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Канал банковского кредитования в России: оценка с помощью TVP-FAVAR модели
Implementation of inflation targeting by the Bank of Russia depends on the effectiveness of the chan-nels of monetary policy transmission mechanism. In this article we use a TVP-FAVAR model to examine the bank lending channel. This channel describes the connection between monetary policy impulses and the amount of bank loans that are among the main sources of investments in Russia. In order to answer the main question we analyze the connection between the amount of bank loans and the money market interest rate MIACR which is the main operational target of the Bank of Russia. The use of TVP-FAVAR model allowed to solve a problem of omitted variables and to take into account gradual changes which occurred in the Rus-sian economy during the period from January 2004 to December 2015. It is shown that the bank lending chan-nel works only through the group of big banks that does not include biggest state-owned banks.