nep-cis New Economics Papers
on Confederation of Independent States
Issue of 2016‒04‒30
thirteen papers chosen by

  1. Crimea and Punishment: The Impact of Sanctions on Russian and European Economies By Konstantin A. Kholodilin; Aleksei Netsunajev
  2. How to stabilize the currency exchange rate By BLINOV, Sergey
  3. Russia's Potential to Increase Grain Production by Expanding Area By Liefert, William; Liefert, Olga
  4. Going beyond the first child : analysis of Russian mothers'desired and actual fertility Patterns By Levin,Victoria; Besedina,Elena; Aritomi,Tami
  5. EU agricultural trade relations with Eastern neighbours: current state and future perspectives in a changing policy framework By Van Berkum, Siemen
  6. Modeling Financial Market Volatility in Transition Markets: A Multivariate Case By Leoni Eleni Oikonomikou
  7. Regulation and Firm Value: Curious Case of Transparency and Disclosure Laws in Russia By Banerjee, Suman; Masulis, Ronald; Pal, Sarmistha
  8. Emerging Multinational Corporations: a prominent player in the global economy By Mustafa Sakr and Andre Jordaan
  9. Global Financial Crisis, its impact on stock markets' linkages and portfolio diversification opportunities By Cristiana Tudor; Maria Tudor
  10. One year after the Russian ban on food imports from the West: effects and implications By Petrick, Martin
  12. Calendar Anomalies in the Ukrainian Stock Market By Guglielmo Maria Caporale; Alex Plastun
  13. Effects of weather shocks on wheat prices in Central Asia By Mirzabaev, Alisher; Tsegai, Daniel

  1. By: Konstantin A. Kholodilin; Aleksei Netsunajev
    Abstract: The conflict between Russia and Ukraine that started in March 2014 resulted in bilateral economic sanctions imposed by Russia and Western countries, including the members of the euro area (EA). The paper investigates the impact of sanctions on the real side of the economy of Russia and the EA. Using an index that measures intensity of sanctions the effects of sanctions shocks are analyzed by the means of structural vector autoregression. The direct effect on GDP growth is documented for Russia but not for the EA. While, on average, 1.97% of the GDP quarter-on-quarter growth is estimated to be lost due to sanctions by Russia, the corresponding estimate for the aggregate EA is very small. On the contrary, the indirect effect through depreciation of the currency is shown to be more important for the EA.
    Keywords: Political conflict, sanctions, economic growth, Russia, euro area, structural vector autoregression
    JEL: C32 F51
    Date: 2016
  2. By: BLINOV, Sergey
    Abstract: In 2015, many countries had to deal with the weakening of their currencies. Issues regarding exchange rate management by the Central Banks have again become the focal point of heated debate. For example, the Russian Ruble exchange rate has been fluctuating hugely. The problem now is not so much the Ruble's weakness as instability of its exchange rate, volatility. The management of the Central Bank claims that stabilization of the Ruble exchange rate is not possible though it is the responsibility of the Bank of Russia under the Constitution. As a matter of fact, any country's Central Bank has two methods of stabilizing the exchange rate available to it. Firstly, «adaptive» approach to stabilization may be adopted. In this case, the Central Bank, as it were, «adjusts itself» to the tendencies unfolding in the market, without being active in trying to influence them. Secondly, the Central Bank may use an «active» way of stabilizing the exchange rate. In such a case, it needs to influence the exchange rate without resorting to foreign exchange interventions. Both methods, the adaptive one and the active one, do not require gold or foreign exchange reserves to be spent. It is even the other way round, - the reserves become replenished, while economy gets an impetus for growth.
    Keywords: Monetary Policy, Central Banking, Business Cycles, International Finance, Foreign Exchange
    JEL: E30 E52 E58 E65 F30 F31
    Date: 2016–04–11
  3. By: Liefert, William; Liefert, Olga
    Abstract: Since 2000, Russia has substantially increased grain production and exports. The grain output growth has come from a rise in yields rather than area. After falling heavily during the 1990’s, grain area stabilized during the 2000’s and has remained flat, at about two-thirds the level of the late Soviet period. Using data on the regional structure of Russian grain production costs, this paper examines the country’s potential to increase grain output further by returning the lost grain area to production. The analysis finds that if grain area were to grow beyond a certain level, that is still well below the level of the late Soviet period, production costs would rise steeply. Therefore, any major expansion in grain area would require that world grain prices rise considerably beyond their level in the early 2010’s, to cover the high marginal costs of production.
