Publications

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.    

Non-renewable fixed-term contracts are becoming more used instead of the traditional Russian model of open-ended employment. The authors examine the influence of institutional and organizational factors on the use of fixed-term contracts in Russia with data from a Sur-vey covering 3313 enterprises for the years 2009 to 2011. Probit and Tobit regressions are used to test several hypotheses about the use of fixed-term contracts derived from the litera-ture. The results indicate that state-owned and unionized enterprises are more likely to use fixed-term contracts; and a high level of perceived dismissal protection for permanent work-ers is positively associated with fixed-term contracts use. The incidence and intensity of fixed-term contracts are lower at enterprises with flexible wages. A significant impact of or-ganizational factors is confirmed for fixed-term contracts. Enterprises use less fixed-term contracts, if they have workers with tenure from 5 to 10 years and high job complexity.

This paper discusses whether being smart makes depositors less prone to get involved in a panic bank run. We conduct a series of experiments with undergraduate and graduate students from Moscow and Saint-Petersburg, modelling the a-la Diamond-Dybvig deposit market with liquidity shocks, changing macroeconomic conditions and risk-based investment technologies. Our results suggest that withdrawing on time is profitable, as the average returns of depositor investments are higher, especially if the other depositors in the bank also withdraw on time. Smarter depositors – those having better academic achievements – choose the strategy of avoiding early withdrawals more frequently: each additional grade point (out of ten) adds 9 p.p. to the share of rounds where a depositor withdraws on time. This result adds to the evidence that financial literacy – even measured in a very simple way – may prevent a coordination failure in the deposit market. Our results also suggest that panic withdrawals are more probable in markets with poorer economic conditions (liquidity shocks, less profitable or less liquid investments, costly financial information), but depositors show weak sensitivity to the risks of bank investments. Depositors of medium-sized banks withdraw on time more frequently compared to those in small or large banks.

  

The stability bounds and error estimates for a compact higher order Numerov-Crank-Nicolson scheme on non-uniform spatial meshes for the 1D time-dependent Schrödinger equation have been recently derived. This analysis has been done in $L^2$ and $H^1$ mesh norms and used the non-standard ``converse'' condition $h_\omega\leq c_0\tau$, where $h_\omega$ is the mean spatial step, $\tau$ is the time step and $c_0>0$. Now we prove that such condition is \textit{necessary} for some families of non-uniform meshes and any spatial norm. Also computational results for zero and non-zero potentials show unacceptably wrong behavior of numerical solutions when $\tau$ decreases and this condition is violated.

The adoption of new medical technologies often generates losses in efficiency associated with the excess or insufficient acquisition of new equipment, an inappropriate choice (in terms of economic and clinical parameters) of medical equipment, and its poor use. Russia is a good example for exploring the problem of the ineffective adoption of new medical technologies due to the massive public investment in new equipment for medical institutions in 2006–2013. This study examines the procurement of new technologies in Russian hospitals to find the main causes of inefficiency. The research strategy was based on in-depth semistructured interviews with representatives of prominent actors (regional health care authorities, hospital executives, senior physicians). The main result is that inefficiencies arise from the contradiction between hospitals’ and authorities’ motivation for acquiring new technologies: hospitals tend to adopt technologies which bring benefits to their department heads and physicians and minimize maintenance and servicing costs, while the authorities’ main concern is the initial cost of the technology.

Advance price announcements in the form of general rate increase (GRIs) by liner shipping companies have recently become the subject of investigations by competition authorities in different jurisdictions, including the European Union and Russia. The main goal of this paper is to answer the question whether GRIs predict price changes of competitors. Comparison of GRIs with actual price changes in particular routes, defined as antitrust markets in competition investigations in Russia, shows a limited anti-competitive effect of advance price announcements, albeit under specific market conditions. Regression analysis, undertaken in the context of the Russian investigation, rejects the hypothesis that the GRI of a particular company would be followed by price increases of its competitors. Moreover, the frequent changes in the market shares of liner companies support the hypothesis of competition vis à vis collusion. Remedies applied by competition authorities address content and timing of GRIs. The theory of tacit collusion suggests that remedies, which further specify the content of price announcements, may paradoxically enhance non-cooperative pricing, in contrast to remedies that restrict audience of GRIs by customers.

The article is dedicated to the method of aggregation of financial analysts’ recommendations in the framework of the evidence theory. This method considered on the example of Russian stock market and the quality of the obtained results was compared with the classical consensus forecast. It is shown that the combination rules, which are widely developed in the theory of evidence, allow aggregating the recommendations of analysts taking into account the historical reliability of information sources, the nature of the taken decisions (pessimism-optimism), the conflict between forecasts and recommendations, etc. In most cases it turned out that, obtained aggregated forecasts are more accurate than consensus forecast.

This paper presents a novel combinatorial approach for voting rule analysis. Applying reversal symmetry, we introduce a new class of preference profiles and a new representation (bracelet representation). By applying an impartial, anonymous, and neutral culture model for the case of three alternatives, we obtain precise theoretical values for the number of voting situations for the plurality rule, the run-off rule, the Kemeny rule, the Borda rule, and the scoring rules in the extreme case. From enumerative combinatorics, we obtain an information utilization index for these rules. The main results are obtained for the case of three alternatives.

