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Econometric Estimation of the Monetary Policy Effect on the Debt Burden at the Industry Level in Russia

Author

Listed:
  • Anna Pustovalova

    (Bank of Russia; Lomonosov Moscow State University)

  • Timur Magzhanov

    (Lomonosov Moscow State University)

  • Ashot Mirzoyan

    (Lomonosov Moscow State University)

Abstract

This study analyses the transmission channel of debt burden (DB) for Russia at the industry level using data from 2010 to 2023. The influence of monetary policy shock (MPS) on DB was estimated using Bayesian vector autoregression. The MPS is identified via sign restrictions. The impulse response of DB growth rate was calculated using bootstrapped responses of its components: interest rates, output, and debt. A decomposition of the accumulated response of DB to MPS was constructed to explain the heterogeneous industry reactions. The analysis identifies changes in new loan levels and output as the primary sources of sectoral differences. Results indicate that MPS has a significant immediate effect on corporate DB in the mining and quarrying, manufacturing, transportation, and communications sectors. In the medium term, the DB level does not change in response to MPS, except in electricity production and distribution, where DB in response to MPS decreases over time.

Suggested Citation

  • Anna Pustovalova & Timur Magzhanov & Ashot Mirzoyan, 2025. "Econometric Estimation of the Monetary Policy Effect on the Debt Burden at the Industry Level in Russia," Russian Journal of Money and Finance, Bank of Russia, vol. 84(4), pages 3-21, December.
    • Handle: RePEc:bkr:journl:v:84:y:2025:i:4:p:3-21
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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