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An empirical analysis of monetary policy shocks impacting the profits of Russian banks. Part 1

Shimanovskii D.V. Perm State National Research University, Perm, Russian Federation ( Dmitry-Shimanovsky@mail.ru )

Journal: Economic Analysis: Theory and Practice, #10, 2018

Subject The article deals with statistical modeling of total profit, being one of the most important integrated indicators of the national banking system.
Objectives The study aims to review domestic and foreign works on the given issue, lay the groundwork for econometric model that will enable to investigate the impact of the 2014 year-end monetary policy shock on profit behavior of the Russian banking system.
Methods The study employs methods of multiple regression and correlation analysis.
Results The singularity of the study resides in the fact that changes in profit are analyzed only within time periods when the national economy was adapting to the monetary policy shocks. Shock impulses are the most important factors increasing the macroeconomic risks for any economic entity. Therefore, the study of financial stability of different branches of economy to changing parameters and instruments of monetary policy is a challenging and relevant field of economic research. The peculiarities of the transmission mechanism in Russia are still poorly explored.
Conclusions Developing the econometric models that describe the mechanism of the impact of State authorities on commercial banks' profits through monetary policy tools is a popular area of scientific research.


An empirical analysis of monetary policy shocks impacting the profits of Russian banks. Part 2

Shimanovskii D.V. Perm State National Research University, Perm, Russian Federation ( Dmitry-Shimanovsky@mail.ru )

Journal: Economic Analysis: Theory and Practice, #11, 2018

Subject The article offers a complex of econometric models that are constructed on hypotheses and assumptions made in the previous section of the study. The constructed model enables to identify the components of profits of domestic banks, which are susceptible to the effects of monetary policy shocks to the maximum extent.
Objectives The focus is on studying the impact of the monetary policy shocks of the end of 2014 on changes in profit of the Russian banking system for a two-year time horizon.
Methods I use a set of econometric models, applying the method of principal components to construct multiple regressions under conditions of multicollinearity, various variants of the Dickey-Fuller test for stationarity, and the Engle-Granger test for co-integration.
Results The key rate of the Bank of Russia and the exchange rate of US dollar to Russian Ruble may serve as effective tools for managing the profit margin of domestic credit institutions. The findings may be useful for the Central Bank of the Russian Federation to determine the implications of changed parameters of the of monetary policy for the profit margin of domestic banks. Furthermore, they may be used by credit institutions to make scenarios of bank development depending on changes in macroeconomic conditions.
Conclusions Government authorities have an opportunity to manage the volume of profits of the majority of domestic banks through changes in the key rate and the US dollar rate.


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