Econometric Estimation of the Monetary Policy Effect on the Debt Burden at the Industry Level in Russia

Abstract

This study analyses the transmission channel of debt burden (DB) for Russia at the industry level using data from 2010 to 2023. The influence of monetary policy shock (MPS) on DB was estimated using Bayesian vector autoregression. The MPS is identified via sign restrictions. The impulse response of DB growth rate was calculated using bootstrapped responses of its components: interest rates, output, and debt. A decomposition of the accumulated response of DB to MPS was constructed to explain the heterogeneous industry reactions. The analysis identifies changes in new loan levels and output as the primary sources of sectoral differences. Results indicate that MPS has a significant immediate effect on corporate DB in the mining and quarrying, manufacturing, transportation, and communications sectors. In the medium term, the DB level does not change in response to MPS, except in electricity production and distribution, where DB in response to MPS decreases over time.