Publications

Internal-Ratings Based (IRB) approach is one of the founding blocks in the modern credit risk management and regulation. Its implementations by the banks world-wide incentivizes researchers, central bankers and investors to evaluate the outcome versus the non-IRB banks, i.e., the treatment effect. However, there are obstacles in such evaluation. From one side, all the banks may transit to IRB for a relatively modest economy (like Greece). From another side, there is no single IRB transition point (like in the EU where the transition is voluntarily; a single point exists for the USA where the transition was mandatory for the largest banks). That is why we discuss the problem of the ‘control’ group depletion (attrition) in the Difference-in-Differences method. We provide two ways to replicate data using python language. The first code is based on the matrix structure (object * time), the second – panel data structure. Comparing both ways of the data replication (resampling) we choose the second algorithm due to it versality and faster computing results, than the first one.

This note discusses recent developments at the Brazilian Antitrust Authority – CADE – on handling digital markets and platform cases. It provides a brief view of official reports and jurisprudence, also bringing the perspective for the coming years. Despite the absence of institutional changes directed to digital markets, CADE undertook extensive efforts to properly assess such mergers and abuse of dominance cases. The results are visible and important given Brazil’s position as a developing economy. Considering the BRICS countries, CADE is an early adopter of the concepts and evolution is visible. On the other hand, abuse of dominance case analysis is still in earlier steps and divided in its legal standard. When discussing digital platform antitrust there are many global challenges with no simple answers. CADE is up to the task, with transparency and engagement with the antitrust community.

Among the factors of court performance—a crucial element of the institutional environment for a well-functioning market economy—productivity (disposition time) and adjudicatory quality (minimum legal errors) are significant. This paper investigates presumed quantity-quality tradeoff in Russian commercial courts when considering claims to annul administrative infringement decisions, on the example of antitrust cases. Using a dataset of the first instance court decisions regarding claims to annul decisions of Russian competition authority during 2008–2015, we explore the influence of extra efforts by a judge to assess the evidence on the probability of appealing and annulling her decision. The effect is not found to be statistically significant which means the absence of adjudicatory quantity-quality tradeoff. We discuss then the implications of the finding to the rules for additional evidence presented in the courts when considering a case. We conclude, first, that in Russia the rules on reasonable disposition time and the motivation of judges to prevent backlog do not increase the probability of legal errors. Second, new evidence acquired during judicial review does not statistically improve the legal quality of court decisions. The policy implication is that the recent initiative of the Supreme Court of the Russian Federation to limit additional evidence when considering claims to annul administrative antitrust decisions is reasonable.

A minimalistic model of the half-center oscillator is proposed. Within it, we consider dynamics of two excitable neurons interacting by means of the excitatory coupling. In the parameter space of the model, we identify the regions of dynamics, characteristic for central pattern generators: respectively, in-phase, anti-phase synchronous oscillations and quiescence, and study various bifurcation transitions between all these states. Suggested model can serve as a building block of specific complex central pattern generators for studies of rhythmic activity and information processing in animals and humans.

One of the major characteristics of research is the role and scope of international collaboration. Patterns of such collaboration are often complex and determined not only by pure academic rationale, but also by political, economic, geographic and cultural factors. The post-Soviet region has several features, which make it a unique unit for analysis of scientific collaboration. Based on bibliometric data for the period 1993–2018 with a 5-year lag, we analyze how international collaboration patterns of post-Soviet countries changed after the collapse of the Soviet Union. Our results show that in the observed period post-Soviet countries significantly changed their patterns of international collaboration, and these changes are country-specific. The analyzed countries moved away from each other, choosing their own international collaboration strategy. We observe a dramatic decrease in scientific collaboration between post-Soviet countries and a significant growth of collaboration with Western countries. With that, the role of post-Soviet countries in international collaboration declined rapidly for many countries.

As leading businesses organize themselves as two-sided platforms, developed economies competition authorities have adapted their practice. Younger jurisdictions also face the challenge to review and use new analytics. We explore the recent evolution of two-sided platform markets analysis in BRICS countries, focusing on a key point for competition policy enforcement: relevant market definition. The extensive review suggests that the countries have adopted the concepts and analytical practice for two-sided platform relevant market definition at different paces. Differences in competition policy institutional design might account for the heterogeneity. BRICS authorities with broader mandates, that handle larger number of cases, and with no separation between adjudication and investigation have lagged in the adoption of such tools and practices.

The paper considers changes in the structure of employment by skill level in countries. Differences in dynamics of the shares of employed with high, medium and low skill levels is traditionally explained by differences in exposure to routine biased technologies, participation in international trade, exposure to offshoring in the country. The current paper contributes to the literature about the drivers and determinants of changes in structure of employment by skill level considering the industrial structure to be the one of main factors. We assume that the dynamics of employees with high, medium and low skill levels depends on the shares of agriculture, manufacturing and service in the economy. Service industry has the largest share of employment; it is highly competitive and prone to the growing influence of large scale technologies. Using the data of 218 countries for the period 1989-2019 we prove that the greater the service industry in the economy, the higher the share of employed in high skill occupations in absolute value and relative to the share of employed in medium skill occupations. The faster the growth of service industry, the higher the growth rate of the number of employed in medium and high skill occupations. The share of manufacturing in GDP, the value of GDP per capita are the significant determinants of the dependent variables. We highlight substantial differences in the models of the structure of employment by skill level and its dynamics in the developed and developing countries, the oil exporting countries.

