НИС «Эмпирические исследования корпоративных финансов»

1 апреля в 14:30 онлайн состоится НИС «Эмпирические исследования корпоративных финансов», на котором выступит с докладом выпускник Аспирантской школы по экономике НИУ ВШЭ - Городилов Алексей Андреевич (научный руководитель Соколов В.Н.)

Тема доклада: The Relationship between Bank Capital, Liquidity Creation and Interest Rate Risk of Commercials Banks in Russia

Аннотация: Monetary authorities worldwide, including in Russia, implement regulatory measures to balance financial stability and economic growth. Banks play a crucial role in transmitting monetary policy effects, influencing the cost of money, and facilitating liquidity creation. This study examines the relationship between bank capital, liquidity creation, and interest rate risk in the banking book (IRRBB) within the Russian banking system – an area that remains underexplored. Using detailed data on Russian banks, we refine the methodology of Berger and Bouwman (2009) to construct liquidity creation measures that account for both the category and maturity of balance sheet items. Additionally, we propose a novel approach to decompose net interest margin (NIM), allowing us to estimate expected and unexpected changes in NIM as a measure of IRRBB.Our findings reveal a negative and statistically significant relationship between the total capital ratio and liquidity creation, suggesting that higher capital requirements constrain the liquidity banks provide to the economy. This effect is primarily driven by the asset side of the balance sheet and persists across different economic periods. Moreover, both expected and unexpected IRRBB positively influence liquidity creation, particularly during periods of rising interest rates, with banks adjusting their asset structures rather than liabilities.This study contributes to the literature on liquidity creation and financial stability by providing new insights into how regulatory capital and IRRBB shape liquidity creation in an emerging market. The findings highlight the trade-offs central banks face when setting capital requirements while ensuring adequate liquidity to support economic activity.

Рабочий язык: английский

Ссылка Zoom: https://zoom.us/j/98418675653?pwd=me851LHeRowFeHNaKAc4h2BkBhosUt.1
Идентификатор конференции: 984 1867 5653
Код доступа: 929414

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