Bank Of Russia Research Articles

Практика использования ESG-подходов в сделках секьюритизации

The spread of the sustainable development concept has given rise to sustainable finance, as well as the infrastructure of the financial and consulting industry of valuations, verifications and various databases in the field of ESG. This research is devoted to theoretical and practical study of the accumulated experience of ESG securitization transactions in order to systematize ESG financing instruments and directions of development of this sphere in modern conditions. The study showes that ESG securitization practices are being integrated into capital management processes in line with sustainable development goals, with the most developed centers in the USA, Europe and China. The study systematizes the main types of ESG securitized assets, gives their characteristics and identifies current trends. In Russia, despite its isolation from the world financial markets, the practice of ESG securitization is developing, covering new directions. The study notes the potential for the development of green mortgages, which will contribute to the activation of securitization transactions in the segment of residential and commercial real estate. High potential for development of the social segment of ESG securitization is also noted due to the growing demand for financing social projects in the regions. Expansion of the practice of social mortgage securitization will contribute to the redistribution of risks between the public and private sectors, while active involvement of Russian banks in a variety of ESG lending programs (car loans, lending to small and medium-sized businesses with a green and social focus, e.g. for the construction of social infrastructure, etc.) will expand the market. There is a suggestion that the development of digital ESG securitization platforms will help expand the reach of retail investors, while cooling the junk bond market. The article notes that the expansion of multi-tranche ESG securitization will allow long-term assets of pension funds and various ESG funds to be leveraged into mortgage-backed securities. Overall, ESG securitization improves the structure of transactions, expands the range of derivatives used, improves the quality of credit and interest rate risk management, and contributes to the achievement of sustainable development goals.

The Influence of the Soviet Legal Model on the Law Directing the Establishment and Operation of Vietnam and China's Central Banks

The Soviet legal model significantly influenced the legal stance, operation and organization of central bank branches in China and Vietnam. According to research on the effect of the Soviet legal model on the organization and operations of the Central Bank of China and the Central Bank of Vietnam, the Soviet legal model assisted Vietnam and China in creating major legislative frameworks for the banking sector. However, the legal status of Russian banks has evolved in the direction of being more autonomous and efficient; at the same time, the People's Bank of China branch was also restructured to be more streamlined and efficient. These are the areas in which the State Bank of Vietnam has to improve in order to grow more successfully.

DIGITAL FINANCIAL ASSETS AND THEIR OPERATORS IN THE RUSSIAN FEDERATION

The relevance of the research topic is to consider the genesis of the legislative consolidation of the legal status of digital intermediaries, namely, the operator of the information system and the operator of the exchange of digital financial assets. The purpose of the study is to determine the role of an information system operator and a digital financial assets exchange operator in the Russian Federation. The scientific novelty of the article is manifested in the formulation of the provision that one of the main advantages of an information system based on a distributed registry is that the very technical properties of such a system allow for the issuance, accounting and circulation of digital financial assets without the participation of digital intermediaries due to the fact that this digital system already contains records of all changes being made, and therefore a priori is valid. Materials and methods. The paper presents an analysis of the current legislation, judicial practice and scientific doctrine on the problematic issue of the legal status of digital intermediaries – the operator of the information system and the operator of the exchange of digital financial assets. In addition, it provides comments on the relevant provisions of the digital financial assets Law. Results. In accordance with the legislation on the digital financial assets, the operator of an information system where digital financial assets are issued is recognized as a legal entity whose personal law is the Russian law and who is included in the register of information system operators by the Bank of Russia. The tasks of the information system operator mainly include ensuring the proper uninterrupted functioning of information systems. To complete the tasks, the information system operator must approve the rules of its information system and coordinate them with the Bank of Russia. Transactions permitted by the Russian law with the digital financial assets are made through the digital financial assets exchange operator, which collects and compares applications for such transactions or participates at its own expense in the transaction as a party in the interests of third parties. Digital financial assets exchange operators are credit organizations, trade organizers, as well as other legal entities that meet the requirements and are included by the Bank of Russia in the register of digital financial assets exchange operators. The theoretical and practical significance of the study consists in the identification by the authors of such a fundamental feature of the digital financial assets as non-mediation, which is a priori inherent in the digital financial assets, but, unfortunately, the Russian legislator rejected the corresponding legal regime of the digital financial assets. In this regard, third parties – digital intermediaries, namely the operator of the information system and the operator of the exchange of digital financial assets, are actually involved in the relations that are developing regarding the issuance, accounting and circulation of digital financial assets. Conclusions. The authors concluded on the basis of judicial practice that the viability of the legal norms considered in the article is questionable, since at the moment there are no disputes around the digital financial assets.

