Analysis of Non-performing Retail Loans in Case of Macroeconomic Instability in Russia

The purpose of this paper is to analyze the non-performing retail loans in case of macroeconomic instability in Russia based on macroeconomic indicators that reflect the current state of the economy in the country. The paper highlights the theoretical aspects of the lending process and macroeconomic instability; and also there were studied the influence of such instability on the quality of loans. The study describes the basic econometric models that allow analyzing non-performing loans (NPLs) from different points of view that were developed by foreign researchers. The practical part of the work includes a comparative analysis of the main variables used in the study and an analysis of the econometric model results of the dependence between NPLs and macroeconomic indicators. For the analysis, econometric least squares (OLS) regression was constructed using statistical data for the period from January 2009 to December 2016, taken from two main sources: the Bank of Russia website and the Federal State Statistics website. At the stage of econometric analysis, 4 regression models were constructed reflecting the dependence of macroeconomic indicators and the share of non-performing retail loans as a whole, non-performing mortgages, car loans and non-targeted consumer loans. Results demonstrate a similar dependence between the share of overdue debt on different forms of retail loans and macroeconomic indicators, but different strengths in each model.