NEW ECONOMIC SCHOOL

. , .. , ..

# WP 2006/57

.. (..-.., , ), .. (..., ,
).
,

2006

 .., .., .. . / # WP 2006/57 - .: , 2006. 35 . (.)

2002 . . , , .
1998.

, , - . 2002-2004 . ,
, , ,
, , .
, , , .
.

Peresetsky A., Karminsky A., Golovan S. Retail business of Russian banks. Heterogeneity of interest rates on private
deposits. / Working Paper # WP 2006/57. Moscow, New Economic School, 2006. 35 p. (Rus.)
Sharp growth of retail business of Russian banks is observed during last years. That growth corresponds to the
relatively stable economic development of the country after the financial and banking crisis of 1998.
The purpose of the paper is to study the observed significant heterogeneity of the interest rates for private deposits across the banking system. We use data for 2002-2004 to study the impact of time to maturity, currency, size of deposits, macro-indicators, and bank financial ratios on the deposits interest rates. We found that interest rates depends on
banks size, profit, share of non-government securities, overdue loans, credits to firms in total assets, liquidity. Market
share (as a measure of market competition) and share of long-term loans in total loans to firms (as a measure of the interest rate risk) are also important. Evolution of the interest rates in time is entirely cached with grasped by money market interest rate and inflation.

ISBN
.., .., .., 2006 .
, 2005


1. ...................................................................................................................................... 4
2. ..................................................................................... 7
2.1. 1998 . ...................................................... 7
2.2. ......................................................... 9
2.3. ......................................... 12
2.4 .................................................................................................... 15
2.5 ......................................................................................... 15
3. ........................... 16
3.1. ................................................................................................................................ 16
3.1.1. .............................................................................. 16
3.1.2. ................................................................................. 20
3.2. .............................................................................................. 23
3.3. .......................................................................................... 27
3.4. .................................................................................... 30
4. ............................................................................................................................... 31
.................................................................................................................................... 32
.................................................................................................................................. 33
1. ................................................................................... 33
2. ............................................................... 34
3. ...................................... 34
4. . ....................................... 35

1.
.
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2004

39.8

32.9

32.3

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42.1

42.5

2.9

3.5

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20
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9

2500

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7/1/2004

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. 04. , %

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11

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13

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16
14

31-90 .

, %

12
10

181- .- 1

2
Jun 05

Apr 05

Jan 05

Oct 04

Jul 04

Apr 04

Jan 04

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Apr 03

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9
8
7
6
5
4
3
2
1
0

31-90 .
181- .- 1
1

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Apr 05

Jan 05

Oct 04

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, %

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3.
3.1.
3.1.1.
, . , .
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16

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1 (. 04). , 1 , 1 , 1 1 2004 . , , .
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.
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2
2004 2004 .

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30 777 579

10 728 970

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1 517 583

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2004 2004 .
7 052 345

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951 782

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3, 6, 9,
12 .
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1
2

.
.
17

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mean

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, .

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0.17
0.16
0.15
0.14
0.13
0.12
0.11
0.10

3 month

2004_04

2004_01

2003_10

2003_07

2003_04

2003_01

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2002_07

2002_04

2002_01

2001_04

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12 month

. 13.
19

 (+)
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0.08
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12 month

0.06

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2004_01

2003_10

2003_07

2003_04

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2002_10

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2002_04

2002_01

2001_04

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.

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2004_04

2004_01

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2002_04

2002_01

2001_04

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0.000

. 15. ( )
() ()
3.1.2.
,
, 1. , . , ,
, , , . . (2004), Peresetsky et al. (2003, 2004), .
20

(2005). Hannan (1991), Graeve (2004), Gambacorta (2004), , , .

, .
PZS/KE, , , . ,
, , , . ,
. ,
, , . ,
.
LOG(SK), , . , , ,
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, , .

21

BP/SK, , .
. . ,
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.
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. ,
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( ) .
PNA/CA, . Graeve et al. (2004)
.
. :
.
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.
05
. , , . . , , , .
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2.
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) MIBID; , , EXP/IMP.
22

 05.

