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on Confederation of Independent States |
| By: | Nurdaulet Abilov (NAC Analytica, Nazarbayev University); Aizhan Bolatbayeva (NAC Analytica, Nazarbayev University) |
| Abstract: | In this paper, we use the modified expectation-maximization algorithm of Banbura and Modugno (2014) to estimate a factor model using an incomplete and mixed-frequency dataset for Russia. We estimate and check the forecast accuracy of factor models that differ in the number of factors, the lag structure of the factors, and the presence of autocorrelation in the idiosyncratic component. We choose the best model using the root mean squared forecast error and use the model to compute news contributions to forecast revisions of GDP growth in Russia around crisis periods. We find that the benchmark model with a medium-size dataset and four factors outperforms all other versions of the factor model, simple AR(1) and random walk models. The news contributions to GDP growth revisions around economic downturns in Russia show that the benchmark factor model is extremely good at capturing the impact of new data releases on GDP growth revisions. |
| Keywords: | Factor model; EM-algorithm; Nowcasting; Business cycle index; Russia. |
| JEL: | C53 C55 E32 E37 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ajx:wpaper:18&r= |
| By: | Matteo Bonato (Department of Economics and Econometrics, University of Johannesburg, Auckland Park, South Africa; IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France); Oguzhan Cepni (Copenhagen Business School, Department of Economics, Porcelaenshaven 16A, Frederiksberg DK-2000, Denmark); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Christian Pierdzioch (Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany) |
| Abstract: | We find that climate-related risks forecast the intraday-data-based realized volatility of exchange-rate returns of eight major fossil fuel-exporters (Australia, Brazil, Canada, Malaysia, Mexico, Norway, Russia, and South Africa). We study a wide array of metrics capturing risks associated with climate change, derived from data directly on variables such as, for example, abnormal patterns of temperature. We control for various other moments (realized skewness, realized kurtosis, realized good and variance, upside and downside tail risk, and jumps) and estimate our forecasting models using random forests, a machine-learning technique tailored to analyze models with many predictors. |
| Keywords: | Climate Risks, Commodity Currencies, Realized Variance, Forecasting |
| JEL: | C22 C53 F31 Q54 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202210&r= |
| By: | Nurdaulet Abilov (NAC Analytica, Nazarbayev University) |
| Abstract: | We extend the literature on the role of uncertainty shocks in small open economies using a dynamic stochastic general equilibrium (DSGE) model with stochastic volatility for the economy of Kazakhstan. We build a small-scale DSGE model for Kazakhstan with non-linear time-varying volatility of shock processes. Due to the inherent non-linearity in the model we estimate the parameters of the volatility processes using the Particle filter, and then estimate structural parameters of the model via simulated method of moments (SMM) |
| Keywords: | DSGE model; Oil price uncertainty; Particle filter; Simulated method of moments; Kazakhstan. |
| JEL: | E20 E32 E43 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ajx:wpaper:16&r= |
| By: | Thomas, Hallie; Kothari, Simple Futarmal; Husøy, Andreas; Jensen, Rigmor Højland; Katsarava, Zaza; Tinelli, Michela; Steiner, Timothy J. |
| Abstract: | Background: Headache disorders are disabling, with major consequences for productivity, yet the literature is silent on the relationship between headache-attributed disability and lost productivity, often erroneously regarding the two as synonymous. We evaluated the relationship empirically, having earlier found that investment in structured headache services would be cost saving, not merely cost-effective, if reductions in headache-attributed disability led to > 20% pro rata recovery of lost productivity. Methods: We used individual participant data from Global Campaign population-based studies conducted in China, Ethiopia, India, Nepal, Pakistan and Russia, and from Eurolight in Lithuania, Luxembourg and Spain. We assessed relationships in migraine and probable medication-overuse headache (pMOH), the most disabling common headache disorders. Available symptom data included headache frequency, usual duration and usual intensity. We used frequency and duration to estimate proportion of time in ictal state (pTIS). Disability, in the sense used by the Global Burden of Disease study, was measured as the product of pTIS and disability weight for the ictal state. Impairment was measured as pTIS * intensity. Lost productivity was measured as lost days (absence or 20% in all countries but Pakistan). Analysing impairment rather than disability increased variability. For pMOH, with smaller numbers, associations were generally weaker, occasionally negative and mostly not significant. Conclusion: Relief of disability through effective treatment of migraine is expected, in most countries, to recover > 20% pro rata of lost productivity, above the threshold for investment in structured headache services to be cost saving. |