Assessing the Effectiveness of Advertising Costs in the Banking Sector

In recent years, clients of Russian banks have learned to take into account changes in the financial market quickly. When the key rate changes, they change their strategy — the demand for annual deposits decreases, and the flow of funds for short-term deposits increases. It doesn't contradict the interests of the banking sector. At a high level of the refinancing rate on the interbank market, the credit institution is interested in increasing the money supply on deposits. Attracting customers is carried out by banks using a variety of marketing tools, the main of which remains advertising. None of the tools for the bank is free of charge and a traditional economic problem arises: to put in the budget minimal costs for advertising and get a large the effect. It is obvious that in such a formulation the problem is unsolvable. Therefore, currently the theory offers only a single approach to assessing the effectiveness of advertising costs, which the authors call «traditional». Its disadvantage refers to the fact that the generated effect is difficult to divide into impact components, since not only advertising affects the flow of new customers and the share of loyal ones. The approach proposed by the authors makes it possible to assert that the use of an econometric method in management analysis in addition to the traditional method of assessing the effectiveness forms an evidence base for justifying advertising costs by banks. The article reflects the results of the study using the example of JSC «Raiffeisenbank». The advantage of the proposed method is the availability of information: the study is based only on open data published on the website of the Bank of Russia. This will allow Russian commercial banks to assess cost effectiveness after advertising campaigns and during their planning as well as compare the level of effectiveness with competitors.

HIERARCHICAL CLUSTERIZATION AND DEEP LEARNING MODEL RANDOM FOREST OF BANKS’ STABILITY UNDER RISK CONDITIONS

Certain theoretical aspects of the stability of Russian banks under risk conditions have been studied. The relevance is due to the fact that in conditions of market uncertainty and risk, approaches to ensure the stability of banks using artificial intelligence are increasingly being used. The goal is to identify patterns between the characteristics of Assets and ROA (Return on Assets), an indicator of return on assets, and obtain a forecast value of Sberbank’s net profit. The result of the study was hierarchical clustering, as well as the generated Deep Learning model Random Forest, which calculated the predicted value of the Sberbank’s net profit. The novelty lies in the fact that the work puts forward and proves the hypothesis that using the Random Forest Deep learning model, a forecast of the net profit of commercial banks can be obtained, which predetermines the stability and dynamics of their development. The conclusions from the study boil down to the fact that a Deep Learning model Random Forest was developed to forecast the amount of net profit, which for Sberbank for 2023 amounted to 38,631 billion rubles, which coincided with its actual value. The area of application of the results obtained is commercial banks.

The importance of syndicated loans for companies

The article examines the specifics of the Russian and foreign syndicated lending market as a significant source of financial resources for companies implementing large+scale projects, examines the problems in the field of syndications that arose with the imposition of sanctions against Russian banks and companies. The author gives an assessment of the level of importance of this type of lending for companies, and compares it with alternative methods of raising capital. The article addresses issues related to the need to improve the legislative regulation of syndicated lending in the Russian market. The prospects for the development of this type of lending in the Russian market are determined.

