Award Ceremony of the Laureates of the 2022 Economic Research Competition for Students and PhD Fellows

July 6, 2022

In 2022, the Bank of Russia and the Russian Journal of Money and Finance (RJMF) held the third annual Economic Research Competition for Students and PhD Fellows, which aims to support the research activity among the students in economics and give an opportunity to young researchers to present their results to the academia.

This year laureates were invited to participate in the Bank of Russia and NES Joint Research Workshop held on 5 July. During the special session, Elena Shulyak, First Prize winner, presented her paper on macroeconomic forecasting using the data of social media. Before the session, the Award Ceremony took place and Ksenia Yudaeva, First Deputy Governor of the Bank of Russia, Chief Editor of the RJMF, presented the certificates to the winners.


Competition winners (left to right): Elena Shulyak, Timur Magzhanov, Victoria Berestova, Anastasia Petaykina

‘It is very important for us, for the journal [RJMF] and the Bank of Russia, to see the students involved in research work. I believe that studying without doing any research is incomplete, it is necessary to do some work by yourself – to pose a question and then to find the answer, in order to understand the logics of the economics. Understanding such logics and principles and ability to use them in the changing economic environment, changing structures of economies and markets is significantly more important than learning any dogmas that are considered fundamental at the moment’, Ksenia Yudaeva said.

The RJMF editorial team send greetings to the winners.




First Prize: Elena Shulyak
HSE
for her paper
‘Macroeconomic Forecasting Using the Data of Social Media’
My paper shows that working with texts published by the users of social media allows to increase the forecast quality of such macroeconomic variables as the exchange rate, inflation, or, for example, Industrial Production Index. Based on multiple texts from VK (about 1.5 mln posts and 23 mln comments), I construct a number of economic sentiment indices for Russia and then use them in macroeconomic forecasting using the ML methods. It should be noted, that it is rather simple to collect and process the data from the social media, so the indices I propose can be constructed on daily basis.
First Prize:
Elena Shulyak
HSE

for her paper
‘Macroeconomic Forecasting Using the Data of Social Media’

My paper shows that working with texts published by the users of social media allows to increase the forecast quality of such macroeconomic variables as the exchange rate, inflation, or, for example, Industrial Production Index. Based on multiple texts from VK (about 1.5 mln posts and 23 mln comments), I construct a number of economic sentiment indices for Russia and then use them in macroeconomic forecasting using the ML methods. It should be noted, that it is rather simple to collect and process the data from the social media, so the indices I propose can be constructed on daily basis.



Second Prize: Victoria Berestova
Lomonosov Moscow State University
for her paper
‘Impact of the Key Rate Forecast Publications on the Economic Agents Expectations’
I evaluate the impact of the publications of the Bank of Russia on financial markets and investors’ expectations. The factor analysis of the high-frequent data on futures contracts shows that the change in financial indicators during the meeting of the Board of Directors of the Bank of Russia can be explained, firstly, by the reaction on the current change of the interest rate and, secondly, by the promises to increase the rate in the future. Long-term and short-term contracts change mostly due to the statement of intent, when mid-term contracts change based on the key rate decision. The obtained results prove that the communication transparency is a significant factor for economic agents on financial markets and indicate the efficiency of the key rate forecast publication policy of the Bank of Russia.
Second Prize:
Victoria Berestova
Lomonosov Moscow State University

for her paper
‘Impact of the Key Rate Forecast Publications on the Economic Agents Expectations’

I evaluate the impact of the publications of the Bank of Russia on financial markets and investors’ expectations. The factor analysis of the high-frequent data on futures contracts shows that the change in financial indicators during the meeting of the Board of Directors of the Bank of Russia can be explained, firstly, by the reaction on the current change of the interest rate and, secondly, by the promises to increase the rate in the future. Long-term and short-term contracts change mostly due to the statement of intent, when mid-term contracts change based on the key rate decision. The obtained results prove that the communication transparency is a significant factor for economic agents on financial markets and indicate the efficiency of the key rate forecast publication policy of the Bank of Russia.



