EXPERIENCES AND PROBLEMS OF THE CIS COUNTRIES IN TRANSITION FROM THE MPS TO THE SNA

This paper reviews the transition of national accounts in the Commonwealth of Independent States (CIS) countries from the Material Product System (MPS) to the United Nations System of National Accounts (SNA) and discusses the major problems that still need to be solved in order to improve the quality of their national accounts. It argues that the MPS practice tended to exaggerate growth not because of different concepts, but because of methodological problems such as inadequate deflation due to poor price data and incomplete coverage of the non-observed economy as well as overpricing of new or modified products and institutional flaws that motivated data fabrication by enterprises. However, the heritages of the problems under the MPS, together with the emerging new types of institutional units, new sources of income and market-driven new services, have made the transition difficult.     

Structured low-rank matrix completion for forecasting in time series analysis

This paper considers the low-rank matrix completion problem, with a specific application to forecasting in time series analysis. Briefly, the low-rank matrix completion problem is the problem of imputing missing values of a matrix under a rank constraint. We consider a matrix completion problem for Hankel matrices and a convex relaxation based on the nuclear norm. Based on new theoretical results and a number of numerical and real examples, we investigate the cases in which the proposed approach can work. Our results highlight the importance of choosing a proper weighting scheme for the known observations.     

Interrelationship between social and economic policies in the sphere of household income and consumption and macroeconomic dynamics

This article presents a conceptual scheme of the impact made on the economic development by the social and economic policies in the field of household income and consumption. A set of tools is presented for taking into account the multiplicative effects of social and economic policies. The interrelationships are studied between the dynamics in wages and prices and the parameters of the macroeconomic technology with an allowance for the principles of economic equilibrium.     

An analysis of the importance of S&;P 500 discretionary constituent changes

The main purpose of this paper is to investigate the impact of the S&P 500 index committee’s decisions to change the constituent firms in the index on benchmark risk measures. The index is managed and changed discretionally by the index committee to make it as representative of the market condition as possible. In addition, the index constantly changes due to important corporate events such as bankruptcies, mergers and acquisitions, and spin-offs. We reconstruct market portfolios by retaining all discretionally deleted firms in a 3 and 5 year periods. We estimate betas at every deletion date in terms of reconstructed market portfolios; we found that these estimate betas are significantly different from the betas obtained from the constantly updated S&P 500 portfolio. We also found that such portfolios are less representative of the business cycle than the actual S&P 500 portfolio. Finally, we found that the portfolio returns obtained by retaining all discretionally deleted firms deviate significantly from the returns of the actual S&P 500 index over the studied period, October 1989 to December 2007.     

Analysis of DJIA,S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery

This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past studies, our findings show that the spot market rather than the futures market leads the price discovery. The arbitrage process that links exchange traded funds to spot prices, and not the futures prices might explain the results. This daily arbitrage that ensures exchange traded funds prices equal net asset values appear to promote spot market price discovery especially with the popularity of exchange traded funds in more recent years. We additionally document that the temporal behavior of the exchange traded funds price discovery metric affects differently price discovery in the spot and futures markets across indexes.     

Second-Hand Markets and Intrasupply Chain Competition

We consider a monopolistic supply chain consisting of a manufacturer and a retailer (service provider) who in addition to selling new durables, buy and resell used ones. The supply chain provides services for both new and used goods. Accordingly, consumers incur service charges for all types of goods. This study is motivated by the modern trend in cell phone businesses where retailers commence buying used phones from customers willing to upgrade their phones. The used phones are then refurbished and resold along with the services. The question that this trend gives rise to is how the interaction with the secondary market affects the performance of the supply chain in terms of its intracompetition and thereby its profit. We show that for a wide range of service rates, the second-hand market coordinates the supply chain by either reducing the double marginalization effect or by offsetting it with extra profits gained by servicing the used goods. This, however, does not imply that both parties always improve their profits. Furthermore, we find that when the service rates are low, the supply chain would be better off if the goods were not durable thereby precluding the very existence of the second-hand market.     

How Genes Modulate Patterns of Aging-Related Changes on the Way to 100: Biodemographic Models and Methods in Genetic Analyses of Longitudinal Data

In this article we clarify mechanisms of genetic regulation of human aging and longevity traits. The objective of this article is to address the issues in previous research of not reaching a genome-wide level of statistical significance and lack of replication in the studies of independent populations. We performed GWAS of human life span using different subsets of data from the original Framingham Heart Study cohort corresponding to different quality control procedures, and we used one subset of selected genetic variants for further analyses. We used a simulation study to show that this approach to combining data improves the quality of GWAS with FHS longitudinal data to compare average age trajectories of physiological variables in carriers and noncarriers of selected genetic variants. We used a stochastic process model of human mortality and aging to investigate genetic influence on hidden biomarkers of aging and on dynamic interaction between aging and longevity. We investigated properties of genes related to selected variants and their roles in signaling and metabolic pathways and showed that the use of different quality control procedures results in different sets of genetic variants associated with life span. We selected 24 genetic variants negatively associated with life span and showed that the joint analyses of genetic data at the time of biospecimen collection and follow-up data substantially improved significance of associations of 24 selected SNPs with life span. We also showed that aging-related changes in physiological variables and in hidden biomarkers of aging differ for the groups of carriers and noncarriers of selected variants. The results of these analyses demonstrated benefits of using biodemographic models and methods in genetic association studies of these traits. Our findings showed that the absence of a large number of genetic variants with deleterious effects may make substantial contribution to exceptional longevity. These effects are dynamically mediated by a number of physiological variables and hidden biomarkers of aging. The results of these research demonstrated benefits of using integrative statistical models of mortality risks in genetic studies of human aging and longevity.     

Bank monitoring: Evidence from syndicated loans

We directly measure banks’ monitoring of syndicated loans. Banks typically demand borrower information on at least a monthly basis. About 20% of loans involve active monitoring (i.e., site visits or third-party appraisals). Monitoring increases with the lead bank’s incentives and the value of information and is negatively associated with loan spreads and maturity. The monitoring captured by our measures can either complement or substitute for covenant-based monitoring, depending on whether the monitoring informs covenant compliance. Banks increase monitoring following deteriorations in borrower financial condition and credit line drawdowns. Finally, monitoring is positively related to future covenant violations and loan renegotiations.     

Macroprudential policy and the inward transmission of monetary policy: The case of Chile,Mexico, and Russia

This paper studies whether domestic macroprudential policy may attenuate the inward transmission of monetary policy shocks from the United States to domestic bank lending growth in three emerging market economies—Chile, Mexico, and Russia. Identification relies on banks’ heterogeneous exposure to prudential policies and the fact that foreign monetary policy shocks are exogenous from the perspective of these economies. After analyzing the effects of the aggregate domestic prudential policy stance, we focus on specific prudential policies targeting mortgage and consumer loans, as well as foreign‐currency deposits. Although our overall results are mixed, we find evidence that the strength of international monetary policy spillovers varies depending on the stance of domestic macroprudential policy. In particular, a tighter reserve requirement stance over foreign‐currency deposits in Chile dampens the effect of an international monetary policy shock on domestic local‐currency lending, but reinforces that on foreign‐currency lending, whereas in Russia, it dampens the effect on both local‐currency and foreign‐currency lending, although to different degrees. Prudential policies targeting the asset side of banks’ balance sheets, such as mortgage loans or consumer credit, are found to amplify international monetary policy spillovers in some cases and attenuate it in others, depending on the country context.