银行金融稳定性、银行估值和国际油价：来自俄罗斯上市公共银行的证据
Bank financial stability, bank valuation and international oil prices: Evidence from listed Russian public banks
摘要：
我们使用2008年至2016年期间俄罗斯17家上市公共银行的数据，分析国际油价是否影响石油依赖国的银行稳定性。我们认为，国际油价下跌对石油出口国的宏观经济产生了长期的负面影响，进一步恶化了银行的金融稳定性。更具体地说，国际石油价格下跌导致俄罗斯这样的石油出口国货币贬值，财政状况恶化。此外，鉴于以前的许多研究证明石油价格和股票价格之间存在正相关关系，国际石油价格下跌对股票市场投资者来说是一个负面信号，对银行的股票价格产生负面影响，从而影响到它们产生可持续收益的能力。在这种情况下，银行的金融稳定性可能受到威胁。以上市银行为重点，并使用池均值组（PMG）估计，我们表明，国际油价的上涨和价格与账面价值的比率有一个长期的积极影响，俄罗斯公共银行的稳定性，反之亦然。虽然积极的石油价格冲击有助于银行的长期稳定，但负面冲击则产生相反的效果。然而，在短期内没有记录到重大影响。我们的研究结果是稳健的，不同的银行稳定性规格，不同的样本和控制变量。
英文摘要：
Using data on 17 listed public banks from Russia over the period 2008 to 2016, we analyze whether international oil prices affect the bank stability in an oil-dependent country. We posit that a decrease in international oil prices has a negative long-run macroeconomic impact for an oil-exporting country, which further deteriorates the bank financial stability. More specifically, a decrease in international oil prices leads for an oil-exporting country as Russia to a currency depreciation and to a deterioration of the fiscal stance. In addition, given the positive correlation of oil and stock prices documented by numerous previous studies, a decrease in international oil prices represents a negative signal for the stock markets investors, negatively affecting banks' share prices and thus, their capacity to generate sustainable earnings. In this context, the bank financial stability can be menaced. With a focus on public listed banks and using a Pool Mean Group (PMG) estimator, we show that an increase in international oil prices and in the price to book value ratio has a long-run positive effect on Russian public banks stability, and conversely. While positive oil-price shocks contribute to bank stability in the long run, an opposite effect is recorded for negative shocks. However, no significant impact is documented in the short run. Our findings are robust to different bank stability specifications, different samples and control variables.
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