119049 Moscow, Russia
Shabolovka 26, office 4415а
+7 (495) 916-89-00 *26146
Irina Ivashkovskaya —
Head of the School, Head of Corporate Finance Research Center, Dr., tenured professor
Olga Lukashova —
Valeriya Mechel —
Alexey Yushkin —
Technologies may have significant effects on productivity in the agricultural sector as documented in the related literature. However, those impacts vary from country to country. These differences could partially reflect the distinct scientific landscapes, science technology and innovation (STI) policies and approaches to R&D. In order to explain the cross-country volatility of agricultural productivity, we aim to study issues of STI development in the agricultural sector in each country. Among other characteristics of STI in general and the scientific landscape, in particular, we looked at the diversification of research publication between subfields of agricultural science. We estimated the research diversification parameter and studied its relation to economic performance of an agricultural sector. Our main finding shows that R&D funding, if carefully balanced with the diversification of agricultural science, could improve research performance and eventually productivity in an agricultural sector.
We study the relationship between economic policy uncertainty and sys-
temic risk for nine European countries in January 2010–September 2016 by apply-
ing conventional Granger causality tests and advanced techniques (wavelet analy-
sis and Bayesian VARs). The country-level analyses show that the lead-lag patterns
vary considerably in the short and longer run as well as at diﬀerent frequencies.
Nonetheless, the pivotal role of uncertainty tends to strengthen over longer time
horizons (at lower frequencies) and in the BVAR framework. This is true for ﬁnan-
cially fragile economies such as Ireland, Italy, Russia, Spain. A panel BVAR model
conﬁrms this ﬁnding for the whole sample.
We use the linear programming approach to quantify quote inconsistencies in risk-free bond markets. We present an algorithm to identify whether an inconsistency is probably due to the insufficient framework flexibility, the insufficient data quality, or the non-homogeneity of the dataset. In the latter case we study the problem of filtering out some instruments so that the remaining dataset be homogeneous. We show that the traditional filtering approach performs unacceptably poor and propose new algorithms. We find that the bonds, which get mispriced the most by a fitting algorithm, surprisingly are not the bonds, which cause the inconsistencies.
The paper is aimed at comparing the divergence of existing credit risk models and creating a synergic model with superior forecasting power based on a rating model and probability of default model of Russian banks. The paper demonstrates that rating models, if applied alone, tend to overestimate an instability of a bank, whereas probability of default models give underestimated results. As a result of the assigning of optimal weights and monotonic transformations to these models, the new synergic model of banks’ credit risks with higher forecasting power (predicted 44% of precise estimates) was obtained.
Our paper offers analysis of tendencies and determinants of development of local currency corporate bond markets in the period from 2006 to 2015. We consider a wide range of macroeconomic and institutional factors for 15 bond markets. The sample consists of 600 country-quarter observations. Multifactor linear regression models and the generalized method of moments are applied for the balanced panel data. Our analyses reveals that inflation and its stability, exchange rate, and market capitalization have a significant influence on the share of local currency bonds. Financial and macroeconomic instability stimulates the growth of local currency bond markets.
The purpose of the article is to identify the specifics of political leadership from the standpoint of morality and the dominant model of the political system in the developed countries of the world. Leadership is a necessary element of the management system of any organized human activity. The leader is the head of the team aimed at fulfilling the common goal. If the goal is directly related to the interests of society as a whole then such a leader is a political leader. Political leadership becomes possible only if a person expresses the interests of certain groups (segments) of society. But since there is no unity of interests in the society, the leader has a risk of political leadership.
Leaders often succeed each other in the course of an acute political struggle due to the organization of the country's political system. Therefore, no continuity of their political goals is usually possible. The only exception is the political organization of the society in which the leader has the opportunity to remain in office for a period of 10-20 years. The realization of really meaningful social goals is possible only at such terms measured by the life expectancy of generations of people.
Short-term performance of the political leader is a political reason for the fact that society develops spontaneously, randomly. Only the long-term functioning of the leader or the continuity of the political goals of successive leaders is the political basis for such social development when society itself manages its development.
National Research University – Higher School of Economics (Moscow) and author has been researching the leasing market of Russia for 20 years. The article presents based on the author's survey of the leasing market by results of 2016, its dynamics on the value of new contracts and leasing portfolios, structure of the Russian leasing market in critical sectors, such as railway rolling stock, motor transport, air transport, energy, engineering, etc., the structure of leasing for regions of the Russian Federation. The article presents the structure of leasing 10 sources, including loans, own funding, advances, bond issue, etc.; a comparative analysis of the level of concentration of leasing in Russia and Italy; analysis of bad debts; Variant calculation of leverage in leasing on the basis of the author's methodology; tax design of the Russian leasing.
