ABSTRACT

We use credit registry data on all corporate loans issued by Russian banks since 2017 to decompose bank interest spreads into a common factor, borrower- and lender-specific components. We find that the variation in loan rates associated with lender-specific factors (heterogeneity of banks) and borrower-specific factors (heterogeneity of borrowers) is substantial. We use the bank-specific components identified to measure the fragmentation of the corporate credit market in Russia. The results indicate that heterogeneity in banks’ interest rate setting is high and increased in the early stage of the pandemic. Finally, our results suggest that banks tightened non-interest loan conditions during the pandemic.

摘要

我们使用自 2017 年以来俄罗斯银行发行的所有公司贷款的信用登记数据，将银行利差分解为一个共同因素、借款人和贷款人特定的组成部分。我们发现，与贷方特定因素（银行的异质性）和借款人特定因素（借款人的异质性）相关的贷款利率变化很大。我们使用确定的银行特定成分来衡量俄罗斯企业信贷市场的分散程度。结果表明，银行利率设置的异质性很高，并且在大流行的早期阶段有所增加。最后，我们的结果表明，银行在大流行期间收紧了非利息贷款条件。