HSE Economic Journal , 2023 (2) http://ej.hse.ru en-us Copyright 2023 Mon, 29 May 2023 12:00:28 +0300 Financial Frictions in a DSGE Model of Russian Economy https://ej.hse.ru/en/2023-27-2/836654648.html In this paper we study whether financial frictions should be accounted for in a DSGE model of Russian economy. We compare the baseline two-sector DSGE model of a small open economy with its version extended by financial accelerator and another version which assumes an agency problem between bankers and depositors. Using calibrated versions of these models, we show how the assumptions regarding the peculiarities of financial market change the transmission mechanisms of macroeconomic shocks. Specifically, the responses of investment and consequently other variables depend on the dynamics of risk premium. In case of financial accelerator model risk premium depends on net worth and leverage ratio of capital owners. In case of agency problem model financial position of bankers drives changes in risk premium. As a result, the risk premium either changes in the same direction in both models or changes in the opposite way. It determines whether the reaction of investment is amplified in case of financial frictions or not. Estimation of all three models using the same data set which does not include data on risk premium allows us to conclude that the baseline model fits the data better than models with financial frictions. However, the difference between the baseline model and the financial accelerator model is not that substantial. Estimation of two financial frictions models on the full data set which includes data on risk premium shows that the financial accelerator model is strongly preferred to the agency problem model. In addition, impulse response functions from estimated models indicate that accounting for financial frictions can noticeably alter our assessment of transmission of various shocks. For example, if we do not account for financial accelerator, we can underestimate the positive response of output to government consumption shock and underestimate the reaction of output and inflation to monetary shocks. Moreover, financial sector shocks play a non-negligible role in explaining the fluctuations in output and other variables in historical data. We conclude that optimal economic policy decisions require using a combina tion of DSGE models with different financial sector assumptions. Comparison of Central Counterparty Risk Assessment Approaches https://ej.hse.ru/en/2023-27-2/836657522.html The exchange uses statistical risk models to estimate derivatives' margin requirements. These models may use rough simplifications to speed up and simplify the calculation of margin requirements for open positions. Such simplifications include: limitation of the set of risk factors taken into account, use of simple distribution functions and assumption of zero or fixed correlation between risk factors. The paper assesses the impact of these simplifications on the assignned margin level. To achieve this, several models of varying complexity have been built to estimate the risk of positions in futures and options. The list of models includes those used in practice (the Moscow Exchange model, the Standard Portfolio Analysis of Risk), as well as stochastic ones. The confidence level of the models’ results measured by the share of realized losses exceeding the level of margin requirements. The burden on the exchange participants estimated by using different models and compared by the distribution and the average value of the margin requirements. The results of the study show that simplifications proposed in practice can lead to an underestimation of the risk of changes in the value of instruments, not allowed by Principle 7 of paragraph 3 of the CPSS – IOSCO 2012. No systematic underestimation occurs when using the stochastic model, consideration of the correlation of risk factors in this case is critical. It is also found that, in average, margin estimates based on the stochastic model lower than those of the Moscow Exchange, which can be interpreted as a lower burden on the exchange's clients. Income Inequality and Natural Resource Endowment in the Russia's Regions https://ej.hse.ru/en/2023-27-2/836658269.html This article evaluates the impact of natural resources on income inequality in the Russia’s regions using the relative indicator of natural resource endowment – the share of the extractive sector in the GVA of the region, which is interpreted as a dependence of the region's economy on the extraction of natural resources. The results of the evaluation of panel models with region and time fixed effects show that there was a nonlinear relationship between natural resource endowment and within-region income inequality in 79 Russia’s regions for the period 2004–2020: natural resources contributed to the mitigation of income inequality when their share in the structure of the economy was less than 30%, but with further growth of the resource sector, the effect changed to the opposite. Estimates from the subsamples showed that for 10 regions where the average share of employment in the extractive sector for the period exceeded 4%, natural resources contributed to the growth of income inequality. The probable reason for this result is the polarization of the labor market in resource-rich regions. At the same time, for the remaining 69 