Tools for demand and supply forecasting at credit market based on the bank of Russia diffusion indices

Abstract

Banking system appears to be the most important element of any national economy influencing its sustainability. Due to this fact, the issue of forecasting of indicators dynamics, describing national credit market, remains to be an important field for economic researches both in Russia and abroad. In particular Russian researchers discuss the problem of efficient management of excess demand at the Russian credit market. From one point of view, these days there is a significant demand excess at the market. But for all that the stimulation of credit resource supply by means of monetary policy is supposed to result into the growth of the national economy and higher level of competitiveness of national products. However, there is an alternative view point which considers the excess demand to be low. Therefore, the stimulation of offers at the borrowed resource market by means of monetary and credit policy mitigation will only increase the inflation rate but the national economy will not significantly grow. The article is devoted to the author’s model to forecast the demand and supply at the Russian credit market. This model describes the method to forecast the dynamics of two market indicators: interest rate and the extent of advances portfolio. The empirical base of the research includes relatively new indicators – the diffusion indices of the Central Bank of the Russian Federation that have been calculated and published by the Central Bank since 2009. Econometric methods, in particular a VAR-model and a 2SLS method, are used as the mathematical tools to forecast macroindicators of the Russian banking system. The novelty of the research is to develop an approach to forecast macroeconomic indicators of the national banking system development through the estimation of demand and supply of bank loans in consumer and corporate segments. The estimation is based on the diffusion indices of the bank crediting terms. The sensitivity of the above mentioned macroeconomic indicators to the change of the Central Bank key interest rate is particularly described in the article. As a result the factors that mainly influence the dynamics of demand and supply of borrowed resources have been revealed. The system of regression equations has been constructed on the basis of these factors. This system reveals the dependence of the interest rate and the extent of advances portfolio on the current change of the Central Bank key interest rate. The specified results are made separately for retail and corporate credit market segments. Further we are planning to develop methods to forecast the banking system profitability through the assessed forecast of demand and supply at the credit market.

Keywords

borrowed resource market, consumer credits, commercial credits, credit terms, banking supervision, diffusion indices, forecasting, forecasting quality, VAR-model

For citation

Shimanovsky D.V. Tools for demand and supply forecasting at credit market based on the bank of Russia diffusion indices. Perm University Herald. Economy, 2017, vol. 12, no. 2, pp. 202–217. DOI 10.17072/1994-9960-2017-2-202-217

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