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2016, Issue 2 (30). Abstracts
Budget Rules, Government Efficiency and Economic Growth The paper reviews international experience of budget balance, expenditure and debt rules implementation. Using dynamic panel data regressions with interactive term we show that character of rules influence on economic growth rate is determined by the government efficiency. Rules would not work in case of low-efficient government, which is not able to adhere the rule. In case of middle-efficient government the rule could be an obstacle for optimal budget policy, which requires flexibility. The efficient governments adjust and readjust the rule precisely, that doesn’t lead to restriction of economic growth. Growth effect of rules occurred only when government achieved high efficient level. We show that impact of rules on the Russian economy growth is negative. Key words: fiscal rule, economy growth, dynamic panel regression
Determinants of Russian Retail Petroleum Prices We study the relationship between petroleum products consumer prices and the cost of their production (such as price of oil) in the Russian market. The hypothesis of the presence of asymmetry in the reaction of oil product prices in response to changes in world oil prices is tested. Point of equilibrium of supply and demand at the regional level is modelled. We also study the effect of spatial factors that reflect the peculiarities of the Russian market (the presence of vertically integrated companies and their interactions) on behavior of the petroleum products prices, as well as the effects of antitrust investigations. It is shown that supply factors of alternative sources (mini-refineries, imports, deliveries through pipelines, etc.) have a significant, albeit lesser effect on the Russian petroleum products retail prices along with the characteristics of VIC’s (vertically integrated company) supply and costs. No clear evidence of the asymmetry of the reaction of oil product prices in response to changes in world oil prices was found. The reason appear to be related to the spatial inhomogeneity of the Russian petroleum products market. Key words: petroleum products, the asymmetry of the reaction in prices, oligopoly, the price of oil, FAS, vertically integrated oil companies, refineries
Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model Real-time assessment of quarterly GDP growth rates is crucial for evaluation of economy’s current perspectives given the fact that respective data is normally subject to substantial publication delays by national statistical agencies. Large information sets of real-time indicators which could be used to approximate GDP growth rates in the quarter of interest are in practice characterized by unbalanced data, mixed frequencies, systematic data revisions, as well as a more general curse of dimensionality problem. The latter issues could, however, be practically resolved by means of dynamic factor modeling that has recently been recognized as a helpful tool to evaluate current economic conditions by means of higher frequency indicators. Our major results show that the performance of dynamic factor models in predicting Russian GDP dynamics appears to be superior as compared to other common alternative specifications. At the same time, we empirically show that the arrival of new data seems to consistently improve DFM’s predictive accuracy throughout sequential nowcast vintages. We also introduce the analysis of nowcast evolution resulting from the gradual expansion of the dataset of explanatory variables, as well as the framework for estimating contributions of different blocks of predictors into nowcasts of Russian GDP. Key words: Russia, economic growth, dynamic factor model, Kalman filter
How Do Macroeconomic Indicators Influence Banking Profitability in Russia? This paper finds out the macroeconomic indicators which have an impact on the profitability of Russian banks based on the data from 1Q 2008 to 3Q 2014. This analysis is relevant, in particular, due to sanctions and restrictions against Russia which have significantly altered the current macroeconomic conditions. Similarly to European empirical papers, we use three groups of the macroeconomic factors which describe economic conditions, industry structure and accessibility to banking services, respectively. The translog profit function is specified. As a result, we reveal degree and direction, in which the macroeconomic variables influence banking profitability and check robustness of our results. To check robustness of our results, we choose different time sub-periods, account for banking income and cost structure and heterogeneity of the sample, and include such variable, as population density multiplied by a cyclical parameter. The Russian banks may require these results to develop medium and long run business strategies, and the regulator can bear our findings in mind to develop stress- testing methodology for determining the weights of macroeconomic indicators. Key words: banking profitability, macroeconomic factors, Russian banks
Where Do Public Workers Live Well? Public-Private Wage Gaps in Russia’s Regions In this paper we investigate regional public-private wage differentials in Russia. Using the October survey data for the period 2005–2013, we show that there are significant regional differences in wage gap. Subsequently, the relationship between variation of wage gap and socio-demographic regional characteristics was examined. The results show that regional differences in the wage gap are caused mainly by regional structure of employment and impact of the economic and budgetary capacity of regions. The study shows that the underpayment of public sector workers (relative to similar private sector workers) is greater in regions with high GDP per capita and a low share of transfers to the regional budget. Furthermore, a large concentration of public service consumers leads to a large cross-sector wage gap. Key words: public private wage gap, public sector, regions, Russia
