Review of the Bank of Russia – NES workshop ‘Identification and measurement of macroprudential policies’ effects’

Penikas, Henry

doi:10.31477/rjmf.202103.94

Cited by 2 publications

(2 citation statements)

References 10 publications

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“…At the same time, the research carried out is fragmentary and is usually limited to a narrow segment of lending, which is targeted by macroprudential measures. According to some authors [ 48 ], this approach to determining signal points is not reliable enough, since the dynamics observed in the analyzed segment can be compensated by the dynamics of other segments.…”

Section: Literature Reviewmentioning

confidence: 99%

Stability of financial development: Problems of measurement, assessment and regulation

Господарчук

Zeleneva

2022

PLoS ONE

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Adequate measurement, assessment, and regulation of financial development stability are key components, the formation of effective macroprudential policies, and the coordination of these policies among countries. However, an analysis materials on the subject shows that work in this area is fragmented,. In this regard, the purpose of this study is to develop a methodology for diagnosing and regulating the stability of financial development based on a systematic approach. The study used systematic, comparative, and GEO analysis, econometric methods. As a result, new indicators have been developed to diagnose the financial development of countries. The authors also propose criteria, which could be used to signal the need for countercyclical regulation tools. The novelty of the study lies in a systematic approach to the diagnosis and regulation of the stability of financial development. The systemic nature of the study is ensured by the application of the statistical framework of the System of National Accounts. Testing of the developed indicators and criteria was carried out in relation to the OECD+ (Organisation for Economic Co-operation and Development) countries for the period 2007–2020. As a result of the testing, a rating of countries was built according to the level of stability of financial development. This rating highlighted leading countries as well as countries generating systemic risks. The study also assessed the legal grounds behind the introduction of a countercyclical markup by a number of countries. The new diagnostic and regulatory system has a number of advantage—it is highly representative and objective by nature, and has a wide range of applications. The use of this system will improve the complexity and quality of diagnosing and regulating the stability of financial development at the national and global levels, as well as increase the effectiveness of public decision-making.

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Section: Literature Reviewmentioning

confidence: 99%

Stability of financial development: Problems of measurement, assessment and regulation

Господарчук

Zeleneva

2022

PLoS ONE

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“…A review of recent studies, including those presented at the joint international seminar of the Bank of Russia and NES, on assessing the effects of macroprudential policy (Penikas, 2021) is published in this journal issue (see pp. 94-104).…”

Section: Introductionmentioning

confidence: 99%

The impact of the Bank of Russia’s macroprudential policy on the risk exposure of banks’ consumer loan portfolios

Miroshnichenko¹

2021

RJMF

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In this paper, the author examines the efficiency of risk weight add-ons introduced by the Bank of Russia depending on borrowers’ debt burden in terms of discouraging high-risk unsecured rouble consumer lending and the effect of these add-ons on banks’ capital adequacy. The analysis is based on open bank reporting data for the period from October 2019 through August 2020. We show that in this time frame, most banks increased their capital. At the same time, the results obtained do not enable us to confirm the hypothesis that this measure has a pronounced effect on the reduction of the risk profile of consumer loan portfolios. We demonstrate that one of the factors that influenced the efficiency of measures introduced by the regulator is the substantially higher profitability of retail lending as compared to corporate lending.

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Review of the Bank of Russia – NES workshop ‘Identification and measurement of macroprudential policies’ effects’

Cited by 2 publications

References 10 publications

Stability of financial development: Problems of measurement, assessment and regulation

Stability of financial development: Problems of measurement, assessment and regulation

The impact of the Bank of Russia’s macroprudential policy on the risk exposure of banks’ consumer loan portfolios

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