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Forecasting daily spot prices in the Russian electricity market with the ARFIMA model 用ARFIMA模型预测俄罗斯电力市场每日现货价格
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-57-89-101
Y. Balagula
{"title":"Forecasting daily spot prices in the Russian electricity market with the ARFIMA model","authors":"Y. Balagula","doi":"10.22394/1993-7601-2020-57-89-101","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-57-89-101","url":null,"abstract":"The long memory phenomenon in time series of daily spot prices in the Russian electricity market is investigated. The forecasting performance of the ARFIMA model is assessed by cross-validation. The empirical results confirmed the presence of long memory in electricity prices and the best prediction accuracy of the ARFIMA model.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"89-101"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415108","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: 2
Does political orientation affect happiness? The case of South Korea 政治倾向会影响幸福感吗?以韩国为例
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-57-102-118
Yunmi Kim, Sang-Whi Lee, Tae-Hwan Kim
{"title":"Does political orientation affect happiness? The case of South Korea","authors":"Yunmi Kim, Sang-Whi Lee, Tae-Hwan Kim","doi":"10.22394/1993-7601-2020-57-102-118","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-57-102-118","url":null,"abstract":"It is well known that in the US, conservatives are happier than liberals. The first empirical evidence for such a happiness gap between the two political groups was presented in 2006, and many subsequent studies have confirmed the finding consistently. In this study, we investigated whether a similar finding can be observed in the case of the Republic of Korea. We attempted to make a statistical estimation of the effect of political orientation on happiness using a dataset called ‘Seoul Survey’, which provides information on the happiness and political orientation of about 46000 citizens living in Seoul, the capital of the Republic of Korea. By controlling for all relevant socio-economic characteristics of each individual in the survey dataset, we found that political orientation has a significant effect on the level of subjective well-being or happiness. In contrast to the results observed in the US, our regression results indicated that liberals are significantly happier than conservatives. We also attempted to interpret the happiness gap in terms of monetary value.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"102-118"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415156","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
Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation 俄罗斯和外国股票市场之间的尾部依赖关系建模:市场风险评估的应用
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-57-30-52
Mikhail Makushkin, V. Lapshin
{"title":"Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation","authors":"Mikhail Makushkin, V. Lapshin","doi":"10.22394/1993-7601-2020-57-30-52","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-57-30-52","url":null,"abstract":"The article examines cross dependencies in risks of Russian and foreign stock markets. Bivariate quantile autoregression VAR for VaR is used to achieve this goal. It is shown that Russia is a net receiver of external risk. Tail dependencies between markets tend to increase in turbulent times. Information about them helps to better predict market risks. However, for business use less sophisticated risk models are recommended. The results might be applied for risk-management purposes.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"30-52"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415218","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
Loan market markups and noncausal autoregressions 贷款市场加价与非因果自回归
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-60-48-69
V. Kramkov, A. Maksimov
{"title":"Loan market markups and noncausal autoregressions","authors":"V. Kramkov, A. Maksimov","doi":"10.22394/1993-7601-2020-60-48-69","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-60-48-69","url":null,"abstract":"The dynamics of different maturity loans interest rates is studied. Identification strategy that explicitly allows to introduce the impact of future interest rates expectations and to estimate their significance is used. It is shown that for Russian banking sector in 2010–2020 expectations about future interest rates path have significant but modest impact on current loan rates. Main results are proven to be robust with respect to interest rates stationarity assumption. Estimated empirical moments may be used in macroeconomic model calibration.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"60 1","pages":"48-69"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416094","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 the dynamics of import in the Russian Federation using the error correction model 使用纠错模型对俄罗斯联邦的进口动态进行建模
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-59-88-112
A. Polbin, N. Fokin
{"title":"Modeling the dynamics of import in the Russian Federation using the error correction model","authors":"A. Polbin, N. Fokin","doi":"10.22394/1993-7601-2020-59-88-112","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-59-88-112","url":null,"abstract":"In this paper, we estimate the error correction model for aggregate import in the Russian Federation. In the first step, using DOLS, the long-term function of demand for imports is estimated, which depends on the indicator of aggregate expenses and relative prices, in the second step, the parameters of short-run dynamics are estimated using OLS and GMM. Six alternative indicators are considered as a variable of aggregated expenses. The best determinant of dynamics of import from the point of view of minimizing the errors of prediction and nowcasting is GDP with the exception of government spending.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"59 1","pages":"88-112"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416136","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
