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Loan market markups and noncausal autoregressions

Author

Listed:
  • Kramkov, Viacheslav

    (Volgo-Vyatka Main Branch of Bank of Russia; National Research University Higher School of Economics (HSE University), Nizhny Novgorod, Russian Federation;)

  • Maksimov, Andrey

    (National Research University Higher School of Economics (HSE University), Nizhny Novgorod, Russian Federation)

Abstract

The dynamics of different maturity loans interest rates is studied. Identification strategy that explicitly allows to introduce the impact of future interest rates expectations and to estimate their significance is used. It is shown that for Russian banking sector in 2010–2020 expectations about future interest rates path have significant but modest impact on current loan rates. Main results are proven to be robust with respect to interest rates stationarity assumption. Estimated empirical moments may be used in macroeconomic model calibration.

Suggested Citation

  • Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
    • Handle: RePEc:ris:apltrx:0406
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    References listed on IDEAS

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    More about this item

    Keywords

    interest rates pass through; rational expectations; noncausal autoregression; time series; identification in macroeconomics.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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