Наценки на кредитном рынке и некаузальные авторегрессии
The dynamics of different maturity loans interest rates is studied. dentification strategy, that explicitly allows to introduce the impact of future interest rates expectations and to estimate their significance is used. It is shown that for Russian banking sector in 2010-2020 expectations about future interest rates path have significant but modest impact on current loan rates. Main results are proven to be robust with respect to interest rates stationarity assumption. Estimated empirical moments may be used in macroeconomic model calibration.