Publications

We study the sensitivity of the densities of non degenerate diffusion processes and related Markov Chains with respect to a perturbation of the coefficients. Natural applications of these results appear in models with misspecified coefficients or for the investigation of the weak error of the Euler scheme with irregular coefficients.

The Minkowski weighted K-means (MWK-means) is a recently developed clustering algorithm capable of computing feature weights. The cluster-specific weights in MWK-means follow the intuitive idea that a feature with low variance should have a greater weight than a feature with high variance. The final clustering found by this algorithm depends on the selection of the Minkowski distance exponent. This paper explores the possibility of using the central Minkowski partition in the ensemble of all Minkowski partitions for selecting an optimal value of the Minkowski exponent. The central Minkowski partition appears to be also a good consensus partition. Furthermore, we discovered some striking correlation results between the Minkowski profile, defined as a mapping of the Minkowski exponent values into the average similarity values of the optimal Minkowski partitions, and the Adjusted Rand Index vectors resulting from the comparison of the obtained partitions to the ground truth. Our findings were confirmed by a series of computational experiments involving synthetic Gaussian clusters and real-world data

We develop a new model of multicriterial decision analysis with a hierarchical criteria structure. The suggested methodology is based on a rigorously defined specification of qualitative and quantitative im- portance of criteria of all levels of the hierarchy, and enables the comparison of decision alternatives for different types of criteria scale.

This paper investigates the role of managerial ownership and incentive payment as potential drivers of innovation decisions by firms and as shifters of the competition-innovation link in Russian manufacturing industry, where poorly protected property rights and path dependent market structure (typical for many transition economies) leads to a variety of outcomes. We use recent survey-based microdata for nearly 2000 non-listed companies in Russia. Our results suggest that managerial ownership, which initially evolved as a means of protecting against and resisting dysfunctional institutions, may stimulate decisions to undertake R&D and risky product innovations. Futher, managerial ownership and competition are complementary motivations for R&D and innovation. Incentive payment to hired managers. Incentive payment to hired managers is a positive commitment instrument but it has no impact on competition-innovation link.

We examine 597 estimates of habit formation reported in 81 published studies. The mean reported strength of habit formation equals 0.4, but the estimates vary widely both within and across studies. We use Bayesian and frequentist model averaging to assign a pattern to this variance while taking into account model uncertainty. Studies employing macro data report consistently larger estimates than micro studies: 0.6 vs. 0.1 on average. The difference remains 0.5 when we control for 30 factors that reflect the context in which researchers obtain their estimates, such as data frequency, geographical coverage, variable definition, estimation approach, and publication characteristics. We also find that evidence for habits strengthens when researchers use lower data frequencies, employ log-linear approximation of the Euler equation, and utilize open-economy DSGE models. Moreover, estimates of habits differ systematically across countries.

Does in utero exposure to testosterone – as proxied by measured 2D:4D digit ratios – affect lifetime educational outcomes? A growing body of work finds 2D:4D to be associated with aggression, physical fitness, performance in computer science, and type of occupation. While most work tends to show a negative relationship between 2D:4D and outcomes, the link between 2D:4D and male aggression should mean that prenatal T could also have negative effects for some outcomes. Using a large sample of families in Moscow and the Moscow region drawn from the Russian RLMS-HSE longitudinal survey, we observe clear links between measured 2D:4D digit ratios and the levels of education obtained by men. Statistically significant positive associations of 2D:4D (lower prenatal T) with higher levels of education were found, using difference in means analysis as well as generalized ordered logit regressions. These findings were also robust to using different subsamples. Weaker findings were seen for women. Since many of the earlier findings have showed the benefits of higher prenatal T for achievement, the current finding of a negative effect of prenatal T on educational attainment raises interesting issues about the ambiguous effects of prenatal T.

In the celebrated paper “Some unpleasant monetarist arithmetic”, Sargent and Wallace (1981) show that tight monetary policy is not feasible unless it is supported by appropriate fiscal adjustment. In this paper, we explore a simple forward-looking monetary model to show that an anticipated decrease in the growth rate of base money is not necessarily characterized by “unpleasant arithmetic”. This is due to a possible transitory gain in seigniorage supported by a temporal decrease in the real interest rate, which keeps public debt on a sustainable path. An important implication is that an increase in the present value of future budget deficits does not necessarily have inflationary consequences.

