“Credit view” on monetary policy in Russia

Anna Pestova ()
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Anna Pestova: MGIMO University, Moscow, Russia; Center for Economic Research and Graduate Education, CERGE-EI, Prague, Czech Republic

Applied Econometrics, 2020, vol. 57, 72-88

Abstract: In this paper, I assess the effectiveness of credit channels of monetary transmission in Russia. I use a dynamic factor model with monetary policy shocks identified using sign restrictions approach. The analysis confirmed the effectiveness of the bank lending channel for consumer loans and short- and medium-term corporate loans. A significant effect of monetary impulses on bank capital was found. At the same time, borrowers’ balance sheet channel is not amplifying, but, on the contrary, restraining the effect of monetary shocks on the economy

Keywords: monetary policy; credit channel; bank lending channel; balance sheet channel; dynamic factor model; structural identification; monetary policy shocks (search for similar items in EconPapers)
JEL-codes: E31 E43 E51 E58 (search for similar items in EconPapers)
Date: 2020
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