DSA Faculty
API
← к списку преподавателей

Щепелева Мария Александровна

Факультет экономических наук

Профиль на hse.ru ↗ тел.: 27162
Публикаций
39
Языков
2
Наград
5
Конференций
0
Профиль Публикации (39) Курсы (10)

Профессиональные интересы

системный рискмакрофинансовые взаимосвязиденежно-кредитная политикамакропруденциальная политикафинансовые кризисыфинансовая стабильность

Должности

  • Доцент — Факультет экономических наук, Департамент теоретической экономики
  • Старший научный сотрудник — Факультет экономических наук, Научно-учебная лаборатория финансовых инноваций и риск-менеджмента

Био

  • · Начала работать в НИУ ВШЭ в 2017 году.
  • · Научно-педагогический стаж: 8 лет.

Образование

  • 2016 · Кандидат экономических наук
  • 2014 · Магистратура: Московский государственный институт международных отношений (университет) МИД РФ, специальность «Экономика», квалификация «Магистр»
  • 2012 · Специалитет: Московский государственный институт международных отношений (университет) МИД РФ, специальность «Экономика», квалификация «Бакалавр экономики»

Опыт работы

  • · 2014-2017: Банк России, аналитик Департамента денежно-кредитной политики
  • · 2018-н.в.: старший преподаватель

Награды и поощрения

  • · Благодарность факультета экономических наук НИУ ВШЭ (декабрь 2024)
  • · Благодарность департамента теоретической экономики НИУ ВШЭ (январь 2022)
  • · Персональная надбавка ректора (2019–2020)
  • · Надбавка за публикацию в журнале из Списка А (и приравненном к нему научном издании) (2025–2026, 2024–2025, 2023–2024)
  • · Надбавка за публикацию в международном рецензируемом научном издании (2022–2023, 2021–2022, 2019–2020)

Гранты и проекты

  • — · на соискание учёной степени кандидата наук

Идентификаторы исследователя

Публикации (39)

Has the Global Financial Crisis increased wealth inequality?

2022 · ARTICLE · en

This paper examines the impact of the Global Financial Crisis (GFC) on wealth inequality. We investigate this question, using data for 143 countries for the period 2010–2018. We find no significant impact of the occurrence of the crisis on wealth inequality. We show limited evidence that the severity of the banking crisis affects the change in wealth inequality. Furthermore, the impact of the GFC on the change in wealth inequality is influenced by the country characteristics: the GFC has more enhanced wealth inequality in countries with higher levels of economic and financial development as well as lower initial levels of wealth inequality. We therefore contribute to a better understanding of the real effects of banking crises by providing evidence of the distributional effects of the GFC.

DOI ↗ PDF ↗

What drives the expansion of research on banking crises? Cross-country evidence

2022 · ARTICLE · en

This article aims to identify the factors which promote research activity on banking crises in the cross-country framework during the period 2014–2020. Building on the population-adjusted country-level publication data from the Scopus and Web of Science databases and applying Bayesian model averaging (BMA) and least absolute shrinkage and selection operator (LASSO), we conduct an open search for such factors out of 23 candidate predictors. A higher level of bank concentration appears to be the most significant factor motivating research on banking crises. It is robust with respect to both bibliographic databases and variable selection methods used. Based only on the Scopus data, GDP per capita and the peak ratio of non-performing loans to total loans during the latest banking crisis experienced by a country also increase the number of published studies on banking crises.

DOI ↗ PDF ↗

Прогнозирование и модельный аппарат в деятельности центральных банков

2022 · CHAPTER · ru

Данный курс направлен на углубление экономических знаний, формирование и совершенствование навыков макроанализа. Учебник содержит инструменты и базовые модели для комплексного анализа современных проблем экономики и оценки результатов экономической политики. Отрабатывается умение правильно подбирать инструменты регулирования к меняющимся ситуациям и определять меры для устранения текущих проблем. Формируется умение видеть и просчитывать краткосрочные и долгосрочные последствия экономической политики с учетом внутренних и международных факторов.