PZS/KE
LOG(SK)
SK/CA
KE/CA
NCB/CA
BP/SK
LOG(LA/VDFL)
KE_LONG/KE
PNA/CA
LOG(MAX_SUM)

Mean
0.017
16.04
0.146
0.542
0.099
0.130
-0.079
0.319
0.263
13.80

MaxiMinimum
mum
Std. Dev.
0.098
0.0003
0.023
17.83
13.51
1.010
0.316
0.088
0.050
0.840
0.319
0.128
0.283
0.002
0.084
0.667
0.004
0.146
3.171
-1.594
0.721
0.674
0.00006
0.158
0.724
0.014
0.169
19.52
6.91
3.62

Mean
0.022
14.59
0.201
0.470
0.124
0.081
0.506
0.295
0.202

MaxiMinimum
mum
Std. Dev.
0.745
0.000
0.052
17.83
13.50
0.95
0.735
0.050
0.107
0.926
0.052
0.157
0.551
0.000
0.106
0.647
-0.035
0.100
5.715
-2.081
1.216
0.889
0.0001
0.171
0.761
0.005
0.284

3.2.
06 .
. .
,
. , , , , ,
. ,
(
).
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0.114
0.201
0.0189
0.0846
C
0.000729
0.00150
0.00179
0.00118
LOG(PZS/KE)
-0.0073
-0.0043
-0.0019
-0.0018
LOG(SK)
0.202
0.011**
0.146
-0.0086
SK/CA
0.0760
0.0247
0.0739
0.0316
KE/CA
0.392
0.106
0.304
0.117
NCB/CA
-1.146
-0.188
-0.748
-0.191
(NCB/CA)^2
-0.0960
-0.0850
-0.102
-0.066
BP/SK
0.164
0.133
0.131
0.067*
(BP/SK)^2
-0.00933
-0.00250
-0.00319
0.0006**
LOG(LA/VDFL)
0.00104
0.00086
LOG(MAX_SUM)
-0.0030
EURO
0.0132
0.0121
0.0071
0.0114
D_TERM_6
0.0153
0.0090
D_TERM_9
0.0224
0.0208
0.0158
0.0173
D_TERM_12
+
+
+
+
Time dummies
0.816
0.381
0.818
0.338
R2_adj
10%- . *, ** 5% 10%- ; 1% .
23

 D_TERM_9 9-12
, D_TERM_6
6-9 , 6-12 .

3 , .. 2004 .
. , EURO.

,
0.8, , , 0.30.4, .. .
06. , , (., , Graeve et al
(2004), Gambacorta (2004)).
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, , . , ,
, , ,
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, . , ,
.
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. , ,
( , , ). , ( ): , . 0.202 ,
24

(0.05, . 05) 0.01 (1%), -0.0086 ,

(0.107, ), 0.0009 (~0.1%), .. .
KE/CA . , : .
, . , , .
NCB/CA t . ,
, .. , . U- .
, NCB/CA
. 06 0.7, 1.1, 0.8, 1.2, .. . , , ( ) .
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1.21.9, .. . , . , :
, , , , .
LA/VDFL ( )
0 5% . , .
, .
, 0.3%
.
, 6-9, 9-12, 12
1.3%, 1.5% 2.2%, 3-6 .
0.7%, 0.9% 1.6%.
( 2 4) .
. 3 ,
06. ,
25

 .
,
1%.
, , KE_LONG/KE ( , ), PNA/CA (
), VDFL/TOTVDFL ( ), Berger and Udell (1992), Graeve et al. (2004), Gambacorta (2004).
07. (, 3 , 2004 ., ,
06.)
07. 2
LOG(PZS/KE)
LOG(SK)
SK/CA
KE/CA
NCB/CA
NCB/CA2
BP/SK
BP/SK2
LOG(LA/VDFL)
D_TERM_6
D_TERM_12
KE_LONG/KE
PNA/CA
VDFL/TOTVDFL

0.0016
0.0015
0.0016
-0.0030
-0.0023 -0.00229*
0.0069
0.0042
0.0049
0.0335
0.0289
0.0272
0.1069
0.0944
0.0940
-0.1614
-0.1405
-0.1427
-0.0440
-0.0447
-0.0529
0.0571*
0.0596*
0.0686
-0.0023 -0.00246
-0.0028
0.0139
0.0139
0.0138
0.0215
0.0216
0.0213
-0.0152
-0.0137
-0.0038
-0.0004

