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Book part
Publication date: 1 July 2015

Nikolay Markov

This chapter estimates a regime switching Taylor Rule for the European Central Bank (ECB) in order to investigate some potential nonlinearities in the forward-looking…

Abstract

This chapter estimates a regime switching Taylor Rule for the European Central Bank (ECB) in order to investigate some potential nonlinearities in the forward-looking policy reaction function within a real-time framework. In order to compare observed and predicted policy behavior, the chapter estimates Actual and Perceived regime switching Taylor Rules for the ECB. The former is based on the refi rate set by the Governing Council while the latter relies on the professional point forecasts of the refi rate performed by a large investment bank before the upcoming policy rate decision. The empirical evidence shows that the Central Bank’s main policy rate has switched between two regimes: in the first one the Taylor Principle is satisfied and the ECB stabilizes the economic outlook, while in the second regime the Central Bank cuts rates more aggressively and puts a higher emphasis on stabilizing real output growth expectations. Second, the results point out that the professional forecasters have broadly well predicted the actual policy regimes. The estimation results are also robust to using consensus forecasts of inflation and real output growth. The empirical evidence from the augmented Taylor Rules shows that the Central Bank has most likely not responded to the growth rates of M3 and the nominal effective exchange rate and the estimated regimes are robust to including these additional variables in the regressions. Finally, after the bankruptcy of Lehman Brothers the policy rate has switched to a crisis regime as the ECB has focused on preventing a further decline in economic activity and on securing the stability of the financial system.

Details

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

Keywords

Book part
Publication date: 1 July 2015

Nikolay Markov

This chapter investigates the predictability of the European monetary policy through the eyes of the professional forecasters from a large investment bank. The analysis is…

Abstract

This chapter investigates the predictability of the European monetary policy through the eyes of the professional forecasters from a large investment bank. The analysis is based on forward-looking Actual and Perceived Taylor Rules for the European Central Bank which are estimated in real-time using a newly constructed database for the period April 2000–November 2009. The former policy rule is based on the actual refi rate set by the Governing Council, while the latter is estimated for the bank’s economists using their main point forecast for the upcoming refi rate decision as a dependent variable. The empirical evidence shows that the pattern of the refi rate is broadly well predicted by the professional forecasters even though the latter have foreseen more accurately the increases rather than the policy rate cuts. Second, the results point to an increasing responsiveness of the ECB to macroeconomic fundamentals along the forecast horizon. Third, the rolling window regressions suggest that the estimated coefficients have changed after the bankruptcy of Lehman Brothers in October 2008; the ECB has responded less strongly to macroeconomic fundamentals and the degree of policy inertia has decreased. A sensitivity analysis shows that the baseline results are robust to applying a recursive window methodology and some of the findings are qualitatively unaltered from using Consensus Economics forecasts in the regressions.

Details

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

Keywords

Book part
Publication date: 1 July 2015

Abstract

Details

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

Content available
Book part
Publication date: 1 July 2015

Abstract

Details

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

Article
Publication date: 30 July 2021

  Supriyono, Tzu-Chia Chen, Lis M. Yapanto, Zagir Azgarovich Latipov, Angelina Olegovna Zekiy, Lyubov A. Melnikova, Lakshmi Thangavelu, A. Surendar, Nikolay I. Repnikov and Zeinab Arzehgar

In this paper, a lifetime estimation model for the solder joint is proposed which is capable of considering both severe and running mechanical shocks which is the real…

Abstract

Purpose

In this paper, a lifetime estimation model for the solder joint is proposed which is capable of considering both severe and running mechanical shocks which is the real case in electric converters in the automotive and aerospace applications. This paper aims to asses the reliability of the solder joint under mixed exposure of mechanical loads.

Design/methodology/approach

Mechanical failure process may put at risk the perfect performance of any kinds of electronic systems regardless of the applications they are prepared for. Observation of solder joint health in an electronic assembly under simultaneous exposure of severe and running shocks is an open problem. Three commonly used soldering compositions are considered while the electronic assembly is exposed to three well-known driving cycles.

Findings

The results show that the best performance is achieved using SAC405 soldering alloy in comparison with Sn63Pb37 and SAC387 solder alloy. Consideration of mixed exposure to the mechanical loads leads to much more accurate lifetime estimation of the solder joint in the electronic assemblies.

Originality/value

The originality of the paper is confirmed.

Details

Soldering & Surface Mount Technology, vol. 34 no. 1
Type: Research Article
ISSN: 0954-0911

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Article
Publication date: 8 February 2021

Nikolai Dokuchaev

This paper aims to investigate possibility of statistical detection of market completeness for continuous time diffusion stock market models.

Abstract

Purpose

This paper aims to investigate possibility of statistical detection of market completeness for continuous time diffusion stock market models.

Design/methodology/approach

The paper uses theory of forecasting to find criteria of predictability of market parameters such as volatilities and the appreciation rates.

Findings

It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into an incomplete one. The paper shows that market incompleteness is also non-robust: for any incomplete market from a wide class of models, there exists a complete market model with arbitrarily close paths of the stock prices and the market parameters.

