 | ||||||||
|
2023, Issue 3 (60). AbstractsCONTENTS
The key to the “Moneyball” phenomenon: What are the determinants of the level of effort in absence of fi nancial motivation in professional football? Football provides a rich dataset for the analysis of labour market problems. Of particular interest are situations where the labour market is inefficient. Previously documented by the literature case of football labor market inefficiency, also known as the “Moneyball” effect, led us to the question of how players’ incentives work in the absence of financial incentives to exert a particular kind of effort. For football, this type of effort has become the distance covered in a match, which is not valued by the market, but has a positive effect on the likelihood of a team win. To answer the question about player incentives, we identify three groups of factors: motivational, situational, and external, and use data from the 2015–2019 seasons of the German Bundesliga to study the impact of these factors on the level of effort in terms of distance covered. We were particularly interested in studying a non-financial motivation of players; so we hypothesize that players can share the values of the club and its fans by putting more effort into the derby matches that are important for the club. The obtained results allow us to explain the persistence of the “Moneyball” phenomenon over time and to determine the factors affecting the players’ choice of unpaid efforts. Key words: football, Moneyball, players’ effort, incentives, non-financial motivation
Composite option pricing and the volatility surface construction This paper proposes a methodology for constructing a cross-asset volatility surface. This volatility surface makes it possible to evaluate the price and risk metrics of options for assets, which do not have a liquid options market and can be created through the composition of two liquid assets. A version of the derivation of an analytical formula for estimating the value of a European option on a cross-asset and expressions for calculating risk measures (“Greeks”) are proposed. The key parameters for constructing a cross-asset surface are the correlation between the components of the cross-asset and the implied volatilities of the components of the cross-asset. Different approaches are presented for estimating the correlation coefficient: using historical correlation, dynamic conditional correlation model, and implied correlation. It is demonstrated that if the volatility "at the money" of a cross-asset is known, then the implied correlation is calculated explicitly, otherwise historical correlation or the DCC-GARCH (1,1) model can be used. It is shown that by fixing the implied volatility "at the money" of a less risky asset and varying the implied volatility of a riskier asset, the cross-asset volatility surface is obtained that is closest to the observed one. The article presents strict theoretical calculations and makes it possible to evaluate composite options price in practice.
Key words: cross-asset, exotic option, GARCH, implied volatility, option pricing, implied correlation
The impact of sanctions on the activities of Russian companies in the manufacturing sector of the economy in 2014–2021 The article assesses the impact of the western sanctions on Russian companies from the manufacturing sector in the period 2014–2021. The authors review estimates of the impact of sanctions on the economies of countries around the world. The analysis showed that in all recipient countries, imports of enterprises were more affected. In this regard, they actively applied import substitution strategies. As for the Russian economy, the assessment was carried out on such indicators as revenue, gross value added, exports and imports of domestic enterprises. Analysis for the period 2014–2021 showed that the lost revenue of sanctioned processing companies for the period from 2014 to 2021 amounted to almost 278.4 billion rubles, and the underproduced GVA was about 80 billion rubles. At the same time the largest losses were recorded by sanctioned companies from the oil refining sector (−167.8 billion rubles), producing finished metal products (−50.9 billion rubles) and other vehicles and equipment (−46.8 billion rubles). Losses associated with unfulfilled exports due to the impact of sanctions amounted to almost USD2.3 billion, and unfulfilled imports for the specified period amounted to USD429.5 million. The authors offer a number of recommendations for overcoming the negative consequences of sanctions for individual sectors, pointing out the possible risks of the strategy of reorienting trade flows by sanctions companies towards China in the long term. Key words: economic sanctions, manufacturing sector of economy, Russian business, gross value added, foreign trade, Russian Federation
T. V. Kossova, HSE University, Moscow, Russia Estimating effect of healthcare expenditures and alcohol overconsumption on the health of the Russian population This article aims to estimate the effect of government healthcare expenditures on the health of the Russian population. This effect is compared to the effect of alcohol overconsumption on the indicator of health. Population health is measured with an indicator of life expectancy at birth for men and women in the urban and rural area. The database is the regional statistics of the Federal State Statistics Service of Russia as well as the information on the expenditures of the budgets of the territorial funds on compulsory medical insurance for the period from 2005 to 2020. We estimate panel data models with fixed effects and check the robustness of results with semi parametric regression. For the first time, Russian long-term macrodata were used to quantify that the negative effect of alcohol overconsumption on life expectancy is twice as large as the effect of government spending on healthcare. The model used in the analysis enables us to present estimates of health losses that occurred in 2020. This is an average of one and a half year of life for residents of urban areas and a little less than a year for residents of rural areas. Key words: population health; life expectancy at birth; healthcare expenditures; socio-economic factors; Russia
