Publications

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.

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 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 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.

The Central Banks discuss bank recapitalization arrangements. Markup to capital is needed because the current Basel approach is insensitive to some risks. As the Basel Committee moves from comprehensive risk modelling towards a revised, simplified, standardised approach, where one-two triggers measure risk, banking regulators increase demand for a capital add-on to meet unaccounted risks. The paper suggests the add-on estimates for the joint effect of the concentration and PD-LGD correlation risks leaving other unaccounted ones out-of-scope. The previous studies estimated add-ons for each risk separately. We show their joint impact on capital can be higher up to 5.3 times than the sum of two taken apart. Then previous results do not provide sufficient capital for a bank. We obtain that Basel underestimates the joint risk in 1.9 times on average. We expect that our contribution will be useful at least but not last for specialised lending (e.g. real estate and project finance), where the joint effect of concentration and PD-LGD correlation risks is the most observable.

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.

On the eve of transition in the late 1980’s the perspectives of the economic development for most economies of the Soviet Bloc in Central, Southern and Eastern Europe seemed optimistic. They had been already industrialized; their labor force was relatively healthy and educated. Being technological backwards in many industries these countries had lots of opportunities for catch up, extending international trade and allowing the inflow of foreign direct investments. However, after two decades of transition these expectations did not materialize to the fullest extent. On the one hand, by 2008, the last year before the global financial crisis, GDP per capita of all post-transition economies grew, except Moldova and Ukraine. On the other hand, six of the twenty economies of the region increased the lag behind the twelve advanced West European economies (EU12). A reasonable question in this context is to what extent is this backward take-off caused by the command-economy past or some myopic country-specific issues of the post-transition development?

                With the growth accounting framework this study confirms the leading role of total factor productivity in late transition at the aggregate level. Delving into industry levels the literature shows that, at least, for some East European economies the key driver of TFP growth in most CEE economies was manufacturing. This is not surprising, because manufacturing was also one of the most technologically backward sectors of the economy in early transition with multiple opportunities for improvements through adaptation of better practices and ways of production from the West. So, catching up in technologies seems to be the most essential driver of the post transition growth.

                At the same time, this exposition of the story of growth in transition critically depends on data quality, essential for measurement of economic growth and productivity. That is why it is important also to take into account that transition in economies of the region coincided with the transition in state statistics from the Material Product System of national accounts to the United Nations System of National Accounts. All this is important for understanding of the limitations of existing data and suggested interpretations, especially in the comparative perspective with developed economies.

This article presents the findings of the first field experiment – a resume correspondence study – on age discrimination in the Russian labour market. Correspondence studies are nowadays viewed as the most objective way to test for hiring discrimination. This method consists of sending pairs of curricula for job offers, very similar in everything except the trait to be analyzed (age in our case). Data collection for the presented study was conducted in February-March 2018. Pairs of matched applications, one from a fictitious 29-year-old female applicant and one from a fictitious 48-year-old female applicant, were sent to 341 employers with job openings for accountants in Moscow posted on the one of the most popular job search websites. It turned out that the probability of receiving an invitation for an interview for an older candidate is 24-32%, whereas for a younger candidate 45-52%. Thus, the positive callback ratio is 1.8-2.5. The indicator of “net discrimination” calculated as the difference in the shares of positive callbacks from the number of vacancies for which at least one response is received, for the younger and older candidates is 37-49%. Comparing with the results of the existing studies, it turns out that the obtained discrimination level is quite high. Taking into account the population aging, a reduction in the workforce and the inevitable prospect of an increase in the retirement age, measures must be taken to combat age discrimination and allow older people to work on an equal basis with young people.