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Measuring the Debt Service Ratio in Russia: A Micro-Level Data Approach

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  • Anna Burova

    (Bank of Russia)

Abstract

A new micro-level database was used to estimate the debt service ratio (DSR) for the private non-banking sector in Russia. This is the first paper presenting a loan-based DSR estimate for Russia. The micro-level database contains information on the actual remaining maturities and lending rates for each loan granted by domestic banks to the private non-banking sector in Russia in the 2017Q1-2020Q4 period. The DSR levels estimated are considerably higher than previous results obtained with assumptions of a constant maturity structure and average lending rates. The new results reveal that the aggregate assumptions are not sufficiently granular. The use of actual remaining maturity at each estimation point improves the accuracy of DSR estimates by ten percentage points on average. The loan-level database provides new insight into the composition of the corporate debt servicing burden in Russia: the prevalence of domestic currency loans, the higher debt servicing cost for debt with shorter remaining maturity, and the sectoral heterogeneity of DSRs.

Suggested Citation

  • Anna Burova, 2022. "Measuring the Debt Service Ratio in Russia: A Micro-Level Data Approach," Russian Journal of Money and Finance, Bank of Russia, vol. 81(3), pages 72-88, September.
    • Handle: RePEc:bkr:journl:v:81:y:2022:i:3:p:72-88
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    References listed on IDEAS

    as
    1. Alessi, Lucia & Detken, Carsten, 2018. "Identifying excessive credit growth and leverage," Journal of Financial Stability, Elsevier, vol. 35(C), pages 215-225.
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    5. Atif Mian & Amir Sufi, 2009. "The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(4), pages 1449-1496.
    6. Mikael Juselius & Mathias Drehmann, 2015. "Leverage dynamics and the real burden of debt," BIS Working Papers 501, Bank for International Settlements.
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    Cited by:

    1. Anna Burova & Henry Penikas & Svetlana Popova, 2021. "Probability of Default Model to Estimate Ex Ante Credit Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 49-72, September.

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    More about this item

    Keywords

    credit registry; financial stability; indebtedness;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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