EFFECTIVENESS OF THE APPLICATION OF CAPITAL TOOLS OF MACROPRUDENTIAL POLICY IN ANTI-CRISIS REGULATION OF THE NATIONAL BANKING SECTOR

Abstract

Previous financial and economic crises prove the key role of macroprudential regulation of the financial sector in preventing the accumulation of systemic risks. One of the main instruments of such regulation is the means of direct and indirect influence on capital. The relevant regulatory and legal acts of the National Bank of Ukraine determine the possibility for the regulator to establish dynamic capital buffers, which are based on the regulatory capital adequacy ratio. However, due to the negative impact of the SARS COVID-2019 pandemic and the full-scale invasion of the Russian Federation into the territory of Ukraine, there is no practical experience in applying these instruments, which confirms the relevance of studying their effectiveness. The article presents the results of a study of the effectiveness of the implementation of capital instruments of macroprudential policy for the purpose of anti-crisis regulation of the national banking sector. The hypothesis of the study is that capital buffers undoubtedly contribute to ensuring financial stability due to an increase in the regulatory capital of banks, however, they have a slight countercyclical effect due to a weak transmission mechanism. Based on the construction of a vector autoregressive model (VAR), the author proved that the bank's regulatory capital includes a procyclical component in the form of reserves for impairment of credit debt, which affects the size of regulatory capital and, as a result, the value of the regulatory capital adequacy ratio through the bank's financial result. The results of the assessment of the transmission channel of capital buffers indicate the presence of theoretical justification and at the same time indicate the absence of an applied effect. The obtained research results allow us to substantiate the feasibility of introducing dynamic reserving as a more effective countercyclical tool of macroprudential regulation. The prospects for further research are aimed at developing specific recommendations for optimizing state macroprudential policy and applying the most effective tools to counteract the accumulation of systemic risks in the banking sector.