Measurement of auxiliary indicators of aggregate interest rates on loans to non-financial organisations
Burova Anna, Grishina Tatiana, Makhankova Natalia
Newly issued loans with fixed rates, including prolongations and excluding loans to affiliates, are used to calculate aggregate (published) rates on loans to non-financial organisations in Russia. However, the structure of loans is evolving over times. In particular, the share of loans with floating interest rates is increasing. Historically, such loans did not participate in the calculation of aggregate interest rates. Therefore, it becomes relevant to calculate alternative indicators of weighted average interest rates that would focus on groups of loans that are not currently included in aggregate statistics.
Thanks to the detailed Russian data, we can construct an indicator of interest rates depending on the purpose of the analysis or research and not limit ourselves to only one aggregate indicator.
This research paper looks at alternative approaches to calculating weighted average interest rates on loans to non-financial Russian companies, focusing on the division of loans by type of rate (fixed and floating), affiliation type, and the time of rate-setting relative to the moment of disbursement of funds.
Our findings indicate that the difference between the rates can be as much as
Information on the effects of rate type, affiliation, and timing of rate-setting could provide a new look on monetary policy impact at the economy level. To support this, we perform simple exercise, demonstrating how the implementation of an alternatively calculated rate affects forecasting outcomes in the quarterly projection model (QPM) and alters assessments of the interest rate channel of the monetary policy. We demonstrate that output forecasts can vary by up to 0.6 pp, and that sensitivity to loan interest rates may be higher than with existing rates.