Publications

In this paper we describe a methodology that allows researchers to measure empirically, in the form of well-defined indicators, the extent to which economic analysis and evidence is been applied in the enforcement of competition law, using data collected from the decisions of competition authorities. By mapping the value of these indicators to different legal standards, our methodology also allows one to identify the legal standards adopted in the assessment of different conducts that were investigated by the authorities. The policy implications of empirical work in this area are potentially very important, since the extent to which economic analysis is applied in the assessment of anti-competitive conduct by competition authorities may well influence the quality of this assessment (i.e. the quality of enforcing competition law, measured by the extent to which decision-errors and deterrence effects are minimised). Empirical analysis using the indicators can be used to undertake comparative analysis in different countries, to examine the extent to which authorities favour specific legal standards in the assessment of specific conducts and the way in which the judicial review process treats decisions depending on the legal standard used.

The paper illustrates how a Bayesian approach to yield fitting can be implemented in a non-parametric framework with automatic smoothing inferred from the data. It also briefly illustrates the advantages of such an an approach using real data.

The paper uses an infinite dimensional (functional space) approach to inverse problems. Numerical computations are carried out using a Markov Chain Monte-Carlo algorithm with several tweaks to ensure good performance. The model explicitly uses bid-ask spreads to allow for observation errors and provides automatic smoothing based on them.

A non-parametric framework allows to capture complex shapes of zero-coupon yield curves typical for emerging markets. Bayesian approach allows to assess the precision of estimates, which is crucial for some applications. Examples of estimation results are reported for three different bond markets: liquid (German), medium liquidity (Chinese) and illiquid (Russian).

The result shows that infinite-dimensional Bayesian approach to term structure estimation is feasible. Market practitioners could use this approach to gain more insight into interest rates term structure. For example, they could now be able to complement their non-parametric term structure estimates with Bayesian confidence intervals, which would allow them to assess statistical significance of their results.

The model does not require parameter tuning during estimation. It has its own parameters, but they are to be selected during model setup.

This article analyses antitrust enforcement practice in Russian courts in the area of competition-restricting agreements. The analysis is based on the court decision database of litigations with the Russian competition authority (the Federal Antimonopoly Service (FAS)). In the database litigations that officially started in the period 2008–2012 were included. Final court decisions were evaluated, taking into account litigation duration (sometimes up to 3 years). The database contains 400 cases, including 236 horizontal agreements and 164 other agreements (mostly vertical agreements). Based on the evidence of this database, important features and problems of the interpretation and implementation of competition law in Russia and priority areas of enforcement were identified. Antitrust policy was analysed taking into account the risks of type 1 and type 2 errors, including the problem of flexibility of prohibitions (per se vs Rule of reason (ROR) approaches), standards of proof and the problem of consistency of enforcement.

We propose an original approach to constructing an index of efficiency of FDI transformation into steady economic and innovation growth. As factors of efficient transformation we consider many institutional indicators. We rank countries on the sample of 31 developed and developing economies. The results of bivariate and multivariate Granger tests show that FDI causes economic development and intellectual capital in a number of indicators. With non-parametric DEA method and Malmquist Index we identify countries at the efficiency frontier by the quality of FDI management. Change in efficiency over time along the IC growth path is highly influenced by government effectiveness.

We explain a lack of civic culture in today’s Russia, closely related to democratic deficit in the country, by a path-dependency which has originated at the critical juncture of transition to market economy. Suppression of democracy in the early 1990s to expedite unpopular reform had exposed the new institutional order to oligarchic capture and set in motion a vicious circle of extractive economic and political institutions. The latter have been shaping views and attitudes in the society via institutional learning, continuously suppressing civic culture and solidifying social foundations for extractive institutions. We present evidence from the World Values Survey supporting the above conclusions.

How do elections and post-election protest shape political trust in a competitive autocracy? Taking advantage of largely exogenous variation in the timing of a survey conducted in Moscow in 2011, we find that an election had little systematic effect on political trust, perhaps because vote improprieties were not new information. In contrast, the unexpected protest that followed increased trust in government. We argue that when autocrats permit protest unexpectedly, citizens may update their beliefs about the trustworthiness of the government. In this case, heightened trust arises largely from opposition voters - those most likely to be surprised by permission to hold the protest - who update their beliefs. Our results suggest that citizens may cue not off the content of a protest, but off the government's decision to permit it. In addition, autocrats can increase trust in government by allowing protest when it is unexpected.

