Impact of Bank of Russia Macroprudential Policy on Risk Exposure of Banks' Consumer Loan Portfolios

Dmitry Miroshnichenko ()
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Dmitry Miroshnichenko: Bank of Russia

Russian Journal of Money and Finance, 2021, vol. 80, issue 3, 73-93

Abstract: In this paper, the author examines the efficiency of risk weight add-ons introduced by the Bank of Russia depending on borrowers' debt burden in terms of discouraging high-risk unsecured rouble consumer lending and the effect of these add-ons on banks' capital adequacy. The analysis is based on open bank reporting data for the period from October 2019 through August 2020. We show that in this time frame, most banks increased their capital. At the same time, the results obtained do not enable us to confirm the hypothesis that this measure has a pronounced effect on the reduction of the risk profile of consumer loan portfolios. We demonstrate that one of the factors that influenced the efficiency of measures introduced by the regulator is the substantially higher profitability of retail lending as compared to corporate lending.

Keywords: macroprudential policy; capital adequacy ratio; debt burden indicator; consumer lending (search for similar items in EconPapers)
JEL-codes: E58 G21 G28 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:80:y:2019:i:3:p:73-93

DOI: 10.31477/rjmf.202103.73

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