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.
Brissimis S.N., Garganas E.N., Hall S.G. Consumer Credit in an Era of Financial Liberalization: An Overreaction to Repressed Demand? Applied Economics, 2014, vol. 46, iss. 2, pp. 139–152. URL: Link
Mamonov M.E. [The impact of the crisis on the Russian banking sector profitability]. Bankovskoe delo = Banking, 2011, no. 12, pp. 15–26. URL: Link (In Russ.)
Mamonov M.E. [State banks vs private sector: What is more effective?]. Bankovskoe delo = Banking, 2013, no 5, pp. 22–30. (In Russ.)
Boiko A.N. [Developing a risk management system for small innovative enterprises by using the method of principle components]. Ekonomika: vchera, segodnya, zavtra = Economics: Yesterday, Today, Tomorrow, 2011, no. 2, pp. 62–75. (In Russ.)
Gusev S.A., Shubina K.D. [Modeling the indicators of sustainable development of the economic system: An evolutionary approach]. Informatika i sistemy upravleniya = Informatics and Management Systems, 2009, no. 2, pp. 66–77. (In Russ.)
Morris Ch.S., Regehr K. What Explains Low Net Interest Income at Community Banks? Federal Reserve Bank of Kansas City Economic Review, 2014, Q II, pp. 59–87.
Borio C.E.V., Gambacorta L., Hofmann B. The Influence of Monetary Policy on Bank Profitability. BIS Working Papers,2015, no. 514, 37 p.
Ovchinnikova S.V., Svistunova Yu.P. Modelirovanie kreditosposobnosti zaemshchika. V kn.: Matematicheskie metody i modeli v upravlenii, ekonomike i sotsiologii [Modeling the creditworthiness of the borrower. In: Mathematical Methods and Models in Management, Economics and Sociology]. Tyumen, Tyumen Industrial University Publ., 2014, pp. 309–315.
Evdokimova T.V., Zubarev A.V., Trunin P.V. Vliyanie real'nogo obmennogo kursa rublya na ekonomicheskuyu aktivnost' v Rossii [The impact of the real ruble exchange rate on economic activity in Russia]. Moscow, Gaidar Institute Publ., 2013, 164 p.
Evdokimova T.V. [The impact of monetary policy on the US economy after the crisis]. Rossiya i Amerika v XXI veke, 2013, no. 1, pp. 8–9. (In Russ.) URL: Link
Athanasoglou P.P., Brissimis S.N., Delis M.D. Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability. Journal of International Financial Markets, Institutions and Money, 2008, vol. 18, iss. 2, pp. 121–136. URL: Link
Demirguç-Kunt A., Huizinga H. Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence. The World Bank Economic Review, 1999, vol 13, iss. 2, pp. 379–408.
Dietrich A., Wanzenried G. Determinants of Bank Profitability Before and During the Crisis: Evidence from Switzerland. Journal of International Financial Markets, Institutions and Money, 2011, vol. 21, iss. 3, pp. 307–327. URL: Link
