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Of all publications in the section: 28
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Working paper
Stepanov S., Suvorov A. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2015. No. 2.
We propose a model in which an entrepreneur, seeking outside fi nancing, sells a large equity share to an outside blockholder in order to signal his low propensity to extract private benefi ts. A conventional theoretical rationale for the presence of an outside block holder is mitigation of the agency problem via some type of monitoring or intervention. Our model provides a novel insight: outside blockholders may be attracted by fi rms with low, rather than high, agency problems. Our result yields a new implication for the interpretation of an often documented positive relationship between outside ownership concentration in a fi rm and its market valuation: such relationship may be driven by “sorting” rather than by a direct effect of blockholder monitoring. In fact, we show that the positive correlation may arise even if the blockholder derives private benefi ts and has no positive impact on the value of small shares. Finally, we argue that our analysis may help explain why the market reacts more favorably to private placements of equity as opposed to public issues.
Added: Dec 4, 2015
Working paper
Stepanov S. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2015. No. 5.
I study a career concerns model in which the principal obtains information about the agent’s performance from an intermediary (evaluator), whose interests diverge from those of the principal. I show that, while the evaluator’s bias leads to ex-post suboptimal decisions regarding the agent (e.g., inefficient promotion or dismissal), it incentivizes the agent to exert more effort. As a result, generally, a non-zero bias is optimal. The optimal bias is “anti-agent” (“pro-agent”) when the agent is of high value (low value) for the principal from the ex-ante perspective. The magnitude of the optimal bias is increasing in the strength of the agent’s career concerns and decreasing in the degree of uncertainty about the agent’s ability. I also obtain that delegating decision rights to the evaluator may be preferred to communication when a sufficiently large bias is required to create incentives. I discuss applications of my results to promotion policies in organizations, evaluation of government programs and evaluation of CEOs by boards of directors.
Added: Dec 4, 2015
Working paper
Belianin A. V., Kosals L. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2015. No. WP9/2015/03.
Corruption, i.e. regular abuse of public office for private gains, draws substantial attention of researchers in many disciplines. Our paper adds to the experimental literature on corruption a novel experiment on corruption-at-the-top among the real Russian police officers of senior middle rank as experimental subjects (apparently the first study of that kind), which is contrasted to that of ordinary citizens (students in economics). Our experimental design explicitly takes account of the peculiarities of the Russian case during police reform, as well as social and institutional constraints facing anticorruption policies. We find that taking bribes, and especially defending against possible checks of corruption, is quite common to Russian police officers, yet even more typical is their readiness to contribute towards the decrease of the likelihood of this anti-corruption check, even if this contribution leads to private losses. Another typical feature is increased volatility of the frequency and scale of bribery among the police officers (as contrasted to ordinary citizens) when measures aimed at fighting corruption are introduced. We discuss robustness of these findings, as well as their implications for anti-corruption policy.
Added: Jun 7, 2015
Working paper
Belianin A. V., Kosals L. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2015
Corruption, i.e. regular abuse of public office for private gains, draws substantial attention of researchers in many disciplines. Our paper adds to the experimental literature on corruption a novel experiment on corruption-at-the-top among the real Russian police officers of senior middle rank as experimental subjects (apparently the first study of that kind), which is contrasted to that of ordinary citizens (students in economics). Our experimental design explicitly takes account of the peculiarities of the Russian case during police reform, as well as social and institutional constraints facing anticorruption policies. We fi nd that taking bribes, and especially defending against possible checks of corruption, is quite common to Russian police officers, yet even more typical is their readiness to contribute towards the decrease of the likelihood of this anti-corruption check, even if this contribution leads to private losses. Another typical feature is increased volatility of the frequency and scale of bribery among the police offi cers (as contrasted to ordinary citizens) when measures aimed at fighting corruption are introduced. We discuss robustness of these findings, as well as their implications for anti-corruption policy.
Added: Dec 25, 2015
Working paper
Nikitin M., Solovyeva A. S., Urosevic B. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2012. No. 04.
We study fragility of financial networks operating in a multi-currency world in the context of a two-country multi-region model a la Allen and Gale (Journal of Political Economy, 2000) with open-economy monetary features of Chang and Velasco (Journal of Economic Theory, 2000). We find that flexible exchange rate regime increases financial fragility of multinational multi-currency networks under a complete system of financial links. On the other hand, a complete system of financial links reduces fragility under monetary union and fear of floating regime, but not necessarily under the flexible rate regime.
Added: Dec 16, 2012
Working paper
Gelman S. V., Borisenko D. S. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2012. No. 01.

In this paper we investigate how asymmetric information and informed trading influences liquidity and how liquidity influences asset pricing on the Russian stock market in 1998-2011. We use a battery of existing liquidity proxies as well as our own modification of Lesmond et al. (1999) measure and capture informed trading through positive daily return autocorrelation. We find that asymmetric information worsens liquidity, whereas no supportive evidence of adverse impact of informed trading can be discovered, which could be partly due to a weak proxy. Furthermore, liquidity, along with market risk, seems to be the major driver of asset pricing on the Russian stock market. This result, however, is not robust to specifying liquidity as characteristic rather than factor.

