Macroeconomic effects of loan supply shocks: Empirical evidence for Peru

Artikel

This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Latin American Economic Review ; ISSN: 2196-436X ; Volume: 30 ; Year: 2021 ; Issue: 1 ; Pages: 1-24 ; Ciudad de México: Centro de Investigación y Docencia Económica (CIDE)

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Business Fluctuations; Cycles ; Money Supply; Credit; Money Multipliers
• Subject: Banking System ; Loan Supply Shock ; Bayes-ian Autoregressive Vector Model ; Sign Restrictions ; Peruvian Economy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Martínez, Jefferson ; Rodriguez, Gabriel
• Event: Veröffentlichung
• (who): Centro de Investigación y Docencia Económica (CIDE)
• (where): Ciudad de México
• (when): 2021

Further information

• DOI: doi:10.47872/laer-2021-30-5
• Handle: http://hdl.handle.net/10419/259459
• Last update: 10.03.2025, 11:44 AM CET