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Measurement of auxiliary indicators of aggregate interest rates on loans to non-financial organisations

Author

Listed:
  • Anna Burova

    (Bank of Russia, Russian Federation)

  • Tatiana Grishina

    (Bank of Russia, Russian Federation)

  • Natalia Makhankova

    (Bank of Russia, Russian Federation)

Abstract

Currently newly issued loans with fixed rates, excluding loans to affiliates, are used to calculate Russian loan aggregates of interest rates on loans to non-financial organisations, which is generally in line with international practice. The structure of loans is evolving over times, the share of loans with floating interest rates is increasing. Data on the volumes and rates of such loans can be valuable for analysing and forecasting economic trends. This paper looks at approaches to calculating weighted average interest rates on loans to Russian companies with the division of loans for analytical purposes into separate lending segments: by rate type (fixed and floating), affiliation type, and the time of rate-setting relative to the moment of disbursement of funds. We assess the amplitude of variation between the rates calculated using different approaches. The use of a wider range of aggregates can be used for analytical and research purposes to assess changes in certain types of interest rates, as well as to clarify the effect of the interest rate channel of the monetary policy transmission mechanism.

Suggested Citation

  • Anna Burova & Tatiana Grishina & Natalia Makhankova, 2024. "Measurement of auxiliary indicators of aggregate interest rates on loans to non-financial organisations," Bank of Russia Working Paper Series wps137, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps137
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    References listed on IDEAS

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    7. Eddy L. LaDue & David J. Leatham, 1984. "Floating versus Fixed-Rate Loans in Agriculture: Effects on Borrowers, Lenders, and the Agriculture Sector," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(5), pages 607-613.
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    More about this item

    Keywords

    loan rates; non-financial organisations; floating rate; prolongations; quarterly projection model; error correction model;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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