Seryakova E.V.Moscow State Institute of International Relations (University) of Ministry of Foreign Affairs of Russian Federation, Moscow, Russian Federation firstname.lastname@example.org ORCID id: not available
Importance This paper considers the concepts, stages and tools of macro-prudential regulation. As well, it assesses the contribution of the Top 10 Russian banks to systemic risk of liquidity. Objectives The purpose of the paper is to develop an aggregate index of the largest banks' contribution to systemic liquidity risk. Methods The research involves the methods of econometric and logical analyses. Results I constructed an aggregate weighted index of the contribution of the Top 10 Russian banks to systemic risk of domestic banking sector liquidity. The work reveals the statistical significance of system importance factors for each bank. Conclusions The developed index advances the RF industrial production and nominal GDP indicators. The increase of the largest banks' contribution to the systemic liquidity risk reduces the economic growth and industrial production rates.
Keywords: systemic risk, macro-prudential regulation, banking sector, systemically significant bank, system importance criterion
Karminskii A.M., Stolbov M.I., Shchepeleva M.A. Sistemnyi risk finansovogo sektora: otsenka i regulirovanie: monografiya [Systemic risk of the financial sector: assessment and regulation: a monograph]. Moscow, Nauchnaya biblioteka Publ., 2017, 284 p.
Macroprudential Policy. BIS Papers, 2016, September, no. 86. URL: Link
Kuznetsova V.V. Politika finansovoi stabil'nosti: mezhdunarodnyi opyt: monografiya [Financial stability policy: the international experience: a monograph]. Moscow, KURS Publ., INFRA-M Publ., 2014, 48 p.
Basel Committee on Banking Supervision: A Framework for Dealing with Domestic Systemically Important Banks, 2012, October, 17 p. URL: Link
Osiński J., Seal K., Hoogduin L. Macroprudential and Microprudential Policies: Toward Cohabitation, 2013, 28 p. URL: Link
Unkovskaya T. [Systematic comprehension of financial stability: the paradox solving]. Ekonomicheskaya teoriya, 2009, no. 1, pp. 14–33. (In Russ.)
Kadomtseva S.V., Israelyan M.A. [Macro-prudential regulation and development of the system of early warning system about potential financial instability onset in Russia]. Nauchnye issledovaniya ekonomicheskogo fakul'teta. Elektronnyi zhurnal, 2015, vol. 7, iss. 4, pp. 7–27. (In Russ.) URL: Link
Schinasi G.J. Defining Financial Stability. IMF Working Paper, 2004, No. WP/04/187. URL: Link
Crockett A. The Theory and Practice of Financial Stability. GEI Newsletter Issue. Global Economic Institutions, 1997, no. 6. URL: Link
Ferguson R. From Speech on Meeting of the Board of Governors of the U.S. Federal Reserve System. URL: Link
Kaurova N. [Macroprudential Regulation of Financial Markets]. Nauchno-issledovatel'skii finansovyi institut. Finansovyi zhurnal = Financial Journal, 2012, no. 1, pp. 5–18. URL: Link (In Russ.)
IMF-FSB-BIS Elements of Effective Macroprudential Policies. Lessons from International Experience, 2016. URL: Link
Voronenko C. Osnovnye riski dlya rossiiskoi bankovskoi sistemy S&P Global Ratings [Basic risks for the Russian banking system S&P Global Ratings]. URL: Link (In Russ.)
Andrievskaya I. Measuring Systemic Liquidity Risk in the Russian Banking System. University of Verona, BOFIT, 2012, no. 12, 28 p. URL: Link
Aivazyan S., Andrievskaya I. et al. [Identification of systematically important financial organizations: review of methodologies]. Den'gi i kredit = Money and Credit, 2011, no. 8, pp. 13–18. URL: Link (In Russ.)
Manaev V.N. [Measurement of systemic risk]. Risk-menedzhment v kreditnoi organizatsii, 2013, no. 3. (In Russ.)
Acharya V., Pedersen L., Philippon T. et al. Measuring Systemic Risk. Working Paper, 2010, pp. 1–54.
Hansen L.P. Challenges in Identifying and Measuring Systemic Risk. Becker Friedman Institute for Research in Economics Working Paper, 2013, no. 2012-012, 22 p. URL: Link
Acharya V., Brownlees Ch., Engle R. et al. How to Measure and Regulate Systemic Risk. NYU Stern School of Business, 2015. URL: Link
Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations. Briefing Paper for the G20 Finance Ministers and Central Bank Governors, 2009. URL: Link
Blancher N., Mitra S., Morsy H. et al. Systemic Risk Monitoring (SysMo) Toolkit – A User Guide, IMF Working Paper, 2013, no. 13/168.
Global Financial Stability Report: Grappling with Crisis Legacies, 2011.