Digital Ruble: The Problems of Determining the Legal Regime

Introduction: the presented paper deals with the issues of legal assessment of the digital ruble as an object of civil rights. In Article 128 of the Civil Code of the Russian Federation, this means of payment is defined as a type of non-cash funds, which raises a number of doubts, given both its legal regulation and the objectification of the digital ruble in the virtual space. This currency is a unique digital code stored on a platform administered by the Bank of Russia, while non-cash money is an abstract concept that exists solely by virtue of the legal norms. According to the author of the paper, these significant differences require reflection in the legislation, the changes in existing legal norms, and the revision of the legal regime of the digital ruble. Thus, the purpose of the paper is to develop systematic approaches to the regulation of the digital ruble in the Russian legislation. Methods: the methodological framework for the study consists of the dialectical, analytical and comparative law methods. Results: the author’s position reflected in the paper is based on the scientific doctrine and the provisions of the legislation on the legal regime of means of payment in the Russian Federation. Based on the legal analysis of the norms of the current legislation, some proposals have been formulated to improve the statutory regulation of the digital ruble, as well as non-cash funds. Conclusions: based on the results of the study, it is proposed to state Article 128 of the Civil Code of the Russian Federation in the following wording: “The objects of civil rights are things (including cash money and documentary securities), other property, among them the digital ruble and property rights (including non-cash funds, non-documentary securities, digital rights); the results of work and provision of services; the protected results of intellectual activity and means of individualization equated to them (intellectual property); intangible benefits.” In addition, when regulating non-cash funds, it is proposed to take into account their characteristics such as abstraction and the possibility of issuing by private organizations.

Financial sovereignty as one of Russia’s strategic objectives at the present stage

Ensuring the financial sovereignty of the country is one of the key tasks to achieve national goals by 2030. The financial system of the Russian Federation (hereinafter referred to as Russia, RF) should do everything necessary to guarantee the financing of those needs that had been previously funded by Western countries. To do this, the inflow of long-term savings and investments in fast-growing high-tech projects is to be provided. President of RF during the meeting with members of the Government of Russia on January 11, 2023 noted the main directions of the Government’s work for 2023. One of the directions is strengthening the financial sovereignty of the RF which is a condition to increase investments in the country’s economy. M. V. Mishustin, Prime Minister of Russia, speaking with the Government’s report in the State Duma of Russia, mentioned that to achieve the financial sovereignty of the state is one of the important tasks for the current year. Attracting long-term financial resources to the economy, investment attractiveness and providing financial support for fast-growing technology companies are the main conditions to solve this problem. Thus, the Government of RF have developed five main directions for the task implementation in order to fulfill the instructions of President of RF. The purpose of this article is to consider the main measures aimed at achieving financial sovereignty in the current conditions. The activities of the Government of RF and the Bank of Russia on the implementation of the discussed mea sures are analysed as the results of the study. The main conclusion of the article is the justification of financial sovereignty role in increasing the prestige of the Russian economy.

Managing bank liquidity hoarding during uncertain times: The role of board gender diversity

AbstractThis paper examines the effect of executive board gender diversity on the relationship between economic policy uncertainty (EPU) and bank liquidity hoarding (LH). We focus on the Russian banking sector, which, relative to most of the world, has a high share of women on bank executive boards. Using the news‐based EPU index developed by Baker, Bloom, and Davis (2016) and LH measures proposed by Berger, Guedhami, Kim, and Li (2022), we exploit a unique dataset from the Russian banking sector. While higher economic policy uncertainty tends to increase liquidity hoarding, we find that this effect diminishes as the gender diversity of the board increases. We attribute this finding to the moderating influence of gender diversity on stability and overreaction in decision‐making. Additionally, we find that the channel through which board gender diversity affects the impact of economic policy uncertainty on liquidity hoarding takes place via the hoarding of liquid assets. Our findings are robust to the use of alternative measures for economic policy uncertainty and gender diversity and hold after addressing endogeneity concerns. As women are still significantly under‐represented on bank boards in most countries, these results argue for policies to promote gender diversity on bank boards as a means of limiting the detrimental effects of economic policy uncertainty.

Финансово-правовое регулирование процедуры первичного публичного и вторичного размещения ценных бумаг в Российской Федерации

The article analyzes the initial public offering (IPO) of shares in comparison with pre-IPO and SPO. Various doctrinal points of view on the IPO procedure are revealed. The author reveals the features of the financial and legal regulation of IPO, which is carried out by the mega-regulator in the financial market – the Bank of Russia. It is also noted in the work that the further development of the Institute of digital Financial assets (CFA) will significantly use its capabilities for public placement of assets in the Russian Federation.

Factors influencing the multinational banks’ decisions to curtail operations in russia: Does ESG matter?

