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2011, Issue 11. AbstractsS.G. Kokovin, Sobolev Institute of Mathematics SBRAS and Novosibirsk State University, Novosibirsk, Saint Petersburg Branch of National Research University High School of Economics, Saint Petersburg, Russia
All Solution Graphs in Multidimensional Screening We study general discrete-types multidimensional screening without any noticeable restrictions on valuations, using instead ε-relaxation of the incentivecompatibility constraints. Any active (becoming equality) constraint can be perceived as "envy" arc from one type to another, so the set of active constraints is a digraph. We find that: (1) any solution has an in-rooted acyclic graph ("river"); (2) for any logically feasible river there exists a screening problem resulting in such river. Using these results, any solution is characterized both through its spanning-tree and through its Lagrange multipliers, that can help in finding solutions and their efficiency/distortion properties. Key words: incentive compatibility, multidimensional screening, second-degree price discrimination, non-linear pricing, graphs
Game Theoretic Bidding Model: Strategic Aspects of Price Formation at Stock Markets We consider a simplified model of finance market where two players carry on direct multistage bidding with risky assets (shares). One of the players (the insider) is informed on the liquidation price of a share, the other player knows its probability distribution only. It is shown that the optimal strategy of the insider generates a symmetric random walk of prices of transactions. The result confirms the conjecture on the strategic origin of regular stochastic fluctuations of stock market prices. Key words: multistage bidding, asymmetric information, random walk, repeated games, optimal strategy
Inter-industry Import Tariff Differences in Russia This publication offers insights into analysis of factors affecting the tariff protection level, cross-sector differences regarding import tariffs. The analysis of differences in import duties applied to Russian industry has shown the importance of political factors in import tariff formation. Proposed the economic policy recommendations concerning foreign trade regulation. Key words: import tariff, protectionism, lobbying, panel data
Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management This paper studies the dynamics of the Russian stock market in 2000-2007 from the stochastic and chaotic viewpoints. Estimation of Lyapunov exponents for a number of Russian stock prices and indices suggests the absense of low-dimensional chaos. A more precise description of the market dynamics is offered by the stochastic approach, within which the best model was found to be GARCH(1,1) ̴ t . Christoffersen and Berkowitz tests show that this model is better at estimating value-at-risk of trading positions than a benchmark model with independent Gaussian returns, and that systematic errors in risk assessment are quite small.
Do We Need to Protect Intellectual Property Rights? Strict protection of IPR can have a negative effect on economic development. Regression of economic growth on these indices produces conventional results (positive effect of stricter protection of IPR on growth) only if indices of institutional capacity (government effectiveness, control over corruption) are not included into the right hand side. If they are included, they kill the effect of IPR protection (because they are very much correlated with the IPR protection indices), so it is hardly possible to separate the effects of stricter IPR protection from the impact of the general strength of institutions. The same procedure was used to evaluate the impact of the IPR protection regime on the average share of R&D expenditure in GDP and the results were largely the same: without control for the institutional capacity, IPR protection seems to stimulate R&D, but after controlling for the institutional indices the effect disappears. There is also a strong negative effect of stricter regime of protection of IPR on the proliferation of the most crucial technology of recent decades - computers. The increase in the total number of PCs in 1995-2005, after controlling for the level of development, the size of the country and the institutional index, is negatively correlated with the IPR protection index. Key words: intellectual property rights, piracy, economic growth, institutions
The Comparative Reliability of the Global University Rankings The plurality of global rankings of Universities is considered in this article. The classification of global ranking is given. Their mutual consistency is evaluated. The procedure of estimation and comparison of the reliability of global rankings is offered and approved. Key words: rankings of Universities, ranking criteria, education, economic policy, local reliability, global reliability Back | ||
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