Analysis of the Effects of Macroeconomy and the Impact of the Bank Rate of the Bank of Russia on the Banking Sector

Aim. This study aims to analyze the effects of the macroeconomy and impact of the Bank of Russia’s bank rate (key interest rate) on the banking sector. The analysis is based on econometric modeling. The aim is to develop an optimal financial strategy for the Bank of Russia for use in quoting the key interest rate and improve its impact on the Russian banking sector. Materials and methods. The article presents a computer based approach for the formulation and estimation of panel models with fixed effects for the financial performance of banking-sector banks according to basic Russian macroeconomic indicators and the bank rate (key interest rate) using the Stata econometric software package. Twenty-one financial and economic indicators are analyzed based on the official annual reports of 693 banks, official state statistics data, and the data provided by the Bank of Russia for the period 2007-2014. The analysis provides a quantitative estimation of the Bank of Russia’s financial strategy. Results. Analysis of the quantitative effect of the Russian macroeconomy and impact of the Bank of Russia’s bank rate (key interest rate) on the banking sector yields the following results. Russian macroeconomic indicators have a significant effect on the Russian banking sector’s financial performance. For example, total population income has a highly positive effect on bank assets and private deposits, while also having a highly negative effect on the bank’s private loan portfolio, including past due debt, as well as on loan arrears and other invested assets to private individuals. An increase in the total population’s income is a significant positive factor affecting the Russian banking sector and will have a substantial positive effect on the eventual consumption and GDP. The bank rate and its logging have a rather highly negative effect on the Russian banking sector’s overall financial performance. The bank rate and its logging have a particularly highly negative effect on the following bank indicators: (1) private loan portfolio, including past due debt, (2) private deposits, and (3) loan arrears and other invested assets to private individuals. An increase in the bank rate (key interest rate) results in a significant deterioration in financial performance of the Russian banking sector, while its decrease leads to a substantial improvement.

chain and reference index, comparable prices, integrated panel model, panel models with fixed and random effects, Durbin-Wu-Hausman test, cluster-robust standard errors, Huber sandwich estimator, elasticity coefficient, цепной и базовый индекс, сопоставимые цены, объединенная модель панельных данных, модели с фиксированными и со случайными эффектами панельных данных, тест Хаусмана, кластерно-робастные стандартные ошибки, сэндвич-оценивание ковариационной матрицы оценок коэффициентов Хубера-Уайта, коэффициент эластичности

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