Added: May 15, 2012
Working paper
Landeo C. M., Nikitin M., Ижмалков С. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2012. No. 03.
This paper presents a strategic model of incentives for care and litigation under asymmetric informa- tion and self-serving bias, and studies the effects of damage caps. We contribute to the behavioral economics literature by generalizing the perfect Bayesian equilibrium concept to environments with biased litigants. Our main findings are as follows. First, our results suggest that self-serving bias might be welfare-reducing. The negative impact of this cognitive bias on social welfare is explained by the reduction in the level of care, and the increase in the likelihood of disputes. We also find that self-serving bias helps litigants commit to tough negotiation positions. However, it is economically self-defeating for the informed plaintiff. Second, our findings indicate that caps on non-economic damages might reduce the level of care. Importantly, we find that the positive effect of damage caps on lowering the likelihood of disputes, commonly attributed to caps, does not necessarily hold in environments with biased litigants: Caps might induce higher likelihood of disputes. Our findings are aligned with empirical and experimental evidence.
Added: Dec 16, 2012
Working paper
Betschinger M. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2012. No. 2,4.
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Added: May 14, 2012
Working paper
Sprenger C. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2013
This study investigates an important aspect of the long-run evolution of firms that have been founded in Russia under the Soviet planning system, namely their survival under rapidly changing conditions. In our analysis, we focus on the questions whether initial conditions, in particular privatization and the choice among various privatization options, have affected the likelihood of survival. We use a sample of 497 privatized and non-privatized firms that have been surveyed in 1999-2000 and for which we updated the information about the survival status, reasons for exit including bankruptcy procedures and their ownership structure (state-owned vs. private). We find that privatization and the choice of privatization option have no effect on the long-term survival of firms in Russia. This is in line with earlier results by Brown et al. (2011) that any positive productivity effects of privatization in Russia take much time to realize. But it is neither the case that privatization has considerably accelerated the process of creative destruction, which often takes the form of liquidation of existing firms.
Added: May 16, 2013
Working paper
Stepanov S. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2015. No. 4.
I model the choice between a negotiated block trade and a public tender offer as means of acquiring control in a firm with a dominant minority blockholder. Potential acquirers differ in their (privately known) ability to create value in the target .rm. In equilibrium, high types go for a tender offer, intermediate types purchase just the blockholder’s stake, and low types abstain. The model yields a number of implications. Compared to tender offers, block trades are associated with lower efficiency in equilibrium, which explains lower target announcement returns following block trades. Some equilibrium block trades are value-reducing. The equal opportunity rule (EOR) helps eliminating them, but it needs to go together with a rule allowing to “freeze out” non-tendering shareholders in order to ensure that no value-increasing takeover fails. The two rules are complements: introducing one without the other may hurt efficiency. Better investor protection raises the incidence of full-scale acquisitions relative to block trades. Yet, when the EOR is present, an increase in investor protection may be detrimental for efficiency as it may prevent some value-increasing takeovers.
Added: Dec 4, 2015
Working paper
Nikitin M., Smith R. T. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2009. No. 01.
Added: Mar 18, 2013
Working paper
Dobrynskaya V. V. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2008. No. 02.
We build a New Keynesian model of a small open economy and analyze the optimal monetary policy assuming symmetric and asymmetric price rigidity. We find that, in the presence of asymmetric price rigidity, inflationary and deflationary shocks should be treated asymmetrically, and the optimal direction of the asymmetry depends on the price rigidity and the social preferences. In particular, if prices are sufficiently flexible and/or the output gap is not very important (e.g. strict inflation targeting), then inflationary shocks should be contracted more severely than deflationary ones of the same size should be accommodated. But in the opposite case the optimal asymmetry is reversed. We test the predictions of our model for a set of developed countries, concentrating on the exchange rate policy. We find that the exchange rate plays a significant role in the monetary policy in most countries, and we find some evidence of the asymmetry which is in line with inflation targeting according to our model.
Added: Mar 18, 2013
Working paper
Yurko A. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2010. No. 01.
The distribution of consumer incomes is a key factor in determining the structure of a vertically differentiated industry when consumer’s willingness to pay depends on her income. This paper computes the Shaked and Sutton (1982) model for a lognormal distribution of consumer incomes to investigate the effect of inequality on firms’ entry, product quality, and pricing decisions. The main findings are that greater inequality in consumer incomes leads to the entry of more firms and results in more intense quality competition among the entrants. More intense quality competition raises the average quality of products in the market as firms compete for the shrinking share of higher income consumers. With zero costs of quality improvements and an upper bound on the top quality or when costs of quality are fixed and rise sufficiently fast, greater heterogeneity of consumer incomes also reduces firms’ incentives to differentiate their products. Competition between more similar products tends to reduce their prices. However, when income inequality is very high, the top quality producer chooses to serve only the rich segment of the market and charges a higher price. The conclusion is that income inequality has important implications for the degree of product differentiation, price level, industry concentration, and consumer welfare.
Added: Mar 18, 2013
Working paper
Sokolov V. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2008. No. 01.
