dc.contributor.author | Martínez, Jefferson | |
dc.contributor.author | Rodríguez, Gabriel | |
dc.date.accessioned | 2021-05-05T21:41:44Z | |
dc.date.available | 2021-05-05T21:41:44Z | |
dc.date.issued | 2020-02 | |
dc.identifier.uri | http://repositorio.pucp.edu.pe/index/handle/123456789/176224 | |
dc.description | Documento de trabajo; 483 | |
dc.description.abstract | This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peruís main
macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination
with an identification scheme with sign restrictions. The main results indicate that an adverse LS
shock: (i) reduces credit and real GDP growth by 372 and 75 basis points in the impact period,
respectively; (ii) explains 11.2% of real GDP growth variability on average over the following 20
quarters; and (iii) explained a 180-basis point fall in real GDP growth on average during 2009Q1-
2010Q1 in the wake of the Global Financial Crisis (GFC). Additionally, the sensitivity analysis
shows that the results are robust to alternative identiÖcation schemes with sign restrictions; and
that an adverse LS shock has a greater impact on non-primary real GDP growth. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | es_ES |
dc.relation.ispartof | urn:issn:2079-8466 | |
dc.relation.ispartof | urn:issn:2079-8474 | |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | * |
dc.subject | Banking System | es_ES |
dc.subject | Loan Supply Shock | es_ES |
dc.subject | Bayesian Autoregressive Vector Model | es_ES |
dc.subject | Sign Restrictions | es_ES |
dc.subject | Peruvian Economy | es_ES |
dc.title | Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru | es_ES |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.type.other | Documento de trabajo | |
dc.subject.ocde | http://purl.org/pe-repo/ocde/ford#5.02.00 | |
dc.publisher.country | PE | |
renati.advisor.orcid | https://orcid.org/0000-0002-1740-6037 | |
renati.advisor.orcid | https://orcid.org/0000-0003-1174-964 | |
dc.identifier.doi | http://doi.org/10.18800/2079-8474.0483 | |