2013-2019年银行违约因素分析

IF 0.4 Q4 ECONOMICS
A. Zubarev, O. Bekirova
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引用次数: 1

摘要

本文研究了近年来俄罗斯联邦的银行违约情况。首先,俄罗斯中央银行在2013年收紧了审慎监管。其次,油价下跌和经济制裁导致2014-2015年的危机,国家货币大幅贬值,对俄罗斯银行业产生了重大影响。在过去6年中,俄罗斯几乎有一半的银行倒闭。通过基于2013年第三季度至2019年第一季度数据的银行违约二元逻辑模型,揭示了影响俄罗斯银行可持续性的关键因素。其主要结果是,参与传统银行业务会使银行面临违约风险。超额准备金似乎也是违约的一个重要指标。构建了一种创造流动性的特殊措施。我们发现,高水平的流动性创造增加了银行倒闭的可能性。同样值得一提的是,在危机时期,过度创造流动性会给特定银行带来更高的风险。我们可以得出结论,监管部门应该关注高流动性创造者,尤其是中小银行群体。我们还发现了一些证据,表明俄罗斯银行在审慎监管方面有所改善。对150家大型银行的样本进行了单独的模型估计,这些银行更为同质,也是监管机构的主要兴趣所在。包括流动性创造水平在内的一些变量被证明是微不足道的;然而,可能损失的高准备金值仍然在很大程度上增加了违约的可能性。逻辑面板回归也被认为是一种替代规范。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analysis of Bank Default Factors in 2013–2019
This paper studies bank defaults in the Russian Federation in recent years. Firstly, the Central Bank of Russia tightened prudential regulation in 2013. Secondly, a decrease in oil prices and economic sanctions resulted in a crisis in 2014–2015 with a huge depreciation of the national currency, which influenced the Russian banking sector substantially. Almost half of banks in Russia have been closed in the last 6 years. Through binary logistic models of bank defaults based on data for Q3 2013 through Q1 2019, the paper reveals the key factors which had an influence on the sustainability of Russian banks. The main result is that involvement in classical banking exposes banks to default risks. Excessive reserves appeared to be an important indicator of default as well. A special measure of liquidity creation was constructed. We found that high levels of liquidity creation increased the probability of bank failure. It is also worth mentioning that excessive liquidity creation put higher risks on a given bank in the crisis period. We can conclude that regulatory authorities should pay attention to high liquidity creators, especially in the group of small and medium-sized banks. We also found some evidence of an improvement in prudential regulation by the Bank of Russia. Separate models were estimated for the sample of 150 larger banks, which is more homogeneous and is of primary interest for the regulator. A number of variables, including the level of liquidity creation, turned out to be insignificant; however, high reserve values for possible losses still increase the probability of default to a large extent. Logistic panel regressions were also considered as an alternative specification.
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来源期刊
CiteScore
1.30
自引率
20.00%
发文量
0
期刊介绍: Ekonomicheskaya Politika is a broad-range economic journal devoted primarily to the study of the economic policy of present-day Russia as well as global economic problems. The subject matters of articles includes macroeconomic, fiscal, monetary, industrial, social, regulation and competition policyand more. The journal also publishes theoretical papers in such areas as political economy, general economic theory, welfare economics, law and economics,and institutional economics.. The character and the scope of economic problems studied in many publications require a multidisciplinary approach, consistent with the editorial policy of the journal. While the thematic scope of articles is generally related to Russia, the aim of editorial policy is to cover politico-economic processes in the modern world and international economic relations, as well. In addition, Ekonomicheskaya Politika publishes Russian translations of classical and significant modern works of foreign economists.
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