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CONSUMER CREDIT CYCLES IN RUSSIA: DECOMPOSITION ANALYSIS D.D. Ekshtein, graduate student
Supervisor: D.V. Burakov, candidate of economic sciences, associate professor Financial university under the Government of Russian Federation (Russia, Moscow)
DOI: 10.24411/2411-0450-2019-10747
Abstract. This paper aims to analyze the current state of consumer lending cycles in Russia. For evaluations of the specific characteristics of the cycle decomposition method of analysis is used. The results show that elasticity of mortgage credit cycles to shocks in economic sectors is significantly lower than in consumer credit cycles.
Keywords: banking market, consumer lending, credit cycle, decomposition, growth rates.
In the analysis of the processes that take place today in the market of lending to individuals, special attention will be paid to the assessment of the contribution that various segments of the lending market make to the dynamics of aggregate indicators, as well as the provision of credit growth sources for its service.
Analyzing the dynamics of lending, it is important to take into account that in the Bank statements and in the statistics of the Central Bank of the Russian Federation the total amount of customer debt to banks is expressed in rubles, although some of the loans are provided to customers in foreign currencies. This means that the amount of debt, if we consider it in ruble terms, will change not only with the change in demand for loans, but also with the fluctuation of the ruble exchange rate. Accordingly, when the credit growth rate is decomposed, the component of currency revaluation of credit debt will be separately allocated. With the exception of the influence of indicators such as the currency revaluation of the value of the growth rate of lending, will be to determine how the debts only under the influence of the processes of raising new loans and the repayment of the loans that were previously issued. The decomposition of the growth rate of consumer lending, taking into account the allocation of currency revaluation is calculated using the following equality:
Q-Cr-i _ CtUB-Ct"iB (C"SD-c"Ji)FXt-1 (FXc-FXt-1)cfSD
Q-l (t-l t-i-1 Ct-1
where . - growth rate of total credit debt in ruble terms,
rRUB rRUB Lt ~Lt-1
Lt~1 - components of national currency loans,
Ct"1 ■ components of foreign currency loans,
(FXt-FXt-^cfS0
ct-1 ■ currency revaluation components ,
Q - total credit debt, CtUSD. foreign currency loans denominated in U.S. dollars,
FXt- - US dollar exchange rate. The share of debt in disposable income will be used as the main indicator of the debt burden. The calculation of disposable income for each month is carried out using the moving average method for twelve months, including the month under study. After that, the ratio of the credit debt balance in the studied month to the average disposable income in the corresponding period is calculated by analogy with the approach used in the study [1]. Note that the above figure makes it possible to more accurately compare the dynamics of indicators of lending to the population and its income, rather than comparing the growth rate of the debt balance and real income of the population. Comparison of growth rates of indicators faces a certain difficulty - the need to take into account the effect of the base, as well as the need to identify turning points in the dynamics of indicators. Thus, the period
of recovery of real incomes of the population may be replaced by a period with a fairly low growth rate, while the growth of credit demand will accelerate. With such a ratio of growth rates for a particular period, it is impossible to say unequivocally that credit demand is not provided with the corresponding income. [2]
As sources of data on indicators and lending rates was used in the publication of the Bank of Russia: statistical tables, which are listed in the "Overview of the banking sector of the Russian Federation", the table of indicators of lending to natural persons (residents) in the context of regions, including mortgage lending. Data on indicators of disposable income, as well as average wages in various regions of the Russian Federation, the value of the gross regional product, as well as the population were obtained from data published by Rosstat. [3]
The sensitivity of retail lending to the recession of the Russian economy at the end of 2014 was higher than that of the corporate lending sector. By mid-2015, only the corporate segment and the revaluation of foreign currency debt were able to maintain the positive dynamics of the growth rate of lending to
the economy. The peak of the fall in the retail lending sector was in December 2015, in the subsequent period, the rate of its decline gradually began to slow down. It was possible to record the resumption of positive dynamics in November 2016. However, in the corporate sector to this point only the reduction of arrears, and to return to positive dynamics he could only in early 2018, the dynamics though was positive, but was characterized by extreme volatility. [4]
The acceleration in the growth rate of lending to individuals began in the first months of 2017. In July 2018, they reached 19.7 % in annual terms, with the exception of the impact of currency revaluation. However, the dynamics of retail lending in different segments of the market was different. market's. Decomposition of annual growth rates of retail lending for housing loans (almost entirely composed of mortgage loans, HIC) and all other debt (its main segments are consumer and car loans) shows the high stability of the mortgage lending segment during the entire period since 2010. This type of loans makes a significant positive contribution to the overall dynamics of lending.
Figure 1 Decomposition of growth rates of consumer loans in Russia
Source: author calculations
As can be concluded, the sensitivity of housing lending to economic fluctuations was significantly lower than in the non-typical segments. It should also be noted that in the time period from Q3 2017 to Q2 2018, the contribution of mortgage loans also increased, although this growth showed lower rates. As a result, by July 2018, the contribution of
mortgage and other market segments was almost equal.
The growth rates of lending in the retail sector reached their maximum values (over 43% in annual comparison) during the period when credit activity was recovering, after the crisis of 2008-2009. Then they began to decline systematically. After two years of credit recovery in 2016-2018, the growth rate of
lending was twice lower, while the relative and this figure is higher than in the pre-crisis contribution of mortgage loans is much great- period. As a result, there has been an increase er than in the same period of the cycle in in risk factors over the past year: growth in 2010-2012. There was an increase in the the non-zero segment has accelerated, as well share of debt on loans in the disposable in- as debt in disposable income has increased. come of the population - it exceeded 23 %,
References
1. Mamonov M. E. Market of credits to the population: identification of demand and supply within the framework of VECM-analysis. Economic journal of Higher school of Economics. 2017. Vol. 21. No. 2. P. 251-282.
2. Barisitz S. Credit Boom in Russia despite Global Woes — Driving Forces and Risks / Austrian Central Bank.
3. Zhuravleva T. L., Leonov M. A. Banking system of Russia in recent years: General and regional view // Research financial Institute. Financial magazine. 2015. № 6 (28). pp. 47-58.
4. Deryugina, E. Determination of the phase of the credit cycle in real time in emerging markets / E. Deryugina, A. Ponomarenko // Series of reports on economic research of the Bank of Russia. - 2017. - No. 17. - p. 20
ЦИКЛЫ ПОТРЕБИТЕЛЬСКОГО КРЕДИТОВАНИЯ В РОССИИ: ДЕКОМПОЗИЦИОННЫЙ АНАЛИЗ
Д.Д. Экштайн, студент
Научный руководитель: Д.В. Бураков, канд. экон. наук, доцент Финансовый университет при Правительстве Российской Федерации (Россия, г. Москва)
Аннотация. Целью данной работы является анализ текущего состояния циклов потребительского кредитования в России. Для оценки специфических характеристик цикла используется метод декомпозиции анализа. Результаты показывают, что эластичность циклов ипотечного кредитования к шокам в секторах экономики значительно ниже, чем в циклах потребительского кредитования.
Ключевые слова: банковский рынок, потребительское кредитование, кредитный цикл, декомпозиция, темпы роста.