Originality/value

The paper results lead to a counterintuitive conclusion that the incomplete markets are indistinguishable in the terms of the market statistics.

Details

Studies in Economics and Finance, vol. 38 no. 1
Type: Research Article
ISSN: 1086-7376

Keywords

Abstract

Details

Protest Technologies and Media Revolutions
Type: Book
ISBN: 978-1-83982-647-4

Content available
Book part
Publication date: 16 September 2022

Pedro Brinca, Nikolay Iskrev and Francesca Loria

Since its introduction by Chari, Kehoe, and McGrattan (2007), Business Cycle Accounting (BCA) exercises have become widespread. Much attention has been devoted to the

Abstract

Since its introduction by Chari, Kehoe, and McGrattan (2007), Business Cycle Accounting (BCA) exercises have become widespread. Much attention has been devoted to the results of such exercises and to methodological departures from the baseline methodology. Little attention has been paid to identification issues within these classes of models. In this chapter, the authors investigate whether such issues are of concern in the original methodology and in an extension proposed by Šustek (2011) called Monetary Business Cycle Accounting. The authors resort to two types of identification tests in population. One concerns strict identification as theorized by Komunjer and Ng (2011) while the other deals both with strict and weak identification as in Iskrev (2010). Most importantly, the authors explore the extent to which these weak identification problems affect the main economic takeaways and find that the identification deficiencies are not relevant for the standard BCA model. Finally, the authors compute some statistics of interest to practitioners of the BCA methodology.

Details

Essays in Honour of Fabio Canova
Type: Book
ISBN: 978-1-80382-636-3

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Article
Publication date: 17 December 2018

Nikolai Petrovich Anosov, Vladimir Nikolaevich Skorobogatykh, Lyubov’ Yur’yevna Gordyuk, Vasilii Anatol’evich Mikheev, Egor Vasil’yevich Pogorelov and Valentin Kuz’mich Shamardin

The purpose of this paper is to consider a procedure of water-water energetic reactor (WWER) reactor pressure vessel (RPV) lifetime prediction at the stages of design and…

Abstract

Purpose

The purpose of this paper is to consider a procedure of water-water energetic reactor (WWER) reactor pressure vessel (RPV) lifetime prediction at the stages of design and lifetime extension using the standard irradiation embrittlement parameters as defined in regulatory documents. A comparison is made of the brittle fracture resistance (BFR) values evaluated using two criteria: shift in the critical brittleness temperature ΔTc or shift in the brittle-to-ductile transition temperature ΔTp and without shifts (Tc and Tp).

Design/methodology/approach

The radiation resistance was determined using the following three approaches: calculation based on standard values ΔTc and Tc0 or ΔTp and Tp0 (a level of excessive conservatism); calculation based on standard value ΔTc and actual value Tc0 or actual values ΔTp and Tp0 (the level of realistic conservatism); or calculation based on actual values of Tc and Tc0 or Tp and Tp0 (the level of actual conservatism). The BFR was evaluated based on the results of testing the specimens subjected to irradiation in research reactors as well as surveillance specimens subjected to irradiation immediately under operating conditions.

Findings

The excessive conservatism in determining the actual lifetime of nuclear reactor vessel materials can be eliminated by using the immediate values of critical brittleness temperature and ductile-to-brittle transition temperature.

Originality/value

Obtained results can be applied to extend WWER vessel operating time at the stages of designing and operation due to substantiated decrease in conservatism. And it will allow carrying out a statistical substantiated assessment of the resistance to brittle fracture of the RPV steels.

Open Access
Article
Publication date: 16 July 2021

Nikolay Andreevich Moldovyan and Dmitriy Nikolaevich Moldovyan

The practical purpose of this research is to propose a candidate for post-quantum signature standard that is free of significant drawback of the finalists of the NIST…

Abstract

Purpose

The practical purpose of this research is to propose a candidate for post-quantum signature standard that is free of significant drawback of the finalists of the NIST world competition, which consists in the large size of the signature and the public key. The practical purpose is to propose a fundamentally new method for development of algebraic digital signature algorithms.

Design/methodology/approach

The proposed method is distinguished by the use of two different finite commutative associative algebras as a single algebraic support of the digital signature scheme and setting two different verification equation for a single signature. A single public key is computed as the first and the second public keys, elements of which are computed exponentiating two different generators of cyclic groups in each of the algebras.

Findings

Additionally, a scalar multiplication by a private integer is performed as final step of calculation of every element of the public key. The same powers and the same scalar values are used to compute the first and the second public keys by the same mathematic formulas. Due to such design, the said generators are kept in secret, providing resistance to quantum attacks. Two new finite commutative associative algebras, multiplicative group of which possesses four-dimensional cyclicity, have been proposed as a suitable algebraic support.

Originality/value

The introduced method is novel and includes new techniques for designing algebraic signature schemes that resist quantum attacks. On its base, a new practical post-quantum signature scheme with relatively small size of signature and public key is developed.

Details

Applied Computing and Informatics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2634-1964

Keywords

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