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Modelling the Risk-taking Channel of Monetary Policy in the Russian Economy

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  • Irina Semina

    (Lomonosov Moscow State University)

Abstract

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.

Suggested Citation

  • Irina Semina, 2020. "Modelling the Risk-taking Channel of Monetary Policy in the Russian Economy," Russian Journal of Money and Finance, Bank of Russia, vol. 79(3), pages 30-57, September.
    • Handle: RePEc:bkr:journl:v:79:y:2020:i:3:p:30-57
    DOI: 10.31477/rjmf.202003.30
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    References listed on IDEAS

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    More about this item

    Keywords

    risk-taking channel; monetary policy; financial stability; credit risk;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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