Modeling Quality of Corporate Loans in the Russian Banking Sector: General Trends and Cross-Industry Differences

This paper is dedicated to the modeling of the quality of the corporate loan portfolio of the Russian banking system. A methodology of assessing individual regression equations and the construction of the system of seemingly unrelated regression models has been used for this purpose. The data sample includes information about bank loans of 12 industries of the real sector of the Russian economy, as well as different economy-wide and intra-industry indices, taken at a time interval from 1 April 2009 to 1 January 2016. Scientific relevance of this paper is due to the onset of the "bad" debts crisis in the corporate segment of the credit market, which took place because of the adverse impact of macroeconomic shocks in the late 2014 - early 2015. Empirical analysis revealed that the transmission mechanism of external crisis impulse, triggering the growth of overdue bank debt of the real sector of the Russian economy, acts in the direction from the companies engaged in the extraction of natural resources and the satisfaction of investment demand of economic agents to the companies involved in the production of construction materials and end-use goods and services. In addition, it was found that the system of mutual commercial lending contributes to the expansion of excessive credit risk contagion between industries in the periods of economic crises.