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151–192
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On April 3-4, 2002, the 3rd international scientific conference "Modernization of the Russian economy: results and prospects" was held, organized by HSE with the participation of the world Bank and the «Bureau of economic analysis» Foundation. The plenary session was opened by Yassin E. G., head of research at HSE. This report is published in the current issue of the journal. |
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193–216
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The paper shows how partial differential equations for the prices of financial instruments are derived. By the example of convertible bonds and European stock options, it is demonstrated how the initial and boundary conditions leading to completely different solutions for the same equation are set. The results of calculations, including the use of a new difference scheme for this area, are presented. |
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217–224
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The article deals with the methodological features of the calculation of deflator indices by sectors of economy and industry in order to analyze the comparative dynamics of average annual prices for the period of economic reforms. |
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225–250
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In this paper we present the theoretical framework, which can be used to examine the potential impact of the taxation system on the accumulation of physical capital in Russia. The modified version of M. King and D. Fullerton microeconomic simulation model of marginal effective tax rates (METRs) is applied to Russia in order to examine incentives provided by three different Russian tax legislations to save and invest in the private non-financial corporate sector. Changes in treatment of interest payment deductibility, in the rates and methods of depreciation of assets, in personal income taxation, as well as some other details of taxation were taken into account. METRs computed for investment projects financed by domestic households through bank loans under the old Tax Laws are not that different from the new Tax Code. They may be considered average by international standards. Under the new Tax Code, we observe a drastic reduction of the effective tax burden on the corporate level and a substantial increase of the tax load on interest income on the personal level. Results may be different when investment projects are financed out of retained earnings or through new share issues. |
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251–273
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The publication of the lecture course "Time Series Analysis"continues in this issue. In the previous issue, the basic definitions of the concept of stationary random processes, their characteristics and properties, as well as the class of stationary random processes such as ARMA and non - stationary-type ARIMA were considered. Analyzed the approach of Box-Jenkins to the identification of the time series. This issue continues the discussion of the approach of Box-Jenkins, in particular, the estimation of the parameters of the type of ARIMA and forecasting using these models, examples of applying the approach of Box-Jenkins. The features of the behavior of some non-stationary time series, non-stationary series such as TS and DS, Dickey - fuller test to test the hypothesis about the type of series are considered. |
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