Measurement of auxiliary indicators of aggregate interest rates on loans to non-financial organisations

Anna Burova, Tatiana Grishina () and Natalia Makhankova
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Tatiana Grishina: Bank of Russia, Russian Federation

No wps137, Bank of Russia Working Paper Series from Bank of Russia

Abstract: Currently newly issued loans with fixed rates, excluding loans to affiliates, are used to calculate Russian loan aggregates of interest rates on loans to non-financial organisations, which is generally in line with international practice. The structure of loans is evolving over times, the share of loans with floating interest rates is increasing. Data on the volumes and rates of such loans can be valuable for analysing and forecasting economic trends. This paper looks at approaches to calculating weighted average interest rates on loans to Russian companies with the division of loans for analytical purposes into separate lending segments: by rate type (fixed and floating), affiliation type, and the time of rate-setting relative to the moment of disbursement of funds. We assess the amplitude of variation between the rates calculated using different approaches. The use of a wider range of aggregates can be used for analytical and research purposes to assess changes in certain types of interest rates, as well as to clarify the effect of the interest rate channel of the monetary policy transmission mechanism.

Keywords: loan rates; non-financial organisations; floating rate; prolongations; quarterly projection model; error correction model (search for similar items in EconPapers)
JEL-codes: E43 E44 G21 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2024-11
New Economics Papers: this item is included in nep-ban, nep-cba and nep-cis
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