voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2017-7-62-78voprecotest-323Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSВлияние норматива достаточности капитала банков на узкий кредитный канал денежной трансмиссии в РоссииThe impact of banks’ capital adequacy ratio on bank lending channel of monetary transmission in RussiaБорзыхО. А.BorzykhO.

аспирант Департамента теоретической экономики факультета экономических наук Национального исследовательского университета «Высшая школа экономики»; ведущий экономист Департамента денежно-кредитной политики Банка России (Москва)

oborzyh@hse.ruНациональный исследовательский университет «Высшая школа экономики»; Банк РоссииРоссияNational Research University Higher School of Economics; Bank of RussiaRussian Federation201720072017076278Copyright © Voprosy Ekonomiki, NP, 20172017Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/323

С 2014 г. в российском банковском секторе введены новые правила макро-пруденциального регулирования, закрепленные в соглашении «Базель III». В статье на основе панельного анализа изучается влияние показателя достаточности собственных средств (капитала) банков на функционирование денежной трансмиссии через канал банковского кредитования. Показано, что при высоком показателе достаточности собственных средств банков уменьшается влияние ужесточения денежно-кредитной политики и дополнительно увеличиваются объемы кредитования при снижении ключевой ставки Банком России. Кроме того, особенности динамики ключевой ставки в последние годы позволили выявить асимметрию денежной трансмиссии.

The new Basel III rules of macroprudential regulation were introduced for the Russian banking sector in 2014. This article analyzes a previously unexamined for Russia impact of capital adequacy ratio on the effectiveness of bank lending channel. It is shown that when banks satisfy capital regulation rules this has a direct influence on this channel of monetary transmission mechanism: a high capital adequacy ratio weakens a contractionary effect of an increase in the Bank of Russia key rate and further stimulates credit growth when the Bank of Russia decreases its key rate. The peculiar properties of the Bank of Russia key rate dynamics in the previous years allowed to reveal the asymmetry of monetary transmission. Such an analysis also reflects the value-added of the present study.

