Journal of Applied Economic Research
ISSN 2712-7435
Macro-Financial Model of the External Shocks Impact on Net Interest Income of Russian Banks
Shimanovsky D.V.
Abstract
Net interest income is one of the most important components of the financial result of a lending institution. Unlike other components of a bank's profit such as the dynamics of reserves or revaluation of currency assets, it is commonly believed that this indicator is one of the most stable determinants of the financial institution's profitability. However, unlike the relative stability of the net interest income, this factor of a lending institution's profitability is still subject to the impact of external shocks that are currently not controlled by national authorities. The goal of this research is, therefore, to develop methods of forecasting the aggregate net interest income of the Russian banking system by supplementing the forecast with scenarios that comply with the most probable shocks for the national economy: weakening or strengthening of the national currency, changes in the interest rate of the US Federal Reserve System, etc. In order to achieve the set goal, we have created a macro-financial model that makes it possible to forecast the net interest income of the Russian banking system. During the research, econometric methods were used. As a result of the empiric analysis, the author has formed a system consisting of 13 regression equations and estimated it by using the three stage least-square method. When forecasting the interest income and interest expenses of Russian lending institutions, the authors used indicators of the Bank of Russia. These indicators estimate the level of demand and supply formed in the credit and deposit segments of the Russian financial system. As a result of the research, the author draws a conclusion that the dynamics of the RUB:USD rate is the main external shock that has an impact on the net interest income of the Russian banking system. At the same time, the targeted policy of the Central Bank in the area of managing the currency gap formed in the national banking system can decrease the dependence of the Russian banking sector profitability on the volatility of the RUR exchange rate to foreign currencies.
Keywords
macro-financial model; net interest income; monetary policy; diffusive indices of the Bank of Russia.
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About Authors
Shimanovsky Dmitry Victorovich – Candidate of Economic Science, Associate Professor, Department of Information System and Mathematical Methods in Economy, Perm State National Research University, Perm, Russia, (614990, Perm, Bukireva street, 15); e-mail: Dmitry-Shimanovsky@mail.ru.
For citation
Shimanovsky D.V. Macro-Financial Model of the External Shocks Impact on Net Interest Income of Russian Banks. Bulletin of Ural <st1:place w:st="on"><st1:placename w:st="on">Federal</st1:placename> <st1:placetype w:st="on">University</st1:placetype></st1:place>. Series Economics and Management, 2018, Vol. 17, No. 1, 146-165. DOI: 10.15826/vestnik.2018.17.1.007.
Article info
Received October 26, 2017; Accepted November 27, 2017.
DOI: http://dx.doi.org/10.15826/vestnik.2018.17.1.007
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