Economic Analysis: Theory and Practice
 

An empirical analysis of monetary policy shocks impacting the profits of Russian banks. Part 2

Vol. 17, Iss. 11, NOVEMBER 2018

Received: 12 July 2018

Received in revised form: 26 July 2018

Accepted: 10 August 2018

Available online: 29 November 2018

Subject Heading: ANALYSIS OF FINANCIAL CAPITAL

JEL Classification: E52, E58

Pages: 2118–2130

https://doi.org/10.24891/ea.17.11.2118

Shimanovskii D.V. Perm State National Research University, Perm, Russian Federation
Dmitry-Shimanovsky@mail.ru

ORCID id: not available

Subject The article offers a complex of econometric models that are constructed on hypotheses and assumptions made in the previous section of the study. The constructed model enables to identify the components of profits of domestic banks, which are susceptible to the effects of monetary policy shocks to the maximum extent.
Objectives The focus is on studying the impact of the monetary policy shocks of the end of 2014 on changes in profit of the Russian banking system for a two-year time horizon.
Methods I use a set of econometric models, applying the method of principal components to construct multiple regressions under conditions of multicollinearity, various variants of the Dickey-Fuller test for stationarity, and the Engle-Granger test for co-integration.
Results The key rate of the Bank of Russia and the exchange rate of US dollar to Russian Ruble may serve as effective tools for managing the profit margin of domestic credit institutions. The findings may be useful for the Central Bank of the Russian Federation to determine the implications of changed parameters of the of monetary policy for the profit margin of domestic banks. Furthermore, they may be used by credit institutions to make scenarios of bank development depending on changes in macroeconomic conditions.
Conclusions Government authorities have an opportunity to manage the volume of profits of the majority of domestic banks through changes in the key rate and the US dollar rate.

Keywords: shock, monetary policy, macroeconomic modeling, profit, credit institution

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