Оценка эффективности макропруденциальной политики Банка России по ограничению необеспеченного потребительского кредитования модифицированным методом разность разностей
After the 2020 pandemics the uncollateralized consumer lending started growing as much as at the pre-crisis times. Bank of Russia is responsible for the overall financial stability. To curb the emerging risks, it again activated the destimulating macroprudential measures (risk-weight add-ons) and expects to obtain the right to implement the prohibiting measures. To further use the two groups of measures the regulator has to know the efficiency of this measures. Conventional approaches of the Bank of International Settlements (BIS) and the difference-in-difference deliver poorly interpretable results. Principally this is because of the fact that they do not account for the complex process of measures implementation (including its multistep nature) and the banks’ reactions to those ones. That is why we need to modify the difference-in-differences approach. Due to such modification, we are able to trace the scope of efficient measures’ application. 10% of banks with the proportion of the consumer loans to assets in excess of 20% reduce such a share by 0.3 pp. per quarter for each 100 pp. risk-weight add-on starting from the measure announcement date. 70% of banks with the share of consumer loans above 1.5% of assets tend to decrease overall lending pace by 2-6 pp. per quarter per each 100 pp. of the risk-weight add-on starting from the measure application date.