The article considers various options of the stock price volatility on different time intervals. It is revealed that the shorter the time period – the higher the character of the volatility of the stock price is. And vice versa, the volatility of the stock price acquires a regular character with the increase of the time interval.
The paper studies salient features of systemic risk in a sample of 22 European (EU and non-EU) countries during January 2010–March 2016. Building on a novel dataset and conducting an empirical horse race, we determine pivotal systemic risk measures for the sample countries. SRISK and volatility indicator tend to lead other metrics, followed by leverage. In contrast to the conventional wisdom, composite systemic risk measures aggregated with the aid of principal and independent component analysis perform worse. The leading systemic risk measures exhibit a high degree of connectedness. The VIX index, TED spread, the Composite Index of Systemic Stress (CISS) and long-term interest rates underlie their dynamics. Two clusters within the sample are identified, with CISS and long-term interest rates being crucial to distinguish between them. There is only scarce evidence for causal linkages between systemic risk and industrial production in the sample countries, based on the concurring results of standard and nonparametric Granger causality tests.
The purpose of this study is to examine the effect of International Financial Reporting Standards (IFRS) adoption on the frequency of earnings management in Russia according to accruals-based approach. The empirical analysis employs the linear regression model which includes a dependent variable (discretionary accruals), an independent variable (accounting standards) and some control variables. The sample used for the analysis contains 361 observations of Russian public companies from various industries during the period from 2010 to 2015. It is anticipated to obtain the result showing that earnings management is intensified after IFRS implementation.
This paper investigates how institutional and macroeconomic factors influence the profit efficiency frontier of Russian banks. We demonstrate that the macroeconomic environment is crucial for constructing the profit frontier. The cargo transportation index, exchange rate, and intermediation ratio have a positive relationship with this efficiency frontier while the share of loan loss provision in the loan portfolio is negatively associated with it. In addition, we find that such institutional determinants as a bank’s location, branch network diversity, and ownership type matter for constructing this frontier.
Despite the efforts of law enforcement agencies of the world's leading countries, the influence of radical movements has become much stronger in last decades. Terrorist acts lead to a sharp destabilization in the country especially in its economy. Although the number of terrorist acts is growing, their impact on the financial markets is still barely studied. That is why the aim of this work is to define the general nature of the impact of terrorist attacks on world stock markets. For this purpose, the authors use data for nineteen countries for the period from 1988 to May 2017. The situational analysis, which is based on this data, made it possible to identify the main trends in the impact of terrorist attacks on the dynamics of market indices in developed and developing countries, and also to describe Russian specifics. The conclusions of this work can be useful to market agents as well as to the organizers of trades and regulators, for the formation of timely and correct measures to stabilize the financial system in such situations.
Importance. Loan-to-value, LTV ratio, is applied in three dimensions. First, LTV as a measure of leverage, helpful to understand the spread of systemic risk in the economy. Second, we identify LTV throughout financial covenants to analyze loan’s counterparties behavior, so as testing LTV’s ability to cope with moral hazard and adverse selection problems. Finally, we implement LTV to indicate one of the credit risk component, the probability of default, to examine specific features of risk management withal to the pricing of secured loans.
Objective.The study of collateral requirements’ impact on credit risk throughout adjusted financial covenants for bank loans.
Methods. To do the research, econometric methods are implemented, linear regressions and binary models, in particular.
Results. The prevalence of ex-post theory for collateral as adjusted financial covenant has been proved for Russian banks corporate loans. Determinants of collateral constraint (particularly, LTV ratio) are to be dynamically setup, that is served as a key advantage of adjusted financial covenants. The higher credit risks, the higher collateral requirements to pledge the loans.
Conclusion. The new approach to identify collateral requirements, throughout LTV measures, as adjusted financial covenants, is presented on the Russian market. The evidence of correspondence between Russian and international experience is presented by empirical tests. Interestingly is that lender’s preferences are being stronger at the time of downturns in economic activity, while economic growth neutralizes any visible behavioral favors/patterns. Hereby psychological risk components are quite essential, and should be profoundly explored in modern banking.
In the second half of the 2000s there has been a decline of the high concentration of ownership in Russian manufacturing industry. Structural shifts in corporate governance affect the financial stability of companies. In this paper, using logistic regression we investigate the impact of corporate governance factors and sector expectations on a negative net worth of the companies in the period of 2011-2015. The results showed, in particular, the probability of a negative company's net worth is higher, the lower the index of business confidence in the industry; the presence of agency problem; the smaller numerical membership of the board of directors; the higher concentration of ownership; and, if company is not privately owned or joint stock company. Robustness of the coefficients of the final specification was confirmed.