Influence of News Tonality on Credit Market during Sanctions Period

Abstract

Russian economy was influenced by western sanctions in many spheres. Russian credit market was significantly impacted as well. The presented work suggests that except for the strict influence in form of financial restrictions and assets freezing, sanctions also had indirect impact. Emotional presentation of Russian sanctions in abroad media can be claimed as one of the indirect factors, which form banking management expectations of economic situation and influences people to have loans and place money into deposits. The aim of research is to estimate the influence of news about Russian sanctions tonality in foreign media on the level of credit and deposit interest rates in Russian commercial banks. To achieve this goal, the following hypotheses were claimed: there is a connection between the way in which sanctions against Russia are presented in foreign media and the level of interest rates; there is a difference in the impact of positive and negative news texts on the expectations, determining changes in interest rates. «Bag of words» technique and a special dictionary, which helps to identify the emotional tonality of the text, were used to achieve the declared aim. Advanced modeling of interest rates was carried out using the vector autoregression (VAR) model, supplemented by the construction of the impulse response function and the calculation of the rate dispersion decomposition. As a result, a hypothesis about the influence of news tonality on commercial bank interest rates’ was approved.