voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2022-10-37-65voprecotest-3747Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSФормирование Ломбардного списка как искажающий сигнал Банка РоссииLombard List formation as a distorting signal of the Bank of Russiahttps://orcid.org/0000-0001-8212-5103ТелегинО. В.TeleginO. V.

Телегин Олег Валерьевич, стажер-исследователь Международной лаборатории макроэкономического анализа, ассистент Департамента теоретической экономики

Москва

 

Oleg V. Telegin

Moscow

otelegin@hse.ruНациональный исследовательский университет "Высшая школа экономики"РоссияHSE UniversityRussian Federation2022091020220103765Copyright © Voprosy Ekonomiki, NP, 20222022Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/3747

Каким образом участники российского рынка реагируют на решения Банка России об изменениях Ломбардного списка? В данной работе исследуется взаимосвязь включения ценных бумаг в список и изменения доходностей и волатильности акций компаний Московской Биржи. Для моделирования поведения волатильности акций компаний использовались видоизмененные HAR-модели, для моделирования доходностей – рыночная модель, исследование было проведено для 5-минутных, часовых и дневных временных интервалов. В результате было установлено, что в период с 2014 по 2020 год добавление облигации в Ломбардный список, произошедшее быстрее, чем за 3 недели с момента эмиссии, приводит к значимому увеличению доходности акций компаний и к значимому уменьшению их волатильности, при этом эффекты наблюдаются в течение нескольких часов. Таким образом, участники рынка воспринимают подобные новости как значимые сигналы о состоянии дел в отдельных частных компаниях, несмотря на отсутствие подобной цели у регулятора. Исходя из результатов проведенного анализа, были также сформулированы рекомендации Банку России по изменению механизма включения ценных бумаг в Ломбардный список.

How do Russian market participants react to the decisions of the Bank of Russia on changes to the Lombard List? This paper examines the relationship between the inclusion of securities in the list and changes in returns and volatility of shares in Moscow Stock Exchange companies. To model the behavior of the volatility of stocks of companies, modified HAR-models were used, to model returns — a market model; the study was carried out for 5-minute, hourly and daily time intervals. As a result, it was found that in the period from 2014 to 2020, the addition of a security to the Lombard List, which occurred faster than 3 weeks from the date of issue, led to a significant increase in returns of stocks of companies and to a significant decrease in their volatility and the effects might be observed during several hours. Thus, market participants perceive such news as significant signals about the state of affairs in private companies, despite the initial goal of the regulator. Based on the results of the analysis, recommendations were also formulated for the Bank of Russia to change the mechanism of including securities in the Lombard List.

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