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Бакалаврская программа «Экономика»

Financial stability and financial crises

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
3
Кредиты
Статус:
Курс по выбору
Когда читается:
3-й курс, 3 модуль

Преподаватель

Course Syllabus

Abstract

This course provides a comprehensive overview of financial stability analysis as currently done by major central banks and international institutions. The course draws heavily on the situation in and experience of the European Union and the euro area. In addition, selected material relating to Russia and other developed and emerging economies will be presented. Following a brief introduction of the concept of financial stability, Part 2 of the course will look at the key structural features of financial markets. Besides looking at banks, which still constitute in most economics the largest element of the financial sector, this part of the course looks also at insurance companies, pension funds, other financial institutions, often called ‘shadow banks’ and the interlinkages between these financial entities. The third part of the course presents first the main concepts used to define systemic risk in the financial sector. This is followed up by a review of systemic risk indicators and models, differentiating between (1) time series and (2) cross-sectional approaches with the latter also covering contagion channels. This general overview of financial stability identification risks will be complemented with a more specific look at the risks posed by ‘shadow banks’ and ‘fintech’ and a case study, reviewing the origins of the Global Financial Crisis starting in 2007/08. The fourth part of the course looks at policies to prevent financial crises. Both microprudential (institution-specific) banking supervision as well as systemic (macroprudential) supervision will be covered. In addition, a framework for banking sector stress tests is introduced and the main findings of the latest IMF FSAP for the Russian Federation will be discussed as a case study. The final part of the course reviews important policy tools that are used to mitigate financial crises and the negative impact on such crises on the real economy. First, different approaches to deal with non-performing assets (NPL) are presented. Second, options to restructure and to resolve distressed banks will be shown. The course is taught on the basis of Power Point Presentations. There is no single textbook available for this course but students will obtain a list of relevant documents.
Learning Objectives

Learning Objectives

  • to discuss the last global financial crisis in details
Expected Learning Outcomes

Expected Learning Outcomes

  • understand financial crises
  • take a look at the world through eyes of policymakers
  • see how the world looked like in real time
Course Contents

Course Contents

  • Introduction – the concept of financial stability
  • The various parts of the financial markets
    • Banks • Insurance companies and pension funds • Other financial institutions (‘shadow banks’) • Interlinkages between different types of fin entities
  • Identifying financial stability risks
    o Concepts of systemic financial sector risks o Measurement of systemic financial sector risks: Systemic risk indicators o The time series dimension: Early warning indicators / models o The cross sectional dimension: Interconnection and network methods o Risks associated with Shadow banks and Fintech o Case Study: The origins of the Global Financial Crisis
  • Preventing financial crises (RM / PH)
    o Microprudential policy o Macroprudential policy o Stress testing as diagnostic tool o Case Study: The latest IMF FSAP for the Russian Federation – key findings
  • Mitigating financial crises (RM)
    o NPL management o Bank restructuring and resolution
Assessment Elements

Assessment Elements

  • non-blocking Test 1
  • non-blocking Test 2
  • non-blocking Test 3
  • non-blocking Test 4
  • non-blocking Test 5
  • non-blocking Test 6
  • non-blocking Test 7
  • non-blocking Test 8
  • non-blocking Test 9
  • non-blocking Test 10
Interim Assessment

Interim Assessment

  • Interim assessment (3 module)
    0.1 * Test 1 + 0.1 * Test 10 + 0.1 * Test 2 + 0.1 * Test 3 + 0.1 * Test 4 + 0.1 * Test 5 + 0.1 * Test 6 + 0.1 * Test 7 + 0.1 * Test 8 + 0.1 * Test 9
Bibliography

Bibliography

Recommended Core Bibliography

  • Ben S. Bernanke. (2010). Causes of the recent financial and economic crisis: testimony before the Financial Crisis Inquiry Commission, September 2, 2010. Web Site. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.fip.fedgws.101
  • Gary B. Gorton, & Andrew Metrick. (2012). Getting up to Speed on the Financial Crisis: A One-Weekend-Reader’s Guide. NBER Working Papers. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.nbr.nberwo.17778
  • Geithner, T. F. (2014). Stress Test : Reflections on Financial Crises (Vol. First edition). New York: Crown. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=750248

Recommended Additional Bibliography

  • Ana Fostel, & John Geanakoplos. (2008). Leverage cycles and the anxious economy. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.858D058F
  • Dániel Holló, Manfred Kremer, & Marco Lo Duca. (2012). Ciss - a composite indicator of systemic stress in the financial system. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.3DE4734D
  • Fell, J., Grodzicki, M., Martin, R., & O, B. E. (2016). Addressing Market Failures in the Resolution of Non-Performing Loans in the Euro Area. Financial Stability Review. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.ecb.fsrart.201600022
  • Henry, J., & Kok, C. (2013). A macro stress testing framework for assessing systemic risks in the banking sector. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.8EE2F2A9
  • Hiebert, P., Klaus, B., Peltonen, T. A., Schüler, Y. S., & Welz, P. (2014). Capturing the Financial Cycle in Euro Area Countries. Financial Stability Review. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.ecb.fsrart.201400022