Subject This article deals with the role of the bank channel in communicating the monetary policy transfer in Russia. One of the main tools of the State in economy regulation is the monetary policy pursued by the Bank of Russia. Therefore, the knowledge of regularities in this area is a relevant problem of economic studies. At the same time, the empirical results of studies are often inconsistent. In the process of building the financial market, understanding the problems, extending data series, and applying improved methods of research, new conditions appear for deeper study of various aspects of the monetary policy pursued by the Bank of Russia. Objectives The article addresses the dependence of offered bank credits on the monetary policy. We estimated, whether there are causal statistically significant tools of the monetary policy influencing the volumes of corporate lending. We investigated the influence of the money base, the money supply, the refinancing rate, and the interbank lending rate as independent variables. Methods We made the assessment under the generalized method of moments. In addition to taking the logarithm of variables, we applied seasonal smoothing. We assessed the heteroscedasticity and serial correlation of errors using the method of estimation with errors under the Newey-West estimator. Results On the basis of a quarter data set from 2002 to 2013, we found evidence suggesting the existence of the bank credit channel in Russia. The increase in the money base, as well as an increase in the money supply is reflected in the increase in bank lending. Changes in the interbank lending rate and refinancing rate have rather modest influence on the bank lending. Conclusions and Relevance The obtained empirical results validate the hypothesis of the credit bank channel existence in Russia. We established that statistically significant tools of the bank channel are the money supply, the money base, the refinancing rate, and the interbank lending rate. Banks will reduce lending, if the money supply decreases. Banks will increase lending, if there is a reduction in the interbank lending rate.
Drobyshevskii S.M., Trunin P.V., Kamenskikh M.V. Analiz pravil denezhno-kreditnoi politiki Banka Rossii v 1999–2007 gg [Analysis of the monetary and credit policy rules of the Bank of Russia in 1999–2007]. Moscow, IEPP Publ., 2009. Available at: Link.
Drobyshevskii S.M., Trunin P.V., Kamenskikh M.V. Analiz transmissionnykh mekhanizmov denezhno-kreditnoi politiki v rossiiskoi ekonomike [Analysis of the transmission mechanisms of the monetary and credit policy in the Russian economy]. Moscow, IEPP Publ., 2008. Available at: Link.
Leont'eva E.A. Mekhanizm kreditno-denezhnoi transmissii v Rossii [A mechanism of monetary transmission in Russia]. Moscow, Delo Publ., 2013, 120 p.
Salmanov O.N. Ekonometrika [Econometrics]. Moscow, Ekonomist” Publ., 2006, 320 p.
Yudaeva K.V. O denezhno-kreditnoi politike Banka Rossii na sovremennom etape [On the monetary policy of the Bank of Russia at the modern stage]. Den'gi i Kredit = Money and Credit, 2014 no. 6, pp. 13–14.
Yudaeva K., Ivanova N., Kamenskikh M. Chto targetiruet Bank Rossii [What is the Bank of Russia targeting?]. Available at: Link. (In Russ.)
Altunbas Y., Leonardo Gambacorta L., Marques-Ibanez D. Do bank characteristics influence the effect of monetary policy on bank risk? European Central Bank. Working Paper Series, 2012, no. 1427. Available at: Link.
Ananiev A.N., Zaernjuk V.M. Procedural support of assessment of stability of non-bank crediting organizations in Russia. Life Science Journal, 2014, no. 11, pp. 243–245.
Angeloni I., Kashyap A.N., Mojon B. Monetary policy transmission in the euro area. Cambridge University Press, 2003. Available at: Link.
Bernanke B.S., Blinder A. Credit, money, and aggregate demand. American Economic Review, 1988, vol. 78, no. 2, pp. 435–439.
Bernanke B.S., Gertler M. Inside the black box: the credit channel of monetary policy transmission. Journal of Economic Perspectives, 1995, vol. 9, no. 4, pp. 27–48.
Cetorelli N., Goldberg L.S. Banking Globalization, Monetary Transmission, and the Lending Channel. Deutsche Bundesbank Discussion Paper Series, 2008, no. 21. Available at: Link.
Gambacorta L., Mistrulli P. Bank capital and lending behavior: empirical evidence for Italy. Banca d’Italia Economic Research Paper, 2003. Available at: Link.
Hansen L.P. Large sample properties of Generalized Method of Moments estimators. Econometrica, 1982, no. 50, pp. 1029–1054.
Hansen L.P. Generalized Methods of Moments: A Time Series Perspective. International Encyclopedia of the Social and Behavior Sciences, 2000, 17500 p.
Juurikkala T., Karas A., Solanko L. The role of banks in monetary policy transmission: Empirical evidence from Russia. BOFIT Discussion Papers, 2009, no. 8. Available at: Link.
Kaufmann S., Scharler J. Financial Systems and the Cost Channel Transmission of Monetary Policy Shocks. Oesterreichische Nationalbank, 2007. Available at: Link.
Kishan R.P., Opiela T.P. Bank capital and loan asymmetry in the transmission of monetary policy. Journal of Banking & Finance, 2006, no. 30, pp. 259–285.
Vdovichenko A., Voronina V. Monetary policy rules and their application in Russia. Research in International Business and Finance, 2006, no. 2, pp. 145–162.
Vymyatnina Y. How much control does Bank of Russia have over money supply? Research in International Business and Finance, 2006, no. 20, pp. 131–144.
