Modeling the effect of exogenous shocks on the relation between the key rate and interest rates on deposits

Abstract

Introduction. Fluctuations in interest rates within the deposit segment of the financial market reflect the growing influence of external and internal shocks on the transmission mechanisms of monetary policy. To examine these processes, one requires models capable of accounting for the heterogeneity of market participants’ behavior and the adaptation of deposit rates to changing macroeconomic conditions. Purpose. The article aims at modeling the impact of exogenous shocks on the dynamics of deposit interest rates for households and corporate clients in the Russian banking sector, as well as identifying changes in the role of price and non-price factors under alternating periods of macroeconomic stability and external shocks. Materials and methods. The study period (2014–2025) was segmented into intervals defined by the boundaries of exogenous shocks determined with statistical methods and expert evaluation. Each interval underwent regression analysis with further identification of price and non-price components of influence, along with statistical tests to assess model quality. Results. The findings show that short-term deposits exhibit high rate elasticity with respect to the key interest rate, while medium- and long-term deposits display delayed and heterogeneous reactions, which are amplified by behavioral and institutional factors. Models for corporate deposit rates demonstrate higher explanatory power, whereas those for households show greater inertia and deviations of residuals from normality. Conclusions. The response of deposit interest rates to exogenous shocks is heterogeneous and nonlinear, varying across maturities and depositor categories. The practical significance of the research lies in substantiating the need for a segmented approach to the banks’ deposit policies and in improving interest rate forecasting models that account for structural shifts and exogenous influences.