Disentangling loan demand and supply shocks in Russia

Elena Deryugina, Olga Kovalenko (), Irina Pantina () and Alexey Ponomarenko
Additional contact information
Olga Kovalenko: Bank of Russia, Russian Federation
Irina Pantina: Bank of Russia, Russian Federation

No wps3, Bank of Russia Working Paper Series from Bank of Russia

Abstract: This article presents three alternative models for decomposing loan developments into components associated with changes in loan demand and supply fundamentals. Two models are based on macro data (error correction model and structural vector autoregression with sign restrictions) and one is based on bank-specific Bank Lending Survey results. We conclude that although loan growth in Russia converges to a long-run equilibrium determined by macroeconomic (demand) factors the convergence is likely to be driven by bank-side (supply) shocks. We identify large and unex-plained supply shocks in loan fluctuations during the crisis of 2008-2009, signifying an impairment of credit markets. We also find contractionary shocks unrelated to demand fundamentals or balance sheet structures in 2013, although in general loan developments in 2013 and the first half of 2014 were not at all extraordinary.

Keywords: loan demand; loan supply; cointegration; structural VAR; sign restrictions; Bank Lending Survey; Russia (search for similar items in EconPapers)
JEL-codes: C32 E51 G21 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2015-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: Disentangling loan demand and supply shocks in Russia (2015)
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