Влияние ESG-факторов на финансовую стабильность

2022 · ARTICLE · ru

В последние годы усиливается внимание исследователей к ESG-факторам финансовой стабильности. В статье систематизированы результаты эмпирических работ, в которых оценено влияние экологических (климатических), социальных факторов и ряда аспектов, связанных с реализацией механизмов корпоративного управления, на обеспечение финансовой стабильности. Высокие значения различных ESG-рейтингов, интегральных и в рамках каждой группы факторов, положительно влияют на стабильность финансовой системы и с микропруденциальной точки зрения, снижая агрегированный индивидуальный риск финансовых институтов, и с макропруденциальной, сокращая их вклад в совокупный системный риск. В то же время работ, где рассмотрено воздействие экологических (климатических) факторов и роль корпоративного управления, заметно больше, чем исследований о влиянии социальных факторов. В завершение представленного критического обзора литературы обсуждаются возможные направления развития этой исследовательской программы.

DOI ↗ PDF ↗

When central bank research meets Google search: A sentiment index of global financial stress

2022 · ARTICLE · en

We construct a sentiment-based index of global financial stress (s-GFS index) for the period January 2004-December 2020. It builds on a novel methodological approach, which synthesizes the intensity of Google search for specific terms and word collocations related to financial instability and their prior selection based on the titles and abstracts of more than 2,000 working papers posted on the Basel Bank for International Settlements Central Bank Research Hub. The s-GFS index obtained by means of sparse principal component analysis (PCA) accurately captures major episodes of global financial instability during the observation period, playing a pivotal role for the US financial stress as well as industrial production in the USA, the Eurozone and China. It also Granger causes several well-known measures of global financial instability based on sentiment and “hard” data, e.g. the VIX index, as well as the overall dynamics of the global financial cycle, thereby emphasizing the usefulness of sentiment-based measures in monitoring worldwide financial stress.

DOI ↗ PDF ↗

In Search of Global Determinants of National Credit-to-GDP Gaps

2022 · ARTICLE · en

This paper seeks to identify the most important global drivers of credit-to-GDP gaps for 35 countries. The analysis is performed on a country-by-country basis for the sub-periods 2000Q1:2007Q2, 2007Q3:2013Q4, and 2014Q1:2021Q1 and is based on two state-of-the-art methods for variable selection in the time series framework: the one covariate at a time multiple testing (OCMT) and adaptive least absolute shrinkage and selection operator (LASSO). We find that the number of salient global factors tends to increase over time, reaching its maximum during the post-crisis period. This period is also marked by a pronounced role of the global factors capturing the stance of the US monetary policy, while in the preceding sub-periods, the most significant factors are global credit conditions (the TED spread) and world industrial production, respectively. Regardless of the sub-periods, advanced economies’ credit-to-GDP gaps appear more dependent on the global factors than the gaps in emerging markets. In addition, we identify country-specific variables which shape the susceptibility of the national credit-to-GDP gaps to the global factors.