N. A. Kolesnik, HSE University, Graduate School of Business, Laboratory of Network Organizational Forms, Moscow, Russia Implementation of the concept of sustainable development in food retail: Latent semantic analysis of SMM communication 2015–2021 Retailers have a significant impact on manufacturers and consumers in food supply chain, and play an important role in achieving sustainable development goals. The purpose of this study is to analyze the implementation of the concept of sustainable development in the field of food retail in the Russian market. Natural language processing methods are applied for analyzing the six largest Russian (holding about 30% of the market) retailer’ social media marketing (SMM). The dataset consists of 17146 SMM posts for 7 (seven) years from 1 January 2015 till 31 December 2021 with 29079 unique words. Latent semantic analysis (LSA) based on Latent Dirichlet allocation (LDA) method was applied for topic mining for clustering the main issues and extraction of sustainability-related topics within SMM communication. The analysis included maps retailers’ communications, identifying key topics and links within them. Topics on the sustainable development were studied in depth, the structure and dynamics of messages were analyzed by years. The research shows annual growing number of sustainability related topics and increase of engagement rates from consumers. Key words: sustainable development, food retail, social media marketing, latent semantic analysis
V. E. Dementiev, Central Economics and Mathematics Institute, Russian Academy of Sciences, Moscow, Russia Updating the technological base of the economy and real interest rates The article substantiates that the impact of real interest rates on the economy depends on what stage of technological development it is at. A conceptual model of technological changes is proposed, it allows using borrowed capital as a means of accelerated renewal of the technological base of production. The main statements are explained with calculations based on this discrete model, in which successive phases of technological development of the economic system are highlighted. At the stage of active development of new general purpose technologies, increased investment in these technologies can be combined with an increase in interest rates. Attention is drawn to the fact that the policy of low interest rates is not able to compensate for the exhaustion of the possibilities of old general purpose technologies, when the new ones do not yet provide a radical renewal of the technological base of production. The trajectories obtained from the model calculations are compared with the evolution of the real interest rate and the share of private non-residential investments in the US GDP in the period 1961–2021. The dynamics of the indicators under consideration shows that when structural shifts in production are on the agenda, a differentiated approach to individual parts of the economy is required as part of economic policy. Key words: monetary policy, technological development, investments, real interest rate, research and development, IS-LM model
E. A. Kazakova, HSE University, Moscow, Russia Platforms, online labor markets, and crowdsourcing. Part 1. Traditional online labor market In this survey, we overview recent theoretical and empirical studies on online labor platforms and provide real life examples on how these markets function in Russia and worldwide. We discuss ways to classify online labor platforms. We concentrate on respective distinctive features of different categories of online and platforms and, due to their structural differences, justify the need for differential approach to such markets research and regulation. Online labor platforms have dual nature. On the one hand, such markets can be regarded as two-sided platforms. Therefore, one part of the survey discusses network effects, optimal pricing strategies (both at the deal and platform level), and matching. On the other hand, online labor platforms inherit specific features of traditional labor market. Accordingly, our study highlights the labor market perspective: discrimination, worker rights protection, information asymmetry, and the mechanisms to avoid it, here including reputation, among the examples. Our study highlights legal and economic features of online labor platforms that should be taken into account when designing related competition and regulation policy. Moreover, the study can benefit workers and employers in the online labor markets that look at maximizing their respective surpluses from using a platform. Key words: online platforms, labor market
Types of capitalism In the proposed article, an attempt is made to expand the classification of the types of capitalism that was formulated in the scientific concepts over the last 30 years. We used the concepts of law and finance, finance and politics, access orders, varieties of capitalism, inclusive growth models, sustainable growth models (which developed in parallel, enriching each other little) to compare criteria for identifying types of capitalism and assess the similarity of descriptions of various types in these concepts. Methodological problems were identified that make difficult or distort the classification of types of capitalism (ignoring the differences in the stages of development; lack of quantitative characteristics; of justification for choosing a more progressive type of capitalism; the presence of distortions due to a number of reasons, including countries falling into deadlocks). Readers are offered the results of a study of Russia’s proximity to certain countries in terms of sociocultural characteristics (based on Hofstede’s indicators). We assume that in the future Russia needs to focus on those models of capitalism that showed effectiveness in developed countries that are relatively close to Russia in terms of sociocultural parameters. Key words: types of capitalism; inequality; populism; law and finance; finance and politics; sustainable development; Hofstede’s dimensions