0.0011
0.0011
0.0010
-0.0009 -0.00072*
0.0007
-0.0083*
-0.0114
-0.0171
0.0335
0.0339
0.0300
0.1091
0.1057
0.1031
-0.1593
-0.1526
-0.1532
-0.0616
-0.0609
-0.0670
0.0560**
0.0521
0.0599*
0.0005
0.00027
-0.0010
0.0108
0.0109
0.0109
0.0152
0.0153
0.0155
0.00033
0.0022
-0.00815
-0.0020*

time dummies

0.494
0.502
0.498
0.299
0.304
0.306
10%- . *, **
5% 10%- ; 1% .
R2_adj

. , ( , ), , .
. ,
. (60%),
40%.
, .
26

 06, 07.
(
).
( ) .
, , ,
.

3.3.
, ( 2002 . 2004 .) .
(. . 13 14).
, , SK, .
,
, pass-through
(., ,
Hannan and Berger (1991), Mojon (2000), Graeve et al. (2004), Gambacorta (2004)).
, , , , .
. 16 , INFL, ( , ), MIBID 90-180
, ,
- ( )
C_RUB C_VAL.
C_VAL.
.
, / .
.
08 ,
(INFL, MIBID).
. ,
(MIBID) . ,
. 27

 , , , MIBID, .

0.055

infl

0.080

0.050

c_val

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0.045

0.040

0.040
2004_10

0.100

2004_07

mibid

2004_04

0.060

2004_01

0.120

2003_10

c_rub

2003_07

0.065

2003_04

0.140

2003_01

0.070

2002_10

0.160

2002_07

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2002_04

0.180

2002_01

0.080

2001_04

0.200

. 16. ,
06.
( )
. ( 0.494 0.488, 0.299 0.292). ,
.
08. c


+
+
C
0.079
0.106
0.0900
0.051
0.0557
0.054
INFL
0.530
0.1807
0.098
0.021
MIBID
0.3716
0.094
0.082
0.473
LOG(PZS/KE)
0.0016
0.002
0.0016
0.0016
0.0011
0.0011
0.0010
0.0010
LOG(SK)
-0.0030
-0.0030
-0.0030
-0.0031
-0.0009
-0.0010
-0.0010
-0.0010
SK/CA
0.0069
0.0183 0.0085**
0.0095** -0.0083*
-0.0052 -0.0072* -0.0071*
KE/CA
0.0335
0.0321
0.0323
0.0343
0.0335
0.0338
0.0341
0.0343
NCB/CA
0.1069
0.0998
0.1042
0.1121
0.109
0.105
0.107
0.107
(NCB/CA)^2
-0.1614
-0.153
-0.161
-0.1718
-0.159
-0.153
-0.155
-0.156
BP/SK
-0.0440
-0.003
-0.0404
-0.0304*
-0.0616
-0.0445
-0.0515
-0.0503
(BP/SK)^2
0.0571*
-0.0168
0.0562
0.0385 0.0560**
0.0290
0.0432
0.0412
LOG(LA/VDFL)
-0.0023
-0.0017
-0.0020
-0.0020
0.0005 0.00079* 0.00072* 0.00071*
D_TERM_6
0.0139
0.0139
0.0137
0.0139
0.0108
0.0108
0.0108
0.0108
D_TERM_12
0.0215
0.0212
0.0211
0.0216
0.0152
0.0152
0.0153
0.0153
R2_adj
0.494
0.384
0.474
0.299
0.280
0.292
0.488
0.292
10%- . *, ** 5%
10%- ; 1% .
time dummies

28

 MIBID ,
.
. pass-through 0.47, . 0.80.9 Graeve (2004) 0.50.9 Gambacorta (2004).
1 ,
. . , .. .
,
, .


(pt, pass-through)
(. 4).
95%- pt. . 17.

1.00
0.80
0.60

pt_l

0.40

pt_h

0.20

pt

0.00
-0.20
2004_2

2004_1

2003_4

2003_3

2003_2

2003_1

2002_4

2002_3

2002_2

2002_1

-0.40

. 17. pt
. 17 , 2003 . pt , 2003 .
0.6 0.4-0.8.
. , 1998 . . 2003 . ,
, 90-180 . , ,
2003 .
29

 . , ,
90-180 .
4 pt.
pt. . . , . .
:
, . U-,
pt, ( ).
, Gambacorda (2004). , pt, , , .