The paper is devoted to an under-researched topic of the international business community’s reaction to russia’s armed aggression against Ukraine. It aims to evaluate how G7 and EU financial sanctions, institutional pressure, ESG ratings, and asset value of multinational banks in russia influence their decisions to reduce activities in the invading country. The study used the Yale CELI database of companies leaving and staying in Russia for the classification tree method. The results show that none of the banks headquartered in G7 and EU member states that had no or relatively little assets in russia before the invasion are doing business there on a pre-war scale. Unlike banks headquartered in other countries, most either curtailed their presence in that market or exited the market. This indicates that financial sanctions imposed by G7 and EU member states and institutional pressure on banks in these countries to withdraw from the russian market have proven effective to a certain extent. However, these factors do not meaningfully influence the business of multinational banks with significant assets in russia. The study has not confirmed the hypothesis that a bank with higher ESG ratings is more likely to curtail its operations in the market of an aggressor country and withdraw. However, nearly all banks that scaled back significant activities or even pulled out of russia have better ESG indicators than the industry average. The results suggest the feasibility of improving the methodologies of ESG rating providers for accurately measuring business reactions to aggression and war crimes.

Statistical Study of the Russian Financial System under Sanctions

Purpose of the study. The imposition of sanctions on the financial sector and suspending relations with international financial institutions in 2022 has significantly affected the external conditions for the development of the domestic financial sector, caused an increase in geopolitical tensions and instability in the Russian currency market. It is necessary to study and understand the processes currently taking place in the financial market. The article is devoted to the statistical assessment of the impact of sanctions on the Russian financial system in 2022 and 2023. The purpose of research paper is to identify the situation on the currency, money and credit, debt market, as well as in the budgetary sphere, to assess the relationship between the dynamics of key financial indexes in the sanctions crisis. Materials and methods. The sources of information for the calculations were official data from the Ministry of Finance of the Russian Federation, the Bank of Russia, the provider of data on financial markets Cbonds and PJSC “Moscow Exchange”. The article used statistical methods of analysis: variations, dynamics, hypothesis testing. Determination of anomalous levels of the time series was carried out using the Irwin method. Differences in average federal budget indexes were assessed using the Wilcoxon Matched Pairs Test. The dependence of the dynamics of the main financial indexes was assessed on the basis of time series correlation. Results. The study allowed us to conclude that 2022 was a critical year for the Russian financial system. All its sectors were affected by sanctions restrictions. The weakening of the national currency was revealed in the currency market, and it was found that the dollar exchange rate in 2023 was abnormally high for the period from 2000 to 2023. The budget sector hasdemonstrated stability. The results of the study showed that the sanctions pressure did not affect the revenue part of the federal budget. However, the average monthly expenditure of the federal budget increased statistically significantly by almost three times in 2022. The monetary market reacted with an excessive supply of money. The increase in the money supply has reached its highest value in the last 10 years. The money supply growth was accompanied by changes in its structure. The banking sector showed the development of the credit growth trend. The debt market reacted with a rapid growth of corporate bonds volume, the highest for the last 10 years. And the market of federal loan bonds was characterized by a rapid reduction in the volume of federal loan bonds owned by non-residents and a decrease in the share of non-residents. The interrelation between the dynamics of the US dollar exchange rate and the volume of corporate lending associated with the conversion of loans in US dollars and euros into yuan was revealed. Direct interrelation was observed in the dynamics of money supply and the volume of corporate bonds and federal loan bonds market. Conclusion. The financial system is adapting to new circumstances. The transformation of methods and tools of financial regulation accompany this process. This process requires studying and understanding changes in the composition, dynamics, and interconnection of the structural elements of the financial system, as well as finding ways for its development.

МИКРОЗАЁМ – ПУТЬ К РАЗВИТИЮ ИЛИ БАНКРОТСТВУ?

Microfinance is one of the discussed topics in modern financial intermediation. After the introduction of regulation of this activity by the Bank of Russia, the microfinance market acquired the characteristics of an orderly system, and the vector of heated discus-sions from issues of infringement of the rights of borrowers, mis selling and fraud changed direction towards more scientific and constructive topics: relevance of rates, influence on the development of industries and areas of activity, competition in financial intermediation, etc. The presented article is devoted to the study of the role of micro-finance for small and medium-sized busi-nesses as a promising area that works to increase the accessibility of financial ser-vices. The work examines the volumes of the domestic microfinance market, identifies the trend of their changes, and presents an approach that helps an entrepreneur, before turning to a financial intermediary, determine which source of financing he should turn to so as not to lead the business to insolvency. The publication will be of interest to both specialists in the field of financial literacy and entrepreneurs who are faced with choosing sources of financing their activities.