In this paper, we consider anti-smoking policy in Russia and the socioeconomic factors that influence an individual’s decision to smoke. Among various factors, we investigate the individual time preferences of Russians. To estimate individual time preferences, we use an experiment in which survey respondents are given hypothetical money prizes. We find that being middle-aged, being unmarried and having parents who smoke are positively correlated with both men and women’s likelihood of taking up smoking in Russia. We consider the possible endogeneity of an individual’s health status and find a positive relationship between smoking and the time preferences of Russians. Our findings confirm that decisionmakers should devote their efforts primarily to developing restrictive anti-smoking policy. The choice of policy measures should be guided by the individual characteristics of target population groups. Social advertising, public lectures and preventive care should be actively engaged in forming public attitudes towards smoking.

This paper presents the results of volatility forecasting for indices of the Russian stock market using existing and developed by the authors fuzzy asymmetric GARCH-models. These models consider various switching functions which are taking into account the positive and negative shocks and are built using the tools of fuzzy numbers. Furthermore, in some models there are used switching functions that consider expert macroeconomic information. It was shown that fuzzy asymmetric GARCH-models provide a more accurate prediction of volatility than similar crisp models.

This article investigates the role of boards in founder-managed firms with concentrated ownership in emerging markets. The literature frequently suggests that in this type of companies, boards have little influence on the corporate decision making. The article conducts a case study of AFK Sistema—a large Russian founder-managed firm with concentrated ownership. We observe that, contrary to the expectations, in this company, the founder provided real authority to the board, at the same time focusing on recruiting independent (mainly foreign) members. Based on this case, we argue that selectively empowering boards in this type of ownership setting could be beneficial for the firm: Selective empowerment is a source of intrinsic motivationfor the independent board members, making them proactively search for new projects and assist in their implementation on behalf of the firm. As a result, the company can overcome a number of important barriers in its development.

We discuss some well-known facts about Clifford algebras: matrix representations, Cartan’s periodicity of 8, double coverings of orthogonal groups by spin groups, Dirac equation in different formalisms, spinors in <span data-mathml="nn dimensions, etc. We also present our point of view on some problems. Namely, we discuss the generalization of the Pauli theorem, the basic ideas of the method of averaging in Clifford algebras, the notion of quaternion type of Clifford algebra elements, the classification of Lie subalgebras of specific type in Clifford algebra, etc.

This paper estimates the impact of corruption on the incentives of procurers to maintain honest competition in tenders. Customers, who procure for themselves, and Agencies, who procure for the customers in their region are considered. Basing on a large dataset of open auctions conducted by Russian regional-level authorities in 2011, the analysis shows that in highly corrupt regions, Agencies fail to arrange competitive tenders and most of auctions have one bidder. Customers attract more bidders for large contracts, but rebates are usually low. Therefore, procurement centralization may reduce the corruption of Customers, but cannot solve the problem of low competition.

Efficiency of the use of geoinformation systems in industry is formed in many respects: in updating and replenishment of the topographic base for the territorial objects of enterprises; Monitoring compliance with the boundaries of allotments and nature protection zones; quality environmental monitoring; complex mapping of geological formations in the system of mineral exploration; in the planning of capital construction and the creation of infrastructure communications. Digital technologies can significantly reduce the production time and reduce its costs, and digital modeling of processes significantly reduces the number of field tests and experiments. The development of new methods of technical and economic audit predetermines the need to create and justify the most common and objective criteria and evaluation indicators at the design stage of satellite equipment. In order to increase the service life of space vehicles, it is proposed to calculate the possible consequences of electrostatic discharges at the design design stage and provide recommendations for reducing their negative impact. In the studies, a new method for calculating interference from electrostatic discharges in the on-board cable network of spacecrafts is considered. The method makes it possible to reduce the complexity of calculating the spreading of currents along the surface of spacecraft by 2-3 orders of magnitude. The method is based on the idea of building macromodels built on the basis of explicit and implicit methods of Euler. The error in the application of the method is 1%, which is quite acceptable at the stage of preliminary design.

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.

In recent years the Russian banking system has witnessed numerous bank license withdrawals. Many of the failed banks had significant volumes of retail deposits in their liabilities, thus, transmitting the default burden to the Deposit Insurance Agency and ultimately to the taxpayers. In their attempt to stay in the market banks may try to attract the depositor funds even more intensively when the failure is not far away. The main assumption of this paper is that banks raise additional funds through inflated deposit interest rates – the overstatement strategy – before leaving the market. We use unique data on Russian bank deposit interest rates for deposits of different maturities in 2015–2016 combined with data about bank fundamentals coming from their financial statements. The results suggest that if a bank offers too generous interest rates for deposits for 180-365 days this can be a signal of a significantly higher probability of license withdrawal in 3 quarters. In their attempt to urgently attract funds when moving closer to default banks assign the highest rates for the longest-term deposits, with the maturity over one year. The interest rates higher than the market average dramatically increase the probability of a bank failure in 2 quarters.

In the last decade, advanced economies, including the euro area, experienced deflationary pressures caused by the global financial crisis of 2007‒2009 and the anti--crisis policies that followed—in particular, the new financial regulations (which led to a deep decline in the money multiplier). However, there are numerous signs in both the real and financial spheres that these pressures are disappearing. The largest advanced economies are growing up to their potential, unemployment is systematically decreasing, the financial sector is more eager to lend, and its clients—to borrow. Rapidly growing asset prices signal the possibility of similar developments in other segments of the economy. In this new macroeconomic environment, central banks should cease unconventional monetary policies and prepare themselves to head off potential inflationary pressures.