: October 14, 2015
, , Экономический журнал Высшей школы экономики 2015 Т. 19 № 3 С. 313-348
Using RLMS-HSE data set we analyze labor flows in the Russian labor market for 2000-2012. We document the high mobility rate and the transitive role played by non-participation. Division of all employed into three large groups (budgetary workers, workers in the corporate market sector, and employed in the non-corporate or informal sector) suggests that budgetary ...
Added: October 20, 2015
Динамика положения российских женщин на рынке труда в первые годы после рождения ребенка: как меняется «штраф за материнство»?
, , et al., Социологические исследования 2017
Paper considers the motherhood penalty phenomenon in Russia. The authors follow the dynamics of the employment rates and salaries among Russian women during several years after the childbirth and compare it to the indicators referring to childless women and women with older children. In addition, the authors discuss the subjective expectations and prospects of women ...
Added: December 8, 2016
, , Прикладная эконометрика 2014 Т. 35 № 3 С. 86-106
According to the common definition of unemployment, the unemployed are those who are not in paid employment or self-employment, are seeking work and are available for work. А job search model is estimated from a sample of the unemployed and from some extended samples of the jobless, obtained by loosening that definition gradually. Revealed similarities ...
Added: March 12, 2015