Моделирование связи депозитов и кредитов в российских банках — эконометрический подход

Финансы и бизнес. 2023. Т. 19. № 3. С. 86–99.

Kopnova E., Османова А. О.

According to the monthly data of the eleven largest banks in Russia for 2015-2020, the dynamic relationship between deposits of individuals and loans issued has been investigated. We used econometric tools for analyzing the cointegration of random processes in the form of an error correction model estimated from panel data. It is shown that the classical assumption about the independence of decisions in the deposit and credit markets is not fulfilled for Russian banks - both long-term and short-term relationships between them are found. The strict exogeneity of deposits in relation to the parameters of the model of their connection with loans was revealed. The conclusion is made about the inefficiency of the central bank's decisions on the monetary market in the period under review to ensure economic growth.

Keywords: банки, панельные данные, banks, кредиты, bank loans, deposits, депозиты, панельная коинтеграция, модель коррекции ошибками, panel cointegration model, vector error correction model, panel data