CC BY
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Burmistrov V. V.
Bachelor of Economics, master student of International Finance Faculty Financial University under the Government of the Russian Federation
Russia, Moscow
CONSUMPTION FUNCTION OF MACROECONOMIC MODEL OF THE BRICS COUNTRIES: BRAZIL, RUSSIA, INDIA, CHINA, SOUTH AFRICA. FROM 1981 TO 2013
Summary. This article provides an econometric analysis of the consumption function for the Brazil, Russia, India, China, and South Africa. The analysis of the information obtained. Given the assumptions of the author about the adequacy and fairness of these models.
Keywords: ECONOMETRICS, CONSUMPTION MODEL, BRICS, BRAZIL, RUSSIA, INDIA, CHINA, SOUTH AFRICA, CONSUMPTION, GDP, PREVIOUS PERIOD CONSUMPTION.
This economic system studies the consumption function of Macroeconomic model of the BRICS countries: Brazil, Russia, India, China, and South Africa. In this study we have two variables: GDP and consumption for the previous period, which are measured in US dollars.
The aim of this study is to test the adequacy of the empirical data of our consumption function, for this were used Statistical Hypothesis Testing.
It has been decided to build a model on a basis of "third equation of Lawrence Klein which is called consumption model". Only those factors which will be able to explain the variations in the dependent variables will be left in the final output of the model and afterwards tested.
However, this study is important from the point of view of the analysis of latest data about chosen countries, such as: real retail sales in the BRICS, with the exception of Russia, have held up much better than in the advanced economies over the past two years, and this trend is expected to continue. Our consumption growth forecasts imply that, the BRICS will contribute almost half of global consumption growth.
In this paper we study the following countries: Brazil, Russia, India, China, and South Africa. The main methods of research are methods of analysis of econometric models and simulation methods. [1]
As a result of research we find out about, as far as are adequate econometric models, and suggests the possibility of money market function.
The necessity of this study caused the need for a detailed analysis of the economies, which are held in the same economy group as Russia.
An important step in this research is to collect relevant data on the two variables. The World Bank has long been leading a detailed and reliable statistics, it is this resource is the data source. [2]
Based on the results of research we have found out following : F-test
The F-distribution or Fisher F distribution is named after the famous statistician R. A. Fisher. The Fisher F distribution is the ratio of two chi-square distributions, and hence is right skewed. It has a minimum of 0, but no maximum value (all values are positive). The peak of the distribution is not far from 0, as can be seen in the following figure. We will use the F-distribution through the F test.[3]
F test
Brazil Russia India China South Afr
F 2118,2 7146,81 7875,61 1533,8 4565,21
Ftest 4,1 3,73 3,31 3,49 3,32
F>Ftest True True True True True
• We used the probability of mistake equal to 0,05.
• If F is higher than F-crit than the RA2 is non-random and the quality of the specification of the model is high
T-test
T test
Brazil Russia India China South Afr
T(Y) 1,38 1,12 10,54 -3,96 -0,71
T(X1) 25,39 30,99 25,91 3,11 21,36
T(X2) 2,9 6,30 2,01 17,95 2,32
Tcrit 2,22 2,14 2,2 2,08 2,04
• If |T-stat| is bigger than T-crit it means that the coefficient is significant
• As we can see, for China all coefficients are significant
• But for others situation is not so strict
GQ-test
The GQ test checks for homoscedasticity in regression analyses in order not to allow overestimation of the model's results. The test is also sometimes called two-group test as it is based on the division of the dataset into two independent groups._
GQ
Brazil Russia India China South Afr
GQ<FcritGQ + + + + +
1/GQ<FcritGQ
• As we can see, for all countries only 1 condition is true, therefore residuals are heteroscedastic Heteroscedasticity is a major concern in the application of regression analysis, including the analysis of variance, because the presence of heteroscedasticity can invalidate statistical tests of significance that assume that the modelling errors are uncorrelated and normally distributed and that their variances do not vary with the effects being modelled.
