The aim of this paper is to reveal the main features of the bank lending channel in the Russian economy. Having the answer to this question is important for increasing the efficiency of monetary policy because it will allow to evaluate the extent to which monetary policy impulses affect bank loans that are one of the main source of investments in Russia. The methodo­logy is based on [Kashyap, Stein, 2000]. We analyze monthly data on the individual Russian banks’ balance sheets over the period 2010–2014. In order to take into account considerable differences between different groups of the Russian banks we divide our sample into groups according to their ownership structure, value of net assets, and their main activities. We also address a heterogeneity in the period of time we study. It is shown that there exists a relationship between liquidity level of the Russian banks’ balance sheets, their lending policy and monetary policy impulses depending on the banks’ characteristics and the period of time. We find liquidity “anti-effect” for the big Russian banks during the structural liquidity deficit period: the more liquid their balance sheets, the more these banks substitute corporate loans with liquid assets purchases under conditions of contractionary monetary policy regime. For some groups of medium and small banks that prefer to maintain the volume of corporate loans by selling liquid assets we justify the “classical” Kashyap and Stein liquidity effect. We also find some groups of medium and small banks through which bank lending channel did not work during the period of time we analyze.