3.4.
09 . . (2004), . (2005).
09. c

+
+
+
-

+
+
-

08 . ,
.
, , . ,

, , , .
30

4.
20022004 .

.
, , ,
.
,
. , , .

.
( ) , . ( )
.
, . .
,
. , ,

.
,
.

31


Berger A.N. and G.F. Udell, (1992). Some evidence on the empirical significance of credit rationing, Journal
of Political Economy, Vol.100, No. 5, 1047-77.
Hannan T.H., and A.N. Berger, (1991). The rigidity of prices: Evidence from the banking industry, The
American Economic Review, Vol. 81, No. 4, 938-945.
Graeve F.D., Jonghe O.D., and R.V. Vennet, (2004). The determinants of pass-through of market conditions
to bank retail interest rates in Belgium, National Bank of Belgium Working Paper No.47.
Mojon B. (2000). Financial structure and the interest rate channel of ECB monetary policy, European Central Bank Working Paper No. 40.
Sander H., and S. Kleimeier, (2004). Convergence in euro-zone retail banking? What interest rate passthrough tells us about monetary policy transmission, competition and integration, Journal of International
Money and Finance, No. 23, 461-492.
Gambacorta L., (2004). How Do Banks Set Interest Rates?, NBER Working Paper 10295.
.., .., .., (2005). , .
, .
Peresetsky A.A., A.H.O. van Soest, and A.M. Karminsky, (2003). An analysis of ratings of Russian banks
Tilburg University CentER Discussion Paper Series, 2003 nr.85.
http://greywww.kub.nl:2080/greyfiles/center/2003/85.html)
Peresetsky A., A. Karminsky and S. Golovan (2004). Probability of default models of Russian banks. Bank
of Finland BOFIT Discussion paper 21/2004. (http://www.bof.fi/bofit/eng/6dp/04abs/pdf/dp2104.pdf)
.., .. , ... , (2004).
. , 40(4), 10-25.

32


1.

BP

CA

SK

VB

KE

KE_LONG

( 1 )

SK/CA

/ ( )

NCB

LA

PZS/KE

RA/CA

PNA/CA

( )

BP/SK

( )

VDFL

D_2_1

: D__

D_TERM_3

EXP/IMP

INFL

MIBID_P

91
180 , (
)

MAX_SUM

: .
300 . . .

33

 2.

PZS/KE
LOG(SK)
SK/CA
KE/CA
NCB/CA
BP/SK
LOG(LA/VDFL)
KE_LONG/KE
PNA/CA

PZS/KE LOG(SK)
1
0.208
0.208
1
0.282
-0.056
-0.274
0.044
0.208
-0.092
0.272
0.030
0.079
-0.019
0.088
0.191
-0.204
0.412

SK/CA
0.282
-0.056
1
-0.015
0.193
-0.033
0.017
-0.545
-0.084

KE/CA NCB/CA
-0.274
0.208
0.044
-0.092
-0.015
0.193
1
-0.853
-0.853
1
0.154
-0.162
-0.094
-0.058
0.007
-0.120
0.022
-0.012

BP/SK
0.272
0.030
-0.033
0.154
-0.162
1
0.281
0.288
-0.520

LOG(LA/ KE_LON
VDFL)
G/KE PNA/CA
0.079
0.088
-0.204
-0.019
0.191
0.412
0.017
-0.545
-0.084
-0.094
0.007
0.022
-0.058
-0.120
-0.012
0.281
0.288
-0.520
1
0.234
-0.193
0.234
1
-0.203
-0.193
-0.203
1

BP/SK
-0.026
0.101
-0.279
-0.067
-0.141
1
-0.067
0.079
0.179

LOG(LA/ KE_LON
VDFL)
G/KE PNA/CA
0.124
-0.015
-0.075
0.016
0.190
0.182
0.140
-0.109
-0.255
-0.325
-0.174
0.111
0.043
-0.077
-0.150
-0.067
0.079
0.179
1
0.036
-0.175
0.036
1
-0.090
-0.175
-0.090
1

()

PZS/KE
LOG(SK)
SK/CA
KE/CA
NCB/CA
BP/SK
LOG(LA/VDFL)
KE_LONG/KE
PNA/CA

PZS/KE LOG(SK)
1
0.049
0.049
1
0.052
-0.117
-0.124
0.084
0.006
-0.147
-0.026
0.101
0.124
0.016
-0.015
0.190
-0.075
0.182

SK/CA
0.052
-0.117
1
0.058
0.332
-0.279
0.140
-0.109
-0.255

KE/CA NCB/CA
-0.124
0.006
0.084
-0.147
0.058
0.332
1
-0.423
-0.423
1
-0.067
-0.141
-0.325
0.043
-0.174
-0.077
0.111
-0.150

3.
,
. 06. ,
,
.

