This paper presents the DSGE model of the Russian economy with the banking sector which the Bank of Russia uses for simulation experiments. We show how the introduction of the banking sector changes impulse responses of a standard DSGE model of a small open economy. We also demonstrate that the model has fairly good predictive power. The model enables us to study the effect of banking sector-specific shocks on the economy. Estimation on Russian data has led us to conclude that in this model such shocks did not have a significant effect on the real economy’s variables in the period under observation spanning years from 2006 to 2016.