ДЕНЬГИ И КРЕДИТ

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A Multi-Country Study of Cross-Border Transmission of Monetary Policy by IBRN

Styrin Konstantin

This short report surveys main findings of a recent multi-country research effortwithinthe IBRNnetwork. 17 nationalteamsusedconfidentialsupervisory bank-level data to study international transmission of monetary policy changes in systemic countries into bank lending to privatenon-financial borrowers worldwide. Two channels of transmission, thebank funding channel and asset rebalancing channel, are tested separately. The effect of monetary policy changes in the US on domestic lending is statistically significant in most specifications. The economic significance of the estimated effect is relatively higher for more financially open economiesand emerging markets.

Competition in Russia's Banking SectorPrior to and After Supervision Policy Enhancement: Conclusions Based on Interest Rate Dispersion and Spread

Ushakova Yulia, Kruglova Anna

Enhancement of the Bank of Russia's supervision policy in 2013 has heightened the relevance of evaluating banking competition as a toolto study the effects of banking sector recovery. We propose simple-to-calculate competition measures based on the dispersion and spread of loan and deposit rates across banks adjusted for the estimated risk of banks' lending policy. Estimation was performed for the period of 2010-2017. We have found no weakening in competition as measured by these indicators.This result has been corroborated by estimating an alternative but moreelaborately calculated competition measure - the Boone indicator. We have also found that the period following this policy launch saw a drop in the volatility of corporate and retail lending in both the cluster of banks showing a relatively low level of nonperforming loans and among bankswith a relatively high NPL level. This is accompanied by relatively lowvalues of the systemic risk indicator SRISK and gradual recovery of the Z-index, which agrees with banking sector stability improvement.

Determinants of Bank Closures:Do Levels or Changes of CAMEL Variables Matter?

Mäkinen Mikko, Solanko Laura

This study examines the role of levels and changes in bank balance sheet variables in explaining bank closure. Using a unique set of monthly bank-level panel data from Russia, we estimate determinants of banklicense withdrawals during 2013M7-2017M7. We make two key findings. First, changes in CAMEL indicators are always significantly correlatedwith probability of bank closure, and the magnitude of parameter estimates decreases with the lag length. Second, while the one-monthlagged levels of capital, earnings, and liquidity are significantly associatedwith the probability of bank closure in the subsequent month, the level of liquidity is the only significant indicator for longer lags. Our keycontribution that changes in CAMEL variables matter more than levels is robust to various robustness checks.

Forecasting for the Russian Economy Using Small-Scale DSGE Models

Kreptsev Dmitry, Seleznev Sergei

This study examines the ability of a small-scale DSGE model to forecast the dynamics of key macroeconomic variables for the Russianeconomy. The study uses two versions of a standard model of a small openeconomy, adding a stochastic oil price trend under various assumptions about exchange rate policy. Comparison with the same size BVAR model shows DSGE models to be superior as regards exchange rate, price and interest rate forecasting and slightly inferior with respect to GDP forecasting.

Frontiers of Monetary Policy:Global Trends and Russian Inflation Targeting Practices(Review of the book Advancing the Frontiers of Monetary Policy ed. by T.Adrian, D.Laxton, M.Obstfeld)

Yudaeva Ksenia

The IMF published in April2018 the book Advancing the Frontiers of Monetary Policy written by its experts and edited by Tobias Adrian, Douglas Laxton, and Maurice Obstfeld, providing a rare chance to learn the views of people who could be called thearchitects of inflation targeting.The book deals with practicalissues of using this monetary policy regime which has quickly gained wide acceptance and is currently employed by central banks of most countries in the world. Some issuesof inflation targeting policy furtherimprovements brought up in the book are also relevant to Russia.

Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data

Shulgin Andrei

The study examines the foreign currency repo program launched by the Bank of Russia after financial sanctions were imposed on Russia in 2014. Russian 2014-2017 daily statistics were used to estimate three vector error correction models which revealed a statistically significant temporary effect of sterilized interventions in the form of foreign currency repos on the ruble exchange rate to the dollar. An impulse response of the exchange rate to the expansion in foreign-currency-denominated borrowings has the correct sign, reaches its maximum on the 9th business day and is found to be statistically significant within 7-14 business days after the auction date. The response of the exchange rate was found to be asymmetric: the winding down of the foreign currency repo program had no statistically significant effect on the exchange rate.

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