voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2023-12-86-102voprecotest-4221Research ArticleМАКРОЭКОНОМИКАMACROECONOMICSВлияние денежно-кредитной политики на системные риски в странах еврозоныThe effect of the ECB’s unconventional monetary policy on systemic risks in the eurozonehttps://orcid.org/0000-0003-3164-4696ДжагитянЭ. П.DzhagityanE. P.

Джагитян Эдуард Павлович, к. э. н., доцент департамента мировой экономики

Москва

Eduard P. Dzhagityan

Moscow

edzhagityan@hse.ruhttps://orcid.org/0000-0003-2768-1216МухаметовО. Р.MukhametovO. R.

Мухаметов Оскар Рустямович, аналитик Центра макроэкономических исследований НИФИ;

приглашенный преподаватель департамента мировой экономики НИУ ВШЭ

Москва

Oscar R. Mukhametov

Moscow

or.mukhametov@hse.ruНациональный исследовательский университет «Высшая школа экономики»РоссияHSE UniversityRussian FederationНациональный исследовательский университет «Высшая школа экономики»; Научно-исследовательский финансовый институт Министерства финансов Российской ФедерацииРоссияHSE University; Financial Research Institute of the Ministry of Finance of the Russian FederationRussian Federation20230512202301286102Copyright © Voprosy Ekonomiki, NP, 20232023Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/4221

Системные риски в рамках проводимой центральными банками нетрадиционной денежно-кредитной политики (ДКП) мало изучены в современной экономической литературе. На примере нетрадиционной ДКП Европейского центрального банка рассматриваются системные риски в странах еврозоны на основе разграничения материализованных системных рисков (финансовый стресс) и их потенциального уровня (ожидаемый дефицит капитала в банковской системе в условиях кризиса). Оцениваются асимметричные последствия стимулирующей и сдерживающей нетрадиционной ДКП. Эмпирический анализ охватывает период с 2009 по 2022 г. и проводится с использованием структурных векторных авторегрессий с нулевыми и знаковыми ограничениями на параметры моделей. Материализованные системные риски снижаются в ответ на расширение нетрадиционной ДКП и возрастают при сдерживающих мерах регулятора. Потенциальные системные риски демонстрируют обратную реакцию, при этом их увеличение после стимулирующего шока превосходит по модулю снижение в ответ на сдерживающие меры регулятора. Полученные результаты свидетельствуют о необходимости сочетать продолжительную стимулирующую нетрадиционную ДКП с ужесточением мер по обеспечению финансовой стабильности.

Systemic risks in the framework of central banks’ unconventional monetary policy (UMP) have so far received little attention in the modern economic literature. Based on evidence from the UMP of the European Central Bank (ECB), we contribute to this research area by differentiating systemic risks between materialized systemic risks (financial stress) and their potential level (expected capital shortfall in the banking system during crises). Besides, our paper assesses the asymmetric effects of expansionary and contractionary UMP. The empirical analysis covers the period from 2009 to 2022 and applies structural vector autoregressions with zero and sign constraints on the model parameters. We have found that materialized systemic risks decline in response to expansionary UMP and increase after the ECB’s contractionary measures. Potential systemic risks demonstrate a backlash, and their increase after the expansionary shock outweighs the decrease in response to the contractionary measures in modulus. The research results show the need to combine a long-lasting stimulating UMP together with the tightening measures in ensuring financial stability.

нетрадиционная денежно-кредитная политикасистемные рискифинансовый стрессфинансовое регулированиееврозонаunconventional monetary policy (UMP)systemic risksfinancial stressfinancial regulationeuro areaРабота подготовлена при грантовой поддержке факультета мировой экономики и мировой политики НИУ ВШЭ в рамках конкурса проектных групп в 2021 г.ReferencesAmbler S., Rumler F. (2019). The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study. Journal of International Money and Finance, Vol. 94, pp. 48—61. https://doi.org/10.1016/j.jimonfin.2019.02.007Ambler S., Rumler F. (2019). The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study. Journal of International Money and Finance, Vol. 94, pp. 48—61. https://doi.org/10.1016/j.jimonfin.2019.02.007Behncke S. (2023). Effects of macroprudential policies on bank lending and credit risks. 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The authors declare that there are no conflicts of interest present.