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Методические аспекты идентификации банковских кризисов // Methodological аspects of Identifcation of Banking Crises

Author

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  • O. Lukacheva V.

    (Department of Economics Lomonosov Moscow State University)

  • О. Лукачева В.

    (экономический факультет, МГУ имени М.В. Ломоносова)

Abstract

The main drawback of the existing methods of identification of banking crises is their dependence on subjective expert judgments, in connection with which, databases on crises have differences in the date and duration of crisis episodes. However, there is a more objective way to do it — the use of the money market pressure index (MPI), based on the indicators provided by the statistical authorities. In his work, the author explored the von Hagen & Ho (2007) index method and Laeven & Valencia (2012) method, which includes evaluative judgment. The aim of our work was, on the example of the banking sector ofRussiafor 1998–2016, the identification of the most accurate and sensitive methodology for assessment of banking crises. This study was carried out in stages. First, it was supplemented Laeven &Valenciathe database on the crises inRussiafrom 2011 to 2016. Second, it was built the money market pressure index (MPI) for the Russian banking sector for the period 1998–2016. At the final stage, the author compared the crisis episodes, identified using these two methods, which simultaneously identify the crises of 1998 and 2009. However, the crisis of 2014–2016 was identified only by the Laeven & Valencia criteria. This discrepancy can be explained by the shortcomings of the index methodology, which does not take into account hidden guarantees and direct support from the state. Moreover, the hypothesis that the banking crisis took place in 2014–2016 was confirmed by the Demirgüç-Kunt & Detragiache criteria (2005), as well as the financial stress index proposed by ACRA (ACRA FSI RU). Thus, it can be concluded that it is most acceptable to use the Laeven & Valencia methods when identifying banking crises. Основным недостатком существующих методик идентификации банковских кризисов является их зависимость от субъективных экспертных суждений, в связи с чем базы данных по кризисам имеют расхождения в датировке и продолжительности кризисных эпизодов. Однако существует более объективный способ — использование индекса давления денежного рынка (IMB), основанного на показателях, предоставленных статистическими органами. В своей работе автор исследует индексную методику von Hagen и Ho (2007 г.) и методику Laeven и Valencia (2012 г.), включающую оценочные суждения. Цель работы — выявить наиболее точную и тонко реагирующую на банковские кризисы методику на примере банковского сектора России за 1998–2016 гг. Данное исследование выполнялось поэтапно. Во-первых, была дополнена база данных по кризисам Laeven и Valencia по России с 2011 по2016 г. Во-вторых, построен индекс давления денежного рынка (IMB) для банковского сектора России за период 1998–2016 гг. На заключительном этапе были сопоставлены кризисные эпизоды, выявленные с помощью двух указанных методик, которые одновременно идентифицируют кризисы 1998 и 2009 гг. Однако кризис 2014–2016 гг. был выявлен только с помощью критериев Laeven и Valencia. Подобное расхождение можно объяснить недостатками индексной методики, которая не учитывает скрытые гарантии и прямую поддержку со стороны государства. Более того, гипотеза о том, что банковский кризис имел место в 2014–2016 гг., была подтверждена с помощью критериев Demirgüç-Kunt и Detragiache (2005 г.), а также индекса финансового стресса, предложенного АКРА. Таким образом, можно сделать вывод о том, что при идентификации банковских кризисов наиболее приемлемо использовать методику Laeven иValencia.

Suggested Citation

  • O. Lukacheva V. & О. Лукачева В., 2018. "Методические аспекты идентификации банковских кризисов // Methodological аspects of Identifcation of Banking Crises," Мир новой экономики // The world of new economy, Финансовый университет при Правительстве Российской Федерации // Financial University under The Governtment оf The Russian Federation, vol. 12(3), pages 108-117.
  • Handle: RePEc:scn:wnewec:y:2018:i:3:p:108-117
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    References listed on IDEAS

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    1. Demirgüç-Kunt, Asli & Detragiache, Enrica, 2005. "Cross-Country Empirical Studies of Systemic Bank Distress: A Survey," National Institute Economic Review, National Institute of Economic and Social Research, vol. 192, pages 68-83, April.
    2. Raymond Chaudron & Jakob de Haan, 2014. "Identifying and dating systemic banking crises using incidence and size of bank failures," DNB Working Papers 406, Netherlands Central Bank, Research Department.
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