    Keywords: Crop Production/Industries,
    Date: 2015
  4. By: Levin,Victoria; Besedina,Elena; Aritomi,Tami
    Abstract: The Russian Federation's population has been declining since 1992, but recently the decline appears to be over. Although fertility has risen since the 2007 introduction of the family policy package, which focused on stimulating second and higher-order births, total fertility rates still remain significantly below replacement rate. Unlike some Western European countries, low overall fertility in Russia can be explained predominantly by a high prevalence of one-child families, despite the two-child ideal family size reported by the majority of Russians. This paper examines the correlates of Russian first-time mothers'desire and decision to have a second child. Using the 2004?12 waves of the Russia Longitudinal Monitoring Survey, the study focuses on the motherhood-career trade-off as a potential obstacle to higher fertility in Russia. The preliminary results indicate that among Russian first-time mothers, being in stable employment is positively associated with the likelihood of having a second child. Moreover, the desire to have a second child is positively associated with the first child attending formal childcare, which suggests that the availability, affordability, and quality of such childcare can be important for promoting fertility. These results are broadly consistent with previous studies in other European countries that indicate that the ability of mothers to combine work and family has important implications for fertility, and that pro-natalist policies focusing on childcare accessibility can offer the greatest payoffs. In addition to these factors, better housing conditions, being married, having an older child, and having a first-born boy are also positively associated with having a second child.
    Keywords: Reproductive Health,Gender and Health,Population&Development,Gender and Law,Population Policies
    Date: 2016–04–18
  5. By: Van Berkum, Siemen
    Abstract: In the framework of its European Neighbourhood Policy (ENP), the EU is aiming to strengthen its political and economic relations with former Soviet Union republics. A key instrument to achieve this objective is to negotiate Deep and Comprehensive Free Trade Agreements (DCFTA). A DCFTA concerns not only the liberalisation of trade in all areas, but also the harmonisation of trade-related legislation with EU standards and acquis communautaire. To date, the EU has signed DCFTA’s with Georgia, Moldova and Ukraine. Yet, the current political tensions centering on the Ukrainian crisis may disrupt the intended East-West integration significantly. Increasing strains between the EU and Russia in the summer of 2014 culminated in reciprocal trade sanctions, by which a range of EU food products is still banned from the Russian market. This session discusses the impacts of both short-term and long-term developments in the bilateral agro-food trade and markets. As an introduction to the topic, this paper sketches EU’s current state of agro-food trade relations and the evolutions in the trade policy context with its Eastern neighbours.
    Keywords: Trade, European Union, CIS, International Relations/Trade,
    Date: 2015
  6. By: Leoni Eleni Oikonomikou (Georg-August University Göttingen)
    Abstract: This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant return and volatility spillover effects during the full sample and the Russian Great Recession and Ukrainian crisis episodes. Over the full sample period, there is evidence of return co-movements, and strong volatility persistence. During the Russian Great Recession subsample, the ownreturn effects of the markets are stronger than the cross-market effects and their correlations have increased. Finally, the Ukrainian political crisis indicated no clear information producer, whereas, evidence of returns co-movement still exists. The markets in question are mainly partially integrated and the volatility transmission linkages across them are not that strong in crises periods, thus confirming previous literature on the particularities of emerging and frontier markets. According to the empirical finance literature, developed markets are interconnected. However, emerging markets are mainly affected by local shocks. The same applies to frontier markets. Based on the categorization of countries based on their financial market development: frontier markets are in embryonic stages of financial development (in this case, Ukraine), emerging markets are important financial markets, not fully modernized belonging to countries well developed to attract capital (in this case, Russia, Poland and Czech Republic), and developed markets.
    Keywords: Multivariate EGARCH models; spillover effects; transition markets; equity markets
    JEL: G01 G15
    Date: 2016–04–14
  7. By: Banerjee, Suman (University of Wyoming); Masulis, Ronald (University of New South Wales); Pal, Sarmistha (University of Surrey)
    Abstract: We provide novel evidence on the effectiveness of mandated changes in Russian transparency and disclosure (henceforth T&D) rules in boosting shareholder welfare. We focus on the staggered implementation of these T&D reforms initiated in 2002 and implemented during 2003-07. Using difference in difference method, we find that the reforms improved earnings quality, which on average reduced the operating performance (i.e., EBIT/Assets) of treated domestically-listed (relative to our control group of cross-listed) Russian firms, but had no significant impact on their market valuation. We argue that low tax alignment, where financial statements are not used for tax purposes, made it possible for managers of domestically-listed firms to inflate pre-reforms earnings, which became difficult post-reforms, leading to a drop in operating earnings. Yet, firm values, on average, remained unchanged because the drop in earnings was roughly offset by a decrease in the required market return due to more reliable accounting information post reform. Also, T&D reforms had negligible effects on cross-listed firms that act as our control group. Further, for domestically listed firms without a domestic controlling shareholder, post-reform reported earnings did not drop, while firm value increased significantly. For the domestically listed firms with a controlling shareholder, just the opposite occurred. Thus, a key finding of our study is that a strong governance structure is a prerequisite for significant gains in shareholder wealth following improved reliability of firm accounting information.
