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Исследование влияния пандемии на стабильность банковского сектора Российской Федерации
The purpose of this study is to investigate how the Covid-19 pandemic affected the stability of Russian banks .To achieve this goal, an economic and statistical analysis of the risk and liquidity indicators of the Russian banking sector for the period 2008-2020 was performed. The analysis was based on the methodology for assessing the financial stability of deposit institutions developed by the International Monetary Fund.
The analysis includes the following steps: determining the level and dynamics of sustainability indicators in 2020 in comparison to the pre-pandemic levels in 2019; constructing historical trends of the indicators over the last 12 years, including the pandemic crisis, applying the Hodrick-Prescott method used in macroeconomics to filter time series; identifying deviations of the indicators’ actual values from the trends, which made it possible to detect cyclicity in the indicators’ dynamics.
The findings revealed that the pandemic crisis of 2020 did not lead to a deterioration in the stability of the Russian banking sector, moreover, the liquidity risk indicators improved in comparison to the pre-crisis period. At the same time, the historical trends for the period 2008-2020 showed an increase in risks in the banking sector, however, this was caused by a sharp "outlier" of risk indicators during the previous crises of 2009 and 2015. The identified deviations of the indicators from the trends allowed us to conclude that the risk raises and the liquidity increases in the sector during recession of the credit cycle and crises, and vice versa during the cycle expansion and credit boom (with the exception of 2016-18 and 2020, which is explained, respectively, by the structural changes in the banking sector and the pandemic crisis).
The results of this study could be valuable for analysts and regulators in the course of macroeconomic analysis and forecasting, as well as for banks when improving internal risk management procedures to address the economic cyclicity concern.