Measurement of Liquidity Risk of Credit Institutions on the Example of Russian Banking System
DOI:
https://doi.org/10.21638/11701/spbu05.2017.105Abstract
The lack of liquidity in the banking sector was a key factor in the deployment of the latest financial cri- sis, but at the moment the authors do not know indicators to measure the liquidity risk for the banking system as a whole. In this paper, we propose an indicator that allows you to measure the adequacy of liquidity. Its construction is based on the separation of accounts, bank balance for liquid and illiquid based on a comparison of statistics intermonth flows and stocks at the end of the month. We show that for the Russian banking system this indicator will display the instability of the system, associated with a lack of liquidity, as well as a leading indicator for the banking crises of 2008 and 2014’s. The question of stability of distribution of the banks on this indicator during the crisis in the Russian economy is researched. Also in the work it is shown that the change in the time horizon in the calculation of the liquidity of the proposed definition of the indicator is a measure not only of the current liquidity risk, but the risk of instant liquidity and quality of funding.
Keywords:
Russia’s banking system, assets, liabilities, turnover ratio, duration, banking system crisis
Downloads
Download data is not yet available.
References
Литература на русском языке
Андреев М. Ю., Пильник Н. П., Поспелов И. Г. Моделирование деятельности современной российской банковской системы // Экономический журнал ВШЭ. 2009. № 2. С. 143–171.
Дубинин С. К. Российская банковская система — испытание финансовым кризисом // Деньги и кредит. 2015. № 1. С. 9–12.
Дедова М. С., Пильник Н. П., Поспелов И. Г. Описание потребности в ликвидности со стороны российской банковской системы на основе статистики оборотов // Новая экономическая ассоциация. 2014. № 4. С. 87–110.
Малахов Д. И. Риски структурных изменений в отрасли и их последствия // Риск-менеджмент в кредитной организации. 2015. № 4(20). С. 72–88.
Малахов Д. И., Пильник Н. П., Радионов С. А. Стабильность распределения банков как аргумент в пользу концепции агрегированного агента // Экономический журнал ВШЭ. 2015. Т. 19, № 4. C. 395–422.
References in Latin Alphabet
Berger A. N., Bouwman C. H. Bank liquidity creation // Review of Financial Studies. Vol. 22, N 9. P. 3779–3837.
Bonfim D., Kim M. Liquidity risk in banking: is there herding? // European Banking Center Discussion Paper. 2014 (2012-024). URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201218.pdf (accessed: 20.01.2017).
Cifuentes R., Ferrucci G., Shin H. S.. Liquidity risk and contagion // Journal of the European Economic Association. 2005. Vol. 3, N 2–3. P. 556–566.
Deep A., Schaefer G. K. Are Banks Liquidity Transformers? // KSG Working Paper No. RWP04-022.2004. URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=556289 (accessed: 20.01.2017).
Diamond D. W., Dybvig P. H. Bank runs, deposit insurance, and liquidity // The journal of political economy. 1983. Vol. 91, N 3. P. 401–419.
Diamond D. W., Rajan R. G. Liquidity risk, liquidity creation and financial fragility: A theory of banking. 1999 (No. w7430). National bureau of economic research. URL: http://www.nber.org/papers/w7430 (accessed: 20.01.2017).
Freixas X., Parigi B. M., Rochet J. C. Systemic risk, interbank relations, and liquidity provision by the central bank // Journal of money, credit and banking, 2000.Vol. 32, N 3. P. 611–638.
Fungačova Z., Solanko L., Weill L. Market power in the Russian banking industry // Economie internationale. 2011. Vol. 4. P. 127–145.
Fungacova Z., Solanko L. The Russian Banking Industry after the 2008–2009 Financial Crisis–What Next? // Russian analytical digest. 2010. N 74. URL: http://www.laender-analysen.de/russland/rad/pdf/Russian_Analytical_Digest_74.pdf ( accessed: 20.01.2017).
Horvath R., Seidler J., Weill L. Bank Capital And Liquidity Creation Granger-Causality Evidence // Journal of Financial Services Research. 2014. Vol. 45, N 3. P. 341–361.
Kiss H. J., Rodriguez-Lara I., Rosa-Garcia A. Do social networks prevent bank runs? // WP-AD 2009-25. 1. 2009. URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2009-25.pdf (accessed: 20.01.2017).
Postlewaite A., Vives X. Bank runs as an equilibrium phenomenon // Journal of political Economy. 1987. Vol. 95, N 3. P. 485–491.
Wu D., Hong H. Liquidity risk, market valuation, and bank failures. SSRN Electronic Journal, 2012. URL: http://web.stanford.edu/~doubleh/papers/Paper_Liquidity_Risk_and_Bank_Failures.pdf (accessed: 20.01.2017).
