A cyclical explanation of the decrease in the credit-to-GDP ratio in Poland after the COVID-19 pandemic

Mariusz Kapuściński

No 381, NBP Working Papers from Narodowy Bank Polski

Abstract: In this research note I propose a simple yet novel method to decompose changes in the credit-to-GDP ratio. Instead of modelling or filtering the credit-to-GDP ratio directly, I make a historical decomposition of the components of the ratio. I use Bayesian structural vector autoregressive models identified with sign and zero restrictions. Then, I make a historical decomposition of the credit-to-GDP ratio based on the decompositions of its components. I apply the method to data for Poland. I find that between 64 and 70% of (the explainable part of) the decrease in the credit-to-GDP ratio in Poland after the COVID-19 pandemic can be attributed to shocks affecting mainly demand for credit, while credit supply shocks made up the remaining 30-36% of the decrease.

Keywords: credit; banking; macro-finance; VAR modelling (search for similar items in EconPapers)
JEL-codes: C32 E44 E51 G21 (search for similar items in EconPapers)
Pages: 35
Date: 2026
New Economics Papers: this item is included in nep-fdg
Note: The views expressed in this article are those of the author. I would like to thank colleagues at the Financial Stability Department of Narodowy Bank Polski for their useful comments. Special thanks to Piotr Bańbuła, Artur Rutkowski and Ewa Wróbel for inspiring some solutions used in the study. Any errors are mine.
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