Научный семинар «Эмпирические исследования банковской деятельности»

1) Transparency and market discipline: evidence from the Russian interbank market

Докладчик: Guillemin Fr. (Center for Institutional Studies, NRU HSE)

Дискуссант: Соколов В. Н. (МИЭФ, НИУ ВШЭ)

This paper investigates the role of bank voluntary disclosure, as a source of information about risk, in the interbank market.  Using the data on 179 largest Russian banks over the period of 2004-2013 we test the sensitivity of interbank loans and deposits to various transparency indices such as those disclosing risk, board composition, or even corporate events. We show that larger but riskier banks – at least in terms of credit risk - behave more transparently and disclose more. The article is also the first to show evidence that the ability to attract funds in the interbank market is positively correlated with transparency levels. This result is stable for various aspects of.

Keywords: banks, interbank market, disclosure, transparency, banking governance 

2) Bank risk-taking behavior and efficiency: Evidence from Russia

Докладчик: Мячин Н. В. (Аспирант НИУ ВШЭ, Банковский институт)

Дискуссант: Хромова Э. П. (Эксперт)

The research examines how financial risks of Russian banks affect their profit efficiency. Using bank-quarter data for selected banks in the period 2004 Q1–2017 Q2, author uses stochastic frontier analysis (SFA) methodology and Malmquist Total Factor Productivity index to assess profit efficiency and its change over the period of research. The key findings of the research support the hypothesis that financial risks of the banks significantly affect their efficiency and show that capital adequacy of the bank should be at glance. Research also shows that dominant role of state banks drives profit efficiency after the period of liquidity crisis in 2004.

При необходимости заказа пропуска в здание НИУ ВШЭ, просьба до 11:00 29 мая направить заявку на e-mail: nis.banki@yandex.ru, nfdyachkova@gmail.com  указав в теме сообщения «заказ пропуска на НИС 30 мая», сообщив свою фамилию, имя, отчество и название организации.