Стерилизованные интервенции в форме аукционов валютного репо: VECM-анализ на российских данных
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.
This paper investigates the change in the behavior of prices and volumes on the Russian electricity market, caused by changes in the electrical grid. The analysis is performed on two previously unconnected macro regions, which currently have a “fictional” interregional transmission line. We use a dataset with economic variables together with the flow frequency as a technical variable of the electrical grid and prove that the latter matters. Our estimates indicate that given the existence of the interregional link, prices in the regions converge to some extent and generation volumes in the regions are shaped by its regions' and the adjacent regions' load. In the future research, the whole electrical grid of Russia should be taken into account.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.