Third Prize: Anastasia Petaykina
RANEPA
for her paper
‘Analysis of the Customer Behavior of the Households in Russia’
I study the impact of permanent and temporary income shocks on customer behavior of the Russian households. As permanent income, I consider the income share that, as households believe, will be preserved in future because it is formed influenced by the factors, which are believed to be constant. Temporary income is such income that the households consider unstable. I come to a conclusion that ageing households seem to be more sensitive to the permanent income shocks than younger ones; large households are more sensitive to temporary income shocks than smaller ones; households with children, compared to those without children, are more sensitive to both temporary and permanent income shocks. The results obtained in my paper can be useful for development of the optimal social state policy.
Third Prize:
Anastasia Petaykina
RANEPA

for her paper
‘Analysis of the Customer Behavior of the Households in Russia’

I study the impact of permanent and temporary income shocks on customer behavior of the Russian households. As permanent income, I consider the income share that, as households believe, will be preserved in future because it is formed influenced by the factors, which are believed to be constant. Temporary income is such income that the households consider unstable. I come to a conclusion that ageing households seem to be more sensitive to the permanent income shocks than younger ones; large households are more sensitive to temporary income shocks than smaller ones; households with children, compared to those without children, are more sensitive to both temporary and permanent income shocks. The results obtained in my paper can be useful for development of the optimal social state policy.



Third Prize: Timur Magzhanov
Lomonosov Moscow State University
for his paper
‘The Effect of the Introducing a Three-Level Banking System on Banks’ Economic Indicators in Russia’
I analyse if the banking reform in 2017–2018, according to which all the banks were divided into three levels: Central bank, banks with uniform license, and banks with a basis license, has influenced the banks’ performance. Critics of a reform assumed that it would have negative impact on small banks, which would face the shrinkage of credit portfolios and volume of deposits and worsen the situation with obtaining a credit rating. Starting from the beginning of the reform, we have enough data to estimate its real consequences. The results indicate the absence of any significant impact of a reform on the credit indicators, deposit volumes, or banks’ rating, as well as the number of regions where banks operate.
Third Prize:
Timur Magzhanov
Lomonosov Moscow State University

for his paper
‘The Effect of the Introducing a Three-Level Banking System on Banks’ Economic Indicators in Russia’

I analyse if the banking reform in 2017–2018, according to which all the banks were divided into three levels: Central bank, banks with uniform license, and banks with a basis license, has influenced the banks’ performance. Critics of a reform assumed that it would have negative impact on small banks, which would face the shrinkage of credit portfolios and volume of deposits and worsen the situation with obtaining a credit rating. Starting from the beginning of the reform, we have enough data to estimate its real consequences. The results indicate the absence of any significant impact of a reform on the credit indicators, deposit volumes, or banks’ rating, as well as the number of regions where banks operate.


Special Diploma
‘For Development of Macroeconomic Models of General Equilibrium’

Margarita Lyakhnova
Novosibirsk State University
for her paper
‘DSGE Modelling of the Russian Economy with Regard for Heterogeneous Adaptive Learning of Economic Agents’
In real life, economic agents form their expectations about future events differently and irrationally. According to my knowledge, this is the first paper in which the economic agents expectations are included in the DSGE model of the Russian economy using heterogeneous adaptive learning method. I conclude that such model estimate the basic economic indicators with relatively high accuracy. Particularly, retrospective forecasting of the key indicators for the period of 2015–2020 reveals that the values produced by the above model show the dynamics of actual data better than those obtained with regard for rational expectations and homogeneous adaptive learning.
Margarita Lyakhnova
Novosibirsk State University

for her paper
‘DSGE Modelling of the Russian Economy with Regard for Heterogeneous Adaptive Learning of Economic Agents’

In real life, economic agents form their expectations about future events differently and irrationally. According to my knowledge, this is the first paper in which the economic agents expectations are included in the DSGE model of the Russian economy using heterogeneous adaptive learning method. I conclude that such model estimate the basic economic indicators with relatively high accuracy. Particularly, retrospective forecasting of the key indicators for the period of 2015–2020 reveals that the values produced by the above model show the dynamics of actual data better than those obtained with regard for rational expectations and homogeneous adaptive learning.