Выделение глобального стохастического тренда из несинхронных наблюдений волатильности финансовых индексов 从金融指数波动的不同步观察中分离出全球随机趋势
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993‐7601‐2020‐57‐53‐71
Погорелова Полина Вячеславовна, Пересецкий Анатолий Абрамович
{"title":"Выделение глобального стохастического тренда из несинхронных наблюдений волатильности финансовых индексов","authors":"Погорелова Полина Вячеславовна, Пересецкий Анатолий Абрамович","doi":"10.22394/1993‐7601‐2020‐57‐53‐71","DOIUrl":"https://doi.org/10.22394/1993‐7601‐2020‐57‐53‐71","url":null,"abstract":"","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"53-71"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415363","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
Revealing the mood of economic agents based on search queries 基于搜索查询揭示经济主体的情绪
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-59-71-87
Diana Petrova, P. Trunin
{"title":"Revealing the mood of economic agents based on search queries","authors":"Diana Petrova, P. Trunin","doi":"10.22394/1993-7601-2020-59-71-87","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-59-71-87","url":null,"abstract":"Currently, user behavior on the Internet is becoming a key source of information about the market sentiments and the public mood. In this regard, it becomes relevant to study the usefulness of such indicators in modeling macroeconomic indicators. This article proposes an approach to assessment the mood of economic agents using Google Trends search queries. A key particularity of the article is the selection of keywords based on the analysis of RBC news from January 2010 to March 2020. The results showed that sentiments in financial and money markets based on a principal component analysis strongly correlated with the financial stress index of ACRA and Rosstat consumer confidence index, which confirms the possibility of use search queries in the development and analysis of economic policy. We use search query indices for the consumer confidence index forecasting with mixed data sampling (MIDAS). In out-of-sample forecasting, our results show that MIDAS which includes the indicator of sentiment in the money market gives the best forecast performance for the next quarter, and MIDAS with the sentiment in the financial markets has a high accuracy of forecasting the consumer confidence index for 3 quarters.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"59 1","pages":"71-87"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416061","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
A dynamic multinomial model of self-employment in the Netherlands 荷兰自主创业的动态多项模型
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-59-5-32
Elisabeth Beusch, A. Soest
{"title":"A dynamic multinomial model of self-employment in the Netherlands","authors":"Elisabeth Beusch, A. Soest","doi":"10.22394/1993-7601-2020-59-5-32","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-59-5-32","url":null,"abstract":"This paper presents a dynamic multinomial logit model to explain the transitions into and out of self-employment using Dutch micro-panel data, the LISS panel. Based on the estimates we simulate employment paths for benchmark individuals. These are used to illustrate the limitations of the common assumption in wealth and pension income modeling, that individuals remain in their observed labour state until retirement. In particular, we find that although one year transition probabilities out of self-employment are not more than 10%, the chances that individuals who are self-employed remain self-employed for the majority of the next ten years can be much smaller, and vary substantially with individual characteristics such as education level and personality.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415580","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
Urbanization and income inequality: Cause or solution? 城市化与收入不平等:原因还是解决办法?
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-59-55-70
E. Kolomak
{"title":"Urbanization and income inequality: Cause or solution?","authors":"E. Kolomak","doi":"10.22394/1993-7601-2020-59-55-70","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-59-55-70","url":null,"abstract":"The influence of urbanization on the income differentiation of the Russian population is studied. Methods of descriptive statistics, panel regression and quantile regression are used. The hypothesis of a bell-shaped relationship between urbanization and indicators of income inequality: the Gini coefficient and the coefficient of funds were confirmed. A principally different relationship for the poverty has been identified, U-shaped dependence is revealed.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"59 1","pages":"55-70"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415761","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: 2
“Credit view” on monetary policy in Russia 俄罗斯货币政策的“信用观”
Applied Econometrics Pub Date : 2020-01-01 DOI: 10.22394/1993-7601-2020-57-72-88
A. Pestova, Cerge-Ei Prague Czech Republic Graduate Education
{"title":"“Credit view” on monetary policy in Russia","authors":"A. Pestova, Cerge-Ei Prague Czech Republic Graduate Education","doi":"10.22394/1993-7601-2020-57-72-88","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-57-72-88","url":null,"abstract":"In this paper, I assess the effectiveness of credit channels of monetary transmission in Russia. I use a dynamic factor model with monetary policy shocks identified using sign restrictions approach. The analysis confirmed the effectiveness of the bank lending channel for consumer loans and short- and medium-term corporate loans. A significant effect of monetary impulses on bank capital was found. At the same time, borrowers’ balance sheet channel is not amplifying, but, on the contrary, restraining the effect of monetary shocks on the economy","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"72-88"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415497","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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