Analysis of Banking Sector Influence on Economic Growth of the Russian Federation

Introduction. At present, the central problem for most countries in the world is to achieve sustainable economic growth rates. Traditionally, the factors of economic growth include labor, natural resources, physical capital, technology. Recently, the level of development of the financial system and, in particular, of the banking sector providing loans to the real sector of the economy with financial resources has been singled out separately. The aim of the work is to econometrically study the impact of bank lending on economic growth, testing on the Russian data of cause-effect relationships and reactions to shocks. The observation period is from the first quarter of 2000 to the fourth quarter of 2016 (68 quarter-mean values). Theoretical analysis. A comparative analysis of modern approaches, adopted in foreign and domestic literature, to study the influence of various factors on economic growth. The econometric methodology of the study of the statistical interrelation between nonstationary time series, including Ingle-Granger cointegration tests, causality research and shock responses based on the vector error correction model (VECM) was used in the work. Based on the recommendations of economic theory and analysis of foreign and domestic literature, the following macroeconomic and financial indicators were selected as factors of economic growth: the volume of investments in fixed assets, the unemployment rate and the volume of bank lending. Empirical analysis. Comparison of time series of quarterly values of macroeconomic and financial indicators of the banking sector of Russia for 2000-2016 is carried out. For calculations and modeling, the modern econometric package Gretl was used. Testing for stationarity, determination of the degree of integration (I = 1); tests for coin-tegration (confirmation of the presence of cointegration ratio); Cointeratation analysis, causality testing and shock response analysis using VECM. Results. Based on the Inglane-Granger test, cointegration of the nonstationary time series studied is established: GDP, the volume of bank lending, the volume of investment in fixed assets. A statistically significant dependence of GDP on the indicators of the banking sector and the real economy was found. The existence of the effect of bank lending on GDP has been quantified, but to a lesser extent than the impact of investment in fixed assets and unemployment. A vector model of error correction is constructed and the functions of the impulse response to variable shocks are investigated. The Granger causality test confirmed the interdependence between macroeconomic indicators and the volume of bank lending.