Analysis of Factors Influencing Credit Growth in Russia

This paper analyses the relationship between bank credit to households and five macroeconomic variables: real GDP, real disposable personal income, real house price index, real short-term interest rate, and real effective exchange rate. The analysis is based on quarterly time series for Russia from 2004 Q1 to 2018 Q4. The results of vector error correction model (VECM) suggest that there is a long-run relationship between the variables. Bank credit to households is positively related to real GDP and real disposable income and negatively to real house price index in the short run and long run. Bank credit to households is positively related to real effective exchange rate and negatively to short-term interest rate. In addition, the results of Granger causality test indicate a bidirectional causality between credit to households and real GDP, and between real GDP and real house price index.