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Modeling the Dynamics of Retail Lending in Russia: a Relationship with the Dynamics of Household Savings, Incomes, and Expenses

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  • V. A. Pankova

    (Institute of Economic Forecasting, Russian Academy of Sciences)

Abstract

— In this paper I try to construct a model that allows predicting the dynamics of the development of the Russian retail lending market in the medium term. For this purpose I employ statistics for Russia for the period from January 2008 to September 2021. Both direct and inverse relationships between the dynamics of the retail lending market and the dynamics of household deposits, income and expenses are taken into account. I apply two alternative modeling approaches–a system of simultaneous equations and a vector autoregression. The results show that the system of simultaneous equations with a lag of exogenous variables equal to one month is the best among the set of analyzed specifications for most criteria both for the in-sample and for the out-of-sample period. In addition, as regards the accuracy of predicting the actual dynamics of the development of the Russian retail lending market for the period 2008–2020, this specification of the medium term model outperforms the results obtained earlier for the long term model which was based on the panel data for developed and developing economies.

Suggested Citation

  • V. A. Pankova, 2022. "Modeling the Dynamics of Retail Lending in Russia: a Relationship with the Dynamics of Household Savings, Incomes, and Expenses," Studies on Russian Economic Development, Springer, vol. 33(6), pages 723-735, December.
    • Handle: RePEc:spr:sorede:v:33:y:2022:i:6:d:10.1134_s1075700722060090
    DOI: 10.1134/S1075700722060090
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    References listed on IDEAS

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