voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2021-9-24-50voprecotest-3313Research ArticleДЕНЕЖНО-КРЕДИТНАЯ ПОЛИТИКАMONETARY POLICYШоки предложения банковского кредитования и потребление домашних хозяйств в РоссииCredit supply shocks and household consumption in Russiahttps://orcid.org/0000-0003-2028-3047КолесникД. П.KolesnikD. P.

Колесник Дарья Павловна, эксперт Центра исследований международной экономики Института международных исследований

Москва

Daria P. Kolesnik

Moscow

Prague, Czech Republic

darya.kolesnick@gmail.comhttps://orcid.org/0000-0001-9934-3617ПестоваА. А.PestovaA. A.

Пестова Анна Андреевна, к.э.н., старший научный сотрудник Центра исследований международной экономики Института международных исследований; PhD-кандидат

Москва

Прага, Чехия

Anna A. Pestova

Moscow

Prague, Czech Republic

 

 

annapestova@gmail.comhttps://orcid.org/0000-0002-4256-4838МамоновМ.MamonovM. E.

Мамонов Михаил Евгеньевич, к.э.н., старший научный сотрудник, директор Центра исследований международной экономики Института международных исследований; PhD-кандидат

Москва

Прага, Чехия

Mikhail E. Mamonov

Moscow

mikhail.mamonov@cerge-ei.czМосковский государственный институт международных отношений (университет) МИД РоссииРоссияMGIMO UniversityRussian FederationМосковский государственный институт международных отношений (университет) МИД России; CERGE-EI (Карлов университет)РоссияMGIMO University; CERGE-EI, Charles UniversityRussian Federation202103092021092450Copyright © Voprosy Ekonomiki, NP, 20212021Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/3313

В работе проводится сравнительный анализ реакции различных групп потребителей на шоки предложения банковского кредитования. В качестве параметров гетерогенности потребителей рассматриваются различия в форме владения жильем (владельцы жилья с ипотекой и без ипотеки и арендаторы) и в виде кредита (домохозяйства с крупным долгом (ипотекой, автокредитом), домохозяйства с умеренным (потребительским) кредитом и без кредитов). Для эмпирического анализа используются данные лонгитюдного панельного обследования домохозяйств RLMS-HSE НИУ ВШЭ за период с 2006 по 2019 год, охватывающем два эпизода кредитного кризиса и пост-кризисного восстановления. Шоки предложения банковского кредитования оцениваются при помощи стандартной модели структурной векторной авторегрессии (SVAR), в которой также идентифицируются шоки совокупного спроса и предложения и шоки монетарной политики. Наши результаты показывают, что при положительном шоке предложения банковского кредитования, эквивалентном сокращению процентной ставки по кредитам на 0,5 п.п., домохозяйства с ипотекой увеличивают свое потребление на 2,1–2,5% больше, чем владельцы жилья без ипотеки. Обнаруженный эффект существенен, поскольку средние годовые темпы прироста потребления домашних хозяйств с ипотекой в нашей выборке составляют 3,8%. Наши результаты указывают на то, что макропруденциальная политика Банка России, в которой инструментом выступают контрциклические буферы капитала (Базель-III), может быть весьма эффективной в сглаживании потребления домашних хозяйств с задолженностью по ипотеке.

The paper presents a comparative analysis of the reaction of different consumer groups to the bank credit supply shocks. As parameters of consumer heterogeneity, we consider differences (i) in the form of home ownership (households with and without mortgages and tenants) and (ii) in the form of credit (households with large debt (mortgages, car loans), households with small (consumer) credit and without loans). For empirical analysis we use RLMS-HSE longitudinal Household Panel Survey for the period from 2006 to 2019, which covers two episodes of the credit crisis and post-crisis recovery. Bank credit supply shocks are estimated using the standard structural vector autoregression (SVAR) model, which also identifies aggregate supply and demand shocks and monetary policy shocks. Our results show that with a positive credit supply shock, which is equivalent to a 0.5 percentage point reduction in the interest rate on loans, households with mortgages increase their consumption by 2.1—2.5% more than households without mortgages. The observed effect is significant, since the average annual growth rate of consumption of households with mortgages in our sample is 3.8%. Our results indicate that the Bank of Russia’s macroprudential policy, which uses countercyclical capital buffers (Basel III) as a tool, can be very effective in smoothing the consumption of households with mortgage debt.

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The authors declare that there are no conflicts of interest present.