Modelling the Risk-taking Channel of Monetary Policy in the Russian Economy
Irina Semina ()
Additional contact information
Irina Semina: Lomonosov Moscow State University
Russian Journal of Money and Finance, 2020, vol. 79, issue 3, 30–57
The main purpose of this paper is to test the efficiency of the risk-taking channel in the Russian economy. The existence of this channel may be an additional argument for the Bank of Russia’s cautious policy regarding changes in the key rate, since its sharp decline may cause financial instability, as banks reallocate their funds to riskier higher-yield assets. Z-score and the level of non-performing loans calculated according to the quarterly financial statements of credit institutions have been selected as a measure of risk. Econometric analysis revealed a shift toward riskier operations in response to a decrease in key and market interest rates. It also confirmed the hypothesis that the risk-taking channel is less effective for large banks.
Keywords: risk-taking channel; monetary policy; financial stability; credit risk (search for similar items in EconPapers)
JEL-codes: E44 E52 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://rjmf.econs.online/upload/iblock/c6e/Risk-t ... ry_Policy_Russia.pdf
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:79:y:2020:i:3:p:30-57
Access Statistics for this article
Russian Journal of Money and Finance is currently edited by Ksenia Yudaeva
More articles in Russian Journal of Money and Finance from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by Olga Kuvshinova ().