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Essays on Political Distortions in Banking and the Real Economy
Mamonov, Mikhail ; Slavík, Ctirad (vedoucí práce) ; Beck, Thorsten (oponent) ; Nitsch, Volker (oponent)
Politika přináší řadu deformací do fungování bankovního systému a reálné ekonomiky. Tato dizertace zkoumá, jak politické deformace ovlivňují rozhodování bank o půjčkách, jaký mají dopad na skutečná rozhodnutí firem, které si půjčují od "politicky deformovaných" bank, a jak mění celkový tvar makroekonomiky. První kapitola studuje na mikroúrovni dopady globál- ních finančních sankcí na banky a jejich korporátní dlužníky v Rusku. Zjištuji, že celkový účinek sankcí se rovná kombinaci velkých negativních anticipačních efektů (záměrných) a velkých pozitivních efektů přidané hodnoty (nezáměrných), které se v mém prostředí zcela kompenzují. Druhá kapitola se makroekonomicky zaměřuje na dopady sankcí na klíčové agregované ukazatele, jako je HDP, spotřeba a investice, a poté zkoumá průřezové variace těchto vlivů ve vzorcích firem a domácností. Ukazuji, že oznámení o sankcích v letech 2014-2015 byla ve skutečnosti velmi účinná: základní sankce by mohly vést k poklesu HDP o 3,2%, nikoli o 0 až 1,5% jako v předchozí literatuře. Třetí kapitola analyzuje "paralelní" politickou deformaci v Rusku v prvním desetiletí 20. století-politiku rozsáhlého zavírání bank, kterou zahájila Centrální banka Ruska půl roku před sankcemi, a vedla k odhalení a uzavření zhruba 700 soukromých bank do roku 2022. Pomocí unikátních...
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The price of war: macroeconomic and cross-sectional effects of sanctions on Russia
Mamonov, Mikhail ; Pestova, Anna
How much do sanctions harm the sanctioned economy? We examine the case of Russia, which has faced three major waves of international sanctions over the last decade (in 2014, 2017, and 2022). In a VAR model of the Russian economy, we first apply sign restrictions to isolate shocks to international credit supply to proxy for the financial sanctions shocks. We provide a microeconomic foundation for the sign restriction approach by exploiting the syndicated loan deals in Russia. We then explore the effects of the overall sanctions shocks (financial, trade, technological, etc.) by employing a high-frequency identification (HFI) approach. Our HFI is based on each OFAC/EU sanction announcement and the associated daily changes in the yield-to-maturity of Russia’s US dollar-denominated sovereign bonds. Our macroeconomic estimates indicate that Russia’s GDP may have lost no more than 0.8% due to the financial sanctions shock, and up to 3.2% due to the overall sanctions shock cumulatively over the 2014–2015 period. In 2017, the respective effects are 0 and 0.5%, and in 2022, they are 8 and 12%. Our cross-sectional estimates show that the real income of richer households declines by 1.5–2.0% during the first year after the sanctions shock, whereas the real income of poorer households rises by 1.2% over the same period. Finally, we find that the real total revenue of large firms with high (low) TFPs declines by 2.2 (4.0)% during the first year after the sanctions shock, whereas the effects on small firms are close to zero. Overall, our results indicate heterogeneous effects of sanctions with richer households residing in big cities and larger firms with high TFPs being affected the most.
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Quo vadis? Evidence on new firm-bank matching and firm performance following “sin” bank closures
Goncharenko, R. ; Mamonov, Mikhail ; Ongena, S. ; Popova, S. ; Turdyeva, N.
In this paper, we analyze how firms search for new lenders after a financial regulator forcibly closes their prior banks, and what happens to the firms’ performance during this transition period. In 2013, the Central Bank of Russia launched a large-scale bank closure policy and started detecting fraudulent (sin) banks and revoking their licenses. By 2020, two-thirds of all operating banks had been shuttered. We analyze this unique period in history using credit register data. First, we establish that before sin bank closures, there was no informational leakage and the borrowing firms remain unaffected. After the closures, there is a clear sorting pattern: poorly-performing firms rush to other (not-yet-detected) sin banks, while profitable firms transfer to financially solid banks. We find that the coupling of poorly-performing firms and not-yet-detected sin banks occurs more frequently when the two sin banks (the prior and the next lender) are commonly owned or when the local banking market is unconcentrated. Finally, we show that during the transition period (i.e., after the sin bank closures and before matching to new banks), poorly-performing firms shrink in size and experience a sharp decline in borrowings and market sales, whereas profitable firms strengthen in terms of employment, investment, and market sales. A potential mechanism involves credit risk underpricing by sin banks: we find that poorly-performing firms (especially commonly owned) received loans at lower interest rates than profitable firms prior to sin bank closures.
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“Crime and punishment”? How banks anticipate and propagate global financial sanctions
Mamonov, Mikhail ; Pestova, Anna ; Ongena, S.
We study the impacts of global financial sanctions on banks and their corporate borrowers in Russia. Financial sanctions were imposed consecutively between 2014 and 2019, allowing targeted (but not-yet-sanctioned) banks to adapt their international and domestic exposures in advance. Using a staggered difference-in-differences approach with in-advance adaptation to anticipated treatment, we establish that targeted banks immediately reduced their foreign assets and actually increased their international borrowings after the first sanction announcement compared to other similar banks. We reveal that the added value of the next sanction announcements was rather limited. Despite considerable outflow of domestic private deposits, the government support prevented disorderly bank failures and resulted in credit reshuffling: the banks contracted corporate lending by 4% of GDP and increased household lending by almost the same magnitude, which mostly offset the total economic loss. Further, we introduce a two-stage treatment diffusion approach that flexibly addresses potential spillovers of the sanctions to private banks with political connections. Employing unique hand-collected board membership and bank location data, our approach shows that throughout this period, politically-connected banks were not all equally recognized as potential sanction targets. Finally, using syndicated loan data, we establish that the real negative effects of sanctions materialized only when sanctioned firms were borrowing from sanctioned banks. When borrowing from unsanctioned banks, sanctioned firms even gained in terms of employment and investment but still lost in terms of market sales pointing to a misallocation of government support.
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