ANALYSIS OF CREDIT MARKET DYNAMICS IN RUSSIA
Alexandra V. Bozhechkova, Diana A. Petrova
Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russian Federation
Keywords: credit activity, credit impulse, credit-to-GDP gap, Hodrick-Prescott filter, monetary policy, macroprudential regulation, Russian credit market
Abstract
The article presents a comparative analysis of statistical approaches to measuring credit activity: credit growth rates, the credit-to-GDP gap (with different smoothing parameters of the Hodrick-Prescott filter), and the credit impulse. The relevance of the study is driven by the need for timely identification of credit cycle phases for monetary and macroprudential policy purposes, especially amid structural shifts in the Russian economy. Based on data from the Bank of Russia and Rosstat for the period Q1 2010 - Q1 2025, an empirical calculation of the indicators is carried out, and their ability to identify periods of credit market overheating and post-crisis recovery is assessed. Recommendations are proposed for the application of these indicators in the monitoring practice of the Bank of Russia.
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