Эффект Переноса Процентных Ставок в России. Влияние Монетарной Политики На Объемы Банковского Кредитования (Credit Channel of Monetary Policy Transmission in Russia)

97 Pages Posted: 2 Apr 2015 Last revised: 3 Apr 2015

See all articles by Elena Leontyeva

Elena Leontyeva

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA); Gaidar Institute for Economic Policy

Yury Perevyshin

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics

Date Written: March 4, 2015

Abstract

Russian Abstract: Данная работа посвящена изучению двух важных элементов трансмиссионного механизма монетарной политики в России в 2010-2014 гг.: эффекту переноса процентных ставок межбанковского рынка на ставки процента по депозитам и кредитам коммерческих банков и зависимости объемов кредитов коммерческих банков частному сектору от монетарной политики. В первой части работы представлены основные теоретические подходы, объясняющие механизм переноса процентных ставок и причины его неполноты, и эмпирические методы оценки величины эффекта переноса на реальных данных. Во втором разделе содержатся результаты эконометрической оценки влияния ставки МИАКР на ставки по депозитам и кредитам коммерческих банков в РФ. Третья часть работы посвящена оценке влияния монетарной политики на величину кредитного портфеля коммерческих банков.

English Abstract: This study investigates the transmission of monetary policy onto retail bank interest rates in Russia. The paper reviews theoretical approaches of interest rate pass-through, the reasons for its incompleteness. Our estimates, based on ECM, show incomplete interest rate pass-through from MIACR to retail deposit rates in Russia in 2010-2014. The possible reasons of incomplete interest rate pass-through are imperfect substitution between bank deposits and other types of savings and weak competition within the Russian banking sector. Also we analyze how monetary policy of The Central Bank of Russian Federation influences the bank lending in Russia in 2010-2014. We use two approaches: cointegration analysis of macroeconomic data and panel regression on individual banks balance data. We show that monetary policy instruments (interest rate on auction REPO and volumes of refinancing operations) have affected bank lending at that time.

Note: Downloadable document is in Russian.

Keywords: monetary policy, market interest rates, commercial banks, banking loans, interest rate pass-through, credit channel

JEL Classification: E52, E51, E58, E43, C32, C33, G21

Suggested Citation

Leontyeva, Elena and Perevyshin, Yury, Эффект Переноса Процентных Ставок в России. Влияние Монетарной Политики На Объемы Банковского Кредитования (Credit Channel of Monetary Policy Transmission in Russia) (March 4, 2015). Available at SSRN: https://ssrn.com/abstract=2583731 or http://dx.doi.org/10.2139/ssrn.2583731

Elena Leontyeva (Contact Author)

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) ( email )

Varnadskogo Avenue,82
Sredny av. V.O., 57/43
Moscow, St. Petersburg 119571
Russia

Gaidar Institute for Economic Policy ( email )

3-5 Gazetny Lane
Moscow, 125009
Russia

Yury Perevyshin

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics ( email )

Russia

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