I examine the relationship between open market operations and the volatility of bond returns at Fed time. Using GovPX transaction data for the year 2000, I present evidence that the Fed’s day-today monetary policy is not neutral with respect to the bond market. The impact of the Fed’s operations is significant on days when regular short-term open market operations are conducted, unlike on days when both short- and long-term operations (an innovation introduced in 2000) are implemented. I demonstrate that the volatility pattern observed in the former case can be attributed to a collateral reassignment problem faced by primary dealers.
Added: Mar 18, 2013
Working paper
Sprenger C. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2009. No. 02.
In a large data set of Russian manufacturing firms we observe high and gradually decreasing ownership stakes of firm insiders, i.e. managers and workers. We estimate the determinants of the decision to privatize a firm in the mass privatization program (1992–1994) and of the resulting initial ownership distribution. For estimating the latter we use a tobit model with sample selection. The paper presents empirical tests for predictions of the model of ownership choice in insider privatization by Aghion and Blanchard (1998). In particular, we find that collusion among workers is important in their decision to sell shares to outsiders and raises their stake. Also, firms in financial distress show a higher incidence of insiders selecting the option of privatization leading to high insider ownership. This can be explained by the desire of insiders to insure against unemployment by acquiring more shares in those companies. No evidence is found of a sequencing in privatization according to the performance of firms before privatization.
Added: Mar 18, 2013
Working paper
Nikitin M. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2010. No. 04.
Added: Mar 18, 2013
Working paper
Morfov S. G. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2010. No. 02.
This paper considers a moral hazard problem in an infinite-horizon, principal-agent framework. In the model, both the principal and the agent can commit only to short-term (single-period) contracts and their reservation utilities are allowed to depend on some finite truncation of the history of observables. After existence is proved, the original problem of obtaining the optimal incentive- compatible self-enforcing contract is given an equivalent recursive representation on a properly defined state space. I construct an auxiliary version of the problem where the participation of the principal is not guaranteed. The endogenous state space of agent’s expected discounted utilities which on a different dimension includes the set of truncated initial histories in order to account for their influence on the reservation utilities is proven to be the largest fixed point of a set operator. Then, the self-enforcing contract is shown to be recursively obtainable from the solution of the auxiliary problem by severely punishing any violation of the principal’s participation constraint.
Added: Mar 18, 2013
Working paper
Morfov S. G. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2010. No. 03.
This paper computes the optimal executive compensation in an infinite-horizon moral hazard framework characterized by limited commitment and history-dependent reservation utilities. The model is given a recursive form and some properties of the state space are established. I derive a sufficient condition for the optimal contract to provide the CEO with insurance against fluctuations in the value of his/her outside options under short-term history dependence. In the numerical computation of the endogenous state space, I use an innovative algorithm which does not rely on the convexity of the underlying set. Exerting effort appears to be the predominant strategy for the principal, but shirking may still be optimal when the manager is rich enough. The optimal wage scheme and the future utility of the CEO tend to grow in both his/her current utility and in the firm’s future profit. The manager’s utility tends to increase weakly in the long run and appears to have a non-degenerate long-term distribution depending on the initial utility promise but not on the initial history.
Added: Mar 18, 2013
Working paper
Slonimczyk F., Скотт П. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2010. No. 05.
This paper analyzes the effects of the minimum wage on wage inequality, relative employment and over-education. Using an efficiency wage model we show that over-education can be generated endogenously and that an increase in the minimum wage can raise both total and low-skill employment, and produce a fall in inequality. Evidence from the US suggests that these theoretical results are empirically relevant. The over-education rate has been increasing and our regression analysis suggests that the decrease in the minimum wage may have led to a deterioration of the employment and relative wage of low-skill workers.
Added: Mar 18, 2013
Working paper
Nikitin M., Smith R. T. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2007. No. 01.
This paper reconciles the two explanations of a financial crisis, the self-fulfilling prophecy and the fundamental causes, in an empirically-relevant framework, by explicitly modeling the costly voluntary acquisition of information about fundamentals in a variant of Diamond and Dybvig (1983). The model exhibits strategic complementarity in information acquisition. In the “partial run” equilibrium investors engage in costly evaluation of projects, so that banks with lower-return projects fail. There also exist the classic “full-run” and “norun” equilibria in which there is no project evaluation. Investors’ coordination on a specific equilibrium is triggered by a self-fulfilling prophecy. So, financial crises are seen as both fundamentals-based and self-fulfilling prophecies-based phenomena.
Added: Mar 18, 2013
Working paper
Dobrynskaya V. V., Levando D. V. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2005. No. 02.
This paper studies exchange rate pass-through effect (PTE) on consumer and producer prices in Russia using Error Correction Model. We find that PTE is significant on most prices studied and very diverse, but it is incomplete even in the long run. We also find some asymmetry in price reactions to exchange rate appreciation and depreciation. Since the studied period includes Russia’s balance of payments crisis of August 1998, we test PTE before and after the crisis and find that PTE was the highest during the crisis and decreased after some structural adjustment of the economy. We also estimate that monetary policy increased PTE during the crisis what pushed prices further.
Added: Mar 18, 2013
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