Home  Journals  Financial Analytics: Science and Experience  26(212) - 2014 July

Macro-prudential regulation: international approaches and ways of implementation in the Russian conditions

Available online: 6 July 2014

Subject Heading: BANKING SECTOR

JEL Classification: 

Pages: 10-19

The paper reviews the instruments of macro-prudential regulation and analyzes the practices of its implementation and growth options in the conditions of the Russian Federation. The author analyses the system stability of the Russian banking sector and the impact of the introduction of the domestic conditions of the Basel III macro-prudential tools and considers the possibility of using of counter-cyclical capital buffer as measured on the basis of the share of foreign loans to GDP. The article evaluates the systemic sustainability of the Russian banking sector and possible consequences of the recent credit boom in retail lending and it provides the recommendations aimed at enhancing of the methodology of stress testing of the Russian banking sector. The article evaluates the consequences of implementation of the Basel III macro-prudential instruments in the Russian conditions and the ways of adaptation of international methodology to the Russian specifics. The author recommends the implementation of counter-cyclical capital buffer calculated on the basis of share of foreign borrowings in gross domestic product with concurrent decrease of the minimal total capital (without buffers) to risk-weighted assets ratio from the current 10% to the internationally accepted level of 8%.

Keywords: macro-prudential regulation, systemic risk, Basel III, capital adequacy, counter-cyclical capital buffer, stress testing

References:

1. Basel III: global approach to regulation to ensure greater sustainability of banks and banking systems. Basel, Bank for International Settlements, 2010, 69 p. Available at: Link.
2. Global Financial Stability Report. Moving from liquidity to growth-driven markets. Washington, International Monetary Fund, April, 2014, 170 p. Available at: Link.
3. Key aspects of macro-prudential policy. Washington, IMF, 2013, 61 p. Available at: Link.
4. Review of the banking sector of the Russian Federation (Internet version). Analytic indicators. 2014. no. 138. Moscow, Bank of Russia, 2014, 91 p. Available at: Link. (In Russ.)
5. Progress report on development of banking sector and bank supervision in 2012. Moscow, Bank of Russia, 2013, 119 p. Available at: Link. (In Russ.)
6. Guidance for national regulators to use counter-cyclical capital buffer. Basel, Bank for International Settlements, December 2010, 27 p. Available at: Link.
7. Simanovskii A.Yu. Bankovskoe regulirovanie: reevolyutsiya [Bank regulation: re-evolution]. Den'gi i kredit – Money and credit, 2014, no. 3, pp. 3–11.
8. Russian Federation: technical note on stress testing of the banking sector. IMF Country Reports, 2011, no. 334, 43 p. Available at: Link.

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ISSN 2311-8768 (Online)
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