Theoretical and Applied Economics
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MAIN PAGE > Journal "Theoretical and Applied Economics" > Rubric "Mathematical modeling and instrumental methods in economics"
Mathematical modeling and instrumental methods in economics
Zaytsev M.G., Varyukhin S.E. - Comparison of various methods of assessing the systematic risk factor pp. 1-19


Abstract: The subject of this research is the calculation of systematic beta risk coefficients for the United States corporations, which in accordance with the A. Damodaran’s industry classification comprise the following branches: Utilities (General), Retail (Grocery and Food), Shoe, Auto&Truck, and Food Wholesalers, with the use of various techniques applied by the famous providers: Yahoo.com, NASDAQ.com, Valueline.com, Bloomberg Terminal, and Damodaran Online. The goal of this work consists in verification and comparison of calculations of the systematic beta risk coefficients for the indicated United States corporations and the substantiation of the revisions to them. The authors calculated the beta coefficients, using the revenue data of these corporation and indexed S&P500, SP500TR, and NYSE Composite; as well as time dependency of beta based on various methods of the famous providers for 43 of the oldest and most sustainable corporations in the United States. The scientific novelty is defined by the fact that the calculations conducted by the authors in accordance with various techniques for the corporations rated on the market NYSE and NASDAQ, practically align with the data of the listed providers, but drastically differ for the diverse assessment techniques applies thereof. For the branches Utilities (General) and Retail (Grocery and Food), the authors’ results for industry beta, calculated as weighted average for the industry with the weights equal to capitalization of corporations, practically coincided with the data of Damodaran Online. However, for the tree other verified industries, the author detected significant, inexplicable discrepancies, clearly related to the presence of small companies in the list of industry, which stocks are irregularly traded in over-the-counter markets.
Tsurikov V.I. - Incomplete contracts in the condition of Russian specificity. Part 3. Impact of the corruption component of the institutional environment pp. 51-60


Abstract: The subject of this research is the impact of the corruption component of the institutional environment upon the investment decisions of agents and the size of public gain. Within the framework of incomplete contract, it is demonstrated that consideration of the corruption component leads to one of two cases, one of which could be interpreted as extortion, and the other – as conclusion of a mutually beneficial corrupt deal. Special attention is given to the analysis of the capabilities of the agents for maximization of their personal gains, which are defined by their stimuli towards carrying out investments into the growth of mutual profit. It is demonstrated that in the case of extortion the stimuli of the agents diminish, resulting in the decrease of public gain. The determination is made on the existence of the baseline level of stake of the “corrupt tax”, exceeding which makes it preferable to transfer the right to leftover profit to the bribe extortionist. It is demonstrated that widespread practice of corrupt cooperation can lead to negative deformation of the structure of national economy.
Borodachev S.M. - Evaluation of the parameters of economic systems through Kalman filter pp. 93-97


Abstract: This article discusses the application of Kalman filter for estimating parameters of economic systems using two methods: maximum likelihood and minimization of root mean square prediction error. The author examines the integrated system of foreign exchange market and stock markets in Russia. Different behavioral strategies of foreign exchange market participants are reflected. Particularly, the author builds and analyzes a simple model of dollar to ruble rate, which considers the changes in oil prices and money transactions between the foreign exchange and stock markets with up to three days lag. The parameter estimation is carried out in accordance with daily data of the dollar to ruble rate, oil prices and the MICEX index from November 1, 2015 to December 20, 2015.  Along with the evident instantaneous actions of the foreign exchange market participants, the author detected the shift of the dollar to ruble rate in the same direction as the MICEX index with two days delay, as well as the same direction as the oil price with the three days lag. The article provides economic interpretation of the obtained system parameters.
Lukashova I., Mokrousov N., Berejnaya O. - Methodology of assessing poverty at the individual level pp. 125-136


Abstract:  The object of this research is the assessment of poverty at the individual level; while the subject is the efficiency of implementation of mathematical modelling for the dynamic assessment of the impact of microcredit upon the financial well-being of clients of microlenders. The scientific interest towards this topic is substantiated by the constantly growing demand for microcredit products among the poor social groups of the Kyrgyz Republic, mostly from rural districts; promotion of microlending in strategic documents of country’s development, and the concurrent absence of formalized instruments allowing to measure the progress of elevation from poverty as a result of microlending. The logistic regression, which allows assessing the likelihood of poverty at the individual level, was selected as basis for creating the formalized instrument. The scientific novelty consists in the development of comprehensive methodology for structuring the model of likelihood of poverty, which accounts for only the demographic profile of a family, its income and expenses, but also possession of long-term use goods and earning assets. The results of this research produced the instrument that can be used by microlenders for objective assessment of the impact of microlending upon the clients’ well-being.  
Egorov N. - Methodology of rating express-evaluation of the regional innovation development based on the Triple Helix model pp. 157-162


Abstract: The object of this research is the constituents of the Far Eastern Federal Okrug. The article carries out a comparative analysis of the results of express-evaluation according to the authorial methodology with rating scores, conducted by the National Research University “Higher School of Economics”, National Association of Innovations and Development of Information Technologies, and Association of Innovative Regions of Russia for 2014. The author provides the formula for econometric evaluations and a list of statistical indexes of the academic organizations, business, and states that characterize contribution of the triad in development of the regional innovation economy. The suggested methodology of rating express-evaluation of the level of regional innovation development leans on the concept of the Triple Helix model. Econometric evaluations in accordance with the indicated methodology allow conducting rapid assessment of the level of innovation development of a region and effectiveness of contribution of the academic organizations, business, and states in the cumulative overall performance of innovation development of a subject based on their minimal key statistical indexes in the area of scientific innovation activity. The evaluation results conducted using the author’s methodology demonstrate can be valuable for the executive government authorities, business structures, academic organizations for rapid analysis and adoption of various organizational-administrative decisions on development of the regional innovation activity.
Napolskikh D.L. - Methodological approach to optimization of placement of businesses of the regional industrial clusters pp. 170-180


Abstract: The object of this research is the theoretical-methodological grounds of the placement of industrial cluster businesses in the Russian regions. The subject of this research is the improvement of methodological instrumentarium for solving the problem of spatial localization of industrial clusters in the region. The goal of this work lies in development of the economic-mathematical model of clusterization of the economy, which expands the methodological potential of optimal placement of cluster initiatives within the Russian economic space. Special attention is given to the peculiarities of cluster development process that determine the initial conditions for finding an optimal placement and long-term growth of industrial production in the cluster. The article applies the modern approaches towards economic-mathematical modelling, as well as systematization of geostatistical methods. The author considers the problems of optimization of placement of the new alongside the development of already existing production facilities in the process of realization of cluster initiative; generalizes the approaches to economic-mathematical modelling of the process of formation and development of industrial clusters. The article also formulates the criteria for optimal placement and prospective development of the cluster businesses.
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