IDEAS home Printed from https://ideas.repec.org/p/bkr/wpaper/wps55.html

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://www.cbr.ru/Content/Document/File/107943/wp-55_e.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    More about this item

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bkr:wpaper:wps55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: BoR Research The email address of this maintainer does not seem to be valid anymore. Please ask BoR Research to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/cbrgvru.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.