Gambarov Georgy, Vardanyan Artur
This work is devoted to the identification of the structure of liquidity transmission in the Russian overnight bank deposits market which is useful for analyzing risks arising from the redistribution of liquidity. In this paper, we used the toolkit of cluster analysis methods and graph theory. The revealed significant segmentation of the market with the established structure of interrelations between participants not only allowed to assess the concentration risks and the difference in the cost of borrowing for banks from different clusters (tiers), but also to connect the characteristics of the market with the business models of its participants.
Pestova Anna, Pankova Vera, Akhmetov Renat, Goloshchapova Irina
In this paper we propose a system of financial stress indicators for Russia based on high frequency data. Unlike previous studies, we identify financial instability for different types of financial risks (credit, liquidity, currency, interest rate, external finance risk), not for different segments of financial market. With constructed composite indicator of systemic risk at hand, we identify crisis events in the Russian financial market in 2008-2009 and in 2014-2015, which were caused by both the negative impact of external financial shocks and the deterioration of domestic macroeconomic conditions. In addition, we find strong evidence in favor of different types of financial risks co-movement.
In the article the important factors which can destabilize a world financial system and the problems of the banking sectors of the developed countries are considered. There are analyzed the anti-crisis mechanisms necessary for normalization of a situation in world and Russian economy.
Kulikov Dmitry, Baranova Vasilisa
The article describes methodology of construction of ACRA's Financial Stress Index for Russia. The Index dynamics is meant to draw a simple quantitative portrait of the financial market-operating mode and indirectly warn about an increased or decreased likelihood of rapid changes in the creditworthiness of economic agents due to financial market malfunctions. The Index aggregates information on the dynamics of a number of factors selected in order to guarantee the efficiency, continuity, and versatility of the Index mechanism. Special attention is given to the comparability of its values in various financial system operating modes (structural surplus vs. liquidity deficit, loose vs. tight monetary policy) and under a priori equal economic conditions (various average price levels, high / low real economic growth rates).
Danilova Elizaveta, Elizarova Natalia
This article describes macroprudential policy objectives, main challenges the regulators encounter when carrying out macroprudential policy, conditions necessary for its efficient implementation. Basing on extensive research of different countries practices the authors suggest classification of macroprudential instruments and present findings on the effectiveness of specific policy measures. The article also presents the evaluation of the Bank of Russia experience in the field of macroprudential policy, discusses findings on the effectiveness of particular tools and suggests areas for further policy development.
Gambarov Georgy, Musayeva Malika, Krupkina Anna
This research describes construction of the Russian financial market stress index aggregating indicators of six market segments. The grounds are given to the way of initial data aggregation. The approach to formal identification of stress periods on the base of Kolmogorov-Smirnov test is proposed. This method is used for detection of the recent periods of stress on the Russian financial market. Index quality is assessed with reference to key shocks on global financial market.
The article presents the analysis of the main forces imbalances in the external sector. The conclusion is drawn on permanent reproduction of the challenges for global financial stability proceeding from the internal imbalances accumulated in the economies of the countries - net debtors and net creditors of the rest of the world. The reasons of accumulation and conservation during the long period of disproportions in external sector of the certain countries are analyzed. On the basis of the statistical analysis of dynamics of the current account balance of various groups of the countries has defined the genesis of the transformation of a role of the countries - net debtors and net creditors, underlined that fundamental bases of global imbalances are kept, and leveling of the current account balances in recent years due to external factor - decrease of the world prices for primary goods.
Paper examines international experience in monetary policy of central banks that has activated macroprudential instrument - countercyclical capital buffer - to maintain banking sector resistance against the observed systemic risks. Consideration of the decision making in monetary policy and financial stability maintenance allows to estimate the impact of monetary conditions on rise of systemic risks and to make conclusions on the interaction of mentioned central banks policies.