Martínez, JeffersonRodríguez, Gabriel2021-05-052021-05-052020-02http://repositorio.pucp.edu.pe/index/handle/123456789/176224Documento de trabajo; 483This 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.enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Banking SystemLoan Supply ShockBayesian Autoregressive Vector ModelSign RestrictionsPeruvian Economyinfo:eu-repo/semantics/workingPaperhttp://purl.org/pe-repo/ocde/ford#5.02.00http://doi.org/10.18800/2079-8474.0483