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Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru

Author

Listed:
  • Jefferson Martínez

    (Pontificia Universidad Católica del Perú)

  • Gabriel Rodríguez

    (Departamento de Economía de la Pontificia Universidad Católica del Perú / Fiscal Council of Peru)

Abstract

This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peruís 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. JEL Classification-JEL: C11, E32, E51.

Suggested Citation

  • Jefferson Martínez & Gabriel Rodríguez, 2020. "Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru," Documentos de Trabajo / Working Papers 2020-483, Departamento de Economía - Pontificia Universidad Católica del Perú.
    • Handle: RePEc:pcp:pucwps:wp00483
    DOI: 10.18800/2079-8474.0483
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    More about this item

    Keywords

    Sistema Bancario; Choque de Oferta de Crédito; Modelo VAR Bayesiano; Restricciones de Signo; Economía Peruana;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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