Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru

Jefferson Martínez and Gabriel Rodríguez
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Jefferson Martínez: Pontificia Universidad Católica del Perú

No 2020-483, Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú

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 identification schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth. JEL Classification-JEL: C11, E32, E51.

Keywords: Sistema Bancario; Choque de Oferta de Crédito; Modelo VAR Bayesiano; Restricciones de Signo; Economía Peruana (search for similar items in EconPapers)
Pages: 34
Date: 2020
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fdg and nep-mac
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