The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach

Descripción del Articulo

Documento de trabajo; 467
Detalles Bibliográficos
Autores: Guevara, Carlos, Rodríguez, Gabriel
Formato: documento de trabajo
Fecha de Publicación:2018
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/175841
Enlace del recurso:http://repositorio.pucp.edu.pe/index/handle/123456789/175841
http://doi.org/10.18800/2079-8474.0467
Nivel de acceso:acceso abierto
Materia:Loan supply shocks
Time-Varying Parameter VAR with Stochastic Volatility
Sign Restrictions
Variance Decomposition
Historical Decomposition
Business Cycles
Pacific Alliance bloc
Chile
Colombia
México
Perú
http://purl.org/pe-repo/ocde/ford#5.02.00
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dc.title.es_ES.fl_str_mv The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
title The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
spellingShingle The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
Guevara, Carlos
Loan supply shocks
Time-Varying Parameter VAR with Stochastic Volatility
Sign Restrictions
Variance Decomposition
Historical Decomposition
Business Cycles
Pacific Alliance bloc
Chile
Colombia
México
Perú
http://purl.org/pe-repo/ocde/ford#5.02.00
title_short The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
title_full The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
title_fullStr The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
title_full_unstemmed The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
title_sort The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
author Guevara, Carlos
author_facet Guevara, Carlos
Rodríguez, Gabriel
author_role author
author2 Rodríguez, Gabriel
author2_role author
dc.contributor.author.fl_str_mv Guevara, Carlos
Rodríguez, Gabriel
dc.subject.es_ES.fl_str_mv Loan supply shocks
Time-Varying Parameter VAR with Stochastic Volatility
Sign Restrictions
Variance Decomposition
Historical Decomposition
Business Cycles
Pacific Alliance bloc
Chile
Colombia
México
Perú
topic Loan supply shocks
Time-Varying Parameter VAR with Stochastic Volatility
Sign Restrictions
Variance Decomposition
Historical Decomposition
Business Cycles
Pacific Alliance bloc
Chile
Colombia
México
Perú
http://purl.org/pe-repo/ocde/ford#5.02.00
dc.subject.ocde.none.fl_str_mv http://purl.org/pe-repo/ocde/ford#5.02.00
description Documento de trabajo; 467
publishDate 2018
dc.date.accessioned.none.fl_str_mv 2021-04-15T00:28:45Z
dc.date.available.none.fl_str_mv 2021-04-15T00:28:45Z
dc.date.issued.fl_str_mv 2018-11
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.other.none.fl_str_mv Documento de trabajo
format workingPaper
dc.identifier.uri.none.fl_str_mv http://repositorio.pucp.edu.pe/index/handle/123456789/175841
dc.identifier.doi.none.fl_str_mv http://doi.org/10.18800/2079-8474.0467
url http://repositorio.pucp.edu.pe/index/handle/123456789/175841
http://doi.org/10.18800/2079-8474.0467
dc.language.iso.es_ES.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:2079-8466
urn:issn:2079-8474
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
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eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/2.5/pe/
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Peru. Departamento de Economía
dc.publisher.country.none.fl_str_mv PE
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str PUCP-Institucional
collection PUCP-Institucional
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spelling Guevara, CarlosRodríguez, Gabriel2021-04-15T00:28:45Z2021-04-15T00:28:45Z2018-11http://repositorio.pucp.edu.pe/index/handle/123456789/175841http://doi.org/10.18800/2079-8474.0467Documento de trabajo; 467This paper analyzes the e§ect of loan supply shocks on the real economic activity of PaciÖc Alliance countries. The econometric approach is a Time-Varying Parameter VAR with Stochastic Volatility (TVP-VAR-SV), which is identiÖed by sign restrictions. Results of a trace test, t-tests and the Kolmogorov-Smirnov test reveal the existence of signiÖcant changes in the distribution of parameters over time, which supports the use of time-varying parameters. The results indicate that loan