“Kreditnyy vzglyad” na monetarnuyu politiku v Rossii

0537834 - NHU-C 2021 RIV RU rus J - Článek v odborném periodiku
Pestova, Anna
“Kreditnyy vzglyad” na monetarnuyu politiku v Rossii.
[“Credit view” on monetary policy in Russia.]
Prikladnaya Ekonometrika. Roč. 57, - (2020), s. 72-88. ISSN 1993-7601
Grant CEP: GA MŠMT(CZ) SVV260611
Institucionální podpora: Progres-Q24
Klíčová slova: monetary policy * credit channel * bank lending channel
Obor OECD: Applied Economics, Econometrics
Způsob publikování: Open access
http://pe.cemi.rssi.ru/pe_2020_57_072-088.pdf

V dannoy rabote otsenivayetsya deystvennost' kreditnykh kanalov monetarnoy trans‑ missii v Rossii. V kachestve metoda otsenki ispol'zuyetsya dinamicheskaya faktornaya model' s identifikatsiyey shokov denezhno-kreditnoy politiki pri pomoshchi nalozheniya ogranicheniy na znaki impul'snykh funktsiy otklika. Provedennyy analiz podtverdil dey‑ stvennost' kanala bankovskogo kreditovaniya po potrebitel'skim kreditam naseleniyu i kratko- i srednesrochnym korporativnym ssudam. Bylo obnaruzheno znachimoye vliyaniye monetarnykh impul'sov na kapital bankov. Pri etom kanal balansov zayemshchikov okazalsya ne usilivayushchim, a, naoborot, sderzhivayushchim vliyaniye monetarnykh shokov na ekonomiku.

In this paper, I assess the effectiveness of credit channels of monetary transmission in Russia. I use a dynamic factor model with monetary policy shocks identified using sign restrictions approach. The analysis confirmed the effectiveness of the bank lending channel for consumer loans and short- and medium-term corporate loans. A significant effect of monetary impulses on bank capital was found. At the same time, borrowers' balance sheet channel is not amplifying, but, on the contrary, restraining the effect of monetary shocks on the economy.
Trvalý link: http://hdl.handle.net/11104/0315667