Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru

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2020-02

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Pontificia Universidad Católica del Perú. Departamento de Economía

Resumen

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.

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Documento de trabajo; 483

Palabras clave

Banking System, Loan Supply Shock, Bayesian Autoregressive Vector Model, Sign Restrictions, Peruvian Economy

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Licencia Creative Commons

Excepto se indique lo contrario, la licencia de este artículo se describe como info:eu-repo/semantics/openAccess