Mikhail Mamonov1
  • 1 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

Market for Retail Loans in Russia: The Identification of Demand and Supply through the VECM Approach

2017. Vol. 21. No. 2. P. 251–282 [issue contents]
This paper investigates the determinants of demand for and supply of retail loans (by type of credit and by currency of credit) on the different phases of credit cycle in Russia over the period of 2005–2016. The analysis is carried out through the vector error correction models (VECM) with the use of monthly data on macroeconomic development and the consolidated balance of banking system. Applying the VECM-models for each segment of the market for retail loans we estimate the long-term relationships between demand for and supply of various types of loans to households. Several outcomes emerge from the analysis. First, the unemployment rate, consumer confidence and current inflation are shown to play the major role from the demand side of retail loans, while deposits attracted in national currency, borrowers’ creditworthiness and liquidity stand for the most important determinants from the supply side of loans to households. Second, during the credit crunch phases (2009–2010 and 2015–2016) the contribution of demand exceeds respective contribution of supply roughly twice – on the level of aggregated market and in the segment of Rubble denominated loans. Concerning the market for mortgage loans, we found viable correction mechanisms only from the demand side; on the contrary, for the market of non-mortgage loans we found the opposite. Third, we show that it was possible to foresee the transition from the growth phase to the crunch phase of credit cycle on the eve of credit crunch at the end of 2014, but the depth of crunch was significantly underestimated. Fourth, even in the case of macroeconomic improvements in 2017–2018, the transition from the credit crunch back to the growth seems unlikely to occur.
Citation: Mamonov M. (2017) Rynok kreditov naseleniyu: identifikatsiya sprosa i predlozheniya v ramkakh VECM-analiza [Market for Retail Loans in Russia: The Identification of Demand and Supply through the VECM Approach]. HSE Economic Journal , vol. 21, no 2, pp. 251-282 (in Russian)
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