Interest Rate Risk and Foreign Exchange Risk Management Practice in Russian Non-Financial Companies It has become essential to effectively manage the interest rate and foreign exchange risks due to their increased importance for the Russian non-financial com-panies. No complex investigation on risk management practice has ever been done in Russia, as compared to the foreign countries. The author analyzes the results of a sur-vey of interest rate and foreign exchange risk management in the Russian non-finan-cial companies. The survey covers the approaches to risk identification, its valuation and management with the emphasis on financial hedging and the types of derivatives used. The results could be helpful for companies’ top-management as a guideline for a comparative analysis of their company’s position in a market and help modify their risk management practices. Moreover, the results could be used by analytics and researches for the further investigation. Key words: risk management, hedging, non-financial companies, Russia, interest rate risk, foreign exchange risk
Ranking of Russian Economic Journals: The Scientific Method or "Numbers Game" This article is devoted to general problems of ranking on the example of critical analysis of the three ratings of Russian economic journals suggested in recent years, the methodology of construction of which are connected with the Russian Science Citation Index (RSCI) data, results of expert surveys and a combination of these approaches. The fundamental disadvantages of each of them are revealed and it is shown that the vulnerable points of such developments are relatively arbitrary choice of bibliometric indicators and their weak correlation with academic authority of journals, insufficiently substantiated procedure of aggregation of used indicators and/or expert analysis, as well as surveys of experts are not representative. This paper presents a "passive experiment", in terms of which were mapped the results of the ranking of journals, based on the three ratings and three additional criteria. Made the overall conclusion about the low level of development of such researches and the lack of real grounds for the application of these ratings in the practice of science management and motivation of scientists. Key words: journal ranking, bibliometric indicators, citation, expert analysis, aggregation, arranging
The Misalignment of Russian Economists’ Scientometric Indicators in RISC The article is focused on the problem of noncompliance between the key scientometric indicators of Russian economists in the electronic database of the Russian Science Citation Index (RSCI). It is shown that the number of publications, number of citations and h-index don’t have are not related to each other statistically, which undermines the whole system of the individual contribution assessment in science. Such a situation leads to the appearance of pseudo-leaders between economists, which enjoy undeserved prestige. In addition, the syndrome of systematic data manipulation arises; it destroys academic ethics and distorts traditional academic values. This effect is specific to RSCI, because in Western databases of scientific information there is a strong relationship between aforementioned scientometric indicators. It is still difficult to find filtration procedures for bibliometric parameters, thus it is necessary to use labor-consuming manual methods of data processing. Key words: scientometrics, h-index, economist ranking, g-index, RSCI
How Different Are the Existing Ratings of Russian Economic Journals and How to Unify Them? Recently, three ratings of Russian economic journals have been independently proposed by Muravyev (2012), Balatsky (2015) and researchers from the Higher School of Economics (2014). In this paper, quantitative estimates of their (in)consistency are obtained. Additionally, these three orderings are compared to journal rankings based on values of Science Index and 2- and 5-year impact factors published by eLIBRARY.ru. It is demonstrated that all journal orderings weakly, though positively, correlate with each other. A new approach to aggregation of journal rankings is proposed. Aggregation is considered as a multicriteria decision problem, and ordinal ranking methods from social choice theory are employed to solve it. One may apply either a social ranking rule or a multistage procedure of selection and exclusion of the best journals, as determined by a social choice solution concept. In this paper, Pareto principle and majority rule based solution concepts, such as the Copeland rule, the Pareto set, the core, the uncovered set and the minimal externally stable set, are used to produce aggregate rankings of 74 top Russian economic journals. Correlation analysis demonstrates that aggregate rankings reduce the number of contradictions and represent the set of initial three rankings better than any of the latter. Key words: journal ranking, economic journals, Russian journals, rank aggregation, multicriteria choice, social choice rules, majority rule, uncovered set, externally stable set, Copeland rule
An Importance of Russian and International Economic Journals: a Network Approach The work is related to the detection of key international and Russian economic journals in cross-citation networks. A list of international journals and information on their cross-citations were taken from Web of Science (WoS) database while information on Russian journals was taken from Russian Science Citation Index (RSCI). We calculated classical centrality measures, which are used for key elements detection in networks, and proposed new indices based on short-range and long-range interactions. A distinct feature of the proposed methods is that they consider individual attributes of each journal and take into account only the most significant links between them. An analysis of 100 main international and 29 Russian economic journals was conducted. As a result, we detected journals with large number of citations to important journals and also journals where the observed rate of self-citation is a dominant in the total level of citation. The obtained results can be used as a guidance for researchers planning to publish a new paper and as a measure of importance of scientific journals. Key words: importance of journals, economic journals, network analysis, centrality measures, citations
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