regions, the effect of natural resource endowment was significant and negative for income inequality. For groups of regions engaged in the extraction of certain types of resources – coal, oil and gas, metal ores, a nonlinear effect was maintained. Thus, we can talk about the mitigating effect of natural resources for income inequality in those regions where the economy is not heavily dependent on the resource extraction. The results of the study can be used to develop economic policy in different regions of Russia. RCEP Impact on Economic Links between PRC and Japan https://ej.hse.ru/en/2023-27-2/836659168.html The growing economic potential and the size of the market have turned China into the main trading partner of many countries, including Japan. Japan, in turn, provides a leading rolein the technological and investment cooperation of the Asia-Pacific countries, including China. However, until recently, the two leading Asian economies were not linked by an FTA Agreement, even though such agreements dominate international trade. The situation is being changed by the Regional Comprehensive Economic Partnership Agreement (RCEP), which entered into force in January 2022, creating new conditions for the development of foreign economic relations in the region. Prerequisites are being formed for a radical change in the situation, fundamentally reversing the decades-long predominance of trade with the EU and the US in fast-growing Asian markets. The leading Asian countries are forming a space for the growth of mutual trade due to the promotion of preferential market access. By becoming part of the world's largest free trade zone, China and Japan are creating new growth points, primarily in trade for Japan and in expanding access to innovation and investment for China, which is of particular importance in a period of global instability and recession, trade wars, and geopolitical transformations.The purpose of the article is to determine the significance of the RCEP Agreement in trade and economic cooperation between China and Japan.The study hypothesizes that the participation of the two largest economies of the region in the RCEP is based on the deep mutual strategic interest of the partners: On the part of Japan, it is projected in a significant increase in exports to the capacious market of the People's Republic of China while on the part of the People's Republic of China, it is expressed in the possibility of providing additional investment inflows and accelerating innovative development in key in dustries. Factors Affecting the Intention to Use Digital Banking Services: A Case Study on Elderly Customers in Vietnam https://ej.hse.ru/en/2023-27-2/836663734.html Based on Technology Acceptance Theory (TAM) and Linear Structural Model (SEM), the author predicts factors affecting the intention to use digital banking of customers from 50 years old in Vietnam. For this study, 350 valid responses out of 398 survey participants have been collected and utilized for data analysis, digital banking are found easy to use, helpful, reliable, and less risky for elderly customers, which might increase the elderly’s demands and intentions to use them. Regarding the behaviors of elderly customers, this study will provide an insight into elderly customers’ expectations accessing digital banking services during the COVID-19 pandemic in emerging markets. Furthermore, the researcher proposes an integrated model to predict behaviors and examines main. About Scientometric Rankings and Journal BACchanalia https://ej.hse.ru/en/2023-27-2/836664943.html The article presents the results of historical and methodological research into the formation of special lists of economic journals of RSCI and VAK, and a comparative analysis of these lists. It is shown that each of them is based on Scientometric indicators and almost identical methods of calculating journal rankings. However, the goals pursued, and the nature of such lists are quite different: in one case the journal lists of RSCI are strictly informative in nature, in the other case they are formed by the Ministry of Education and Science and the Higher Attestation Commission as an obligatory norm for candidates for a Ph. At the same time, the widely divergent results of the ranking of journals raise the most serious doubts about their adequacy to scientific realities. It is shown that these doubts relate to the correctness of the information resource application: an unreasonably expansive interpretation of the indicators themselves and, most importantly, the use of a combination of objective Scientometric indicators and subjective expert evaluations when constructing the rankings. It is not an easy task to combine two different types of information in a single integral rating. Its solution, first of all, requires the involvement of competent and independent experts. Perhaps an open democratic procedure of selecting such a group of experts or defining a representative sample from a large array of specialists is needed. It is necessary to use an adequate algorithm of aggregation of two different types of information. Arbitrary selection of weights is simply unacceptable here. One of the final conclusions of the article is related to the recommendation to abolish VAK requirements to any journal lists or to transfer these functions to their own Academic Councils of universities and academic institutions.