Loan market markups and noncausal autoregressions

Viacheslav Kramkov and Andrey Maksimov ()
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Andrey Maksimov: National Research University Higher School of Economics (HSE University), Nizhny Novgorod, Russian Federation

Applied Econometrics, 2020, vol. 60, 48-69

Abstract: The dynamics of different maturity loans interest rates is studied. Identification strategy that explicitly allows to introduce the impact of future interest rates expectations and to estimate their significance is used. It is shown that for Russian banking sector in 2010–2020 expectations about future interest rates path have significant but modest impact on current loan rates. Main results are proven to be robust with respect to interest rates stationarity assumption. Estimated empirical moments may be used in macroeconomic model calibration.

Keywords: interest rates pass through; rational expectations; noncausal autoregression; time series; identification in macroeconomics. (search for similar items in EconPapers)
JEL-codes: C22 C51 E43 G21 (search for similar items in EconPapers)
Date: 2020
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