Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia
The Basel II accord implemented in 2006, meant that banks worldwide could use Internal Ratings-Based (IRB) models, in order to evaluate the components of their Capital Adequacy Ratio (CAR). In 2017 the IRB approach was also included into the Basel III Framework. The financial crisis of 2007-09 revealed the unsustainability of the Greek debt and lead the economy into a deep and prolonged recession. As a result the Greek stock exchange and the quotes of Greek banks plummeted. Five out of the six listed Greek banks adopted IRB models between 2008 and 2017. This paper investigates whether Greek IRB-banks performed better, within the adverse economic conditions, compared to the non-IRB banks. Difference-in-difference (DiD) and spatial DiD methodologies are employed and annual data from the Athens stock exchange, over the period 2001–2017, is used. It appears that there is a negative impact of the IRB implementation on listed Greek banks. This is mainly attributed to the higher cost involved in deriving risk estimates with the IRB approach, especially during this period of the stressful economic conditions. It is also attributed though to the restrictive regulatory measures imposed on Greek banks, which minimized any benefits derived from the IRB transition.
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.