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ISSN 2618-6799 (Print)
ISSN 2712-8369 (Online)
ISSN 0130-3090 (Print Russian edition)
ISSN 2712-8350 (Online Russian edition)
ECONS
Журнал «Деньги и кредит»
Russian Journal
of Money & Finance
Journal of the Bank of Russia
ISSN 2618-6799 (Print); ISSN 2712-8369 (Online)
Рус Eng
ECONS

Estimation of Credit Market Segments’ Response to Movements in the Bank of Russia Key Rate

Abstract

In the article we analyze the impact of Bank of Russia monetary policy on credit activity. Using a TVP-FAVAR model and recent Russian data we reveal heterogeneity of this impact on different segments of the Russian credit market, including significant difference between loans to tradeable and non-tradeable sectors. This heterogeneity might be the source of structural shifts in the economy during tightening or easing of monetary policy.

Keywords: monetary policy, bank lending channel, the Russian banks, segments of the Russian credit market, TVP-FAVAR model

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