There are many studies revealing factors which influence the demand for financial services. However genetic features, determining the individual's overall postnatal behaviour, have not been studied within this context. This paper extends the previous literature by studying to what extent individual biological endowment, proxied by prenatal testosterone (PT, measured by the 2D:4D ratio), can determine personal demand for bank services and insurance. We use the data from the Russian Longitudinal Monitoring Survey (RLMS) of 2011–2012. Our findings confirm the existence of the link between inherent biological variation and financial inclusion: PT affects the use of bank cards, intention to borrow from a bank, having a bank deposit and the consumption of insurance products.

We analyse the profession of criminal defence lawyers (“advocates”) in Russia to understand their potential for collective action in an imperfect institutional environment. In 2013, we conducted a survey of 372 advocates in 9 regions of Russia. The following two main hypotheses are tested: (1) lawyers with strong ethical values have a higher demand for collective action; and (2) the negative experience of clients' rights violations by law enforcement officers can motivate advocates to support the foundation of a strong professional association. We suggest that an advocate's profession with bona fide members at the core could be an instrument to evaluate and to improve the quality of law enforcement in Russia.

We propose a model in which an entrepreneur, seeking outside fi nancing, sells a large equity share to an outside blockholder in order to signal his low propensity to extract private benefi ts. A conventional theoretical rationale for the presence of an outside block holder is mitigation of the agency problem via some type of monitoring or intervention. Our model provides a novel insight: outside blockholders may be attracted by fi rms with low, rather than high, agency problems. Our result yields a new implication for the interpretation of an often documented positive relationship between outside ownership concentration in a fi rm and its market valuation: such relationship may be driven by “sorting” rather than by a direct effect of blockholder monitoring. In fact, we show that the positive correlation may arise even if the blockholder derives private benefi ts and has no positive impact on the value of small shares. Finally, we argue that our analysis may help explain why the market reacts more favorably to private placements of equity as opposed to public issues.

The paper is focused on assessing the risk factors for Russian manufacturing firms posed by sanctions imposed on Russia by the EU, US, and other countries in 2014. While there is an extensive literature assessing the successes and failures of international sanctions on the economies of both those imposing and targeted by sanctions on a macroeconomic level, we are more interested in trying to understand the corporate response – i.e. which firms evaluate the introduction and increasing scale of economic sanctions as a threat to their corporate strategy, and their possible reactions aimed at adjusting to a changing environment due to the geopolitical shock. Our research, based on a recent survey of manufacturing companies, provides evidence that over the last decade Russian manufacturing firms have become much more integrated into the global economy than is commonly assumed, through foreign direct investment, foreign trade (including imports of both technological equipment and raw materials and components), international partnerships, and by extensively supplying foreign companies that operate in Russia. Considering the self-selection effect of the top-performing firms in terms of foreign trade, we can state that sanctions could prove most harmful not only for the targeted firms, but for the entire population of better-performing and globalized firms involved in foreign trade with the EU and Ukraine. Thus, the impact of the sanctions on the prospects of the Russian manufacturing sector may be very strong over the medium-to-long term.

Is in utero exposure to testosterone correlated with earnings? The question matters for understanding determinants of wage differences that have attracted so much attention among economists in the past decade. Evidence indicates that markers for early testosterone exposure are correlated with traits like risk-taking and aggressiveness. But it is not at all clear how such findings might map into labor market success. We combine unique data from the Russian Longitudinal Monitoring Survey with measured markers (2D:4D ratios) for testosterone exposure and find that lower digit ratios (higher T) correlate with higher wages for women and for men, when controlling for age, education and occupation. There is also some evidence of a potential non-linear, inverse U-effect of digit ratios on wages but this is sensitive to choice of specification. These findings are consistent with earlier work on prenatal T and success in careers (Coates et al., 2009) but inconsistent with the work of Gielen et al. (2016) who find differing effects for men and women.

Using World Values Survey data from several dozen countries around the world, this article analyzes the relationship between postmaterialist values and bribery (dis)approval in a multilevel framework. We find that people, who place stronger emphasis on postmaterialist values, tend to justify bribery more. However, the “ecological” effect of postmaterialism operates in the exactly opposite direction: A higher prevalence of postmaterialist values induces more bribery disapproval, and especially among postmaterialists themselves. In our view, this happens because the large number of people who internalized postmaterialist values generate positive social externalities which strengthen negative attitudes toward corruption. We outline a theoretical framework that explains why and how these externalities may emerge. Our results contribute to the literature on the sociocultural factors of corruption, provide a better understanding of the complex nature of postmaterialism, and also might be interesting in the light of ongoing discussions on whether moral attitudes are culturally universal or culturally specific.