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Liquidity, Default and the Interaction of Financial Stability and Monetary Policy
Ch. 10. P. 153–168.
Peiris U., Tsomocos D., Vardoulakis A.
In press
“Default is to macro-economics what sin is to theology: regrettable but central and essential”. The contemporaneous assessment of both liquidity and default within a framework of missing financial markets, multiple currencies, heterogeneous economic actors (i.e., investors, firms and intermediaries) and multiple externalities is warranted for analysing the interplay of financial and price stability. Thus, the complementarity and substitutability of regulatory and monetary policies can be identified and dissected. The optimal policy mix may be subsequently determined given the objectives of the fiscal and monetary authorities.
Shchepeleva M., Procedia Computer Science 2025 No. 266 P. 447–455
We investigate the transmission of systemic stress in a sample of selected advanced and emerging market economies for the period between August 2008 and June 2024. Using national SRISK indices, we estimate high-dimensional vector autoregressions and conduct Granger causality tests. We display the lead-lag linkages among the countries as a network and examine its topology. We find that ...
Added: February 12, 2026
Банникова В. А., Виноградова О. С., Penikas H. I., Вопросы экономики 2025 № 9 С. 103–125
События 2022—2023 гг. сформировали условия для изучения квазиестественного эксперимента с целью оценить влияние мер поддержки Банка России на биржевую стоимость акций банков. Общий фон внешних событий воздействовал на всех участников фондового рынка. Однако по отношению к банкам было осуществлено дополнительное воздействие, которого не было для иных компаний, — это меры поддержки банков, принятые в 2022 ...
Added: September 9, 2025
Lapteva E., Pilnik N., Вестник Санкт-Петербургского университета. Серия 5. Экономика 2025 Т. 41 № 3 С. 340–363
The article systematizes, synthesizes, and compares the results of studies aimed at modeling and assessing the effectiveness of macroprudential policy both at the level of individual countries and in a cross-country context. It provides an interdisciplinary review that integrates empirical findings with theoretical frameworks of macroprudential regulation, offering a novel analytical perspective on its effectiveness ...
Added: June 30, 2025
Andreev M., M. Udara Peiris, Alexander Shirobokov et al., Annals of Finance 2024 Vol. 20 P. 167–197
Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of commodity price shocks for aggregate fluctuations remains inconclusive. Using Russian data from 2001 to 2018 we estimate a small open economy New Keynesian model with a banking system and leveraged domestic firms who default on their unsecured ...
Added: February 19, 2025
Peiris U., Shirobokov A., Tsomocos D., Journal of International Money and Finance 2024 Vol. 141 Article 103012
Emerging Market Economies struggle to balance monetary policy with capital flow management and commodity price volatility. Our study employs a New-Keynesian model, using Russian data from 2001 to 2019, to examine ‘Lean Against the Wind’ (LAW) monetary policies. We show that under Lean Against the Wind (LAW) policies, households with borrowed funds experience improved welfare, ...
Added: April 8, 2024
Dzhagityan E. P., Алексеева М. Г., Журнал Новой экономической ассоциации 2024 № 2 (63) С. 168–191
Amid increasing uncertainty in the global financial markets, the accumulation of risks in the banking sector highlights the lack of alternatives to macroprudential policy (MPP), including in the light of the bankruptcy of a number of leading U.S. banks. The paper investigates the impact of macroprudential policy on the risks of large U.S. bank holding ...
Added: November 12, 2023
Kozlovtceva I., Penikas H. I., Петренева Е. А. et al., Emerging Markets Review 2022 Vol. 52
We use data regarding Russian banks during the 2015–2019 period to evaluate the effectiveness of the macroprudential measures in curbing the booming consumer lending segment. We find that the measures are successful in reducing overall loan portfolio riskiness and capital cushion accumulation by banks. In the short run of up to 1–2 quarters after the ...
Added: July 28, 2023
Deryugina E., Maria Guseva, Alexey Ponomarenko, , in: Risk Assessment and Financial Regulation in Emerging Markets' Banking: Trends and Prospects.: Springer, 2021. P. 277–286.
We analyse the ability of credit gap measures to predict banking crises by estimating the usefulness measure conditionally on policymaker's preferences. The results show that the signals based on the credit gap indicators are most useful when the policymaker’s preferences regarding Type I and Type II errors are approximately equal. However, according to the current ...
