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Asset-Liability Mismatch, Bank Fraud, and the Losses on Bank Failures
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Bureaucracy and Katkov
In: Social sciences: a quarterly journal of the Russian Academy of Sciences, Band 49, Heft 4, S. 148-155
Hidden "holes" in the capital of not yet failed banks in Russia: An estimate of the scope of potential losses
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 7, S. 42-61
Recently, the Bank of Russia has begun to actively fight against the balance sheet falsification in banking and withdrew every third bank's license during the last four years. In the majority of cases, the regulator revealed hidden "holes" in the capital of bankrupted financial institutions; the total sum of already revealed negative capital amounts to -2,1% of Russian GDP in 2015. However, until now the process of clearing the banking system has affected only small and medium-sized banks (with few exceptions). What happens if this process touches on larger banks? How many new episodes of "holes" in the capital can we face in the near future and what is their potential size in case of detection? Our estimations, based on Heckman selection models, show that from 300 to400 out of 641 Russian banks that were active in the mid-2016 might already hide "holes" in the capital from -3,6% to -6,8% of GDP. The analysis at the level of different groups of banks - among the top 30 in terms of assets, other banks from the first hundred and banks outside the top 100 - shows that the greatest loss is localized in the last group.
Price interactions in the Russian credit market: Who is fighting whom and when do banks facilitate collusion?
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 4, S. 79-99
This paper analyzes how banks react on the interest rate policy of their rivals when the industry-wide price competition is strengthening over different phases of business cycle in both retail and corporate segments of credit market in Russia. Our estimations, based on the models proposed in the literature on New Industrial Empirical Organization (NIEO), show that price wars are taking place from time to time in the retail as well as in the corporate segments of Russian credit market; more often - in periods of macroeconomic crisis, and are started by the banks from the top-30 group (in terms of assets, excluding Sberbank), the most warlike group within the Russian banking system. During the non-crisis periods banks are turning to facilitate collusions. The retail segment of credit market appears to be significantly more competitive as compared to the corporate one.
Banking competition on the market for loans in russia: the impact on credit activity of banks and an effect of the economic crisis of 2008-2009
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 11, S. 76-99
This paper provides a comprehensive assessment of banking competition on the market for loans in the Russian banking system connecting it to various phases of the business cycle in Russia. Our focus is on price competition, which is measured through the Lerner index of market power. Using Lerner index, we investigate, first, the levels of interest rate markups in the market for loans; second, the influence of these markups on credit activity of banks as well as their relation with the size of banks. Next, we compare our measured Lerner index with three additional competition indicators, i.e. H- statistics of Panzar and Rosse (mix of price and quantity competition), Boone indicator (quantity and quality competition) and Herfindahl-Hirschman Index (quantity competition). For our comparisons, we choose the time period of 2005 Q1 to2012 Q4, i.e. starting from one boom on the market for loans and ending with another boom so that between them there is one episode of macroeconomic and systemic banking crisis that could substantially change the strength of competition. Our estimations show that the impact of competition on credit activity of banks is nonlinear - when price competition is too strict or too weak the credit activity of banks becomes slower. Before the crisis of 2008-2009 increases of both price and quantity competition took place; however, during the crisis these competition improvements were offset by uneven access of banks to refinancing resources and the deterioration of borrowers' creditworthiness that entailed the rise of risk premium in interest rates on loans. After the crisis, price competition turned back to upward trend again stimulated by the growing boom on the market for retail loans, whereas quantity competition remained rather constrained.
Bad Management, Skimping, or Both? The Relationship between Cost Efficiency and Loan Quality in Russian Banks
In: Higher School of Economics Research Paper No. WP BRP 19/FE/2013
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Working paper
COMMUNICATION AND POLITICS: Information Policy and the Changing of Public Opinion; Different aspects of the communication interaction practiced by actors of the public "space" are examined in the article. Their interests and goals
In: Političeskie issledovanija: Polis ; naučnyj i kul'turno-prosvetitel'skij žurnal = Political studies, Heft 5, S. 26-32
ISSN: 1026-9487, 0321-2017
Pervyj kontrudar Stalina: otstojatʹ Leningrad!
In: Vojna i My$dvoennoe delo glazami graždanina
Depleting net worth of Russian banks: Changes in banks' risk-taking and the interest rate policy of the Bank of Russia
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 6, S. 30-55
Despite achieving success in the tight prudential regulation of the banking sector, the Bank of Russia (CB RF) continues to reveal new cases of negative net worth in banks. This paper investigates the influence of banks' risk-taking and the interest rate policy of the CB RF on the depletion of net worth in Russian credit institutions during 2007—2017. The quartile regression approach is employed to examine the differences in net worth depletion of already failed banks; additionally, the Heckman selection approach is applied to analyze potential negative net worth that has not been revealed by the CB RF yet. The estimation results suggest that banks' risk-taking matters: its increases are positively associated with the rises of the probability of bank failures and the size of negative net worth, conditional on failure. Ignoring of banks' risktaking leads to a substantial upward bias in the estimates of the total size of negative net worth in the banking system — from 3.6 to 5.3 trillion rubles, or by 2% of the system's total assets. Further, the interest rate policy of the CB RF has a risk-shifting effect: an increase of the key rate together with a rise of its volatility are associated with a further depletion of banks' net worth. Finally, the paper shows that a joint increase in banks' risk-taking and the key rate has a further negative effect on banks' net worth.
Hidden "holes" in the capital of banks and the supply of credit to the real sector of economy
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 5, S. 49-68
Our analysis documents that the existence of hidden "holes" in the capital of not yet failed banks - while creating intertemporal pressure on the actual level of capital - leads to changing of maturity of loans supplied rather than to contracting of their volume. Long-term loans decrease, whereas short-term loans rise - and, what is most remarkably, by approximately the same amounts. Standardly, the higher the maturity of loans the higher the credit risk and, thus, the more loan loss reserves (LLP) banks are forced to create, increasing the pressure on capital. Banks that already hide "holes" in the capital, but have not yet faced with license withdrawal, must possess strong incentives to shorten the maturity of supplied loans. On the one hand, it raises the turnovers of LLP and facilitates the flexibility of capital management; on the other hand, it allows increasing the speed of shifting of attracted deposits to loans to related parties in domestic or foreign jurisdictions. This enlarges the potential size of ex post revealed "hole" in the capital and, therefore, allows us to assume that not every loan might be viewed as a good for the economy: excessive short-term and insufficient long-term loans can produce the source for future losses.
A survey of methods for macroeconomic forecasting:looking for perspective directions in russia
In: Voprosy ėkonomiki: ežemesjačnyj žurnal, Heft 6, S. 45-75
The paper describes the evolution of macroeconomic theory in the XX century and the development of empirical models for applied macroeconomic forecasting. A comparison of modern structural and non-structural methods for macroeconomic forecasting is made. We consider the experience of macroeconomic forecasting in Russia and reveal its weaknesses and prospects for improvement.
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The role of IT in organizational innovation – A systematic literature review
In: The journal of strategic information systems, Band 30, Heft 4, S. 101696
ISSN: 1873-1198