Конкуренция на российском кредитном рынке: влияние на кредитную активность банков и оценка эффекта экономического кризиса 2008–2009 гг.
This paper provides a comprehensive assessment of banking competition on the market for loans in the Russian banking system connecting it to various phases of the business cycle in Russia. Our focus is on price competition, which is measured through the Lerner index of market power. Using Lerner index, we investigate, first, the levels of interest rate mark-ups in the market for loans; second, the influence of these mark-ups on credit activity of banks as well as their relation with the size of banks. Next, we compare our measured Lerner index with three additional competition indicators, i.e. H-statistics of Panzar and Rosse (mix of price and quantity competition), Boone indicator (quantity and quality competition) and Herfindahl–Hirschman Index (quantity competition). For our comparisons, we choose the time period of 2005 Q1 to 2012 Q4, i.e. starting from one boom on the market for loans and ending with another boom so that between them there is one episode of macroeconomic and systemic banking crisis that could substantially change the strength of competition. Our estimations show that the impact of competition on credit activity of banks is non-linear – when price competition is too strict or too weak the credit activity of banks becomes slower. Next, before the crisis of 2008–2009 increases of both price and quantity competition took place; however, during the crisis these competition improvements were offset by uneven access of banks to refinancing resources and the deterioration of borrowers’ creditworthiness that entailed the rise of risk premium in interest rates on loans. After the crisis, price competition turned back to upward trend again stimulated by the growing boom on the market for retail loans, whereas quantity competition remains rather constrained.