Models for Moody’s bank ratings

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public information can reasonably well approximate the ratings. It appears that the observed rating degradation can be explained by growth of the banking system as a whole. Moody’s has a special approach for banks in developing countries and Russia in particular. The models help reveal the factors that are important for external bank support.banks; ratings; rating model; risk evaluation; early warning system

The price of Moscow apartments

We present a simple hedonic model for apartment prices in Moscow in the year 2003. Based on some 15,000 observations we estimate the model and use the estimates for prediction. Pretest issues are explicitly taken into account.Hedonic prices; Moscow; pretesting

Autocorrelation in an unobservable global trend: Does it help to forecast market returns?

In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets . The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market returns, since the global trend is unobservable. The performance of the model for the forecast of market returns is explored for three markets: Japan, UK, US

Эндогенная классификация домохозяйств в регионах России

In order to study the structure of society, sociologists usually distinguish several homogeneous social groups, or classes. The most common division consists of three groups: upper, middle and lower classes. Such a partition is traditionally based on a subjective (exogenous) criteria adopted by a particular re-searcher. In this paper, the distribution of households in Russian federal districts is modeled as a mixture of three lognormal distributions. The mixing proportions (probabilities) of the mixture components and the corresponding distribution parameters are modeled as functions of the individual characteristics of households. The result is an endogenous decomposition of household sample into three clusters (lower, middle, upper). This classification allows to analyze the difference between regions and the patterns of intergroup dynamics in the period 2014–2018. The approach used in this work demonstrated great flexi-bility in analyzing the distribution of income, the dynamics of this distribution over time, as well as a migration between relatively homogeneous clusters. The use of mixture density function with endogenously determined probabilities allows for precise detection of the effects of the income heterogeneity determinants within each cluster

Autocorrelation in an unobservable global trend: Does it help to forecast market returns?

In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets . The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market returns, since the global trend is unobservable. The performance of the model for the forecast of market returns is explored for three markets: Japan, UK, US

Эндогенная классификация домохозяйств в регионах России

In order to study the structure of society, sociologists usually distinguish several homogeneous social groups, or classes. The most common division consists of three groups: upper, middle and lower classes. Such a partition is traditionally based on a subjective (exogenous) criteria adopted by a particular re-searcher. In this paper, the distribution of households in Russian federal districts is modeled as a mixture of three lognormal distributions. The mixing proportions (probabilities) of the mixture components and the corresponding distribution parameters are modeled as functions of the individual characteristics of households. The result is an endogenous decomposition of household sample into three clusters (lower, middle, upper). This classification allows to analyze the difference between regions and the patterns of intergroup dynamics in the period 2014–2018. The approach used in this work demonstrated great flexi-bility in analyzing the distribution of income, the dynamics of this distribution over time, as well as a migration between relatively homogeneous clusters. The use of mixture density function with endogenously determined probabilities allows for precise detection of the effects of the income heterogeneity determinants within each cluster

Sandwiched women: Health behavior, health, and life satisfaction

This paper studies the impact of sandwich generation caregiving on the health behavior, self-assessed health and life satisfaction of Russian women. It presents evidence that sandwich generation caregiving reduces the likelihood of medical examinations, and regular meals. Alcohol consumption and likelihood of smoking are reduced. The like­lihood of obesity increases, the proportion of chronic diseases decreases, and self-assessed health improves. The proportion of depression decreases. These effects may be the result of an inattentive attitude to one’s health and a consciousness of the social significance of fulfilling one’s duty. These effects vary with socio-demographic characteristics