Quantile

international econometric journal
in Russian language

no. 11

june 2013

 

Econometric literacy: time series modeling

 

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 overviews the specifics of time series modeling of various objects like conditional mean, conditional variance, conditional quantiles, conditional probabilities and conditional densities. We pay attention to both univariate and multivariate cases. References to narrower but more detailed surveys are given.

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.

 

Articles: econometrics of industrial organization

 

Lipin, Andrey. Empirical analysis of imperfect competition in the rice market in the Asia-Pacific region

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 Berry, Levinsohn & Pakes (1995) and Nevo (2001) is estimated. Additional features are added to the model to capture the market specifics.

 

Articles: macroeconometrics

 

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 Hungary, Russia and Mexico. Politicians print money before the elections and decrease the monetary base afterwards, but due to rational expectations they do not influence real variables. In other countries the hypothesis of the presence of monetary political cycles is rejected. However, I find some implications of fiscal political cycles in almost all countries.

Sinyakov, Andrey. Declared and actual policy of the Russian Central Bank in 2000Ц2008: how large is the difference?

There is an opinion that the Russian Central Bank's actual policy in 2000Ц2008 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.

 

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