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Estimating the Equilibrium Loan Structure for Russia

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  • Maria Guseva

    (HSE University)

Abstract

This paper features the calculation of equilibrium debt burden indicators for Russia. These calculations, based on macroeconomic fundamentals and accounting for global benchmarking results, are made separately for corporate, mortgage, and consumer lending. Gaps between the debt burden and its equilibrium level are identified by means of out-of-sample estimation. The collected sample is based on annual data for 156 countries in the 1980 to 2019 period. The credit-to-GDP and loans to total portfolio ratios are explored for each loan type. This research paper concludes that the range of estimated credit-to-GDP ratios for corporate and mortgage loans exceeds the actual ratio for Russia, that is, the current attributes of financial development are indicative of more mature markets for corporate and mortgage lending than in most countries. The actual amount of consumer lending nonetheless sits in the range of equilibrium credit to GDP ratio estimates. As follows from the breakdown of loan portfolios, the share of corporate loans is slightly overstated, and the share of mortgage loans is understated.

Suggested Citation

  • Maria Guseva, 2022. "Estimating the Equilibrium Loan Structure for Russia," Russian Journal of Money and Finance, Bank of Russia, vol. 81(4), pages 34-51, December.
    • Handle: RePEc:bkr:journl:v:81:y:2022:i:4:p:34-51
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    References listed on IDEAS

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    More about this item

    Keywords

    debt burden; equilibrium credit to GDP ratio; loan portfolio structure;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G01 - Financial Economics - - General - - - Financial Crises

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