The West Siberian economic region remains a territory with high potential of liquid hydrocarbons production, which serve as a reserve for long-term development not only for this region, but for Russia as a whole. Experts claim that Western Siberia provides 70% of Russia’s oil production and accounts for 61% of the mineral extraction tax revenues. According to forecasts of the Ministry of Energy, if oil production is not stimulated, then by 2035 the volume of oil production will significantly reduce and budget revenue will decrease by 4.1 trillion rubles. At present, in order to increase the investment attractiveness of the industry, changes in tax and customs legislation are being introduced. However, the effects of the reforms are not obvious. Employing scenario analysis, the case method and financial modeling on the basis of publicly available information, we assess the impact of changes in tax and customs legislation on the investment attractiveness of oil field development projects. The main hypothesis of the study about the positive impact of the tax maneuver on the attractiveness of projects was partially confirmed. However, in all considered scenarios the internal rate of return does not exceed 13%. This is significantly lower than the global average rate of return for oil and gas industry. This points to the need for further adjustments to the tax and customs legislation to ensure sustainable growth and development of the oil and gas industry. The model created to assess the impact of alternative tax regimes on the investment attractiveness of hydrocarbon exploration and development projects can also be used to identify potential benefits and tax consequences for both the investor and the state.

The paper analyses two alternative theoretical interpretations the nature of Corporate Environmental Responsibility (CER)-Financial Performance (FP) interconnections based on the concept, that the implementation of CER measures increases the company financial efficiency, or the alternative theory the CER strategy development can only be applicable for stable companies with sufficient financial resources. The recent empirical literature shows many inconsistencies in each of the theoretical explanations the effective environmental and company financial policy formation. There are no Russian and foreign studies explaining the environmental responsibility and financial efficiency interconnection for Russian companies. It determines the purpose of this research and the novelty of the obtained research results. We use the least squares method in order to argue that financial efficiency is a significant driver for environmental responsibility of Russian companies. We also argue that the influence of financial efficiency on environmental responsibility varies according to the ownership structure and the foreign and state participation in the company

Found a practical way to solve the problem of normalizing design work. This issue has been discussed for a long time in the engineering environment, but, despite the developed methods, an optimal solution has not yet been found. Based on the analysis of the existing theoretical material and the systematization of practical experience, an idea was generated and an experiment was conducted on the standardization of engineering work in a real design bureau. The proposed solution can now really be used in design organizations in order to calculate the main cost item - the salary of designers.

To date, observational signs that determine the ability of  solar active region to cause an eruption of matter into the high layers of the solar corona (CME) are not entirely clear. This makes it difficult to understand the physical mechanism of the CME trigger. This paper presents a search for observational signs that may indicate the emergence of an eruptive process. For this, we carried out a comparative analysis of the conditions before and during flare for flare events, both accompanied and not accompanied by CME. We studied the features of the spatial and temporal dynamics of microwave and ultraviolet emission (data from the Nobeyama radioheliograph, SDO / AIA), as well as magnetic fields (SDO / HMI) for 16 active regions (AR). Using this sample, it was found that flares accompanied by CMEs most often occur in open magnetic configurations, in regions with twisted magnetic ropes, with floating fluxes. CMEs are also observed most often in flares of longer duration and in those ARs that have sources in microwave radiation that are more extended in area.

The article presents a method for improving the content of the disciplines of the mathematical cycle ("Linear algebra", "Mathematical analysis", "Probability theory and mathematical statistics") based on the content of the program "Econometrics" for the direction of training 38.03.01 Economics of N.I. Lobachevsky National Research University. The described methodology can be applied to any discipline and includes seven main points. The article presents the following results of the methodology use for "Linear algebra": matrices of logical connections (MLS) within the discipline and the interdisciplinary "Linear algebra"–"Econometrics"; chains of significance of content elements (a fragment of a table); the result of allocating a common (invariant) part of the programs of several selected universities; a hierarchy of topics within the discipline and their rating built on the basis of the analysis; a variant of redistribution of time allocation for seminars and independent work; examples of possible topics for research and project work. It is proposed to redistribute the hours of training sessions depending on the rating of each topic obtained as a result of the conducted research. For those with a high rating, it is necessary to allocate more time for seminar classes, for those with a low rating-for independent work. According to the results of the application of the methodology, there was an improvement in the quality of students 'mastering the material of mathematical disciplines necessary for a more complete study of "Econometrics", and, as a result, to increase the level of formation of "Professional mathematical competence of an economist" (PMCE), which positively affects their further successful professional activity.

