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The rise of collateral-based finance under state capitalism in Russia
Abramov A., Viktorov I.
The article examines emerging financial capitalism in Russia and its recent developments, the rise of collateralised finance and trading in repo markets. The main conclusion is that a combination of sophisticated speculative practices with a strong state presence in financial markets is a distinctive feature of Russia after 2008. The decoupling of the financial system from the credit supply to the real sector is still continuing after the collapse of Communism. The role of the capital markets is restricted to short-term liquidity management in money markets, which rose after 2011 due to an increased provision of state liquidity. The existence of a large monetary overhang accumulated within the Russian banking system and its interconnectedness with collateralised markets are discussed. The development stages of the repo markets and the main collateral types are considered in relation to the expansion of the state liquidity supply. This study provides an additional perspective within the ongoing debate on contemporary state capitalism in emerging markets.
Rusetskaya O., Гусарова Е. А., Вестник факультета управления СПбГЭУ 2023 № 16 С. 78–90
The article presents a rating, as well as a classification according to the level of competitiveness of the largest 10 Russian and 10 Chinese food industry enterprises based on the calculation of profitability of sales, sales dynamics and liquidity in 2020–2022. A comparative analysis of the relevant indicators has been performed. ...
Added: March 1, 2025
Sizykh D., Tregub K., Belyakov B. et al., , in: 2024 17th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2024. P. 1–5.
Currently, a large number of studies are being conducted to improve the accuracy of the developed forecasting methods for the stock market. At the same time, multivariate models based on machine learning methods are increasingly used. Since liquidity indicators have a significant impact on asset pricing, taking them into account can improve the accuracy of ...
Added: January 15, 2025
Volkov V., Finance Research Letters 2024
This paper examines the relationship between opacity and frequency dependence of systematic risk (β), estimated over different horizons using Wavelet Transform, for small and large firms. The findings provide evidence for the frequency-specific nature of opacity and suggest that while opacity is positively related to the frequency dependence of beta for large firms at all ...
Added: October 30, 2024
Fardeau V., Journal of Economic Theory 2024 Vol. 217 Article 105825
I study how (VaR-based) financial constraints affect liquidity and welfare under different structures of the arbitrage industry. When capital is dispersed across competitive arbitrageurs, financial constraints may impair their ability to provide liquidity, lowering other investors' welfare. However, when capital is concentrated among arbitrageurs with market power, introducing constraints can make everyone better off and ...
Added: April 1, 2024
Gubareva M., Sokolova T., Umar Z. et al., Quarterly Review of Economics and Finance 2024 Vol. 94 P. 88–92
This paper presents the empirical liquidity study of Islamic fixed-income securities during 2020–2021. Using bid-ask and Z-spread metrics we demonstrate that the apogee of both, liquidity and credit stresses in international sukuk market is reached in early April 2020. Contrasting results for non-Islamic fixed-income instruments, we show that sukuk credit spreads recover to pre-Covid levels ...
Added: March 23, 2024
Teplova T., Gubareva M., Nikolai Kudriavtsev, Eurasian Economic Review 2023 Vol. 13 P. 753–802
We perform a neural network analysis of the impact of Russian retail investors´ sentiment on the stock price behavior of well-known American companies. We study American stocks in a situation of a time-segmentation of the stock market. A special feature of our analysis is the separate time trading mode, when trading is active at the ...
Added: December 10, 2023
Gurov S., Teplova T., International Journal of Emerging Markets 2025 Vol. 20 No. 6 P. 2223–2242
Purpose
The study examines the relationship between news intensity, media sentiment and market microstructure invariance-implied measures of trading activity and liquidity of Chinese property developer stocks during the 2020–2022 Chinese property sector crisis.
Design/methodology/approach
The authors adopt the extension of the news article invariance hypothesis, which is a generalization of the market microstructure invariance conjecture, from January 2020 ...
Added: September 8, 2023
Zadorian A., International Journal of Public Administration 2021 Vol. 44 No. 14 P. 1241–1252
Why do state capitalist regimes, while aiming to increase control over the economy, introduce partial privatization and liberalization at their national oil companies (NOCs)? The article presents a case study and discourse analysis of liberalizing reforms to the management of “Health, Safety, and Environment” at the Russian and Brazilian NOCs. Employing a constructivist political economy ...