    Keywords: transparency and disclosure rules, quasi-experimental analysis, domestic vs. cross-listed firms, firm performance, Tobin's Q, EBIT-to-Asset ratio, difference-in-difference method, Russia
    JEL: G3 K2 P2
    Date: 2016–04
  8. By: Mustafa Sakr and Andre Jordaan
    Abstract: As emerging market multinational corporations (EMNCs) tend to remarkably expand their global presence, it is of the utmost importance to explore the salient attributes of such unfolding phenomenon. One of the key findings is that top EMNCs are displaying a leapfrogging internationalisation process. Moreover, natural resources related sectors, in particular energy, have been proven to dominate the non-financial industry structure of EMNCs. In addition, various interesting findings have been concluded by this article. Regarding the preferred destination for their outward foreign direct investment (OFDI), EMNCs currently tend to invest more in developing markets. However, the relevance of developed markets is growing over time. Available statistics furthermore exhibit that greenfield is often preferred above mergers and acquisitions (M&As) as an entry mode into developing markets. The opposite is true in developed markets. EMNCs are domiciled predominantly in BRICS countries which account collectively for most of the OFDI getting from EMs. Emerging African MNCs are dramatically losing ground in the EMNC landscape. Regarding internationalisation, ownership, industry and geographical structure and preferred entry modes, remarkable differences are easily seen in the salient features of EMNCs compared to those based in developed markets.
    Keywords: Emerging MNCs, BRICS MNCs, African MNCs, emerging markets’ OFDI, differences between EMNCs and DMNCs.
    JEL: P45 F21
    Date: 2016
  9. By: Cristiana Tudor (Bucharest University of Economics); Maria Tudor (Bucharest University of Economics)
    Abstract: This research investigates causal relationships and short-term interaction mechanisms among seven equity markets, including smaller post-communist Eastern-European countries and developed G7 markets, while paying special consideration to the effects of the 2007-2009 global financial crisis. The analysis period runs from 01/10/2004 to 01/02/2015, while the credit-crunch crisis sub-period is considered to have started on 09/08/2007 when BNP Paribas terminated withdrawals from three hedge funds citing "a complete evaporation of liquidity" and to have ended on 01/06/2009, according to the U.S. National Bureau of Economic Research. The study analyses whether the relationships among stock markets are time varying and whether the potential for diversifying risk by investing in different markets is limited/diminished during financial turmoil. Other points of interest consist in the leading role of the Russian market in the Eastern-European region before/during/after the crisis and in the impact of innovations from the US market in the Eastern-European area.
    Keywords: multivariate GARCH, financial crisis, stock markets
    JEL: B59
  10. By: Petrick, Martin
    Keywords: Food Consumption/Nutrition/Food Safety, International Relations/Trade,
    Date: 2015
  11. By: Dhaoui, Elwardi
    Abstract: Oil prices have fallen by about half since September 2014. The Organization of Petroleum Exporting Countries (OPEC) decided not to reduce production. The euro zone, China, Japan and Russia recorded slower rates of economic growth than expected. All combine to keep a sharp decline of oil prices which can be persistent. This new situation has profoundly changed the economic environment of the country. The impact will vary depending on the countries if they are exporters or importers of oil. For Tunisia, this new situation offers the opportunity to reform energy subsidies and accelerate structural reforms to support growth and employment.
    Keywords: oil, budget balance, external account, subsidies, growth, employment, Tunisia.
    JEL: E62 F62 F66 J50 Q31
    Date: 2015–05
  12. By: Guglielmo Maria Caporale; Alex Plastun
    Abstract: This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: Day of the Week Effect; Turn of the Month Effect; Turn of the Year Effect; Month of the Year Effect; January Effect; Holiday Effect; HalloweenEffect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but there are a few exceptions, i.e. the Turn of the Year and Halloween Effect for the PFTS index, and the Month of the Year Effect for UX futures. However, the trading simulation analysis shows that only trading strategies based on the Turn of the Year Effect for the PFTS index and the Month of the Year Effect for the UX futures can generate exploitable profit opportunities that can be interpreted as evidence against market efficiency.
    Keywords: Calendar anomalies, day of the week effect, turn of the month effect, month of the year effect, january effect, holiday effect, halloween effect
    JEL: G12 C63
    Date: 2016
  13. By: Mirzabaev, Alisher; Tsegai, Daniel
    Abstract: Higher weather volatility may be reflected in higher incidences of weather shocks. Weather shocks could potentially affect the supply of agricultural commodities and their prices. In this study, the effects of weather shocks on agricultural commodity prices in Central Asia are investigated at the provincial scale using monthly data for the period of 2000-2010. The study uses an estimation method, where the idiosyncratic components of the variables are analyzed using Feasible Generalized Least Squares (FGLS) panel regression in the presence of cross-sectional dependence and serial autocorrelation. The analysis indicates that weather volatility and, especially, the fluctuations in the availability of irrigation water have statistically significant effects on wheat prices in Central Asia. Weather shocks, involving lower than usual temperatures and precipitation amounts, could create favorable conditions for higher wheat prices in the region.
    Keywords: weather and price shocks, Central Asia, Agricultural and Food Policy, Environmental Economics and Policy, O13, Q11, Q54,
    Date: 2015

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