Commodity Cycles and Financial Instability in Emerging Economies

Andreev, Mikhail; Peiris, Udara; Shirobokov, Aleksandr; Tsomocos, Dimitrios P.

doi:10.2139/ssrn.3491831

Cited by 7 publications

(7 citation statements)

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“…In this paper we developed a New Keynesian model of a small open economy with a banking sector and secured and unsecured debt. We calibrated the model to the parameters found in Andreev et al (2019), which also found that the Russian business cycle is dominated by shocks to the foreign price of oil and TFP. We compared the effectiveness of an unsecured credit-augmented Taylor rule, a countercyclical deposit requirement, a LTV ratio, and capital adequacy requirements in stabilizing the economy in the event of oil price and TFP shocks.…”

Section: Discussionmentioning

confidence: 99%

“…Here we present IRFs following a positive oil price and TFP shock under different macroprudential policies. Andreev et al (2019) demonstrate that these shocks account for much of the variation in the business cycle. We consider macroprudential rules of four types: a LAW rule, a deposit requirement rule, a LTV rule, and a capital adequacy rule.…”

Section: Policy Analysismentioning

confidence: 90%

“…The size of the shocks is as obtained from the estimation inAndreev et al (2019): 13.5% for oil price shock and 3.5% for TFP shock.9 The cost of collateral here represents the shadow value of the capital value in the collateral constraint implied by the Lagrange multiplier.Continuation,Table 5 begins on p. 19…”

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confidence: 99%

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Macroprudential Policy and Financial (In)Stability Analysis in the Russian Federation

Andreev¹,

Peiris

Shirobokov

et al. 2019

RJMF

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We study a small open economy New Keynesian model calibrated to the Russian economy with a banking system that trades secured and unsecured debt. Firms endogenously default on their unsecured debt obligations over the business cycle. We examine the effectiveness of four alternative countercyclical policies that respond to the growth in unsecured credit in the economy. The lean-against-the-wind monetary policy is the most effective in simultaneously affecting the real economy and stabilizing the banking system in response to both oil price and total factor productivity shocks. The countercyclical deposit reserve requirement was found to play a stabilizing role following an oil shock, while the countercyclical capital adequacy requirement helped to stabilize the banking system after a total factor productivity shock.

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Section: Discussionmentioning

confidence: 99%

Section: Policy Analysismentioning

confidence: 90%

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Macroprudential Policy and Financial (In)Stability Analysis in the Russian Federation

Andreev¹,

Peiris

Shirobokov

et al. 2019

RJMF

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“…The second report of Session 1, 'Commodity Cycles and Financial Instability in Emerging Economies' (Andreev et al, 2019), was presented by Professor Udara Peiris from the ICEF, HSE. The paper was drafted as part of collaboration between the Bank of Russia and the ICEF with input from Professor Dimitrios Tsomocos (Said Business School and St Edmund Hall, University of Oxford).…”

Section: Identifying and Measuring Financial Stability Risksmentioning

confidence: 99%

“…The second presentation in the Session 1, by the International College of Economics and Finance, Higher School of Economics (ICEF, HSE) Professor Udara Peiris, laid out the conclusions of 'Commodity Cycles and Financial Instability in Emerging Economies', a research paper he produced jointly with the Bank of Russia (Andreev et al, 2019). The paper examines the role of global oil price changes in the build-up of financial stability risks and, consequently, in the volatility of macroindicators.…”

Section: Introductionmentioning

confidence: 99%