ПОЧЕМУ БАНКИ В АРМЕНИИ УВЕЛИЧИЛИ ИНВЕСТИЦИИ В ГОСОБЛИГАЦИИ? ФАКТЫ ПО ОЦЕНКАМ НА УРОВНЕ БАНКОВ Текст научной статьи по специальности «Экономика и бизнес»

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DOI: 10.52174/1829-0280_2021_4_29

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2 Sb'u Mote Larry R., Banks and the securities markets: The controversy, Economic Perspectives, Vol. 3, 2nd, No. 8, March 1979, t2 14-20:

3 Sb'u Kaufman G.G., Securities activities of commercial banks: Recent changes in the economic and legal environments. J Finan Serv Res 1, 1988, t2 183-199. https://doi.org/10.1007/BF00116387

4 Sb'u Santos J.A., Commercial banks in the securities business: A Review. Journal of Financial Services Research 14, 1998, t2 35-60, https://doi.org/10.1023/A:1008009502438

5 Sb'u Perer R. S., Sato K., Optimal asset allocation for a bank under risk control. International Journal of Financial Engineering, 5(03), 2018, 1850022

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6 Sb'u Saksonova S., Approaches to determining optimal asset structure for a commercial bank. World Academy of Science, Engineering and Technology, Open Science Index 53, International Journal of Economics and Management Engineering, 5(5), 2011, t2 588 - 594:

7 Sb'u Huang Kun, Yao Qiuge, Li Chong, Impacts of financial market shock on bank asset allocation from the perspective of financial characteristics of banks, International Journal of Financial Studies 7, no. 2, 2019, t2 29, https://doi.org/10.3390/ijfs7020029

8 Sb'u Rodrigues A., Government securities investments of commercial banks. Quarterly Review-Federal Reserve Bank of New York, 1993, t2 18, 39:

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1. « l|btimpntiml|mti pml|h ^nphpq.|i npn2nLJp «CC |blmpnlm-|ml pml|h ^nphpq.h 2007 pi^ml|mtih ^bmp^mph 9-h ph^. 39-L npn2Jml Jb2 ^n^n^nLpjnLllbp |msmpbLnL Jmuhl», CC MP rnbqbl|wqhp, 2015, hmlii^mp, https://www.cba.am/am/SitePages/pperiodicals.aspx

2. CC $|ilwtiutibph lm^mpmph 2017 pi^wl|wtih hnLLhuh 13-h «Cm-jmummlh Cmlpm^bmnLpjml ^bmmlml qmlâm^bmmlml ^mpmmmnJubph mnm2lmjhl 2ml|mjh Jmulmlhglbph ^mpfm-qôh qlmhmsJml L plmpnLpjml |mpqp hmummmbLnL Jmuhl» ph^ 348-L hpmJmlp:

3. Huang Kun, Yao Qiuge, Li Chong, Impacts of financial market shock on bank asset allocation from the perspective of financial characteristics of banks, International Journal of Financial Studies 7, no. 2, 2019. https://doi.org/10.3390/ijfs7020029

4. Kaufman G.G., Securities activities of commercial banks: Recent changes in the economic and legal environments. J Finan Serv Res 1, 1988. https://doi.org/10.1007/BF00116387

5. Mote Larry R., Banks and the securities markets: The controversy, Economic Perspectives, Vol. 3, 2nd, No. 8, March 1979.

6. Perera R., Sato K., Optimal asset allocation for a bank under risk control. International Journal of Financial Engineering, 5(03), 2018, 1850022

7. Rodrigues A., Government securities investments of commercial banks. Quarterly Review-Federal Reserve Bank of New York, 1993:

8. Saksonova S., Approaches to determining optimal asset structure for a commercial bank. World Academy of Science, Engineering and Technology, Open Science Index 53, International Journal of Economics and Management Engineering, 5(5), 2011.

9. Santos J.A., Commercial banks in the securities business: A Review. Journal of Financial Services Research 14, 1998. https://doi.org/10.1023/A:1008009502438

ЭДГАР АГАБЕКЯН

Доцент кафедры финансов АГЭУ,

кандидат экономических наук

НАРЕК КАРАПЕТЯН

Аспирант кафедры финансов АГЭУ

Почему банки в Армении увеличили инвестиции в гособлигации? Факты по оценкам на уровне банков.-

Инвестиции коммерческих банков РА в казначейские облигации РА с 2014 по 2020 год утроились, составив 11 процентов активов банковской системы. В данной статье авторы попытались выявить факторы этого роста с точки зрения стимулов для банков. Сначала были проанализированы тенденции в финансовой системе РА, которые коррелируют с ростом инвестиций в государственные облигации, затем были оценены панельные регрессионные модели на основе квартальных данных на уровне банков, которые включают 2015-2020 годы. В результате анализа было выявлено, что ключевыми факторами роста инвестиций банков в государственные облигации были решения ЦБ РА по денежно-кредитной и макропруденциальной политике, снижение суверенной риск-премии, наличие периодов низкого или отрицательного экономического роста, а также наличие банков - дилеров первичного рынка. Результаты исследования показывают, что правительство может столкнуться с трудностями в финансировании бюджетного дефицита за счет казначейских облигаций во время ужесточения денежно-кредитной политики, особенно с учетом сильной неоднородности банковских стратегий на рынке государственных облигаций РА.

Ключевые слова: монетарные условия, панельные данные, первичные дилеры, кривая доходности, внутренний долговой рынок.

JEL: G21, G24, E52

DOI: 10.52174/1829-0280_2021_4_29 EDGAR AGHABEKYAN

Associate professor of the Chair of Finance of ASUE, PhD in Economics

NAREK KARAPETYAN

PhD Student of the Chair of Finance of ASUE

Why Did Armenian Banks Increase Investments in the Government Bonds? Evidence From Bank-Level Estimates. -

The investments of the RA commercial banks in the RA treasury bonds tripled from 2014 to 2020, amounting to 11 percent of banking system assets. In this paper, the authors attempted to reveal the drivers of the growth from the viewpoint of the banks' incentives. First, the trends in the RA financial system, which correlate with the growth of government bond investments, were analyzed, then panel regressional models were estimated based on bank-level quarterly data which includes 2015-2020. As a result, the authors have found out that the key drivers of growth of bank investments in government bonds were monetary and macroprudential policy decisions by the CBA, declining country risk premium, the existence of the periods with low or negative economic growth, and the existence of primary dealer banks. The results of the research emphasize that the government may face difficulties in financing the budget deficit with treasury bonds during monetary tightening - particularly given the strong heterogeneity of bank strategies in the RA government bond market.

Keywords: monetary conditions, panel data, primary deаlers, yield curve, domestic debt market. JEL: G21, G24, E52

DOI: 10.52174/1829-0280_2021_4_29