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Digest Finance

Assessing the Russian Major Banks' Contribution to the Systemic Liquidity Risk Propagation in Banking

Vol. 23, Iss. 4, DECEMBER 2018

Received: 12 January 2018

Received in revised form: 22 February 2018

Accepted: 1 March 2018

Available online: 24 December 2018

Subject Heading: Banking

JEL Classification: Е69, F30, G17, G21, G32

Pages: 441–452


Seryakova E.V. Moscow State Institute of International Relations (University) of Ministry of Foreign Affairs of Russian Federation, Moscow, Russian Federation

ORCID id: not available

Subject The 2007–2009 global financial crisis proved that the banking sector cannot evolve without concerted actions of the regulator. Systemically important institutions inter alia generate the systemic risk. The article discusses concepts, phases and tools of macroprudential regulation, evaluates how Russia's Top 10 banks influence the systemic liquidity risk.
Objectives The research develops the aggregate index of major banks' contribution to the systemic liquidity risk.
Methods The research involves the methods of econometric and logical analysis.
Results I built up the weighted aggregate index of Top 10 Russian banks' contribution to the systemic liquidity risk in the domestic banking sector. The article measures the statistical significance of systemic importance factors per each bank. Three group of banks are pointed out, which have certain systemic importance metrics of statistical significance.
Conclusions and Relevance The proposed index is forward looking by nature as compared with Russia's Industrial Production Index and nominal GDP. An increase in major banks' contribution to the systemic liquidity risk hinders an economic growth and IPI trends.

Keywords: systemic risk, macroprudential regulation, banking, systemically important bank, systemic significance


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