The impact of banks’ capital adequacy ratio on bank lending channel of monetary transmission in Russia-Reference-Cited by-同舟云学术

The impact of banks’ capital adequacy ratio on bank lending channel of monetary transmission in Russia

Published:2017-07-20 Issue:7 Volume: Page:62-78
ISSN:0042-8736
Container-title:Voprosy Ekonomiki
language:
Short-container-title:Vopr. èkon.

Author:

Borzykh O.¹

Affiliation:

1. National Research University Higher School of Economics; Bank of Russia

Abstract

The new Basel III rules of macroprudential regulation were introduced for the Russian banking sector in 2014. This article analyzes a previously unexamined for Russia impact of capital adequacy ratio on the effectiveness of bank lending channel. It is shown that when banks satisfy capital regulation rules this has a direct influence on this channel of monetary transmission mechanism: a high capital adequacy ratio weakens a contractionary effect of an increase in the Bank of Russia key rate and further stimulates credit growth when the Bank of Russia decreases its key rate. The peculiar properties of the Bank of Russia key rate dynamics in the previous years allowed to reveal the asymmetry of monetary transmission. Such an analysis also reflects the value-added of the present study.

Publisher

NP Voprosy Ekonomiki

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Borzykh O. A. (2016a). Liquidity “anti-effect” in the Russian banking system. HSE Economic Journal, Vol. 20, No. 3, pp. 377—414. (In Russian).

2. Borzykh O. A. (2016b). Bank lending channel in Russia: A TVP-FAVAR approach. Applied Econometrics, Vol. 43, pp. 96—117. (In Russian).

3. Golovan S. V., Nazin V. V., Peresetsky A. A. (2010). Nonparametric analysis of the efficiency of Russian banks. Economics and Mathematical Methods, Vol. 46, No. 3, pp. 43—57. (In Russian).

4. Drobyshevsky S. M., Trunin P. V., Kamenskih M. V. (2008). Analysis of transmission mechanisms of money and credit policy in Russia’s economy (Working Papers No. 116P). Moscow: Gaidar Institute Publ. (In Russian).

5. Lomivorotov R. V. (2015). Bayesian estimation of monetary policy in Russia. Applied Econometrics, Vol. 38, pp. 41—63. (In Russian).

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