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Price multifractality and informational efficiency in the futures markets of the US soybean complex 美国大豆期货市场价格的多重分形与信息效率
Applied Econometrics Pub Date : 2022-01-01 DOI: 10.22394/1993-7601-2022-66-68-84
P. Fousekis, Dimitra Tzaferi
{"title":"Price multifractality and informational efficiency in the futures markets of the US soybean complex","authors":"P. Fousekis, Dimitra Tzaferi","doi":"10.22394/1993-7601-2022-66-68-84","DOIUrl":"https://doi.org/10.22394/1993-7601-2022-66-68-84","url":null,"abstract":"This work investigates price multifractality and informational efficiency in the futures markets of the US soybean complex (soybeans, soybean meal, soybean oil, and the crush spread) using daily prices from 2015 to 2021 and Multifractal Detrended Fluctuation Analysis (MFDFA). The empirical findings suggest: First, none of the four series exhibited long-range dependence. They did, however, show considerable serial dependence locally. The futures prices of soybeans and soybean oil, and of the crush spread were locally anti-persistent (persistent) for large (small) fluctuations whereas the futures prices of soybean meal were persistent for all small and large fluctuations. Second, all markets in the US soybean complex exhibited some degree of informational inefficiency with that of the crush spread being less efficient relative to the other three. Overall, the results provide valuable information to investors as to whether trend-following or oscillatory trading strategies are more appropriate.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68418314","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimation of Gaussian multinomial endogenous switching model 高斯多项内生性切换模型的估计
Applied Econometrics Pub Date : 2022-01-01 DOI: 10.22394/1993-7601-2022-67-121-143
E. Kossova, B. Potanin
{"title":"Estimation of Gaussian multinomial endogenous switching model","authors":"E. Kossova, B. Potanin","doi":"10.22394/1993-7601-2022-67-121-143","DOIUrl":"https://doi.org/10.22394/1993-7601-2022-67-121-143","url":null,"abstract":"We propose a two‐step estimation procedure for multinomial endogenous switching model assuming joint normality of random errors. Simulated data analysis suggests that our method outperforms popular alternatives when independence of irrelevant alternatives (IIA) assumption is violated. We also apply our method to estimate marriage male premium. We have found statistical evidence that this premium is negative for officially married men and positive for unofficially married men.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68418514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling COVID-19 spread in the Russian Federation using global VAR approach 利用全球VAR方法模拟COVID-19在俄罗斯联邦的传播
Applied Econometrics Pub Date : 2022-01-01 DOI: 10.22394/1993-7601-2022-65-117-138
A. Zubarev, M. Kirillova
{"title":"Modeling COVID-19 spread in the Russian Federation using global VAR approach","authors":"A. Zubarev, M. Kirillova","doi":"10.22394/1993-7601-2022-65-117-138","DOIUrl":"https://doi.org/10.22394/1993-7601-2022-65-117-138","url":null,"abstract":"The aim of this study is to analyse the spread of COVID‐19 in Russia taking into account various connections between regions and the effectiveness of isolation strategies using global vector autoregression (GVAR). We use regional data on new cases of coronavirus, self‐isolation index, Google trends index reflecting social awareness of pandemic and passenger turnover in buses, trains and planes. It was found that the number of new COVID‐19 cases reacts to Moscow outbreak shock significantly in most regions. During the second wave, the speed of reaction was faster but of a smaller size. The forecasts of new cases dynamics during the rising of the second wave turn out to be rather close to the actual dynamics in many regions. More rigorous social distancing strategy in Moscow reduced the number of cases in some regions but at the same time raised that number in some others.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"130 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417680","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Type I error of t-tests from the simple moving average technical trading rules 从简单移动平均技术交易规则的t检验的I型误差
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-61-47-61
L. Ren, P. Ren
{"title":"Type I error of t-tests from the simple moving average technical trading rules","authors":"L. Ren, P. Ren","doi":"10.22394/1993-7601-2021-61-47-61","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-47-61","url":null,"abstract":"","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"61 1","pages":"47-61"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of the spatial features of regional power consumption in the Russian Federation 俄罗斯联邦区域电力消费空间特征分析
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-61-5-27
M. Petrov, L. Serkov, K. Kozhov
{"title":"Analysis of the spatial features of regional power consumption in the Russian Federation","authors":"M. Petrov, L. Serkov, K. Kozhov","doi":"10.22394/1993-7601-2021-61-5-27","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-5-27","url":null,"abstract":"The article analyzes the features of interregional power consumption within the framework of spatial econometrics. Using the Moran's method, it is shown that the level of electricity consumption in a certain region is positively correlated with the level of electricity consumption in neighboring regions. To assess the energy-economic factors providing this positive impact, spatial autoregression models have been built. Of all the models analyzed, the most appropriate is the one with the spatial lag of the dependent variable (SAR model). From the assessment of the marginal effects (direct, indirect and general), it was concluded that the regional distribution of electricity consumption is largely explained by the processes taking place within the region than in neighboring regions. A model with an extended specification that takes into account the presence and interaction of price and non-price zones is analyzed. The results obtained indicate that the spatial relationships between the regions of the price zone differ from the relationships between the regions of the non-price zone.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"33 1","pages":"5-27"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The difference in tax evasion amount among various taxpayers’ groups in Russia 俄罗斯不同纳税人群体之间逃税金额的差异
