SUMMARIES
A.I. Shaidullin, A.A. Voronyuk, M.M. Komarov
Prospects and Problems of the Introduction of the Central Bank’s Digital Currency (Digital Ruble) in Russia
In the article, the authors consider the problem of introducing the Central Bank Digital Currency (CBDC) of Russia — the digital ruble. To highlight the patterns of CBDC implementation in the payment system, the authors studied the official pages of foreign central banks, their public reports and roadmaps. Summarizing the successful experience of using CBDC allowed the authors to highlight the prospects for introducing the digital ruble into the Russian payment system, as well as consider new business models for using digital currency. The authors have built a model of the functioning of the digital ruble based on the Delivery Versus Payment process using a smart contract.
Keywords: digital currencies; distributed ledger technologies; digital financial products; digital ruble; Bank of Russia; smart contracts; digital transformation.
A.V. Larin, E.V. Ryabova, V.A. Chepurova
Stock Market Response to Changes in the Sustainable Development Index: Russian Experience
In recent years, there have been significant changes in the field of sustainable development, with international and national regulations regulating non-financial reporting being adopted. Quite often, stock exchanges set their own requirements for companies, including those issuing «green» instruments. Thus, an institutional environment is formed that supports and stimulates the sustainable development agenda. In such an information field, it is expected that stock market participants, when choosing instruments and forming a portfolio, should take into account information on the inclusion/exclusion of shares in the sustainable development index, on the assignment of ESG ratings to the company, etc. Existing studies in this area do not provide a clear answer to this question; moreover, country and other institutional differences have been identified that have a significant impact on the stock market. No such studies have been conducted on the example of the Russian market, since the sustainable development stock index appeared at the end of 2017. This is the key factor determining the novelty and significance of the study of this topic.
Keywords: stock market; sustainable development index; company ratings; stock index.
D.I. Shatrov
Exogenous Factors in Global Vector Autoregressive Models
In the present article we report results of world economy macroeconometric analysis with Global Vector Autoregression (GVAR), specifically models of Bayesian Global Vector Autoregression (B-GVAR). We outline an approach to exogenous factor modelling by means of aggregating them into a dummy country vector autoregression model. Quarterly macroeconomic statistical data of fourteen economies, including Russia, as well as average spot commodity prices from 1999 to 2022 were used. To estimate our models we used the recently published «bgvar» library implemented in R. From comparison of the dummy country model approach with the standard practices in exogenous factor modelling we draw evidence in favour of the former.
Keywords: global vector autoregression; GVAR; B-GVAR; macroeconometrics; Bayesian time series analysis.
V.A. Cherkasova, R.A. Veduta
The Geopolitical Factor and the Effectiveness of Investment Decisions of Russian Companies
In modern conditions, uncertainty, both economic and geopolitical, has a significant influence on the investment decisions made by companies. The geopolitical factor can either stimulate an increase in investments or impede the implementation of investment projects. The aim of the article is to analyze the impact of geopolitical risk on the efficiency of investment decisions in comparison with economic uncertainty. Efficiency of investment decisions is understood as the reduction of companies' level of suboptimal investment, which is reflected either in over-investment or under-investment in companies. The sample consists of 187 Russian companies listed on the Moscow Stock Exchange during the period from 2012 to 2022.
The research results showed that for over-invested companies, there is a structural time shift reflecting changes in managers' opinions regarding the impact of the geopolitical factor on the implementation of investment projects. As a result, excessive investments by companies before 2017 decreased with the increase of geopolitical uncertainty, and after 2017, the opposite was observed. For under-invested companies throughout the entire research period, the geopolitical factor increased the insufficiency of investments.
State-owned companies, which under-invest, are more susceptible to geopolitical risk, while those over-invested before 2017 are the opposite. Export-oriented companies were more strongly influenced by geopolitics during over-investment from 2017, while firms with under-investment were not affected.
Keywords: geopolitical risk; economic uncertainty; overinvestment; underinvestment; suboptimal investment.
V.V. Afanasev
Default Prediction for Auto Repair Services Firms in Russia using Non-financial Data
The conventional approach to default prediction implies using financial ratios as predictors. This paper provides evidence for improvement in the quality of default prediction for auto repair firms if non-financial data is included in the models. The study uses a sample of more than 200 firms, which defaulted in 2018−2023 and 10 healthy peers samples (more than 2200 observations in total). Results revealed that using only financial ratios for auto repair firms default prediction results in low accuracy. However, adding non-financial data increases the accuracy by 7 p.p. Furthermore, this study pays specific attention to correct and transparent calculation of the values of the explanatory variables: two approaches to choose the theoretical forecast date are suggested. This study may be of interest to credit organizations and auto repair firm counterparties.
Keywords: default prediction; credit risk; random forest; auto repair firms; machine learning; non-financial data.
Yu. M. Vasiliev, G. M. Friedman
Solution to the Problem of Placing Containers on Railway Platforms
A new approach based on mixed integer problem is presented in the paper for cargo container loading on railway platforms problem. The approach to solution of the problem enables one to obtain an optimal result for full-scale input data under strict time-consuming constraints.
Keywords: mixed integer programming; cargo container loading on railway platforms; full-scale input data.
V.Ya. Sokolov, S. N. Karelskaia, E.I. Zuga
Accounting of Boris Kustodiev. Painting «Merchant»
This study shows the relationship between accounting and art using the example of a painting by the famous Russian artist B.M. Kustodiev «Merchant (old man counting money)» In the work, the central figure of this painting — the merchant — is described in detail, as well as the objects surrounding him. Among these objects, the Russian mechanical instrument abacus plays the second dominant role alongside the figure of the merchant. The biography and work of the artist as well as the biography of the accountant, who served as a model for the figure of the merchant, are also briefly described.
Keywords: painting; Russia; bookkeeping; merchant; accounting books.
A.Y. Gorchakova
Economics in the Halls of the Museum (on the Issue of Integrating Culture Into the Economic Context)
The article is devoted to the consideration of possible aspects of studying the interaction of economics and culture (theoretical, applied, popular science and educational). Particular attention is paid to the relevance of introducing such research into educational courses.
Keywords: relationship between economics and culture; Russian economic thought; economics in the museum.
O.N. Korosteleva, G V. Savinov
Possibility of Discrete Expert Assessments
The article addresses the issue of organisation and processing of the assessment results. The methodology of the quantitative expert assessments based on the variation series median development is proposed. The criteria allowing to identify experts with a ‘special opinion' have been stated. The accuracy of the final expert assessment is determined by analysis of the number of experts with a ‘special opinion'. Modelled examples of the use of this methodology that is useful in cases where there is a lack of consensus among experts are provided.
Keywords: expertise; expert assessments; median; variation series; «special opinion».