Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru

Jefferson Martínez and Gabriel Rodríguez
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published

Downloads: (external link)
http://doi.org/10.18800/2079-8474.0483 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to repositorio.pucp.edu.pe:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.) (http://doi.org/10.18800/2079-8474.0483 [301 Moved Permanently]--> https://doi.org/10.18800/2079-8474.0483 [302 Found]--> http://repositorio.pucp.edu.pe/index/handle/123456789/176224)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pcp:pucwps:wp00483

Access Statistics for this paper

More papers in Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú Av. Universitaria 1801, San Miguel, Lima, Perú. Contact information at EDIRC.
Bibliographic data for series maintained by ().