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Forecasting Interest Rates and Maturity Indicators in the Russian Banking System

Author

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  • N. P. Pil’nik

    (Financial Research Institute, Ministry of Finance of the Russian Federation)

  • S. A. Radionov

    (Financial Research Institute, Ministry of Finance of the Russian Federation)

Abstract

— The article presents scenario forecasts of interest rates and durations of loans and deposits of nonfinancial organizations and individuals in national and foreign currencies in the Russian banking system depending on the predicted dynamics of the key interest rate and exchange rate. Monthly forecasts over a one-year horizon are obtained using short-term distributed lag models. The main specificity of the models is the use of a modified error functional adopting an approach similar to multistep forecasting. The results of the analysis indicate the existing risks of imbalances in the structure of assets and liabilities of the national banking system in the current macroeconomic conditions and against the backdrop of an increase in the key rate of the Bank of Russia. First of all, a noticeable reduction is observed in the interest margin in the segment of ruble-denominated banking instruments of individuals. In addition, model calculations show an increase in the maturity of consumer loans while a decrease in the same indicator is observed for other instruments.

Suggested Citation

  • N. P. Pil’nik & S. A. Radionov, 2022. "Forecasting Interest Rates and Maturity Indicators in the Russian Banking System," Studies on Russian Economic Development, Springer, vol. 33(3), pages 344-352, June.
    • Handle: RePEc:spr:sorede:v:33:y:2022:i:3:d:10.1134_s1075700722030121
    DOI: 10.1134/S1075700722030121
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    References listed on IDEAS

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    1. Nikolay Pilnik & Stanislav Radionov & Artem Yazykov, 2018. "The Optimal Behavior Model of the Modern Russian Banking System," HSE Economic Journal, National Research University Higher School of Economics, vol. 22(3), pages 418-447.
    2. Amir Jahan Khan, 2020. "Competitive Structure and Bank Loan Rate in Pakistan’s Banking Industry," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 59(3), pages 377-398.
    3. Gambacorta, Leonardo, 2008. "How do banks set interest rates?," European Economic Review, Elsevier, vol. 52(5), pages 792-819, July.
    4. A. K. Moiseev & M. V. Cherkovets, 2018. "Scenario Prediction of Dynamics of Interest Rates and Internal Credit Volume in Russia for 2018−2022," Studies on Russian Economic Development, Springer, vol. 29(5), pages 507-513, September.
    5. N. P. Pilnik & I. G. Pospelov & S. A. Radionov, 2020. "On Limits of the Influence of the Bank of Russia Key Rate on Indicators of the Russian Banking System," Studies on Russian Economic Development, Springer, vol. 31(2), pages 229-237, March.
    6. Li, Xiao-Lin & Si, Deng-Kui & Ge, Xinyu, 2021. "China’s interest rate pass-through after the interest rate liberalization: Evidence from a nonlinear autoregressive distributed lag model," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 257-274.
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