Evaluating the Effects of Macroprudential Policy on Consumer Lending in Russia
Abstract
This study investigates the effects of macroprudential policy (MPP) on constraining the expansion of consumer lending in Russia, drawing on quarterly data for 591 banks over the period 2015–2021. The research contributes to the broader discourse on financial stability in emerging economies, where empirical evidence on the effectiveness of macroprudential regulation remains inconclusive. By providing new empirical evidence for the Russian banking sector – an underexplored context in the existing literature – this paper adds to the growing body of research on the effectiveness of macroprudential frameworks in developing financial systems.
The core research question addresses the extent to which MPP effectively constrains consumer credit growth in Russia, particularly under shifting macroeconomic and monetary conditions. The empirical approach employs a dynamic panel data model estimated using the Generalized Method of Moments (GMM). A composite macroprudential policy index, constructed on the basis of the database developed by [Kozlovtseva et al., 2020] and extended to include measures adopted after 2019, serves as the key instrument for quantifying the policy stance.
The analysis explicitly accounts for bank-level heterogeneity, interactions between macroprudential and monetary policy, and sensitivity to different phases of the business cycle. The results indicate that macroprudential measures exert a statistically significant and economically meaningful dampening effect on consumer lending, with the impact materializing approximately two quarters after policy implementation and persisting for around six months. Moreover, the findings reveal asymmetric effects of policy tightening and easing, and demonstrate that the influence of MPP is more pronounced for banks characterized by lower deposit funding, smaller size, and a relatively modest share of consumer loans in total assets.
The study yields both theoretical and policy-relevant insights. Methodologically, it advances the empirical understanding of macroprudential transmission in Russia, extending prior work by domestic scholars and researchers affiliated with the Bank for International Settlements. From a policy perspective, it offers practical recommendations for the design and coordination of macroprudential oversight, and highlights promising avenues for future research.
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