Investment Cooperation of the EAEU Countries and Latin America in Modern Conditions

The relevance of the study is related to the trend of the states of the "global" South towards a polycentric world, accompanied by an independent foreign economic course. The EAEU is interested in expanding cooperation with Latin American countries. The purpose is to conduct a comparative analysis of the macroeconomic indicators of the EAEU and LAC countries and FDI destinations based on statistical data. Objectives: to analyze the current state of macroeconomic indicators of the integration associations of the EAEU and LAC in order to identify identical development indicators; to characterize the country and sectoral directions of FDI of the EAEU countries in the countries of Latin America and the Caribbean in comparison with similar investments of the countries of the "collective" West and the United States. Methodology. Investment cooperation is analyzed within the framework of the theory of structural functionalism (Parsons) using macroeconomic indicators of foreign trade cooperation based on UNCTAD statistics on world investments, data from the central banks of Bolivia, Brazil, statistical agencies CEPAL and the Bank of Russia. Results. It has been proved that investment flows between the EAEU and LAC have developed unevenly, and the volume of investments has fluctuated significantly. This trend reflects the general stagnation of the EAEU's investment activity in Latin America outside the commodity sectors. The leading sector attracting investment is the software and IT services sector in LAC. Conclusions. There is a trend towards an increase in the volume of trade turnover between the regions of the EAEU and the LAC, but investment cooperation between the countries is slowed down due to the logistical inaccessibility of the region, the insufficient development of the port infrastructure of the LAC, the lack of interbank relations, and insufficient state support in the LAC.

Влияние санкционной политики на состояние банковского сектора России

Introduction. The banking sector is a key sector of the national economy and a growth factor, determining its efficiency and development prospects. Over the past year and a half, the national economy in general and the banking sector in particular have been adapting to the external negative impact of the sanctions policies of Western countries. Package sanctions were created on a regular basis and are used today to limit the development of the country in all areas. Theoretical analysis. The study identifies and substantiates the factors that ensure the relationship between the sanctions imposed by Western countries and the state of the banking sector of the Russian Federation. The basis for the Russian banking sector functioning is systemically important banks; in this regard, the influence of sanctions on their activities and mechanisms of adaptation to sanctions are of particular research interest. Empirical analysis. Statistical indicators of the banking sector, assets, lending to corporate clients and individuals, profits of the banking sector and credit organizations were analyzed, conclusions were drawn about successful adaptation to sanctions due to growth in indicators, high margins and a significant reduction in the cost of risk in comparison with 2022. Results. The process of the banking sector adaptation to sanctions pressure is presented and the reasons for its effective recovery are identified.

The Digital Ruble as a Legitimate Means of Payment

The paper is devoted to the study of the digital ruble as a legal means of payment and examination of the categories of the monetary item and monetary unit. The author objects to an unjustified use of the term «currency» in the law on digital financial assets and academic writings and expresses doubts about the emergence of a new type of civil rights — a digital right. In this regard, the paper raises the problem of «defect of the content» of the legislative act. The digital ruble is considered as a kind of a fiat currency. The author justifies that a legal means of payment can be represented by both cash and non-cash money. The author proves that the regime of the digital ruble as a legal means of payment represents a system of rules providing for the issuance by the Bank of Russia on behalf of the state of a means of payment in the form of a digital banknote accepted at face value on the territory of the Russian Federation to repay any monetary obligations, and servicing all transactions in the digital ruble.

