2015. vol. 19. No. 2

The paper is devoted to the identification of monetary policy shock and evaluation of its impact on the main macroeconomic variables of the Russian economy. To solve this problem we use the methodology of the structural vector autoregression model. For estimation we use monthly data on the industrial production index, consumer price index, monetary base and other macroeconomic indicators for the Russian Federation. To control for possible endogenous money supply reaction to the changes in external economic conditions we include foreign economic variables into the model: the oil price, the index of global economic activity and the risk premium on investments in domestic assets. We also utilize the small open economy concept and treat the first two indicators of external economic conditions in the econometric model as exogenous variables.

According to the results monetary policy shocks have a statistically significant impact in the short-run both on the real sector of the Russian economy and on the nominal variables. Positive monetary policy shock leads to a temporary increase in output, the volume of lending, the price level, as well as a reduction in nominal interest rates on loans. In the paper we evaluate the contribution of monetary policy shocks to the dynamics of the Russian macroeconomic variab­les. According to the results monetary policy shocks lead to cyclical fluctuations in economic activity around the trend growth. In particular, the policy of preventing ruble appreciation (compared to a more flexible exchange rate regime) before the crisis of 2008–2009 years made a positive contribution overheating of the Russian economy. The policy of gradual devaluation had a negative impact on output and strengthened economic downturn. At the same time the contribution of monetary policy shocks to the variance of macroeconomic variables is small.

The performance of mergers and acquisitions (M&A) is one of the key issues in corporate finance. We contribute to existing literature by examining the performance of M&A deals based on the economic profit model and comparing the results with ones obtained by means of traditional methods – accounting studies. Applying economic profit as an indicator of M&A performance allows us, in contrast to existing studies, to assess the impact of mergers and acquisitions on value of European companies in the long-run. Our study is based on the sample of 153 M&A deals initiated by companies from developed capital markets of Western Europe. Analyzing one of the latest periods, 2000–2011 years, we prove that the performance of combined firms improves subsequent to mergers and acquisitions. We find positive industry-adjusted differences between the post-acquisition and the pre-acquisition performance measures. The difference equals to significant 3,3% for EBITDA/Sales ratio and 3,1% for EBITDA/BV Assets ratio. The economic profit approach demonstrates similar results. Economic profit has in creased due to M&A deals by $7,5 million. The obtained results indicate that companies in developed capital markets of Western Europe are able to achieve planned synergies and integrate successfully improving the operating performance and creating value of the combined firms.

This paper studies how heterogeneous individuals, that differ by entrepreneurial skills and productivity as a worker, endogenously choose their occupation (workers vs. entrepreneurs) based on expected income comparison (wages vs. profits). Each entrepreneur runs a firm that produces a single variety of a horizontally differentiated good under monopolistic competition. We show that the cutoff for occupational selection between workers and entrepreneurs is a negatively sloped curve in the space of individual characteristics. The form of this cutoff curve does not depend on the distribution of individual characteristics, but is affected by the elasticity of substitution between varieties. Changes in the distribution of individual characteristics can shift the cutoff curve. Thus individual employment choices depend not only on the distribution of characteristics, but also on the degree of competition in the market. We show that when the distributions of entrepreneurial skills and worker productivity are independent and follow power laws, an increase in the average worker’s ability decreases the share of entrepreneurs, whereas changes in the average entrepreneur’s skills do not affect this share. Estimates based on Current Population Survey (CPS) data are in line with the theoretical shape of the cutoff curve, and our estimates of the elasticity of substitution are close to those usually found in the literature.

This paper considers a seasonal adjustment procedure that is capable of preparing data to the use in applied general equilibrium models. It is shown that standard seasonal adjustment procedures do not satisfy the property of invariance to deflating, that hinders their use in applied general equilibrium models. A system of axioms that describes the desired properties of a seasonal adjustment procedure is suggested. The impossibility of simultaneous fulfillment of additivity and invariance to deflation properties is shown. Therefore, one needs to choose the desired property depending on the type of the task that is solved.

The proposed procedure models the seasonality as a set of seasonal multiplicative dummy variables, so it can not only remove the seasonality, but also return it to the data in order to obtain forecasts. The procedure also has a built-in outlier detector, which enables it to handle noise and outliers in data of different types. It is compared to the popular X12 seasonal adjustment procedure using Monte-Carlo method. It is shown that the preciseness of the proposed procedure is comparable to X12 in terms of resistance to outliers and preservation of statistical properties of the series in the specific set of problems connected to the estimation of general equilibrium models. Several examples of its application to real data are shown. The obtained results allow us to make a conclusion about applicability of the suggested procedure to the removal of seasonality from the data that is used in the estimation of macroeconomic models.

This paper considers operating and capital expenditures of public and private oil-pro­ducing companies as factors that underlie the competitiveness of enterprises. The purpose of the study is to (1) assess the competitiveness of specific producing companies (Iraq National Oil Company, Kuwait Petroleum Corporation, Qatar Petroleum, Saudi Aramco, ADNOC, ExxonMobil, Total, Royal Dutch Shell, OAO Rosneft, OAO Lukoil); (2) compare private and state oiland gas companies for the period from 2000 to 2013; and (3) form a conclusion about the competitive advantages of these companies. Panel data on production, export and expenditures of 10 oil-producing companies have been used to estimate the cost equation by means of ordinary and median fixed-effect regression.

Based on these estimates, the authors have compiled rankings of companies on the competitive advantages from the standpoint of operating and capital costs separately. According to the obtained estimates, Arab companies have the smallest level of operating and capital costs when adjusted for the volume and the structure of production, which can be interpreted as their competitive advantage over their Western and Russian peers. The results of the work are aimed at improving the transparency of the global energy sector and, according to the authors, may be useful to Russian oil and gas companies’ management and global oil market research ers, especially in the current period of stagnation resulting from the recent drop of oil prices.

There is no accurate answer for the question, which method of modeling of uncertainty is preferable: random or fuzzy. Today both of these approaches are highly popular. Fuzzy and probabilistic approaches are commonly used for modeling of uncertainty.

Fuzzy numbers can be used for modeling vagueness of parameters, such as risk-free rate or volatility in option pricing. Under these assumptions, option value depends on believe degree and turns to fuzzy number. In this paper the Black – Scholes formula and it’s modification for American option arbitrage-free value are used. Fuzzy representations of underlying asset price, volatility of asset price and risk-free rate are used as parameters. There is set of papers regard ing fuzzy approach for European option pricing. In this paper fuzzy approach is used for arbitrage-free American option pricing for the first time. The fuzzy American call value is compared with fuzzy European option value.