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Article

Влияние внешних шоков на стоимость капитала банковского сектора РФ: оценка на основе модели векторной авторегрессии

Финансы и бизнес. 2015. № 2. С. 105-114.
Хасянова С. Ю., Малов Д. Н.

At the present time the problem of managing the cost of capital in conditions of external economic shocks is particularly relevant. This occurs because of implementation in 2014 by Bank of Russia new requirements for the structure and capital adequacy of Russian banks in accordance with the Basel 3 capital standards. In this paper we investigate the dependence between the total capital value of the Russian Federation banking sector and the main macroeconomic indicators. Also we assessed the extent and speed of their impact on capital, based on the vector autoregression model.