Environmental problems are becoming more and more acute and pressing every day therefore their research in relation to the financial and economic aspects of a modern company is very important. The content of the book is formed by the conceptual, theoretical and methodological aspects of the analysis of corporate financial policy, studied in relation with the factors of the company's environmental responsibility. We analyze the necessity of revision and the directions of improvement of the methodology of financial policy in the new conditions. We pay special attention to the empirical analysis of indicators of environmental responsibility and environmental performance at different organizational levels.The results obtained seem to be valuable in order to improve corporate practices for managing environmental responsibility and increase the financial efficiency of companies. The book will be of interest to a wide readership, including researchers, practitioners, graduate students, applicants and students studying in the areas of "Economics", "Finance and Credit", "Management".

The Basel III regulation raised the minimum capital requirements for banks. However, its implementation may not have reduced systemic risks. Academicians investigating optimal banking regulations do not have a consensus on whether to increase or decrease capital requirements. Here, we use the agent-based approach to study capital regulation and its implications on the evolution of the banking system. We chose the Russian banking system to proxy key model parameters. We find that lower capital requirements imply higher financial stability than the Basel III regime, where the regulator requires banks to have capital over 10% of its risk-weighted assets’ amount. However, the regulatory rule to merely have a non-negative capital is the simplest solution that best fits heterogeneous economies. It produces the highest ratio of capital to assets, the least number of bank bankruptcies, and the lowest demand of banks to enter the interbank market to cover liquidity problems for all systems.

The last 25 or so years are widely considered as witnessing, in many jurisdictions throughout the world, a substantial increase in the role of economists and, though this view has not relied on much formal empirical backing, even in the extent and sophistication of economic analysis applied in the assessment of cases and in reaching decisions in competition law (CL) enforcement. A few countries, such as the USA and Canada, are generally thought of as leading the way in this regard. But whilst this view, or, better, hypothesis, can be thought of as uncontroversial for merger control, it is far from uncontroversial for antitrust enforcement in many jurisdictions. 

The moderate extent to which many competition authorities (CAs) worldwide apply concepts, tools and techniques developed by modern economic theory remains a puzzle for both academics and authorities themselves. In the model of reputation-maximizing CA developed by Katsoulacos (2019), in which decisions are subject to judicial review, the choice of the legal standard (LS) in a particular case is explained by the cost of litigation and anticipation of the LS adopted by the appeal courts. In this article, we empirically test, using  a dataset of decisions reached by the Russian CA, the relation between the LS adopted and the annulment rate of appealed decisions and show that this is consistent with the assumptions of reputation-maximization choice. The implications of the analysis allow us to conclude that, first, the model of rational reputation-maximizing authority can explain the extent of economics utilized by CAs; second, the role that courts play in the administrative (in contrast to prosecutorial) model of competition enforcement is higher than is widely believed.

This paper aims to develop an analytical theory of share pricing in a financial market environment. The proposed approach corresponds to an actual auction mechanism in which an electronic stock exchange terminal processes real-time data. The theoretical framework is based on the microeconomic model of an individual investor’s net demand. Equity resources and resources of “free” capital (exchanged for shares) owned by traders and the investors’ perception of the structure of the target portfolio are considered the initial variables of the model. The model differs from the classical theory of asset pricing in its notion of fundamental variables. The relations derived for the aggregated net demand in the stock market describe share pricing as a market exchange that results in the Walrasian equilibrium approximation. The authors offered an appropriate econometric technique for estimating the parameters of instantaneous aggregated net demand. The developed approach was tested using the Walrasian equilibrium concept, which demonstrated that the modeled share price corresponded with the observed share price for the Russian financial market. As an example, the authors presented the results of the investment strategy based on the developed approach for the Russian financial market during the 2008–2009 crash. The authors based their approach on identifying the expectations of the stock market participants through an analysis of high-frequency trading platform information. The microeconomic model describes the motives of traders for placing limit orders in the stock market and associates the price and volume of a particular limit order within the parameters of the capital capacity of the net demand of the trader. The application of the algorithm allows for the monitoring of the financial market situation and reveals the market expectations of traders based on the analysis of information transmitted by an order book of a trading platform

The scope of research papers on the banking regulation reforms and its effect on conventional bank performance gave the authors the idea to consider Islamic banks in this light. Especially since in 2013 the Islamic Financial Services Board (IFSB) proposed the capital ratio for the Islamic banks. The paper employs the difference-in-differences model (DD) that allows to evaluate the treatment effect of the proposed IFSB regulation on the Islamic bank stock performance. The authors collected annual data on 25 Islamic banks (treatment group) and 41 conventional/mixed banks (control group) from 11 countries in the period of 2005–2020. The results reveal positive sign for the treatment effect. We interpret it that investors perceive the new regulation for the Islamic banks as a signal of increase in these banks' financial stability that much outpace the accompanying costs of higher capital requirements.