Vector model of error correction in modeling the relationship between bank lending indicators and the growth rates of the Russian economy


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Abstract

The article discusses the problem of modeling the functional dependence of the volume of loans issued and the growth rate of the Russian economy. The relevance of this study is due to the need to identify the factors affecting the growth of the indicator of real gross domestic product. The analyzed domestic and foreign sources do not provide a single set of factors affecting the growth rate of the national economy, highlighting financial mechanisms, production processes, lending volumes to individuals and legal entities, investment activity, etc. The article notes the problem of the formation of a multifactor model of the influence of various parameters on the indicator of the growth rate of the national economy. The process of modeling the functional dependence of GDP on the elements of the influence vector is complicated by the specifics of statistical data. In order to avoid such problems associated with series cointegration, a vector error correction model was proposed. The model was tested on statistical data of organizations in the banking sector and enterprises of the real sector of the Russian economy. It was revealed that under the existing conditions of organizing the lending process, the banking system works not so much to increase production volumes as to maintain the level of the financial condition of economic entities (maintaining the level of liquidity and increasing financial investments), while not contributing to a change in the overall structure of the Russian economy. The developed vector model of error correction makes it possible to measure deviations from equilibrium and the rate of its recovery, which indicates the greater efficiency of this technique. At the same time, the above results allow us to conclude that in the presence of a positive relationship between the volume of lending and the main indicators, the degree of influence of lending on economic growth is generally insignificant

About the authors

Dmitriy Y. Ivanov

Samara National Research University

Author for correspondence.
Email: ivanov.dyu@ssau.ru
ORCID iD: 0000-0003-0619-9340

Doctor of Economics, professor, head of the Department of Management and Production Organization

Russian Federation, 34, Moskovskoye shosse, Samara

Tali Mahdi Mohammed Tali

Samara National Research University

Email: m.economic@mail.ru

postgraduate student

Russian Federation, 34, Moskovskoye shosse, Samara

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