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Forecasting Interest Rates and Maturity Indicators in the Russian Banking System

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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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    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.
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