2013. vol. 17. No. 4

The analysis of short-term tendency of economic dynamics can be performed on seasonally adjusted data only. This implies that each time series is to be transformed in two: the seasonal component and the remaining part. The result of such decomposition depends on the specific features of the seasonal adjustment algorithm. Most uncertainty is expected within the neighborhood of crises when the economic indicators are likely to demonstrate substantial changes. Under such circumstances, the seasonal adjustment procedures are likely to generate spurious signals that deteriorate the seasonally adjusted series.

In this paper we analyze distortions of seasonally adjusted time series of economic data that appear in the neighborhood of crises. We examined the aberrations caused by sharp level shifts as well as by changes in seasonal pattern and showed that under these circumstances thestandard algorithms of seasonal adjustment can generate spurious signals similar to first signs of a crisis or its second and following waves. We consider these misleading signals from two points of view: first, as an economic historian who operates with long time series of unchanging data; second, as an analyst of short-term dynamics monitoring the data that is subject to revisions.

We show that these aberrations can be misleading for understanding of short-run dynamics especially during the first years after a crisis. The identification of the end of a recession and estimation of seasonally adjusted values of observations right after the peak (or bottom) of a fluctuation seem to be the most problematic. Monitoring within this «blind zone» appears to be very complicated. We compared aberrations produced by X-12-ARIMA and TRAMO/SEATS. Some recommendations to soften the distortions are proposed.

The model of financial leverage dynamics that had been proposed by the author (the journal of «Voprosy Economiki», 2012) was investigated and developed further. Aggregate structure of a financial system was introduced via spreads between different asset returns while its behavior was represented by the leverage. Logistic model proved to be convenient in formalization of the Wicksellian analysis of a credit market. Being applied to the study of collective investors’ behavior near a stationary leverage, the model showed that the normal credit market had a stable stationary point, called a «Wicksellian equilibrium». In its local neighborhood different investment strategies did not give rise to the credit expansion. Contrary to that, a conjugate stationary point, corresponding to the irrational market, appeared to be an unstable one. In its neighborhood the market behavior could be decomposed into two branches that should be analyzed separately. Along so called «Minsky branch» a financial bubble being fuelled by the credit expansion has been formed, evolved and ultimately burst, suggesting the system’s singularity. Another, the «Fisher branch», near the unstable point has demonstrated the process of deleveraging that drove the system toward its collapse but under different economic conditions. Interestingly, that trajectory might have included some unstable states having the symptoms of the improved market conditions. Thus, the metastable qualities of a financial system, though harmful and highly undesirable, are by no means «paradoxical», contrary to the well known Verhulst model of a biological population. Using the IMF information the model predicted family of the leverage trajectories for the global financial system.

In 2000s Russian government considered e-auction as the best way to procure goods for public needs. In this paper we confirm this proposition using empirical dataset on 3 thousands contracts for procurement of sugar sand in Russia in 2011. Our data shows that unit prices are higher in the case of long-term contracts. This result can be explained by rigidity of public procurement regulation – because Russian legislation allows only fixed price contracts. Under these conditions suppliers can be ready to participate in public procurement tenders for long-term contracts only if their price includes some «risk premium» covering additional expenses of supplier in case of unfavorable turn in the market. Our analysis shows that sugar prices in Russian public procurement are lower for contracts with higher volume. These results are in the line with conclusions of previous studies of public procurement in other countries. Influence of competition measured by the number of suppliers participating in procurement procedure has quadratic form. It means that the effect of new participant is lower when number of competitors is higher and vice versa. Also our analysis shows that there are essential distinctions in influence of the same factors on contract prices for competitive procedures and void auctions. This result is important for economic policy but additional consideration is needed here.

The limited success of bank supervision can be better understood by taking into consideration the country conditions and market-based measures that are effective in constraining bank risk. In the case of Russian Federation and Turkey, regulators' incentive to oversight can be further complicated and hence, it can be argued that depositors compel to select sound banks if they continue to fund intermediation by banks in two countries. In this paper, depositors' sensitivity to risk using change in deposits and the level of interest rates on deposits are tested to understand whether they can effectively limit risk-taking behavior of banks. Comparing depositors' reaction in two countries, we find differentiated reaction by depositors to bank risks. In the Russian Federation, it seems that depositors respond weakly to increased bank risks only with the possibility of withdrawing funds. However, in Turkey depositors exercise both quantity and price discipline on the banks which facilitates in identifying risky banks. Moreover, market development, effectiveness of supervisory agencies, types of banks and types of depositors are found to affect depositors' reaction against banks. The findings of this study suggest that the experiences of depositors in both countries seem to play important role in reliance to market discipline in the future.

This paper discusses the problems of modeling efficiency of firms. There are two the most popular methods to estimate efficiency of firms: DEA (data envelopment analysis) and SFA (stochastic frontier analysis), and popularity of the last one is fast growing. There are a lot of different SFA-models, so most researches often choose in advance one or two models, which they are going to estimate. So survey of different SFA-models is one of goals of this paper.

We discuss 15 popular SFA-models. Also we discuss problems of SFA models and their prospects. In our paper we compare models, estimated by classical method of moments (MoM), and models, estimated by maximum likelihood approach (MML). Today there are no such papers, so we try to discuss pros and cons of using method of moments approach in SFA models. Interesting, that this method is very unpopular today, but its’ estimates are asymptotical normal and consistent.

Because there are no formal criteria to compare different SFA-models, we investigate the estimation results from 9 SFA-models on the concrete industry data. We use correlation analysis of estimates of efficiency ranks and also we try to find out the causes of the most serious differences between models.