M. G. Kuzyk, HSE University, Moscow, Russia Strategies of Russian companies to adapt to the 2022 sanctions The article discusses the peculiarities of Russian manufacturing firms’ reaction to the 2022 sanctions. By the fall of 2022, 69% of firms felt some impact of sanctions, with 53% of firms experienced negative effects, while only 7% achieved positive results. The key negative effects of the sanctions pressure on firms were higher domestic prices for raw materials and components, difficulties in importing them, logistical problems, reduced domestic demand, and difficulties in importing and maintaining equipment. Over half of the companies took some actions to adapt to the sanctions shock. The main measures taken by companies to adapt to the new restrictions were switching to new suppliers (more often foreign ones) and cost cutting. Along with strategies based on restrictive measures (reducing costs, investments, personnel and product range) and changing suppliers, a number of companies implemented a development strategy that combined innovative measures and increased interaction with authorities. Competitive companies that had been innovating and exporting before the second wave of sanctions were more likely to implement the development strategy — such firms are used to operating in highly competitive international markets, being flexible and active. Key words: Russian companies, 2022 sanctions, impact of sanctions, adaptation strategies
A. A. Fedyunina, HSE University, Moscow, Russia Resilience of Russian fi rms in value chains to the sanction shock This article examines the determinants of resilience for Russian manufacturing firms in value chains during the 2022 sanction shock. The study identifies factors related to static and dynamic (measures taken in 2022) resilience. The resilience of firms in value chains is signifi cantly influenced by the presence of digital technologies, which, through various channels, impact revenue growth and market share expansion during sanction shocks. While international competitiveness alone is insufficient for ensuring resilience, factors enabling dynamic adaptation are necessary. The study does not establish that companies in global chains are inherently more resilient; however, such companies exhibit higher dynamic resilience by actively reconfiguring supply chains. It is shown that not all dynamic adaptation factors (i. e., measures taken) unequivocally contribute to ensuring firm resilience. Measures aimed at changing technology providers and reorganizing operations were particularly ambiguous in terms of their impact on resilience. Key words: resilience, value chains, sanctions, Russian economy
V. V. Golikova, HSE University, Moscow, Russia What waits us tomorrow: What branches will be hit by supplies’ sanctions of technological equipment to Russia? The paper is focused on the problem of the Russian manufacturing firms’ dependence on imported technological equipment and on the impact of economic sanctions of 2022. We illustrate the scale of that dependence from both friendly and unfriendly countries. We take into account the geography of sales, investment activity, and other features of firms. Our results show that the preference for imported equipment is more common for firms that use imported intermediate goods (raw materials, details, components, etc.), for the firms with large investments as well as for those exporting to the nearby countries — members of Eurasian Economic Union (EAEU). The most acute problem with imported equipment was revealed in light industry, wood industry, electrical and electronic machinery, vehicle production. The dependence is also high in the production of chemical products. We demonstrate that the major suppliers of technological equipment for Russian manufacturing firms are the European countries and China. The share of Europe has a tendency to decline while China’s share is growing. The low diversification of sources for imported equipment and highly limited capabilities for import substitution may become a significant obstacle for ensuring technological sovereignty in the medium-term outlook. Key words: import of equipment, import substitution, Russian manufacturing, economic sanctions, markets, investments
N. A. Volchkova, New Economic School, Russian Foreign Trade Academy, Moscow, Russia The contribution of intermediate import to TFP: Evidence from Russian fi rms during COVID-19 and sanction shocks In recent decades, the popularity of protectionist policies against imports was growing. The economic literature, both theoretical and empirical, emphasizes the positive contribution of imports of intermediate goods to total factor productivity. This study assesses the contribution of the intensity of exports and imports of Russian manufacturing companies to total factor productivity in the context of two shocks — shocks associated with the COVID-19 pandemic and the sanction shock as of 2022. The results indicate a significant positive contribution of the intensity of imports to productivity under both shocks, an almost three times greater than contribution of exports to productivity, as well as a comparable sensitivity of productivity to imports from countries that supported and did not support sanctions in 2022. This result is consistent with the idea that the main mechanism of contribution of intermediate imports to the productivity of Russian companies is specialization and division of labor, rather than technology imports. From a practical point of view, this means that substitution of import sources due to trade diversion under sanctions will not harm the productivity of the Russian companies. Key words: Russian economy, intermediate import, total factor productivity, sanctions, COVID-19 Back | ||
|