DW-test
Durbin-Watson statistic is a test statistic used to detect the presence of autocorrelation in the residuals from a regression analysis.
• The DWstat for Brazil, India and Russia lies between DU and 4-DU -it means that the residuals aren't autocorrelated and 3rd Gauss-Markov condition is not broken
• DWstat for South Africa lies between 0 and DL, which means that residuals are positively autocorrelated
DWstat for China lies between dl and du which means that residuals are also positively autocorrelated
Our final economic model shows high relevance of the independent variables for the explanation of the dependent one due to the high R2 value and a number of tests, which have been successfully run during the model check. [4]
BRICS countries were chosen as locomotive countries, which has been flourishing for the last years or even decades. Brazil is the flagman of Latin America, Russia, despite some current problems on the international area, is the biggest country in the World with a huge amount of resources, India and China are the biggest countries by population, where efficiency of labour force is very high, and South Africa, which is similar with Brazil, but on another, African, continent.
The 2007-2009 financial crisis has been a major challenge for all of the world economy. As we have shown in this paper, the BRICS economies collectively appear to have withstood the crisis better than many of their developed-country counterparts. Indeed, their contribution to world economic activity has increased even more through the crisis, and since. This is likely to continue in the near, medium and long term. We now think it is more likely, rather than less, that China will become as big as the US by 2027 and the BRICS will become as big as the G7 by 2032. China, Brazil and India have all performed particularly well, and although Russia has not done so recently[5], it deserves its position as a BRICS.
References
1. Трегуб И.В.: Математическое моделирование динамики экономических систем: монография/Трегуб И.В. М.: Финакадемия, 2009. 120 с.
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2. Трегуб И. В.: Моделирование инфляционных процессов в Российской экономике.// Фундаментальные исследования. 2009. №1. С. 86-87
3. Трегуб И. В.: Опыт привлечения студентов Финансовой Академии при Правительстве Российской Федерации к научно-исследовательской работе в области изучения динамики экономических систем.// Фундаментальные исследования. 2008. №8. С. 95-96
4. Трегуб И. В.: Инфляция в России: монетаристский и неоклассический подходы.// Экономика. Налоги. Право. 2014. №1. С. 48-52
5. The World Bank - [Электронный ресурс] - URL: http://data.worldbank.org/country
Dolgikh A. Y.
First-year student of master's degree in Financial University under the
Government of the Russian Federation Moscow city, Russia DIVIDEND POLICY AND THE IMPACT ON THE SHARE PRICE
Dividend policy is one of the most controversial aspects of the company, which has always caused a lot of controversy among financiers and scientists. Do firms pay dividends, and if so, what share of their profits? What will be the reaction of investors to the announcement of the dividend? Dividend policy is an important attribute of the company, as well as an important element of the financial strategy of the company.
The relevance of dividend policy is not only a huge amount of theoretical and empirical research. It is also observed due to the high demand of Russian firms, investment banks and consulting companies to develop a dividend policy. At the same time, despite the large amount of research in the field of dividend policy, it is necessary to note the fact that almost all of them were based on data for the developed financial markets of the USA, the UK, Germany, Japan, while the emerging market of Russia has not been paid in this regard, a lot of attention. As a result of radical differences between the Russian financial market and the markets of developed countries, it is impossible to draw conclusions about what classical and modern theories of dividend policy will have the right to life in relation to the domestic market, and which do not.
In this case, the aim of my work is to study the impact of dividend payments on the value of Russian companies by using one of econometric methods - the method of least squares.
If any dependence is to take place, the second target will be the analysis of the factors that can influence the value of dividend payments. As an example, I chose major Russian company in the real sector of the economy, whose shares are traded on the Russian stock exchange - LUKOIL.
To build the model and its further validation was taken major Russian public company whose shares are traded on the RTS stock exchange: LUKOIL.
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