Денежно-кредитная или макропруденциальная политика: к вопросу о кредитных рисках системно значимых банков СШA

Финансы: теория и практика. 2026. № 5.

Dzhagityan E. P., Алексеева М. Г.

Systemically important banks (SIBs) are a major source of risk due to their size, market power, interconnectedness, and operational complexity. Thus, it is important to understand how post-crisis monetary and macroprudential policy instruments contain SIBs’ credit risks, which determines the relevance of the study. Unlike the previous works, we jointly examine both the combined and separate effects of monetary and macroprudential policy on SIBs’ credit risks on evidence from the particular country, which constitutes the academic novelty of the study. The subject of the study is that those effects are demonstrated on the credit default swap (CDS) activities of leading U.S. banks using a dynamic panel framework based on a two-step generalized method of moments. The purpose of this study is to identify the extent to which the efficiency of the monetary and macroprudential policy, both combined and separately, minimizes the U.S. SIBs’ credit risks. The results of the study show that a simultaneous set of coordinated measures towards tightening both monetary and macroprudential policy reduces the U.S. SIBs’ credit risks. If the monetary policy is eased, a tightening of the macroprudential policy may contain the accumulation of SIBs’ credit risks. At the same time, the effectiveness of macroprudential policy tools alone varies, whereas monetary policy indirectly impacts credit risks. The research results show that requirements for debt-to-income limits and single counterparty exposure limits are among the most effective macroprudential policy tools, especially for the U.S. domestic SIBs. We also found that the effectiveness of the simultaneous application of monetary and macroprudential policy measures with regard to U.S. SIBs’ credit risks exceeds the effectiveness of those measures applied on a standalone basis; however, we found no difference in the extent of their impact on credit risks of U.S. global and domestic SIBs.

Keywords: кредитные риски, денежно-кредитная политика, банковский сектор, monetary policy, Базель III, Basel III, credit risks, banking sector, макропруденциальная политика, macroprudential policy, U.S. systemically important banks (SIBs), системно значимые банки США