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-62-66-84
S. Belev, K. Vekerle, Anastasiia Evdokimova, Russia Moscow
{"title":"The difference in tax evasion amount among various taxpayers’ groups in Russia","authors":"S. Belev, K. Vekerle, Anastasiia Evdokimova, Russia Moscow","doi":"10.22394/1993-7601-2021-62-66-84","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-66-84","url":null,"abstract":"This paper evaluates tax evasion in Russia through the estimation of individual «income‐consumption» gap. Our analysis is held on the balanced in social‐demographic characteristics subsample of the data of the RLMS of the Higher School of Economics. We reach this by using the combination of propensity score matching and exact matching. Given equal declared income consumption levels of self‐employed and worker from small companies is, on average, higher than for workers from the big ones. This leads to the conclusion that former ones evade 13–31% of their actual income. This result is heterogeneous in year. During the economic slowdown, differences in concealment of income between self‐employed and employees of small and large enterprises become insignificant.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417241","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The influence of investors’ expectations on oil prices 投资者预期对油价的影响
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-63-76-90
B. Potanin, J. Trifonov
{"title":"The influence of investors’ expectations on oil prices","authors":"B. Potanin, J. Trifonov","doi":"10.22394/1993-7601-2021-63-76-90","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-63-76-90","url":null,"abstract":"This study applies various modifications of the GARCH-M process to model oil prices considering both the expectations of the investors and the risk premium. Futures contracts prices and volatility are used as a proxy for investors’ expectations and risk premium correspondingly. The advantage of the proposed approach is that the risk premium is modeled without accounting for exogenous factors, the selection of which, based on the literature, may be complicated. The results of the econometric analysis provide statistical evidence that volatility has a significant effect on the oil price, which justifies the usage of volatility as an indicator of the risk premium in the futures prices.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating intertemporal elasticity of substitution of labor supply for married women in Russia 俄罗斯已婚妇女劳动供给替代的跨期弹性估计
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-64-23-48
A. Zamnius, A. Polbin
{"title":"Estimating intertemporal elasticity of substitution of labor supply for married women in Russia","authors":"A. Zamnius, A. Polbin","doi":"10.22394/1993-7601-2021-64-23-48","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-64-23-48","url":null,"abstract":"This paper provides an econometric analysis of the labor supply function of married women in Russia based on data from RLMS HSE and methodology from the work (Heckman, MaCurdy, 1980), in which decisions about entering the labor market and the intensity of work are made within a dynamic optimization problem. It is shown that the husband’s leisure and the number of children living in the household have a negative effect on the woman’s hours worked. The estimate of the Frisch elasticity of labor supply with respect to wages lies near 0.16.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Fatherhood, marriage and male labor market outcomes 父亲身份、婚姻和男性劳动力市场结果
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-62-125-143
E. Kotyrlo, I. Bulgakov
{"title":"Fatherhood, marriage and male labor market outcomes","authors":"E. Kotyrlo, I. Bulgakov","doi":"10.22394/1993-7601-2021-62-125-143","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-125-143","url":null,"abstract":"We explore the relationship between fatherhood and marriage and male labour outcomes. We challenge the direction of causality. The difference in differences method for three periods (before, per year, and after an event in family life) allows establishing whether changes in family life follow changes in work life or vice versa. The results are obtained using data from RLMS‐HSE for individuals and households in the period 2014–2017. We find limited confirmation of individual effects. They can be attributed to both direct and inverse relationships between male labour outcome and changes in family life.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Подходы к измерению теневой цены индивидуальных каналов мобильности по заработной плате 衡量个人工资流动渠道的影子价格的方法
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-61-62-88
V. Karacharovskiy, E. Vakulenko
{"title":"Подходы к измерению теневой цены индивидуальных каналов мобильности по заработной плате","authors":"V. Karacharovskiy, E. Vakulenko","doi":"10.22394/1993-7601-2021-61-62-88","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-62-88","url":null,"abstract":"The article highlights approaches to calculating indicators characterising the production activities of oil and gas enterprises in the Russian Federation on the basis of the Federal State Statistics Service’s reports. The production activities struc-ture’s heterogeneity has been noted. The issues of reassessing the importance of core and ancillary economic activities in the oil and gas sector are raised. The importance of assessing the intersectoral redistribution of value added is poin-ted out. Prospects for the performance assessment development of output, intermediate consumption and value added are highlighted an outlook by enterprise group analysis. The principles and criteria for assigning enterprises to the group are indicated. The output indicators of the largest companies in the oil and gas sector of the Russian Federation are considered. A methodology for step-by-step calculating the output, intermediate consumption and value added indicators for large enterprises is provided. The authors concluded that calculating the indicators of output, intermediate consumption and value added for the factor mo dels construction is expediency.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"61 1","pages":"62-88"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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