DOI ↗ PDF ↗

Macrofinancial linkages in Europe: Evidence from quantile local projections

2021 · ARTICLE · en

The paper investigates macrofinancial linkages in the sample of 16 European economies over January 1997–December 2019 from a new twofold perspective. First, we put a particular emphasis on the role of news‐based sentiment measures in these relationships, that is, economic policy uncertainty and global geopolitical risk. Second, we pursue a hybrid econometric approach to capture a presumably nonlinear nature of these linkages by building on different quantiles of the data series and estimating impulse responses from smooth local projections (Barnichon and Brownlees, Review of Economics and Statistics, 101(3), 522–530, 2019). Our results legitimize such approach as the number of statistically significant impulse responses based on this approach is skewed towards upper (75th and 90th) quantiles. We find that global economic policy uncertainty index dampens the growth rates of industrial production in Austria, France, Italy, Luxembourg and Slovakia, which calls for specific measures to mitigate this adverse effect at the national level, for example, by curtailing yellow journalism, populist ideas and disbeliefs. However, there is only minor evidence for the relationship running between economic policy uncertainty and financial stress. Global geopolitical risk appears irrelevant in the country‐ and panel‐level analyses. Meanwhile, the VIX index performs a pervasive role in undermining industrial production and increasing economic policy uncertainty in Europe.The paper investigates macrofinancial linkages in the sample of 16 European economies over January 1997–December 2019 from a new twofold perspective. First, we put a particular emphasis on the role of news‐based sentiment measures in these relationships, that is, economic policy uncertainty and global geopolitical risk. Second, we pursue a hybrid econometric approach to capture a presumably nonlinear nature of these linkages by building on different quantiles of the data series and estimating impulse responses from smooth local projections (Barnichon and Brownlees, Review of Economics and Statistics, 101(3), 522–530, 2019). Our results legitimize such approach as the number of statistically significant impulse responses based on this approach is skewed towards upper (75th and 90th) quantiles. We find that global economic policy uncertainty index dampens the growth rates of industrial production in Austria, France, Italy, Luxembourg and Slovakia, which calls for specific measures to mitigate this adverse effect at the national level, for example, by curtailing yellow journalism, populist ideas and disbeliefs. However, there is only minor evidence for the relationship running between economic policy uncertainty and financial stress. Global geopolitical risk appears irrelevant in the country‐ and panel‐level analyses. Meanwhile, the VIX index performs a pervasive role in undermining industrial production and increasing economic policy uncertainty in Europe.

DOI ↗ PDF ↗

A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention

2021 · ARTICLE · en

The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggregate proxies of these variables, capturing their global effects, and use a novel econometric technique, namely, smooth local projections. The study finds that global macroprudential policy leads the monetary policy, exhibiting a countercyclical pattern concerning industrial production. The latter has an inverse bidirectional linkage with systemic risk. Thus, an ex-ante tight macroprudential policy can indirectly mitigate global systemic risk through its pro-growth effect on industrial production, although no convincing evidence exists for the direct impact of a macroprudential intervention on systemic risk. The study results endure several extensions and a robustness check, which builds on alternative measures of global systemic stress and real economic activity, thereby legitimizing the increased importance attached to the macroprudential policy since the 2007–2009 global financial crisis.

DOI ↗ PDF ↗

Does global financial cycle drive systemic risk?

2021 · ARTICLE · en

The paper studies the relationship between a financial cycle proxy and conditional capital shortfall (SRISK), a popular systemic risk measure, at the global level. Based on causal and directional dependence analyses in the time and time-frequency domains, we find that global financial cycle (GFC) drives SRISK. Besides, the GFC variable appears more useful in forecasting world industrial production. The results emphasize the GFC relevance for monitoring financial stability and forecasting crises relative to narrow systemic risk measures.

PDF ↗

Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference

2020 · ARTICLE · ru

The paper investigates causal relationships between systemic risk, economic policy uncertainty and firm bankruptcies, conditional on global volatility proxied by the VIX index, in a sample of 15 advanced and major emerging market economies during January 2008-June 2018. We test for Granger causality in time and frequency domains as well as dissect multivariate causal linkages in the dynamic complex system framework by applying a novel technique – convergent cross mapping (Sugihara et al., 2012). Based on strictly coincident results from all the three approaches, we find that systemic risk causes firm exit in Spain, while in the UK and the Netherlands bankruptcies are triggered by economic policy uncertainty. In South Korea and the USA, the VIX index causes the firm shutdown. For the rest of the countries, the causality inference provides less robust evidence. We argue that the magnitude of deleveraging by banks with respect to the private nonfinancial sector, proxied by the volatility of credit-to-GDP gaps, shapes the presence or absence of causal impact by systemic risk, economic policy uncertainty or the VIX index on bankruptcies.

DOI ↗ PDF ↗

Курсы (10)