We develop a theory of equilibrium market volatility in a general equilibrium duopoly with complete information. The resulting economic system possesses a property, which can be described as ‘natural volatility’ of markets, even if players have complete information. Economy is described as a strategic market game where every player has market power as a buyer and a seller. Players are uncertain about each other’s actions, and due to the properties of expected utility maximization there is no convergence of common beliefs of common knowledge to unique mixed strategies equilibrium, hence, rational expectations approach cannot be applied.  Volatility at the market appears from a multiplicity of equilibrium mixed strategies; they cannot be computed precisely, but only approximated. We identify several Pareto-efficient strategies and study induced prices, allocations and payoffs, which are all volatile. 

The model of the real sector of the Russian economy is presented. It allows for the separate description of GDP and its components by expenditure both in constant and in current prices. Unlike standard macroeconomic models, the model proposed considers a set of Trader agents in addition to Producer agent. Traders are based on a set of CES-functions and allow to decompose the statistics available into a set of unobserved components. The Producer is based on a specific production function that performs well for Russian data and works with financial variables, such as credits and bank accounts. In contrary to the standard approach, the model is not linearized to get estimates of model parameters but is estimated directly using a set of nonlinear equations. The optimization is performed numerically and allows to get both series of unobserved model products and their prices and model parameters. The stability of the solution found is checked on simulated data.

We are constructing an imperfect competition general equilibrium model, with non-consumable money and labor market; our toolkit is an equilibrium default model of Shubik-Wilson (1978). Our result has an ‘equilibrium volatility’ simultaneously occurring at all three markets: labor, goods, and credit market, with a fixed money supply from a bank. A worker and an entrepreneur strategically and simultaneously trade at the three markets. Players are uncertain about each other’s actions, and do not have a convergence of common beliefs of common knowledge. It is impossible to calculate equilibrium mixed strategies exactly, but it is possible to identify some Pareto-efficient strategies and study induced prices, wages, interest rates, default, allocations and payoffs, which are all volatile, and their fluctuations are not independent. We present an equilibrium result, when a total value of default is bigger than total money supply.

Based on quarterly data on 31 emerging countries (among which 16 are inflation targeting countries) from 1990Q1 to 2014Q3, we obtain a strong support for the conjecture that the implementation of inflation targeting weakens the Fisherian relation between expected depreciation and the interest rate differential (uncovered interest parity condition) and thus is conducive to the appearance of the forward bias puzzle in emerging countries. We show that this reflects the performance of inflation targeting regimes in lowering the level and volatility of inflation. Our finding holds when controlling for countryspecific effects, time-specific effects, global disinflation, exchange rate management, crises, and using different econometric techniques.

In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. More precisely, the distribution of the energy levels is assumed to be a mixture of two normal distributions, one of which is standard normal, while the second has the mean \(\sqrt{n}a\) with some \(a\in \R,\) and the variance \(\sigma \ne 1\). The phase space \((a,\sigma) \subset \R \times \R_+\) is divided onto several domains, where after appropriate normalisation, the partition function converges in law to the stable distribution. These domains are separated by the critical surfaces, corresponding to transitions from the normal distribution to \(\alpha-\)stable with \(\alpha \in (1,2)\), after to 1-stable, and finally to \(\alpha-\)stable with \(\alpha \in (0,1).\) The corresponding phase diagram is the central result of this paper.

In this paper we study the problem of statistical inference for a continuous-time moving average  L\'evy process of the form 

\[ Z_{t}=\int_{\R}\mathcal{K}(t-s)\, dL_{s},\quad t\in\mathbb{R}, \]  with a deterministic kernel \(\K\) and a  L{\'e}vy process \(L\). Especially the  estimation of  the L\'evy measure \(\nu\) of  $L$ from low-frequency observations of the process $Z$ is considered. We construct a consistent estimator, derive its convergence rates and  illustrate its performance  by a numerical example.  On the mathematical level, we  establish  some new results on exponential mixing  for  continuous-time moving average  L\'evy processes.    

A numerical algorithm is proposed for modeling two-component viscous compressible isothermal flows with surface effects in 3D domains of complex shape with a voxel representation of geometry. The regularized system of Navier-Stokes-Kahn-Hillard equations is used as a basic mathematical model. Modeling of the drop spreading on a flat substrate and the displacement of one liquid by another in the pore space of a real rock sample are carried out. The computational results demonstrate the applicability and good operability of the exploited system of equations, the corresponding explicit finite-difference scheme and algorithms for its implementation for the numerical solution of the class of problems under consideration.

