Price interactions in the credit market and banks instability over the crisis and non-crisis periods in the Russian economy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F20%3A00525458" target="_blank" >RIV/00216208:11640/20:00525458 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.31737/2221-2264-2020-45-1-3" target="_blank" >https://doi.org/10.31737/2221-2264-2020-45-1-3</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.31737/2221-2264-2020-45-1-3" target="_blank" >10.31737/2221-2264-2020-45-1-3</a>

Jazyk výsledku

ruština

Název v původním jazyce

Tsenovyye reaktsii na kreditnom rynke i stabil'nost' rossiyskikh bankov v krizisnyye i beskrizisnyye periody v ekonomike

Popis výsledku v původním jazyce

Rabota posvyashchena analizu tsenovoy konkurentsii v razlichnykh segmentakh kreditnogo reytinga i vliyaniya bankovskoy nestabil'nosti. Ya riskuyu krizisnymi i nekrizisnymi periodami sistemnogo obostreniya konkurentsii v bankovskoy sisteme Rossii v 2004-2015 godakh. V otlichiye ot predydushchikh rezul'tatov, tekushchaya tsenovaya konkurentsiya izmeryayetsya. S pomoshch'yu indikativnoy tsenovoy reaktsii otdel'nogo banka na izmeneniye srednikh znachimykh protsentnykh stavok. U nas yest' chetyre gruppy bankov: Sberbank (gruppa 1), banki 2–30 pozitsiy v reytinge po aktivam. (gruppa 2), banki 31–100 (gruppa 3), banki 101–… (gruppa 4). Predpolozhitel'no, chto kazhdyy bank mozhet konkurirovat' vnutri svoyey gruppy i s drugimi bankami grupp. Rezul'taty otsenki pokazyvayut, chto intensivnost' vozdeystviya tsenovoy konkurentsii na nezhiznesposobnost' riska zavisit ot togo, kto s kem konkuriruyet, v kakom segmente kreditnoy linii i na kakoy stadii biznes-tsikla. V roznichnom byl pokazan segment, kakaya gruppa 1 pokazyvayet naiboleye effektivnuyu, t.ye. sposoben povysit' pokazateli svoyey ustoychivosti v tsenovykh rezul'tatakh reaktsiya drugikh grupp. Dlchi prochikh grupp byli obnaruzheny effekty pereraspredeleniya riskov - mezhdu kreditnymi i prochimi vidami riskov, i eti reaktsii ne vsegda okazyvayutsya effektivnymi. V korporativnom segmente v otlichiye ot kaznacheystva, ne bylo primerov tsenovykh reaktsiy, podtverzhdayushchikh effekty pereraspredeleniya riskov, a effekt vzaimnogo usileniya riska nablyudayetsya tol'ko v 2 periodakh zhestkikh reaktsiy.

Název v anglickém jazyce

Price interactions in the credit market and banks instability over the crisis and non-crisis periods in the Russian economy

Popis výsledku anglicky

This paper examines price competition in various segments of credit market and how this competition affects banks’ exposure to risks during the crisis and non-crisis periods of system-wide strengthening of competition in the Russian banking system over 2004–2015. Distinctly from previous studies, this paper measures price competition with the reactions of each bank on the changes of average interest rates induced by other banks within- and between different competing groups. We consider the following four groups of banks: Sberbank (group 1), top-30 banks except Sberbank (in terms of assets, group 2), top-100 banks except top-30 (group 3), and all the others (group 4). The estimation results suggest that the intensity of the competition impact on the instability of reacting banks depends substantially on (i) who reacts, (ii) which segment of credit market is considered and during which phase of the business-cycle a given reaction occurs. For the retail segment, obtained results indicate that the group 1 (Sberbank, the market-maker) is the most efficient among all groups (i.e., it is able to improve its stability by successful price interactions with other banks). For the other bank groups, the results reveal the effects of risk redistribution within a given bank between credit and non-credit risks. For the corporate segment, distinctly from the retail one, no example of the risks’ redistribution effects is found while the mutual risks amplifications are observed only in reactions of the group 2 (banks 2–30) and only during the crisis periods.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Zhournal Novoi Ekonomicheskoi Associacii

ISSN

2221-2264

e-ISSN

—

Svazek periodika

45

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

RU - Ruská federace

Počet stran výsledku

46

Strana od-do

65-110

Kód UT WoS článku

000544821400003

EID výsledku v databázi Scopus

2-s2.0-85085357743