Added: January 31, 2023
Stolbov M., Shchepeleva M., , in: The Routledge Handbook of Comparative Economic Systems.: Routledge, 2023. P. 664–675.
Added: January 5, 2023
Karamysheva M., Seregina E., Journal of International Money and Finance 2022 Vol. 127 Article 102696
The impact of prudential policies in open economies depends on their intrinsic efficacy and the spillovers from the close financial partners. Using a sample of advanced economies, we find that prudential policy interventions significantly reduce systemic risk in the financial systems with the impact amplified through a network of financial investment links. Using the Spatial ...
Added: July 15, 2022
Stolbov M., Shchepeleva M., Karminsky A. M., Financial Innovation 2021 Vol. 7 No. 1 Article 41
The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggregate proxies of these variables, capturing their global effects, and use a novel econometric technique, namely, smooth local projections. The study finds that global macroprudential policy ...
Added: October 31, 2021
Penikas H. I., Деньги и кредит 2021 Т. 80 № 3 С. 94–104
In the first week of June 2021, the Bank of Russia and the New Economic School hosted a joint international online workshop titled ‘Identification and Measurement of Macroprudential Policies Effects’. Participants’ presentations suggest that macroprudential policy measures against high-risk lending produce their intended effects, but also, as a rule, bring about side effects. These effects ...
Added: September 28, 2021
Akhmetov R., Mamonov M. E., Pankova V., Вопросы экономики 2021 № 6 С. 5–31
This review examines the impact of the global financial cycle on small open economies and compares the effectiveness of various monetary and macroprudential policies in the presence of global financial cycle. First, we provide a classification of the channels through which the monetary policy of the world financial regulators (US Federal Reserve, ECB), which largely ...
Added: July 9, 2021
Nenovsky N., Sahling C., , in: The Political Economy of Central Banking in Emerging Economies.: Routledge, 2020.
In the post-Soviet period, the Central Bank is the leading institution, a driving force towards a specific Russian model of market economy and capitalism. Monetary policy, its objectives and instruments are at the center of the struggle for redistribution of resources, assets and liabilities; the main mechanism for formation of new economic, financial and political ...
Added: December 24, 2020
Andreev M., Peiris U., Shirobokov A. et al., / Series 57 "WORKING PAPER SERIES". 2020. No. 57.
Commodity exporting economies display procyclicality with the price of commodity exports. Although financial frictions may amplify commodity price shocks, how they do so for net exporters is unclear. Using Russian data from 2001-2018 we estimate a small open economy New Keynesian model with a banking system and leveraged domestic firms who issue secured debt and ...
Added: June 4, 2020
Andreev M., Peiris U., Shirobokov A. et al., Russian Journal of Money and Finance 2019 Vol. 78 No. 3 P. 3–37
We study a small open economy New Keynesian model calibrated to the Russian economy with a banking system that trades secured and unsecured debt. Firms endogenously default on their unsecured debt obligations over the business cycle. We examine the effectiveness of four alternative countercyclical policies that respond to the growth in unsecured credit in the ...
Added: June 4, 2020
Анализ согласованности временной структуры активов и пассивов крупных российских коммерческих банков
Borzykh O., Borzykh D., Учет и статистика 2016 Т. 41 № 1 С. 44–52
We test a hypothesis that one of the main sources of financing short-term assets for big Russian commercial banks are short-term liabilities while the main source of financing long-term assets comprises long-term liabilities. The information about such a conformity between the term structure of assets and liabilities is important for an effective macroprudential policy. Our ...
Added: November 14, 2016
Анализ согласованности временной структуры активов и пассивов крупных российских коммерческих банков
Борзых О. А., Borzykh D., Учет и статистика 2016 Т. 41 № 1 С. 44–52
We test a hypothesis that one of the main sources of financing short-term assets for big Russian commercial banks are short-term liabilities while the main source of financing long-term assets comprises long-term liabilities. The information about such a conformity between the term structure of assets and liabilities is important for an effective macroprudential policy. Our ...
Added: January 30, 2016
Doroshenko M. E., Berezin I. S., Вестник Московского университета. Серия 6: Экономика 2015 № 4 С. 30–51
The paper generalizes the beginnings of institutional design and development of financial mega-regulator in Russia within the challenging economic environment. Empirical background involves qualitative studies in the form of expert interviews with staff members of the Bank of Russia and with financial market stakeholders. We use expert assessments supported by our own desk research for ...
Added: September 4, 2015