Стійкість банківської системи України в умовах турбулентності фінансового ринку

Abstract

Дисертаційну роботу скеровано на вирішення теоретико-методологічної та науково-практичної проблем щодо забезпечення стійкості банківської системи України в умовах турбулентних процесів, що відбуваються на фінансовому ринку. У дослідженні розвинуто концептуальні засади модерної сегментації вітчизняного фінансового ринку й обгрунтовано передумови для зміни парадигми його функціонування; з’ясовано відмінність базових характеристик сучасного стану банківської системи та фінансового ринку – турбулентності, волатильності, стійкості; виявлено загальні закономірності у формуванні моделі фінансового ринку України з акцентацією на неабиякій значущості банківської системи в його розвитку та визначено її як публічно-банкоцентричну; охарактеризовано роль банків як агентів упровадження ФінТех і зміни парадигми функціонування фінансового ринку; окреслено важливість необанків для формування модерної фінансової екосистеми; розроблено методологію та методичний інструментарій оцінювання впливу волатильності світових фінансових ринків на стан відповідного ринку України, зокрема волатильності переливу; удосконалено науково-методичні засади оцінювання функції валютного курсоутворення банків у формуванні турбулентних процесів на фінансовому ринку; виокремлено методологію та методичний інструментарій визначення стійкості банківської системи під упливом турбулентності на фінансовому ринку.

The work is devoted to solving the scientific problem of development of theoretical and methodological principles and methodological tools to ensure the stability of the banking system in terms of changing the concept of financial market development, taking into account the permanence of volatility and turbulence. The banking system, being the main intermediary in the financial market of Ukraine, is at the center of the transfer of financial resources between all economic agents. At the same time, the financial market becomes a source of turbulent processes that can have a negative impact on the economy and provoke a crisis. Therefore, an important task is to ensure the stability of the banking system, especially taking into account the intensive development of modern financial technologies, the emergence of new financial instruments that force to reconsider the functioning concept of the modern financial market. The content analysis of the main tokens – "stability", "volatility", "turbulence" – that characterize the state of the banking system and the financial market, allowed us to say that the token "volatility" is identified with the token "instability"; and the tokens "volatility" and "turbulence" have significant semantic differences. Such types of volatility as stochastic, implicit and explicit volatility, conscious and unpredictable volatility, flow volatility are distinguished by the author. The systematization of the existing approaches to the modern understanding of the token "financial market", as well as taking into account the influence of modern financial technologies are the basis of the author's definition. Taking into account the impact of the development of modern financial technologies at the subject-object level is manifested in the emergence of new types of financial institutions and technologies and is consistent with the basic principles of digital economy. The study of the current state of the financial market allowed to define its model as public-bank-centric. The dissertation systematizes the determinants that determine the stability of the banking system in the turbulent financial market of Ukraine, which are grouped into two blocks: institutional and economic. The genesis of the digital economy, Fintech, as well as the formation of permanent volatility and turbulent processes in the financial market provoke transformations in the banking system of Ukraine, which is manifested in changing business models of banks, including neo-banks. They are classified as follows: digital banking, open banking, open X-banking with the transformation into a financial universal technology company. The changes taking place in the financial market lead to a change in the paradigm of its further functioning and gradual transformation into a financial ecosystem, which appears as a set of service providers, infrastructure institutions, regulatory and supervisory bodies, which collaborate with the principles of sustainable development for the provision of integrated services with a focus on the individual profile of consumers – economic agents. It is argued that the relationship between financial market segments outlines the probability of formation of three potential effects: overflow, contamination, and quality escape. It is established that the relationship is manifested between the foreign exchange market and the stock market, between the stock market and the bond market, between the derivatives market and the stock market. The use of various methods of economic and mathematical modelling allowed to establish the existence of a significant impact of separate global financial markets on the state and dynamics of the Ukrainian stock market, due not only to the small size of Ukraine's economy but also its financial market. The application of a system of methods (correlation analysis; Sharpe's model to establish systematic and specific risk and determine the ß-coefficient; stationarity tests of Phillips–Perron and extended test of Dickey–Fuller; Granger causality tests; cointegration method, inverse reliability analysis method) allowed grounding long-term unilateral dependence of the development of the Ukrainian stock market on the world markets of Great Britain, Germany, the USA, as well as the local market of Poland. The effect of overflow between the stock and bond markets was established in the work with the use of cointegration tests and the influence of the American stock market on the domestic one was proved and its manifestation with a delay of one week, which will increase the strategy efficiency and tactics of bank securities portfolio. A pair wise analysis of the relationship between the dollar / UAH exchange rate and index of "First Stock Trade System", between the exchange rate and prices of underlying financial assets (oil prices), as well as between the index of "First Stock Trade System" and oil prices showed in all cases a lack of long-term equilibrium and significant dominance of specific (diversified) financial risk that is formed within the domestic financial market. The stability of the banking system can be considered from two positions, internal and external. The internal stability of the banking system is determined by its internal state, and external - under the influence of the external environment as a whole of the financial system, but the basis for determining the external stability is internal. The application of Mamdani's fuzzy logic model allowed to determine the integral indicator of internal and external stability of the banking system of Ukraine. As a result of the calculations it was found that the behaviour of the integrated indicator of the internal stability of the banking system is the most balanced, the behaviour of other indicators can be defined as unbalanced with a high level of volatility.