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Macroprudential Policy and Financial (In)Stability Analysis in the Russian Federation

Mikhail Andreev (), M. Udara Peiris, Aleksandr Shirobokov () and Dimitrios Tsomocos
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Mikhail Andreev: Bank of Russia
Aleksandr Shirobokov: National Research University Higher School of Economics

Authors registered in the RePEc Author Service: Mikhail Yurievich Andreyev

Russian Journal of Money and Finance, 2019, vol. 78, issue 3, 3-37

Abstract: We study a small open economy New Keynesian model calibrated to the Russian economy with a banking system that trades secured and unsecured debt. Firms endogenously default on their unsecured debt obligations over the business cycle. We examine the effectiveness of four alternative countercyclical policies that respond to the growth in unsecured credit in the economy. The lean-against-the-wind monetary policy is the most effective in simultaneously affecting the real economy and stabilizing the banking system in response to both oil price and total factor productivity shocks. The countercyclical deposit reserve requirement was found to play a stabilizing role following an oil shock, while the countercyclical capital adequacy requirement helped to stabilize the banking system after a total factor productivity shock.

Keywords: business cycles; small open economy; emerging markets; commodity prices; financial stability; macroprudential policy; Russian economy (search for similar items in EconPapers)
JEL-codes: F34 G15 G18 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.31477/rjmf.201903.03

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Handle: RePEc:bkr:journl:v:78:y:2019:i:3:p:3-37