Publications

This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in time. We show the optimality of the regime-modulated Parisian-classical reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. In order to verify the optimality, first we study an auxiliary problem driven by a single spectrally negative Lévy process with a final payoff at an exponential terminal time and characterise the optimal dividend strategy. Then, we use the dynamic programming principle to transform the global regime-switching problem into an equivalent local optimization problem with a final payoff up to the first regime switching time. The optimality of the regime modulated Parisian-classical barrier strategy can be proven by using the results from the auxiliary problem and approximations via recursive iterations.

In the article [Theory of Probability & Its Applications 62(2) (2018), 216–235], a class W of terminal joint distributions of integrable increasing processes and their compensators was introduced. In this paper, it is shown that the discrete distributions lying in W form a dense subset in the set W for ψ-weak topology with a gauge function ψ of linear growth.

This paper analyses the short-term effects of aggregate economic sentiment on expected GDP growth in Russia based on the results of regular large-scale business and consumer surveys for 1998–2021. The main purpose of our study is to investigate the predictive value of the opinions and expectations of economic agents, especially in the context of crises and uncertainty. A composite economic sentiment indicator (ESI) combines 18 quarterly time series – the results of surveys of around 24,000 organizations engaged in economic activities and 5,000 consumers in all regions of Russia. A vector autoregression (VAR) model with dummy variables is applied to measure the relationship between quarterly gross domestic product (GDP) growth and ESI time series as well as short-term GDP growth forecasting. Scenario forecasts until the end of 2022 are determined by GDP growth response to impulses in the ESI. Additionally, we set an interval of ESI values in Q4-2021 according to possible changes in the estimates and expectations of economic agents is introduced into the calculation of the forecast for Q1-2022. Under all forecast scenarios, economic growth in Russia will move into a phase of sustainable recovery which will become more pronounced in the second half of 2022.

In emerging market economies, public debt affects the national economy through a vast array of channels, the effect of which could be unobvious, but significant. The least obscure channel is the impact of the sovereign rating on corporate creditworthiness. In the Russian– language scientific literature, this aspect is scantly represented by papers that research the determinants of sovereign and corporate ratings, but the link between the ratings is not considered (see e.g. [Anokhin, 2011; Karminsky, 2011; Kuchiev, Kuchieva, 2013]).

In this paper, we have studied the impact of microeconomic determinants of a company’s credit rating, taking into account the sovereign rating and other macroeconomic factors. The research is based on 19 non–financial companies in Russia’s leading industries for 2014–2018. It is shown that the sovereign credit rating, despite the sovereign “ceiling” rule was lited by the rating agencies Fitch, Moody’s and S&P in 1997, remains closely correlated to the risk level of Russian companies. The obtained results related to macroeconomic and idiosyncratic risk indicators indicate the peculiarities of credit rating forming for Russian companies. In particular, in contrast to the results of similar studies, the negative effect of certain profitability and liquidity variables, as well as the country’s foreign trade turnover on the corporate rating’s level have been revealed. It is discovered that the credit rating has a “short memory” – its current value is historically determined only by the level of the previous period.

This paper is of practical relevance for private and institutional investors and lenders, which use credit ratings to form their own perception of the default risk level in the corporate sector.

We produce a series of results extending information-theoretical inequalities (dis- cussed by Dembo and CoverThomas in 1988-1991) to a weighted version of entropy. Most of the resulting inequalities involve the Gaussian weighted entropy; they imply a number of new relations for determinants of positive-definite matrices. Unlike the Shannon entropy where the contribution of an outcome depends only upon its prob- ability, the weighted (or context-dependent) entropy takes into account a `value' of an outcome determined by a given weight function '. An example of a new result is a weighted version of the strong Hadamard inequality (SHI) between the determinants of a positive-definitenite d by d matrix and its square blocks (sub-matrices) of different size. When the weight equals 1, the weighted inequality becomes a `standard' SHI; in general, the weighted version requires some assumptions upon '. The SHI and its weighted version generalize a widely known `usual' Hadamard inequality.

We present a number of upper and low bounds for the total variation distances between the most popular probability distributions. In particular, some estimates of the total variation distances between one-dimensional Gaussian distributions, between two Poisson distributions, between two binomial distributions, between a binomial and a Poisson distribution, and also between two negative binomial distributions are given. The Kolmogorov – Smirnov distance is also presented.