Translation of references in Russian into English
Andreev M. Iu., Pil’nik N. P., Pospelov I. G . Modelirovanie deiatel’nosti sovremennoi rossiiskoi bankovskoi sistemy [Modeling of modern Russian banking system activity]. Ekonomicheskii zhurnal VShE [The HSE Economic Journal], 2009, no. 2, pp. 143–171. (in Russian)
Berger A. N., Bouwman C. H . Bank liquidity creation. Review of Financial Studies, vol. 22, no. 9, pp. 3779–3837.
Bonfim D., Kim M. Liquidity risk in banking: is there herding? European Banking Center Discussion Paper. 2014 (2012-024). Available at: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201218.pdf (accessed: 20.01.2017).
Cifuentes R., Ferrucci G., Shin H. S. Liquidity risk and contagion. Journal of the European Economic Association, 2005, vol. 3, no. 2–3, pp. 556–566.
Dedova M. S., Pil’nik N. P., Pospelov I. G . Opisanie potrebnosti v likvidnosti so storony rossiiskoi bankovskoi sistemy na osnove statistiki oborotov [Description of Liquidity Needs on the Part of the Russian Banking System Based on the Statistics of Turnovers]. Novaia ekonomicheskaia assotsiatsiia [Journal of the New Economic Association], 2014, no. 4, pp. 87–110. (in Russian)
Deep A., Schaefer G. K . Are Banks Liquidity Transformers? KSG Working Paper No. RWP04-022.2004. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=556289 (accessed 20.01.2017).
Diamond D. W., Dybvig P. H . Bank runs, deposit insurance, and liquidity. The journal of political economy, 1983, vol. 91, no. 3, pp. 401–419.
Diamond D. W., Rajan R. G . Liquidity risk, liquidity creation and financial fragility: A theory of banking. 1999 (No. w7430). National bureau of economic research. Available at: http://www.nber.org/papers/w7430 (accessed: 20.01.2017).
Dubinin S. K . Rossiiskaia bankovskaia sistema — ispytanie finansovym krizisom [Russian banking system — financial crisis testing]. Den’gi i kredit [Money and Credit], 2015, no. 1, pp. 9–12. (in Russian)
Freixas X., Parigi B. M., Rochet J. C. Systemic risk, interbank relations, and liquidity provision by the central bank. Journal of money, credit and banking, 2000, vol. 32, no. 3, pp. 611–638.
Fungacova Z., Solanko L. The Russian Banking Industry after the 2008–2009 Financial Crisis–What Next? Russian analytical digest, 2010, no. 74. Available at: http://www.laender-analysen.de/russland/rad/pdf/Russian_Analytical_Digest_74.pdf (accessed: 20.01.2017).
Fungačova Z., Solanko L., Weill L. Market power in the Russian banking industry. Economie international, 2011, vol. 4, pp. 127–145.
Horvath R., Seidler J., Weill L. Bank Capital And Liquidity Creation Granger-Causality Evidence. Journal of Financial Services Research, 2014, vol. 45, no. 3, pp. 341–361.
Kiss H. J., Rodriguez-Lara I., Rosa-Garcia A. Do social networks prevent bank runs? WP-AD 2009-25. 1. 2009. Available at: http://www.ivie.es/downloads/docs/wpasad/wpasad-2009-25.pdf (accessed: 20.01.2017).
Malakhov D. I. Riski strukturnykh izmenenii v otrasli i ikh posledstviia [Risks of structural changes in the industry and their consequences]. Risk-menedzhment v kreditnoi organizatsii [Risk management in credit organization], 2015, no. 4(20), pp. 72–88. (in Russian)
Malakhov D. I., Pil’nik N. P., Radionov S. A . Stabil’nost’ raspredeleniia bankov kak argument v pol’zu kontseptsii agregirovannogo agenta [Stability of distributions of banks as an argument to usage of concept of aggregate agent]. Ekonomicheskii zhurnal Vysshei shkoly ekonomiki [Higher School of Economics Economic Journal], 2015, vol. 19, no. 4, pp. 395–422. (in Russian)
Postlewaite A., Vives X. Bank runs as an equilibrium phenomenon. Journal of political Economy, 1987, vol. 95, no. 3, pp. 485–491.
Wu D., Hong H. Liquidity risk, market valuation, and bank failures. SSRN Electronic Journal, 2012. Available at: http://web.stanford.edu/~doubleh/papers/Paper_Liquidity_Risk_and_Bank_Failures.pdf (accessed: 20.01.2017).
Downloads
Published
2017-03-30
How to Cite
Дедова, М. С., Малахов, Д. И., & Пильник, Н. П. (2017). Measurement of Liquidity Risk of Credit Institutions on the Example of Russian Banking System. St Petersburg University Journal of Economic Studies, 33(1), 078–103. https://doi.org/10.21638/11701/spbu05.2017.105
Issue
Section
Financial markets
License
Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.