We deal with an explicit finite-difference scheme with a regularization for the 1D gas dynamics equations linearized at the constant solution. The sufficient condition on the Courant number for the $L^2$-dissipativity of the scheme is derived in the case of the Cauchy problem and a non-uniform spatial mesh. The energy-type technique is developed to this end, and the proof is both short and under clear conditions on matrices of the convective and regularizing (dissipative) terms. A scheme with a kinetically motivated regularization is considered as an application in more detail.

This article describes the dynamic optimization model with human capital as a group educational characteristic (along with these groups population) and as the main factor of their production. The main feature of this model is inequality in qualification which leads towards the run for the middle as unlinear dynamics of educational effectiveness for different groups. The research of the simulation model in one specific regime allowed to describe two different scenarios. They include the development of the groups and run for the middle dynamics. These results allow stating conceptual usability of the model for real society dynamics description.

We evaluate the sporting effects of the seeding system reforms in the Champions League, the major football club tournament organized by the Union of European Football Associations (UEFA). Before the 2015-16 season, the teams were seeded in the group stage by their ratings. Starting from the 2015-16 season, national champions of the Top-7 associations are seeded in the first pot, whereas other teams are seeded by their rating as before. Taking effect from the season 2018-19, the team's rating will not longer include 20% of the rating of the association that the team represents. Using the prediction model, we simulate the whole UEFA season and obtain numerical estimates for competitiveness changes in the UEFA tournaments caused by these seeding reforms. We report only marginal changes in tournament metrics that characterize ability of the tournament to select the best teams and competitive balance. Probability of changes in the UEFA national association ranking does not exceed several percent for any association.

We develop a model forecasting the equilibrium price in the oil market by balancing demand and supply at the level of interaction of the largest oil consuming and producing countries. Our model is based on the global vector autoregression methodology and allows to make a medium-term forecast of the equilibrium oil price in dynamics analyzing the co-movement of oil demand and supply in various countries, in view of possible shocks from countries and companies. The proposed model allows to reveal responses of economic indicators of various countries to changes of the equilibrium oil price. Our model covers 47 countries, including the OPEC, the CIS, the largest oil consuming countries. Considering the CIS countries (Russia, Kazakhstan, Azerbaijan) and such OPEC countries as Iraq, the UAE, Qatar, Venezuela, Algeria, Nigeria and Angola is a unique element of the paper since the majority of models analyze the largest market players only. The test results on economic consequences of shock of oil supply from the largest producer (Saudi Arabia) and shock of oil demand from the largest consumer (China) are of empirical interest.

In this paper, we consider some properties of the model constructed from the one-dimensional stable processes by changing the time to a non-decreasing Lévy process. Our first result reveals a relation between this class of processes and the class of time-changed Brownian motions. Moreover, we describe the CGMY (Carr-Geman-Madan-Yor) model as subordinated stable process, and show the representation of the Lévy density of the corresponding subordinator via the Mellin–Barnes integral.

We propose a model that evaluates how much a network has changed over time in terms of its structure and a set of central elements. The difference of structure is evaluated in terms of node-to-node influence using known nodes correspondence models. To analyze the changes in nodes centralities we adapt an idea of interval orders to the network theory. Our approach can be used to investigate dynamic changes in temporal networks and to identify suspicious or abnormal effects in terms of the topology and its critical members. We can also transform the stability measure to the similarity measure in order to cluster the network in some homogeneous periods. To test our model, we consider the international migration network from 1970 to 2015 and attempt to analyze main changes in migration patterns.

We consider a new method of semiparametric statistical estimation for the continuous-time moving-average Lévy processes. We derive the convergence rates of the proposed estimators and show that these rates are optimal in minimax sense.

Our paper investigates the effects of corporate governance features on the cost of publicly traded debt in the Russian market after the global financial crisis. We consider a wide range of corporate governance mechanisms and focus our analysis on three elements relevant for emerging capital markets: state-owned bond issuers, auditor power (Big 4 or local firms) and CEO power. As control variables, we consider financial and non-financial indicators of bond issuers, including proxies of intellectual capital and transparency indicators, characteristics of bond issues, structure and size of the Board of Directors. We apply linear and multiplication regressions for unbalanced panel data. The original result is that, in the case of a sole executive body, bond spreads are higher. We find an inverse relation between the ex-post cost of public debt and audit power. The analysis also revealed a robust result that disclosing information on intangible assets and a larger Board of Directors reduce debtholder risks. According to our findings, debtholders take into account the risk of the influence of CEOs of large companies on local auditors, while for international auditors such influence is less possible. These results are robust to a large set of firm-specific and bondspecific characteristics.