The article examines the impact on rural non-agricultural employment of two trends — development of return migration to rural areas and the spread of nonstandard forms of work and jobs (distance work, platform employment, self-employment, subcontracting, etc.). In terms of rural employment development, the ongoing blurring of the concepts of “place of residence” and “place of work” creates an influx of “new” high-income urban workers in rural areas, and also significantly expands employment opportunities for the indigenous rural population. The paper hypothesizes that employment in rural areas and, more generally, the development of rural areas will be determined, among other things, by the urban-rural migration, with temporary or seasonal migration, as well as moving for long periods of time or for permanent residence. The traditional view of non-agricultural employment as employment of the indigenous rural population who have lost their jobs in agriculture leads to ignoring of these trends, lack of policies to encourage return migration to rural areas, and limited measures of state support for rural labor market. There is made a conclusion about the need to expand the concept of rural employment to «out-of-town employment», which takes into account new opportunities and forms of employment, including for city dwellers seeking to leave the city in order to improve their quality of life. Additionally, the issue is raised about the need for research on the commercial re-use of agricultural assets — mainly real estate— by non-agrarian businesses in order to facilitate the transfer of urban businesses to rural area and the diversification of the rural economy.

 

This study draws on the findings of a survey conducted by the Interstate Statistical Committee of the Commonwealth of Independent States (CIS-Stat) in the framework of a joint project with the UNFPA – CISPop «Better Data for Better Policies». The paper aims to present the author’s assessment of the level of harmonization between the national census programs across the CIS and the inter-comparability of their results in terms of total population size and its composition. The study is based on the analysis of methodological documents, which include census forms, manuals for census enumerators (census takers) and technical materials for census personal, that describes the concepts, definitions, and classifications used in national censuses. For countries where no censuses were taken, the authors used materials from pilot censuses and drafts of census documents. 79 Международная статистика и международные сопоставления Вопросы статистики. 2022. Т. 29. № 3. C. 78–92 The study established that among countries there is a high degree of coherence of national census programs in terms of the key topics, concepts, and classifications used, as well as the wordings of the questions and their prompts. Simultaneously, the analysis allowed us to determine that national statistical services of the region focus on the expectations of their respective populations and take into account national legislation, local conditions, and traditions. First of all, nation-specific features manifested themselves in the formulation of questions concerning the economic, educational, and ethno-cultural characteristics of the population. Analysis of the materials of the works performed on the implementation of the 2020 round of population census programs across the CIS indicates that, based on the data of population censuses conducted in the past few years, it is possible to obtain harmonized data on the size and main characteristics of the population of countries, to provide international comparisons both within the CIS region, and between countries of the region and other countries of the world. International statistical community should be well informed about national practices of the CIS countries so that region-specific features can be accounted for in the international recommendations for future censuse

Nowadays the formation and enhancing of national innovation systems (NIS) are the most important areas on which the role of countries in the world arena largely depends. In this regard, it becomes especially important to constantly monitor the NIS development dynamics and innovative activity in order to understand the effect of the taken actions and decisions. Thus, this article is devoted to the study of Russian NIS development dynamics. The article attempts to determine the starting point for the transition to an innovative path and to identify the features of transformation processes. The usage of the model for representing the structure of the NIS in the form of enlarged macroblocks made it possible to analyze the key indicators characterizing the efficiency of its functioning, as well as to identify trends, tendencies and dynamics of innovative activity. Based on the analysis of the development indicators of NIS and innovation activity by type of economic activity, the “burdening” factors that inhibit the innovation process, as well as the “points of growth” due to which innovative development has a positive trend have been defined. The main problems of Russia, identified in the course of this study, are the following: disproportions in the distribution of key elements of the NIS and its fragmentation, the unwillingness of organizations to engage in large-scale financing of research and development, low intensity with an investment increase in innovation. The article also indicates the prospects for further research, including more detailed analysis of the “leading industries” of innovative development and the indicators of cooperation between science, education and business.

This article is devoted to the study of national innovation systems’ development specifics in some countries of the world. The particular attention is given to the study of the features in some foreign countries’ NIS, which have established themselves as “leaders” of innovative development in terms of a number of relevant indicators. In addition, it has been made an attempt to determine the starting point of foreign countries’ transmission to an innovative path of development, to identify the features of transformation processes and the nature of such changes.

