A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries
Integration processes in the EAEU is associated with the development of regional banking regulation that secures the effectiveness of the integration policy and, ultimately, financial stability. The integrity of the regional regulatory mechanism will largely depend on the effectiveness of convergence and supranationalization of the economic and institutional aspects of banking regulation of the EAEU member states, and at the same time – on their synchronization with Basel III. In this regard, a regional regulatory mechanism – mini Basel III – should become the central core of the EAEU regulatory and supervisory system, a tool for mitigation of systemic risks, and a mean for maintenance of stress resilience of the national banking sectors, as well as a channel of interaction with international banking regulation authorities.
However, currently EAEU banking regulation lacks a complete framework, mostly due to the shortage of strategic vision on regulatory convergence and poor understanding of the integration risks due to the absence of reliable tools for measuring imbalances in the banking sector. Besides, a number of issues of institutional supranationalization, including the delegation of the regulatory power from national to supranational level, still remain open.
In this work, the author continues the study of the regionalization of banking regulation and supervision in the EAEU focusing on systemic risks and how the mini-Basel III mechanism could become a key tool in minimization of the system-wide instability and crises.
The monograph deals with the issues of macroprudential policy that is organically linked to the system of international banking regulation. The author looks into interrelationship between macro- and micro-prudential regulatory mechanisms, explores the role of macroprudential regulation in minimization of systemic risks, as well as the extent to which the effectiveness of macroprudential tools and techniques will help ensure stress resilience of the banking sector. The author also delves into the most disputable topics on the tradeoff between macroprudential regulation and monetary policy. Without doubt the monograph is a landmark book that expands the most complex topic of macroprudential policy in the post-crisis recovery, as well as the specifics of macroprudential regulation in the post-crisis banking regulation paradigm shift.
The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on contagion, concentration, correlation and conditions effects. The paper aims at testing a new approach to SIFIs’ identification based on the Russian banking data panel. It is hypothesized that SIFIs are characterized by unique behaviour in terms of risks undertaken. Automatic clustering procedure is being run to find homogeneous groups of banks in terms of their risk patterns. Risk patterns include proxies for credit, market, operational risk values for each bank in a sample. In order to reconstruct aggregate risk patterns for the banking clusters, copula models are used. Time variances in risk profile are accounted by identifying copula structural shift moment. The paper also tests a hypothesis about the key role of the institution’s size in determining systemic importance. Finally the effectiveness of SIFIs’ identification based on their risk profile is evaluated. When concluding, recommendations on SIFIs’ regulation in Russia are provided.
We describe the method of pattern analysis and the results of its application to the problem of analyzing the development of science, education and the success of innovative activity in the regions of the Russian Federation. We examine characteristics of the regions of Russia such as the level of socio-economic conditions and the potential and efficiency of science, education and innovative activity from 2007 to 2010. Also we obtain a classification of regions by the similarity of the internal structure of these indicators, construct trajectories of regional development over time, and find groups of regions carrying out similar strategies.
According to recent empirical studies, the new regulatory proposals concerning capital and liquidity standards as well as monitoring of global systemically important financial institutions may lead in a decline of the annual growth rates of GDP due to increase in lending rates and reduction of lending activities of commercial banks. At the same time, some studies show that the new measures may stimulate stability of financial system and help to reduce the probability of banking crises. This paper reviews the results of empirical studies on potential influence of new Basel III standards on functioning of the banking system, economic growth and financial stability.
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.