Madina Karamysheva

1. Craig B., Karamysheva M., Salakhova D., "Unveiling the Truth: How Well Market-Based Networks Mirror Bank Exposures." (Second-round R&R Management Science)

(previously circulated under the title "Do market-based networks reflect true exposures between banks?")

ABSTRACT

This study investigates the relationship between market-based and balance-sheet networks among European banks. We compare market-based networks constructed using five distinct approaches to those derived from actual bank balance sheet exposures, encompassing loans, bonds, and equity holdings. While the overall structure of financial networks remains relatively stable, individual exposures are more dynamic.

Our analysis reveals that market-based networks effectively capture indirect exposures, particularly those related to bonds and loans. Equity-based measures demonstrate a stronger association with equity exposures, while credit-risk measures more effectively capture bond-related exposures. All market-based networks poorly capture direct interbank lending. These findings highlight the importance of carefully selecting market-based networks for the type of performed analysis and its objectives.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4626466 

2. Gafarov B., Karamysheva M., Polbin A., Skrobotov A., "Wild inference for wild SVARs with application to heteroscedasticity-based IV" (Working Paper)

ABSTRACT

Structural vector autoregressions are used to compute impulse response functions (IRF) for persistent data. Existing multiple-parameter inference requires cumbersome pretesting for unit roots, cointegration, and trends with subsequent stationarization. To avoid pretesting, we propose a novel dependent wild bootstrap procedure for simultaneous inference on IRF using local projections (LP) estimated in levels in possibly nonstationary and heteroscedastic SVARs. The bootstrap also allows efficient smoothing of LP estimates. 

We study IRF to US monetary policy identified using FOMC meetings count as an instrument for heteroscedasticity of monetary shocks. We validate our method using DSGE model simulations and alternative SVAR methods. 

https://arxiv.org/abs/2407.03265 

3. Briganti E., Favero C., Karamysheva M., "The Network Effects of Fiscal Adjustments" (Reject and resubmit EER)

ABSTRACT

We investigate the effects of fiscal consolidations in the United States and their propagation through the production network. Using a narrative approach, we identify exogenous fiscal adjustments and employ a spatial autoregression (SAR) model to separate the total effects of these adjustments into direct and network components. Our analysis reveals that tax-based consolidations have a more pronounced recessionary impact than expenditure-based ones, with approximately 27% of the total effect of tax-based consolidations attributable to network spillovers, compared to 11% for expenditure-based plans. A quarter of this difference in their total output effect is attributable to the stronger network propagation of tax increases compared to government spending cuts.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3971565

4. Karamysheva M., Skrobotov, A., "Fiscal Multiplier and the Size of Government Spending Shock. The case of the U.S." (Working Paper)

ABSTRACT

This paper investigates whether the fiscal multiplier depends negatively on the size of the government spending shock. We build our hypothesis on behavioral arguments and check it empirically using U.S. data. In doing so, we adopt a non-linear Local Projection method. We address possible endogeneity issues by using government military spending and illustrate that our results are non-sensible to these concerns. Finally, we limit our analysis to the government consumption multiplier, as our hypothesis suggests strong non-constancy in this respect. We find a strong negative relationship between the government spending multiplier and the size of the shock. Results are robust to different subsamples, fiscal foresight, business cycle, and different identification schemes.

5. Favero C., Karamysheva M., "Design of Fiscal Adjustments: Plans versus Shocks" (Working Paper)

ABSTRACT

This paper analyzes the measurement of the output effects of fiscal stabilization policies, by assessing the relevance of different methods in determining the heterogeneity of available results and by evaluating comparatively the different approaches proposed in the literature. We compare fiscal plans and fiscal shocks in the U.S. over the period 1978q1-2014q4 by estimating the truncated moving average (MA). We show that plans nest shocks. Our results suggest that the use of shocks instead of plans causes the size and the interpretation of fiscal multipliers to be affected.

6. Karamysheva, M., Lipin, A., Popova, S., "A Tale of Two Shocks: Defense vs. Disaster Spending and Regional Growth." (Working Paper)

ABSTRACT

We construct a novel monthly panel of Russian public-spending shocks at the regional level that disaggregates outlays motivated by emergency relief (primarily natural-disaster reconstruction) from those motivated by strategic security objectives. Exploiting the granularity of the federal procurement register for the sample 2014-2021, we (i) timestamp the first payment rather than contractual commitment, (ii) map each contract to both a customer region (where the government entity is located) and a supplier region (where the winning contractor is registered). With local-projection, we trace the dynamic response of macroeconomic aggregates (employment, industrial production, wages, construction output, and retail trade) to the two shock types - both locally and across regional supply chains.

The following findings emerge: disaster‐related spending shocks generate rapid and lasting increases in industrial production and - under an IV specification - also in employment, while defense investments produce only a short‐lived boost before significant medium - and long-term contractions, especially in supplier regions.

1) Member of the Scientific Committee of the Faculty of Economic Sciences.

2) I am a part of the expert committee in the field of Economics and Finance in the Open HSE Student Research Paper Competition (NIRS).

3) Member of Academic Council in the Master's program Strategic Corporate Finance

4) Conducting interviews with international students (the Master's program Strategic Corporate Finance)

5) Member of organizing committee of International Research Seminar FES/ICEF. 

6) Member of organizing committee of Joint Macro-Finance Online Seminar Series (Bank of Russia, HSE FES/ICEF, NES)

7) Experience in the organizing committee of the student competition "Olimpiada: I am a professional" in the field of Finance (2017 and 2018). (Letter of Gratitude by the Vice-Rector of the Higher School of Economics. July 2018)

8) Referee experience: 

Journal of Applied Econometrics, Journal of Empirical Finance, Economica,

Emerging Markets Review, Journal of International Money and Finance,

Economic Letters, Journal of Economic Dynamics and Control,

CESifo Economic Studies, Review of World Economics,

Journal of the New Economic Association, Journal of Corporate Finance Research

Russian Journal Of Momey & Finance, HSE WP BRP Series: Economics