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119049
11 Pokrovskiy boulevard, room S629
Phone:
+7 (495) 772-95-90*27447, *27947, *27190
+7 (495) 916-88-08 (Master’s Programme Corporate Finance)
- Email: df@hse.ru
Head of Corporate Finance Research Center, Dr., tenured professor
The HSE School of Finance is the leading Russian competence center in the field of corporate finance, business valuation, banking, stock market, risk management and insurance, accounting and audit.
HSE is the first Russian university in the global ranking "QS - World University Rankings by subject", 2022 in the subject area of Accounting and Finance. Moreover, the university is the 1-st in the rating "THE World University Rankings by subject" in the subject area of Business & Management Studies, 2022
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Electronic Journal of Applied Statistical Analysis. 2022. Vol. 15. No. 1. P. 187-210.
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Edited by: А. Б. Высотская, B. v. Kolk.
Vol. 58. Elsevier, 2022.
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In press
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Regular scientific seminar of the Department of Finance "Empirical corporate finance"
Dear Colleagues!
February 1, 2016, 16:00, at the regular scientific seminar of the Department of Finance "Empirical corporate finance", PhD in Economics and Associate Professor Stolbov Michail will present a research, «Determinants of Sovereign Credit Risk: the Case of Russia» followed by discussion.
Speaker:
PhD in Economics and Associate Professor Stolbov Michail
Opponent:
Candidate of Sciences (PhD) in Finance, Monetary Circulation and Credit Abramov Alexandre
Abstract:
«Determinants of Sovereign Credit Risk: the Case of Russia»
The paper analyses external and domestic determinants of Russian sovereign credit risk from January 2001 to May 2015. The analysis is conducted in a time series framework, involving the ARDL approach and VECM model. External risk factors outperform domestic fundamentals. The VIX index and oil prices are the most important factors, followed by the Fitch credit rating changes and TED spread. There is evidence for the piggybackeffect by S&P whose credit rating changes are driven by Fitch Ratings and Moody’s decisions. Among macroeconomic fundamentals only exchange rate dynamics and foreign reserves appear significant. The importance of the fundamentals further decreases when Granger (no) causality tests are conducted. The findings reveal a limited role of domestic macroeconomic policy in curbing Russian sovereign credit risk.
You are kindly welcome to participate!
Venue: Shabolovka, 26, room 3211 (Hall of the Academic Council)
Time: 16:00 - 18:10
Working language: English
Broadcast events:
http://92.242.59.143/live2/ApplePlayer.html for iPad, iPod, iPhone
http://92.242.59.143/live2/SmoothStreamingPlayer.html for computer and laptop
If you need a pass to the territory of the HSE please email df@hse.ru with note " February 1 seminar entry pass "
Evgeni Tarassov