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This article is cited in 1 scientific paper (total in 1 paper)
MODELS OF ECONOMIC AND SOCIAL SYSTEMS
Modelling of trends in the volume and structure of accumulated credit indebtedness in the banking system
A. A. Pekhterev, D. V. Domaschenko, I. A. Guseva Plekhanov Russian University of Economics,
36 Stremianny per., Moscow, 115093, Russia
Abstract:
The volume and structure of accumulated credit debt to the banking system depends on many factors, the most important of which is the level of interest rates. The correct assessment of borrowers' reaction to the changes in the monetary policy allows to develop econometric models, representing the structure of the credit portfolio in the banking system by terms of lending. These models help to calculate indicators characterizing the level of interest rate risk in the whole system. In the study, we carried out the identification of four types of models: discrete linear model based on transfer functions; the state-space model; the classical econometric model ARMAX, and a nonlinear Hammerstein–Wiener model. To describe them, we employed the formal language of automatic control theory; to identify the model, we used the MATLAB software package. The study revealed that the discrete linear state-space model is most suitable for short-term forecasting of both the volume and the structure of credit debt, which in turn allows to predict trends in the structure of accumulated credit debt on the forecasting horizon of 1 year. The model based on the real data has shown a high sensitivity of the structure of credit debt by pay back periods reaction to the changes in the Сentral Bank monetary policy. Thus, a sharp increase in interest rates in response to external market shocks leads to shortening of credit terms by borrowers, at the same time the overall level of debt rises, primarily due to the increasing revaluation of nominal debt. During the stable falling trend of interest rates, the structure shifts toward long-term debts.
Keywords:
credit debt, interest rate, dynamic modelling, state-space model, forecasting.
Received: 27.03.2019 Revised: 18.08.2019 Accepted: 17.09.2019
Citation:
A. A. Pekhterev, D. V. Domaschenko, I. A. Guseva, “Modelling of trends in the volume and structure of accumulated credit indebtedness in the banking system”, Computer Research and Modeling, 11:5 (2019), 965–978; Computer Research and Modeling, 11:5 (2019), e965–e978
Linking options:
https://www.mathnet.ru/eng/crm753 https://www.mathnet.ru/eng/crm/v11/i5/p965
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Abstract page: | 149 | Russian version PDF: | 56 | English version PDF: | 10 | References: | 17 |
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