банкибанковское кредитованиемакропруденциальная политикаБанк Россиинорматив достаточности капиталароссийские банкигруппировка банковbanksbank lending channelBank of Russiamacroprudential policycapital adequacy ratioRussian banksgroups of banksReferencesБорзых О. А. (2016a). «Антиэффект» ликвидности в российской банковской системе // Экономический журнал ВШЭ. Т. 20, № 3. C. 377-414Borzykh O. A. (2016a). Liquidity “anti-effect” in the Russian banking system. HSE Economic Journal, Vol. 20, No. 3, pp. 377—414. (In Russian).Борзых О. А. (2016b). Канал банковского кредитования в России: оценка с помощью TVP-FAVAR модели // Прикладная эконометрика. Т. 43. C. 96-117Borzykh O. A. (2016b). Bank lending channel in Russia: A TVP-FAVAR approach. Applied Econometrics, Vol. 43, pp. 96—117. (In Russian).Головань С. В., Назин В. В., Пересецкий А. А. (2010). Непараметрические оценки эффективности российских банков // Экономика и математические методы. Т. 46, № 3. С. 43-57Golovan S. V., Nazin V. V., Peresetsky A. A. (2010). Nonparametric analysis of the efficiency of Russian banks. Economics and Mathematical Methods, Vol. 46, No. 3, pp. 43—57. (In Russian).Дробышевский С. М., Трунин П. В., Каменских М. В. (2008). Анализ трансмиссионных механизмов денежно-кредитной политики в российской экономике (Научные труды № 116Р). М.: ИЭППDrobyshevsky S.  M., Trunin P.  V., Kamenskih M.  V. (2008). Analysis of transmission mechanisms of money and credit policy in Russia’s economy (Working Papers No. 116P). Moscow: Gaidar Institute Publ. (In Russian).Ломиворотов Р. В. (2015). Использование байесовских методов для анализа денежно-кредитной политики в России // Прикладная эконометрика. Т. 38. C. 41-63Lomivorotov R. V. (2015). Bayesian estimation of monetary policy in Russia. Applied Econometrics, Vol. 38, pp. 41—63. (In Russian).Моисеев С. Р. (2008). Новая «священная корова»: таргетирование инфляции // Финансовая аналитика: проблемы и решения. Т. 7, № 7. С. 36-43Moiseev S. R. (2008). New “holy cow”: inflation targeting. Financial analytics: Science and Experience, Vol. 7, No. 7, pp. 36—43. (In Russian).Перевышина Е. А., Перевышин Ю. Н. (2015). Оценка действенности кредитного канала в российской экономике // Журнал Новой экономической ассоциации. № 4. С. 96-110Perevyshina E. A., Perevyshin Y. N. (2015). Evaluation of credit channel in Russia. Journal of the New Economic Association, No. 4, pp. 96—110. (In Russian).Aiyar S., Calomiris C. W., Wieladek T. (2014). How does credit supply respond to monetary policy and bank minimum capital requirements? Bank of England Working Paper Series, No. 508.Aiyar S., Calomiris C. W., Wieladek T. (2014). How does credit supply respond to monetary policy and bank minimum capital requirements? Bank of England Working Paper Series, No. 508.Ashcraft A. B. (2006). New evidence on the lending channel. Journal of Money, Credit and Banking, Vol. 38, No. 3, pp. 751-775.Ashcraft A. B. (2006). New evidence on the lending channel. Journal of Money, Credit and Banking, Vol. 38, No. 3, pp. 751-775.Bernanke B. S., Boivin J., Eliasz P. (2005). Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, Vol. 120, No. 1, pp. 387-422.Bernanke B. S., Boivin J., Eliasz P. (2005). Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, Vol. 120, No. 1, pp. 387-422.Borio C., Zhu H. (2012). Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism? Journal of Financial Stability, Vol. 8, No. 4, pp. 236-251.Borio C., Zhu H. (2012). Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism? Journal of Financial Stability, Vol. 8, No. 4, pp. 236-251.Caldara D., Kamps C. (2008). What are the effects of fiscal policy shocks? A VAR-based comparative analysis. ECB Working Paper Series, No. 877.Caldara D., Kamps C. (2008). What are the effects of fiscal policy shocks? A VAR-based comparative analysis. ECB Working Paper Series, No. 877.De Marco F., Wieladek T. (2015). The real effects of capital requirements and monetary policy: Evidence from the United Kingdom. Bank of England Working Paper Series, No. 573.De Marco F., Wieladek T. (2015). The real effects of capital requirements and monetary policy: Evidence from the United Kingdom. Bank of England Working Paper Series, No. 573.Driscoll J. C., Kraay A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. The Review of Economics and Statistics, Vol. 80, No. 4, pp. 549-560.Driscoll J. C., Kraay A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. The Review of Economics and Statistics, Vol. 80, No. 4, pp. 549-560.Egorov A., Kovalenko O. (2013). Structural features and interest-rate dynamics of Russia’s interbank lending market. BOFIT Discussion Papers, No. 23.Egorov A., Kovalenko O. (2013). Structural features and interest-rate dynamics of Russia’s interbank lending market. BOFIT Discussion Papers, No. 23.Farinha L., Marques C. R. (2001). The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data. ECB Working Paper Series, No. 102.Farinha L., Marques C. R. (2001). The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data. ECB Working Paper Series, No. 102.Gale D. (2010). Capital regulation and risk sharing. International Journal of Central Banking, December, pp. 187-204.Gale D. (2010). Capital regulation and risk sharing. International Journal of Central Banking, December, pp. 187-204.Gambacorta L., Shin H. S. (2016). Why bank capital matters for monetary policy. Journal of Financial Intermediation, https://doi.org/10.1016/j.jfi.2016.09.005Gambacorta L., Shin H. S. (2016). Why bank capital matters for monetary policy. Journal of Financial Intermediation, https://doi.org/10.1016/j.jfi.2016.09.005Gavalas D. (2015). How do banks perform under Basel III? Tracing lending rates and loan quantity. Journal of Economics and Business, Vol. 81, pp. 21-37.Gavalas D. (2015). How do banks perform under Basel III? Tracing lending rates and loan quantity. Journal of Economics and Business, Vol. 81, pp. 21-37.Ghosh S. (2008). Capital requirements, bank behavior and monetary policy - a theoretical analysis with an empirical application to India. Indian Economic Review, Vol. 43, No. 2, pp. 205-227.Ghosh S. (2008). Capital requirements, bank behavior and monetary policy - a theoretical analysis with an empirical application to India. Indian Economic Review, Vol. 43, No. 2, pp. 205-227.Juurikkala T., Karas A., Solanko L. (2009). The role of banks in monetary policy: Empirical evidence from Russia. BOFIT Discussion Papers, No. 8.Juurikkala T., Karas A., Solanko L. (2009). The role of banks in monetary policy: Empirical evidence from Russia. BOFIT Discussion Papers, No. 8.Kashyap A. K., Stein J. C. (2000). What do a million observations say about the transmission of monetary policy? American Economic Review, Vol. 90, No. 3, pp. 407-428.Kashyap A. K., Stein J. C. (2000). What do a million observations say about the transmission of monetary policy? American Economic Review, Vol. 90, No. 3, pp. 407-428.Kishan R. P., Opiela T. P. (2000). Bank size, bank capital, and the bank lending channel. Journal of Money, Credit and Banking, Vol. 32, No. 1, pp. 121-141.Kishan R. P., Opiela T. P. (2000). Bank size, bank capital, and the bank lending channel. Journal of Money, Credit and Banking, Vol. 32, No. 1, pp. 121-141.Mishkin F. S. (1996). The channel of monetary transmission: Lessons for monetary policy. NBER Working Papers, No. 5464.Mishkin F. S. (1996). The channel of monetary transmission: Lessons for monetary policy. NBER Working Papers, No. 5464.Moraes C. D., Montes G. C., Antunes J. A. P. (2016). How does capital regulation react to monetary policy? New evidence on the risk-taking channel. Economic Modelling, Vol. 56, No. C, pp. 177-186.Moraes C. D., Montes G. C., Antunes J. A. P. (2016). How does capital regulation react to monetary policy? New evidence on the risk-taking channel. Economic Modelling, Vol. 56, No. C, pp. 177-186.Nachane D. M., Ghosh S., Ray P. (2006). Basel II and bank lending behaviour: some likely implications for monetary policy. Economic and Political Weekly, Vol. 41, No. 11, pp. 1053-1058.Nachane D. M., Ghosh S., Ray P. (2006). Basel II and bank lending behaviour: some likely implications for monetary policy. Economic and Political Weekly, Vol. 41, No. 11, pp. 1053-1058.Ono S. (2015). Bank lending channel in monetary policy transmission: evidence from Russia. International Journal of Economics and Finance, Vol. 7, No. 4, pp. 1-11.Ono S. (2015). Bank lending channel in monetary policy transmission: evidence from Russia. International Journal of Economics and Finance, Vol. 7, No. 4, pp. 1-11.Souza L. V. (2006). Estimating the existence of the bank lending channel in the Russian Federation. Bank i Kredyt, No. 9, pp. 3-13.Souza L. V. (2006). Estimating the existence of the bank lending channel in the Russian Federation. Bank i Kredyt, No. 9, pp. 3-13.

The authors declare that there are no conflicts of interest present.