Конференция Королевского экономического общества

3-5 апреля 2013 в Лондоне состоялась ежегодная конференция Королевского экономического общества. 
МИЭФ на конференции представляли молодые преподаватели Фабиан Слонимчик, Сергей Гельман и Алексей Парахоняк >>

3-5 апреля 2013 в Лондоне состоялась ежегодная конференция Королевского экономического общества.

На конференции выступали исследователи из ведущих университетов Великобритании,  а также ученые из других стран мира. В этом году МИЭФ на конференции представляли молодые преподаватели со степенью PhD Фабиан Слонимчик, Сергей Гельман и Алексей Парахоняк.

Сергей Гельман выступил с докладом:
HOW MUCH FIRM-SPECIFIC RISK IS IN OPTION PRICES?

Тезисы доклада:
This paper contributes to the literature analyzing the role of …firm-specific risk in the overall option implied variation of stock returns. For this purpose we introduce a new model of option pricing, which explicitly accounts for scheduled jumps caused by quarterly earnings announcements in the underlying stock. We present the stock price process as the product of a geometric Brownian motion and scheduled jump process with a uniform jump size. We argue that the diffusion process volatility reflects the systematic risk component, whereas the jump magnitude reveals the …firm-specific uncertainty. Empirical tests using a vast number of options with different strikes and maturities on several US stocks during 1999-2008 provide some evidence of superiority of our model over Black-Scholes in terms of fitting option prices. Applying our model to a sample of options on 30 low dividend paying stocks we show that …firm-specific risk is perceived to be higher for technology …firms, smaller firms and firms in financial distress. For the fraction of …firm-specific uncertainty in the overall uncertainty, however, size looses significance whereas the liquidity of the option markets becomes a moderating factor. Moreover, we find some weak evidence that relative importance of firm-specific risk diminishes in crises, as it becomes dominated by systematic risk component.

Алексей Парахоняк представил свою работу OLIGOPOLISTIC COMPETITION AND SEARCH WITHOUT PRIORS.

Тезисы доклада:
I study a model of oligopolistic competition in which consumers search for prices, but have no idea about the underlying price distribution. Consumers’ behaviour satisfies four consistency requirements such that beliefs about the underlying distribution maximize Shannon entropy. I derive the optimal stopping rule and equilibrium price distribution of the model. Unlike in Stahl (1989), the expected price is decreasing in the number of firms. Moreover, consumers can benefit from being uninformed, if the number of firms is sufficiently large.

Фабиан Слонимчик выступил с презентацией на тему:
ASSESSING THE IMPACT OF THE MATERNITY CAPITAL POLICY IN RUSSIA USING A DYNAMIC STOCHASTIC MODEL OF FERTILITY AND EMPLOYMENT.

Тезисы доклада:
With declining population and fertility rates below replacement levels, Russia is currently facing a demographic crisis. Starting in 2007, the federal government has pursued an ambitious pro-natalist policy. Women who give birth to at least two children are entitled to "maternity capital" assistance. In this paper we estimate a structural dynamic programming model of fertility and labor force participation in order to evaluate the effectiveness of the policy.