The paper summarizes the estimates of the gender wage gap in the Russian labour market from 1996 to 2021 based on a meta-analysis. Parenthood is the most important factor that impacts the variation in the unexplained portion of the gap. Ignoring parenthood leads to a significant underestimation of the gender wage gap. In contrast, lack of controls for industry and profession leads to an overestimation of the unexplained portion of the gap. The explanatory power of the traditional factors, such as human capital or job characteristics, tends to decline over time. Including personality traits of men and women into analysis reduces the unexplained portion of the gap. Our analysis contradicts the hypothesis of the gender bias among researchers. Moreover, measure of pay is a major determinant of the gap, which is higher for monthly than for hourly wages. We found no significant differences in the gender gap estimates obtained with various assessment methods or data bases. Finally, Heckman's correction for self-selection does not affect the estimates of gender inequality.

Completing a partially known vector of quarterly data is considered in the article as a way to identify unknown components of this vector based on structural information contained in its known components as well as in the preselected reference macroeconomic matrix. In other words, the problem of completing a quarterly vector is reduced to «upbuilding» its unknown part according to the known one based on indirect a priori information. The article opens with a formal statement of the general problem of completing vector data together with its economic and statistical interpretation as applying to reconciling the quarterly production accounts. A general analytical solution to the problem of completing the vector of row sums is obtained on the basis of block partitioning of a reference matrix with nonnegative elements in the form of a linear model. Вопросы статистики. 2022. Т. 29. № 3. C. 68–77 69 Математико-статистические методы в анализе и прогнозировании It is shown how to use the obtained solution for completing the product output vector in the reporting quarter using the reference matrix associated with the corresponding quarter of the previous year, and how to heuristically estimate the calculation imprecision rate for the reporting quarter by analyzing the deviation of the calculated vector from the homothetic ray determined by the reference matrix. Further generalization of the analytical solution of the completing problem for the joint adjustment of quarterly production results in the reporting year in order to bring them into exact correspondence with the annual data is proposed. Particular attention is paid to heuristic estimating the imprecision rate in calculations for the reporting year based on the analysis of the difference between the system of calculated quarterly vectors and a homothety of their sum (i. e., column vector of the row margin totals for the reference annual matrix). In conclusion, recommendations to improve reliability of the completion results for quarterly vectors in practical situations are given

To protect communication systems from unauthorized access, data theft and falsification of transmitted messages, cryptographic methods are used. In particular, they underlie the protocols for the exchange of interbank information, as well as interactions within law enforcement and government structures.

Cryptographic methods are based on mathematical transformations of digitized texts. In this case, the discrete logarithm function is of great importance for cryptography.

The article presents a modification of Pollard's ro- method for finding a discrete logarithm in the case when it is expressed by a binary vector of relatively small weight.

The proposed algorithm can be effectively applied to a fairly large number of computing nodes. The paper considers the case when some close approximation of the discrete logarithm is known. To form the algorithm, we used estimates for binomial coefficients and the Berry–Esseen theorem for the Bernoulli scheme.

In the article we try to explain the birth seasonality in Russia. In Russia, as in many countries of the world, most children were born in the summer (July, August). The amplitude of seasonal fluctuations in the number of births was calculated for two periods: 2006-2014 and 2015-2020. In the regions of the Russia there was a high amplitude of seasonal fluctuations - 11-27% of the average, but a downward trend had emerged. The relevance of the chosen topic was determined by the need to study the structure of demographic indicators and their monitoring within the framework of the implementation of national projects until 2024.

In the work, a literature review was carried out regarding the factors of the seasonality of births in Russia and in the countries of the world. Some hypotheses were tested using econometric tools based on monthly data on the number of births in the regions of the Russian Federation for the period 2006-2021. The statistically significant factors that form the amplitude of seasonal fluctuations were the degree of urbanization, income and the climate based on the OLS model. The amplitude of fluctuations in births decreased with an increase in the level of urbanization (growth in the share of the urban population) and the population of the region. An increase in January temperature increased the amplitude of birth fluctuations. The positive impact of income on the amplitude of the fluctuation was explained by the active planning of the timing of childbearing in high-income regions, but further research was needed. Nutritional characteristics were found to be statistically insignificant factors.The number of marriages took a special place in the formation of the seasonality of births. On the whole for the Russian Federation, based on time series models, a cointegration relationship between the number of marriages and the number of births was found. This relationship had begun to weaken over the past five years.