Added: July 4, 2023
Dzhagityan E. P., Mukhametov O., Финансы: теория и практика 2023 Т. 27 № 6 С. 79–88
In response to the Global Financial Crisis of 2008–2009, international financial regulators tightened the regime of banking supervision in order to minimize systemic risks, strengthen banking sector resilience and ensure financial stability. Given the increased level of credit risks and the issue of liquidity in the banking sector, as well as the role of banks ...
Added: November 11, 2022
Teplova T., Gurov S., Applied Economics 2022 Vol. 54 No. 51 P. 5943–5955
We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size ...
Added: April 26, 2022
Teplova T., Gurov S., Annals of Operations Research 2025 Vol. 352 P. 441–469
Using high-frequency transaction-level data for liquid Russian stocks, we empirically reveal a joint nonlinear relationship between the average trade size, log-return variance per transaction, trading volume, and the asset price level described by the Intraday Trading Invariance hypothesis. The relationship is also confirmed during stock market crashes. We show that the invariance principle explains a ...
Added: April 26, 2022
Kolade S. A., Economic Systems 2019 Vol. 43 Article 100688
This paper examines the possible loan growth effect of the Basel III NSFR and LCR requirements in Africa and seeks to determine whether the different regions of the continent are affected differently. The paper also offers what is possibly the first investigation of how the interaction between the performance of loan portfolios and the new ...
Added: February 26, 2022
Karminsky A. M., Khromova E., Kudrov R., , in: Eurasian Business and Economics Perspectives. Eurasian Studies in Business and EconomicsVol. 19.: Springer Publishing Company, 2021. Ch. 9 P. 139–161.
The work is devoted to credit risk modeling of international banks by constructing ordered logistic models of credit ratings assigned by the agencies: Moody’s, Standard & Poor’s, and Fitch ratings. It was demonstrated that mapping the credit ratings into a base scale helps to decrease the possible subjectivity of CRAs and increases models’ forecasting power. ...
Added: November 1, 2021
Gubareva M., Umar Z., Sokolova T. et al., Applied Economics 2022 Vol. 54 No. 18 P. 2067–2076
We investigate how Covid-19 affects the emerging market (EM) bonds by analysing, on a standalone basis, investment grade (IG) and high yield (HY) debt per type of issuer. We document evidence that the option-adjusted spreads (OAS) of the IG and HY financials have recovered to the pre-Covid levels by the end of year 2020, while ...
Added: October 12, 2021
Vukovic D., Lapshina K., Moinak M., North American Journal of Economics and Finance 2021 Vol. 58 No. 2021 Article 101457
This research analyse the US and the EU money markets interdependence from 2004
to 2018. The study explains to what extent the volatility of the chosen money markets
instruments in two regions is inter-correlated before, during and after the financial
crisis of 2008. We apply the econometric analysis and estimate time-series models of
class GARCH to study the historical ...
Added: May 5, 2021
Teplova T., Sokolova T., Munir Q., NY: Routledge, 2020.
The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds.
The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features ...
Added: October 8, 2020
Orlova G., Morris J., City and Society 2021 Vol. 33 No. 1
The willed suspension of the pandemic in Moscow provides a moment for the first reflections on the (dis)appearing city in quarantine, capitalist realism, state capitalism and new sensitivities ...
Added: July 13, 2020
Khasyanova S. Y., Самсонов М. Е., Проблемы управления 2020 № 3 С. 40–48
The paper is devoted to the development of the mortgage securitization market in Russia. The aim of the study is to assess the average effect of mortgage securitization transactions on the performance of Russian banks that executed such transactions in the period from 2012 to 2018. The Propensity Score Matching methodology, which is applied for ...
Added: July 1, 2020
Pilnik N., Radionov S., Yazykov A., Экономический журнал Высшей школы экономики 2018 Т. 22 № 3 С. 418–447
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the ...
Added: November 1, 2018
Makarova V. A., Skobeleva Inna, , in: Conference Proceedings. 5th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2018Vol. 5: Finance, economics and tourism. Issue 1.3: Modern science.: Sofia: STEF92 Technology Ltd., 2018. Ch. 118 P. 957–964.
The aim of our research is to present an approach to systemic liquidity management of the company. We study patterns of liquidity management that reflect the requirements of the relationship between strategic and current financial management, the interaction of liquidity risk and profitability as the core of added value creation, as well as the tools ...
Added: October 27, 2018