Disentangling loan demand and supply shocks in Russia

Arbeitspapier

​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 unexplained 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.

Angaben zum Objekt

• ISBN: 978-952-323-032-3
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: BOFIT Discussion Papers ; No. 8/2015

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Money Supply; Credit; Money Multipliers ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Deryugina, Elena ; Kovalenko, Olga ; Pantina, Irina ; Ponomarenko, Alexey
• Ereignis: Veröffentlichung
• (wer): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (wo): Helsinki
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/212818
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