Macroeconomic forecasting and macroeconomic forecasts

The specificity of macroeconomic forecasts is determined not so much by the list of predicted indicators or by mathematical tools used, but by the unavoidable human factor, which often generates great difference between forecasts made by various professionals. In Russian-language literature, this psychological aspect of macroeconomic forecasting has not received any attention; our work is designed to fill this gap. As a source of statistical data we used the forecasts extracted from the quarterly Poll of Professional Forecasters (PPF), which began in the first quarter of 2000. An analysis of real GDP and CPI forecasts made it possible to identify optimists and pessimists among independent experts, and also to show that the official forecasts by the Russian Ministry of Economic Development and the Bank of Russia are often too optimistic (with the possible exception of forecasts for a current year). It was also confirmed that the accuracy of consensus-forecasts exceeds (in the long run) not only that of official forecasts, but also forecasts made by the vast majority of independent experts. This asserts consensus-forecasts as a benchmark against which macroeconomic forecasts of other experts and organizations should be compared. An analysis of errors for different forecast horizons showed that in the medium term, the most significant ones are associated with underestimation of the resilience of the Russian economy to external shocks. This aspect of macroeconomic forecasting is closely related to forecasting cyclical dynamics (in particular, recessions, their beginning, depth and duration). Currently, this is just what requires additional attention by macroeconomic forecasters.

Features of the development of the Russian banking system in 1996-1999.

This work is devoted to the crisis quadrennial of 1996-1999 in the history of Russia and the relationship with the changes that have occurred in the Russian banking system. The author identifies two stages in the development of domestic banking: its formation in 1991-1995, which ended with the exit from the August crisis of 1995, which showed that the banking system has not yet adapted to the requirements of market reality. The second stage was the crisis four–year period of 1996-1999, the peak of which was the default and devaluation of the ruble, as a result of which the main activity of banks turned from participating in a speculative game to working with the real sector of the economy and the population. As part of the study of the second period, the author, among other things, considers the issue of anti-crisis measures taken by the Government of the Russian Federation. The author analyzes a large layer of sources and bibliographies, actually building a chronology of the development of the banking sector in Russia in 1996-1999. The novelty of this work consists in the fact that until now there are practically no generalizing historical works about the history of the banking system of Russia in the Russian historiography. The author comes to the following key conclusions: as a result of the 1998 crisis, in which there was a collapse of government securities, which are the basis of both speculative activities of credit institutions and collateral for their resource base, the banking community began to focus mainly on working with the real sector of the economy and the needs of the population. During the period under review, a reform of the banking system was carried out, including the establishment of a set of strict banking standards and reporting that serve to increase the reliability of credit institutions and the possibilities of effective regulation of their activities, and the elimination of the technical backlog of the Central Bank in the automation of control and payment spheres was carried out.

The model of the Russian banking system with the breakdown of main actives and passives indicators by duration

Представлена новая версия модели банковской системы России, описывающая динамику широкого набора показателей банковской деятельности. По сравнению с предыдущей версией модели добавлена разбивка по срочности объемов кредитов и депозитов фирм и домохозяйств в рублях. Показано, что модель позволяет с высокой точностью воспроизводить широкий набор показателей деятельности банковской системы России, превосходя эконометрические аналоги для большинства переменных.

Balance in the movement of Russian finance

Subject. The article addresses the balance in the movement of Russian finance. Objectives. The purpose is to determine the balance in the movement of Russian finance. Methods. The study rests on systems approach, using the method of statistical analysis. Results. The study shows high potential of debt securities owned by Russian banks and transferred under repo transactions with the Bank of Russia, with the excess of dynamics of growth of financial assets minus liabilities of the banking system over the monetary base (in a broad definition). The paper revealed dominant growth of financial assets minus liabilities of households and non-profit organizations serving households holding the entire growth in the domestic economy with the fall of non-financial corporations and relatively stable growth of public administration. It also revealed a stable growth of debt securities issued at market value in the context of high volatility and a wide range of the volume of quoted shares of Russian issuers traded on the domestic market, and insignificant growth rates of federal loan bonds. It highlights the problem of balance in the movement of Russian finance, i.e. high volatility and a wide range of the volume of quoted shares of Russian issuers traded on the domestic market, and a drop in financial assets minus liabilities of non-financial corporations. Conclusions. The unveiled balance in the movement of Russian finance, largely maintained through the stable growth of debt securities issued at market value and a significant increase in financial assets minus liabilities of households and non-profit organizations serving households, points out to the monetary authorities the critical opportunities for the development of the financial system.