international econometric journal
in Russian language
Anatolyev, Stanislav. Objects of nonstructural time series modeling
When
modeling time series dynamics one has to decide on the class and type of models
to use which depends much on the object to be modeled. This essay briefly over
Kuan, Chung-Ming. Markov switching model
We discuss the Markov
switching model, one of most popular nonlinear time series models. This model
involves switching between multiple structures that characterize different time
series behaviors in different regimes, the switching mechanism being controlled
by an unobservable variable that follows a Markov chain process. We introduce a
simple Markov switching model of conditional mean and describe its
generalizations, study estimation methods, discuss how to conduct hypothesis
testing, and elaborate on two empirical examples.
Repetitive
interactions among players are common to many actual markets. If this is
complemented by guaranteed sales markets and the presence of dominant players,
then it creates natural conditions for coordination. Economic theory suggests
that the decline in competition up to the cartel level can provide higher
profitability. However, coordination in such markets may alternate with
competition and price wars. The observed rice prices of major Asian exporters
demonstrate similar dynamics, which implies coordination of their actions.
However, it is an open question how close this behavior is to that of a cartel.
Using monthly data on export sales of rice from 1997, the study examines the
degree of imperfect competition and the possibility of collusion. Estimation is
carried out using the generalized method of moments.
Anikina, Anna. Discrete choice modeling and demand estimation for diapers
The
paper examines the demand structure for diapers in one of Russian cities with
the use of a discrete choice model with random coefficients in consumer
utilities. As a first step, logit and nested logit specifications are
estimated. The market-level information for sales volumes, prices and other
product characteristics is used. An unbalanced bimonthly panel for the period
from 2008 to 2011 is available. At the second stage, the full model adapted
from
Burkovskaya, Anastasia. Monetary political business cycles: new democracy
setting
This paper
studies whether politicians manipulate monetary instruments to win elections in
the new democracies. The question makes sense because the Central Bank in the new
democracy conditions is usually weak. A sample of 8 new democracies is analyzed
via individual country vector autoregressions and via simple autoregressions
for each variable of interest. I test various opportunistic political cycle
models, both with adaptive and rational expectations. My results reject the
political business cycle model with adaptive expectations due to the lack in
the data of any impact of the electoral monetary expansion on output. However,
there is evidence of opportunistic behavior in combination with rational
expectations in
There
is an opinion that the Russian Central Bank's actual policy in 2000–2008 was
real exchange rate targeting. At the same time, the Central Bank regularly
declared inflation targets, but regularly missed them. We estimate a simple
structural threshold VAR model of the Russian economy to test for these two
regimes of the CB's policy. Our testing procedure is based on applying the
bootstrap to the estimated TVAR model. We find significant nonlinearity (two
policy regimes) caused by endogenous switching between regimes based on past
month inflation. The Central Bank by changing its targets was not able to
commit to inflation reduction in that period of time, hence facing the issue of
credible monetary policy. After the global financial crisis the CB declared its
commitment to inflation targeting. But, based on our findings, the policy will
be successful only if the Central Bank actually commits itself to reaching
inflationary goals.