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Disentangling loan demand and supply shocks in Russia

Author

Listed:
  • Elena Deryugina

    (Bank of Russia, Russian Federation)

  • Olga Kovalenko

    (Bank of Russia, Russian Federation)

  • Irina Pantina

    (Bank of Russia, Russian Federation)

  • Alexey Ponomarenko

    (Bank of Russia, Russian Federation)

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.

Suggested Citation

  • Elena Deryugina & Olga Kovalenko & Irina Pantina & Alexey Ponomarenko, 2015. "Disentangling loan demand and supply shocks in Russia," Bank of Russia Working Paper Series wps3, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps3
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    References listed on IDEAS

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    Cited by:

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    3. Perevyshina, E. & Perevyshin, Y., 2015. "Evaluation of Credit Channel in Russia," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 96-110.

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    More about this item

    Keywords

    loan demand; loan supply; cointegration; structural VAR; sign restrictions; Bank Lending Survey; Russia;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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