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

Author

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  • Dmitry Miroshnichenko

    (Bank of Russia)

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.

Suggested Citation

  • Dmitry Miroshnichenko, 2021. "Impact of Bank of Russia Macroprudential Policy on Risk Exposure of Banks' Consumer Loan Portfolios," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 73-93, September.
    • Handle: RePEc:bkr:journl:v:80:y:2019:i:3:p:73-93
    DOI: 10.31477/rjmf.202103.73
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    References listed on IDEAS

    as
    1. Kuttner, Kenneth N. & Shim, Ilhyock, 2016. "Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies," Journal of Financial Stability, Elsevier, vol. 26(C), pages 31-44.
    2. Altunbas, Yener & Binici, Mahir & Gambacorta, Leonardo, 2018. "Macroprudential policy and bank risk," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 203-220.
    3. Henry Penikas, 2021. "Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects'," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 94-104, September.
    4. International Monetary Fund, 2011. "Macroprudential Policy: What Instruments and How to Use them? Lessons From Country Experiences," IMF Working Papers 2011/238, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    macroprudential policy; capital adequacy ratio; debt burden indicator; consumer lending;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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