LOG(PZS/KE)
LOG(SK)
SK/CA
KE/CA
NCB/CA
BP/SK
LOG(LA/VDFL)

0.1%
-0.7%
1.0%
1.0%
+0.6-2.2%
-0.4+1.1%
-0.7%

0.2%
-0.4%
0.1%
0.4%
+0.4-0.8%
-0.5+0.8%
-0.3%

0.2%
-0.2%
0.7%
0.9%
+0.8-1.8%
-0.7+1.3%
-0.2%

0.2%
-0.2%
-0.1%
0.5%
+0.5-0.9%
-0.5+0.6%
0.1%

34

 4. .
Dependent Variable: PS1
Method: Two-Stage Least Squares
Date: 12/10/05 Time: 21:18
Sample: 1 11574 IF SS2>90 AND SS2<1100 AND SK>0 AND
LOG_SK>13.5 AND NCBKE_CA<1 AND REGNUM<>1481 AND
REGNUM<>2930 AND REGNUM<>3133 AND REGNUM<>1920
AND REGNUM<>3316 AND PS1>0.05 AND PS1<0.23 AND
PNA<CA
Included observations: 1954
White Heteroskedasticity-Consistent Standard Errors & Covariance
Instrument list: C LOG_PZS_KE LOG_SK SK_CA KE_CA
NCB_CA NCB_CA2 BP_SK BP_SK2 D_TERM_6 D_TERM_12
LOG_LA_VDFL EXP_IMP INFL MIBID_P KE_LONG/KE MIBID_P
*TIME MIBID_P*MIBID_P MIBID_P*LOG_PZS_KE MIBID_P
*LOG_SK MIBID_P*SK_CA MIBID_P*KE_CA MIBID_P
*NCB_CA MIBID_P*NCB_CA2 MIBID_P*BP_SK MIBID_P
*BP_SK2 MIBID_P*(TIME>2) MIBID_P*(TIME>7) MIBID_P
*LOG_LA_VDFL MIBID_P*D_TERM_6 MIBID_P*D_TERM_12

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MIBID_P
MIBID_P*TIME
MIBID_P*MIBID_P
MIBID_P*LOG_SK
MIBID_P*SK_CA
MIBID_P*NCB_CA
MIBID_P*BP_SK
MIBID_P*BP_SK2
MIBID_P*LOG_LA_VDFL
LOG_PZS_KE
LOG_SK
SK_CA
KE_CA
NCB_CA
NCB_CA2
BP_SK
BP_SK2
LOG_LA_VDFL
D_TERM_6
D_TERM_12

0.167910
0.528584
-0.018432
-4.531193
0.062989
-0.292191
0.495660
0.681190
-2.231085
-0.022264
0.001554
-0.009710
0.039334
0.033145
0.066511
-0.186684
-0.100785
0.256788
0.000200
0.013609
0.021456

0.019672
0.212720
0.003277
0.656083
0.010345
0.140593
0.139078
0.338884
0.894008
0.009896
0.000330
0.001202
0.016684
0.003936
0.018040
0.028211
0.040364
0.107473
0.001050
0.001009
0.001152

8.535421
2.484884
-5.624913
-6.906433
6.088720
-2.078280
3.563889
2.010097
-2.495598
-2.249811
4.716042
-8.081333
2.357607
8.421368
3.686884
-6.617524
-2.496937
2.389320
0.190209
13.48884
18.62574

0.0000
0.0130
0.0000
0.0000
0.0000
0.0378
0.0004
0.0446
0.0127
0.0246
0.0000
0.0000
0.0185
0.0000
0.0002
0.0000
0.0126
0.0170
0.8492
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat

0.507372
0.502275
0.019385
1.076687

Mean dependent var

S.D. dependent var
Sum squared resid
Second-stage SSR

35

0.135172
0.027477
0.726373
0.726373