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Measuring the Debt Service Ratio in Russia: micro-level data approach

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  • Anna Burova

    (Bank of Russia, Russian Federation)

Abstract

A new micro-level database was used to estimate the debt service ratio (DSR)for the private non-banking sector in Russia. This is the first work presenting a loan-based DSR estimate for Russia. The micro-level database contains information on the remaining maturities and lending rates for each loan issued in 2017–2019 by resident banks to the private non-banking sector in Russia. Estimated levels of the DSR were considerably higher than previous results obtained with the assumptions of constant maturity structure and prevailing lending rates. New results revealed that the aggregate assumptions are not sufficiently granular. Utilisation of actual remaining maturity at each estimation point improved the accuracy of DSR estimates by 10 p.p. (from 16% to 26% for 2019 Q4). The loan-level database provides new insight into the composition of the corporate debt servicing burden in Russia: prevalence of domestic currency loans, higher debt servicing cost for debt with shorter remaining maturity, and the sectoral heterogeneity of the DSRs.

Suggested Citation

  • Anna Burova, 2020. "Measuring the Debt Service Ratio in Russia: micro-level data approach," Bank of Russia Working Paper Series wps55, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps55
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    References listed on IDEAS

    as
    1. Alessi, Lucia & Detken, Carsten, 2018. "Identifying excessive credit growth and leverage," Journal of Financial Stability, Elsevier, vol. 35(C), pages 215-225.
    2. Mathias Drehmann & Anamaria Illes & Mikael Juselius & Marjorie Santos, 2015. "How much income is used for debt payments? A new database for debt service ratios," BIS Quarterly Review, Bank for International Settlements, September.
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    5. Mikael Juselius & Anton Korinek & Mathias Drehmann, 2017. "Debt Service: The Painful Legacy of Credit Booms," 2017 Meeting Papers 1258, Society for Economic Dynamics.
    6. Atif Mian & Amir Sufi, 2009. "The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(4), pages 1449-1496.
    7. Mikael Juselius & Mathias Drehmann, 2015. "Leverage dynamics and the real burden of debt," BIS Working Papers 501, Bank for International Settlements.
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    Cited by:

    1. Anna Burova & Henry Penikas & Svetlana Popova, 2021. "Probability of Default Model to Estimate Ex Ante Credit Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 49-72, September.

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    More about this item

    Keywords

    DSR; debt servicing burden; micro-level database; credit registry.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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