| Keywords: | association analysis; disability; global campaign against headache; headache disorders; health economics; health policy; impairment; lost productivity |
| JEL: | R14 J01 |
| Date: | 2021–12–18 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:113355&r= |
| By: | International Monetary Fund |
| Abstract: | The 2016–20 ECF/EFF helped rehabilitate Moldova’s banking sector, bolstering macro-financial stability. However, the COVID-19 pandemic, drought in 2020, and the ongoing surge in global energy prices, have slowed economic activity, intensified downside risks, and complicated policy making. While emergency financial assistance under a blended RCF/RFI (100 percent of quota) and SDR allocation (US$236 million) helped cushion the pandemic’s impact, Moldova remains among the poorest countries in Europe with long-standing governance and structural weaknesses inhibiting income convergence. |
| Date: | 2022–01–04 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:2022/001&r= |
| By: | Sharofiddinov Husniddin (International Fund for saving the Aral Sean, Republic of Tajikistan); Moinul Islam (Research Institute for Future Design, Kochi University of Technology); Koji Kotani (School of Economics and Management, Kochi University of Technology) |
| Abstract: | Irrigation water unavailability has become one of the long term problems in Tajikistan. In the post-Soviet period, Tajikistan government started reforming agricultural land for the efficient management. The reallocation was initiated by administrative boundary changes to facilitate the growing number of farmers and ensure crop diversity. However, the modernization of the irrigation water infrastructure did not take place simultaneously. This study identifies agricultural land reform’s impact on the irrigation water demand and supply of Sugd province of Tajikistan. We conduct the panel regression analysis by utilizing the data from 1996 to 2020 of the 13 states in Sugd province. We identify the impact of the number of water users, irrigation area type and water payment system on the irrigation water demand. Our results show that to deal with the changing demand of water in Tajikistan, irrigation systems need to modernize for gravity and pump irrigated areas. The payment system for irrigation water also deserves attention for the compatibility with the increasing irrigation water demand of Tajikistan. We also identify that irrigation water supply is impacted by the number of increasing water users. The possible solution to deal with the water supply shortage in Tajikistan is to eradicate system loss, introduce irrigation water rationing, improve water supply networks and update the Soviet period water pumps. |
| Keywords: | Irrigation water, water users, pump irrigation, gravity irrigation, payment for water services |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:kch:wpaper:sdes-2022-3&r= |
| By: | Konstantins Benkovskis (Latvijas Banka, Stockholm School of Economics in Riga); Ludmila Fadejeva (Latvijas Banka) |
| Abstract: | We develop a novel way to evaluate the size of unreported wage payments at employee level. It is only the reported employer-employee income data combined with firm-level financial statements and survey information on various person-level indicators that are required for this purpose. We estimate the Mincer earning regression by the Stochastic Frontier Analysis approach, proxying the unreported wage payments by the non-negative inefficiency term. Our methodology is tested on the Latvian data: we find that small and young firms engage in illegal wage payments more than other firms. Unofficial payments to employees with small reported wages are more frequent and sizeable, revealing lower wage income inequality in Latvia when the unreported wage is taken into account. |
| Keywords: | unreported wage, tax evasion, Mincer earning regression, income distribution |
| JEL: | E26 H26 J08 J31 |
| Date: | 2022–02–09 |
| URL: | http://d.repec.org/n?u=RePEc:ltv:wpaper:202201&r= |