Влияние денежно-кредитной политики на системные риски в странах еврозоны

Вопросы экономики. 2023. № 12. С. 86–102.

Dzhagityan E. P., Mukhametov O.

Systemic risks in the framework of central banks’ unconventional monetary policy (UMP) have so far received little attention in the extant economic literature. Based on evidence from the UMP of the European Central Bank (ECB), we analyze systemic risks stemming from the difference between materialized systemic risks (financial stress) and their potential level (expected capital shortfall in the banking system during crises), which constitutes the novelty of our study. Besides, our paper assesses the asymmetric effects of expansionary and contractionary UMP. The empirical analysis covers the period from 2009 to 2022 and applies structural vector autoregressions with zero and sign constraints on the model parameters. We found that materialized systemic risks decline in response to expansionary UMP and increase after the ECB’s contractionary measures. Potential systemic risks demonstrate a backlash, and their increase after the expansionary shock outweighs the decrease in response to the contractionary measures in modulus. The research results show the need to combine a long-lasting stimulating UMP together with the tightening measures in ensuring financial stability.

Keywords: финансовое регулирование, unconventional monetary policy, financial regulation, еврозона, systemic risks, системные риски, финансовый стресс, euro area, financial stress, нетрадиционная денежно-кредитная политика