EMPIRICAL ASSESSMENT OF ECONOMIC UNCERTAINTY’S IMPACT ON THE FINANCIAL SOUNDNESS OF RUSSIAN COMMERCIAL BANKS

Abstract

At present, there is a need to understand new channels of crisis impact on the banking sector in the context of growing geopolitical tension and sanctions pressure, which dramatically increase the level of uncertainty that is not always considered by traditional models. The purpose of the study is to perform an econometric assessment of the impact of economic uncertainty shocks on key indicators of the financial stability of commercial banks in Russia during crisis periods. The methodology is based on the construction of multiple regressions. The Russian Economic Uncertainty Index and control macroeconomic variables are used as regressors. The analysis is based on quarterly data on the banking sector and macro statistics for 2018-2023, which covers periods of pandemic and sanctions crises. The results demonstrate a statistically significant negative impact of increasing uncertainty on the growth rate of personal deposits. The hypothesis that economic uncertainty is a significant channel for the transmission of crisis shocks is confirmed. The results substantiate the need to take this factor into account in the supervisory and monetary policy of the Bank of Russia to improve the stability of the banking sector.