supply shocks have an important impact on real economic activity in all PaciÖc Alliance countries: about 1% in Colombia, Mexico, and Peru, and about 0.5% in Chile. Moreover, loan supply shocks have a considerable role in driving business cycle áuctuations, not only in crisis periods, but also in stability periods. Their contribution to GDP growth is higher than that of aggregate supply shocks and as high as that of aggregate demand and monetary policy shocks. The evolution of the impact of loan supply shocks on real economic activity shows evidence of cross-country heterogeneity, reáecting di§erent Önancial structures among PaciÖc Alliance countries. Furthermore, by assessing the e§ects on di§erent measures of economic activity, it is estimated that loan supply shocks have a higher impact on domestic demand, while the impact is similar when the model is estimated for non-primary activities. Finally, the sensitivity analysis indicates that the results of the model are robust to di§erent priors speciÖcations, to di§erent measures of external variables, and to multiple sets of sign restrictions. Moreover, by applying an agnostic identiÖcation, the results indicate that even letting the response of GDP unrestricted, its response to loan supply shocks remains positive and signiÖcant. With this multiple speciÖcation, the impact of loan supply shocks on GDP growth ranges between 0.8% and 1.2% in Peru and Colombia, and between 0.5% and 0.8% in Chile. These results are close to the baseline estimation and show robustness. Regarding Mexico, it is estimated that the impact of loan supply shocks varies between 0.8%-3.5%.engPontificia Universidad Católica del Peru. Departamento de EconomíaPEurn:issn:2079-8466urn:issn:2079-8474info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Loan supply shocksTime-Varying Parameter VAR with Stochastic VolatilitySign RestrictionsVariance DecompositionHistorical DecompositionBusiness CyclesPacific Alliance blocChileColombiaMéxicoPerúhttp://purl.org/pe-repo/ocde/ford#5.02.00The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approachinfo:eu-repo/semantics/workingPaperDocumento de trabajoreponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPhttps://orcid.org/0000-0002-1740-6037LICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://repositorio.pucp.edu.pe/bitstreams/c4910020-2e5c-4923-bc12-15fff402c5a4/download8a4605be74aa9ea9d79846c1fba20a33MD53falseAnonymousREADORIGINALDDD467.pdfDDD467.pdfTexto completoapplication/pdf1989123https://repositorio.pucp.edu.pe/bitstreams/52b43cac-1083-44a0-ac23-1e700932aade/download0d4b5a2b0cf9600468d617b1c0ae8b4bMD54trueAnonymousREADTHUMBNAILDDD467.pdf.jpgDDD467.pdf.jpgIM Thumbnailimage/jpeg41237https://repositorio.pucp.edu.pe/bitstreams/2e7e39e0-aed6-4db5-b4da-29b76165ddf5/download4718a31d88e7128468f2d03e59aa5423MD55falseAnonymousREADTEXTDDD467.pdf.txtDDD467.pdf.txtExtracted texttext/plain100694https://repositorio.pucp.edu.pe/bitstreams/684c1c20-339d-4977-b661-b2edf23d09c4/download0ce0a7bbc7470697fbbe45b84ef0a726MD56falseAnonymousREAD20.500.14657/175841oai:repositorio.pucp.edu.pe:20.500.14657/1758412025-03-25 19:57:53.348http://creativecommons.org/licenses/by-nc-nd/2.5/pe/info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.peTk9URTogUExBQ0UgWU9VUiBPV04gTElDRU5TRSBIRVJFClRoaXMgc2FtcGxlIGxpY2Vuc2UgaXMgcHJvdmlkZWQgZm9yIGluZm9ybWF0aW9uYWwgcHVycG9zZXMgb25seS4KCk5PTi1FWENMVVNJVkUgRElTVFJJQlVUSU9OIExJQ0VOU0UKCkJ5IHNpZ25pbmcgYW5kIHN1Ym1pdHRpbmcgdGhpcyBsaWNlbnNlLCB5b3UgKHRoZSBhdXRob3Iocykgb3IgY29weXJpZ2h0Cm93bmVyKSBncmFudHMgdG8gRFNwYWNlIFVuaXZlcnNpdHkgKERTVSkgdGhlIG5vbi1leGNsdXNpdmUgcmlnaHQgdG8gcmVwcm9kdWNlLAp0cmFuc2xhdGUgKGFzIGRlZmluZWQgYmVsb3cpLCBhbmQvb3IgZGlzdHJpYnV0ZSB5b3VyIHN1Ym1pc3Npb24gKGluY2x1ZGluZwp0aGUgYWJzdHJhY3QpIHdvcmxkd2lkZSBpbiBwcmludCBhbmQgZWxlY3Ryb25pYyBmb3JtYXQgYW5kIGluIGFueSBtZWRpdW0sCmluY2x1ZGluZyBidXQgbm90IGxpbWl0ZWQgdG8gYXVkaW8gb3IgdmlkZW8uCgpZb3UgYWdyZWUgdGhhdCBEU1UgbWF5LCB3aXRob3V0IGNoYW5naW5nIHRoZSBjb250ZW50LCB0cmFuc2xhdGUgdGhlCnN1Ym1pc3Npb24gdG8gYW55IG1lZGl1bSBvciBmb3JtYXQgZm9yIHRoZSBwdXJwb3NlIG9mIHByZXNlcnZhdGlvbi4KCllvdSBhbHNvIGFncmVlIHRoYXQgRFNVIG1heSBrZWVwIG1vcmUgdGhhbiBvbmUgY29weSBvZiB0aGlzIHN1Ym1pc3Npb24gZm9yCnB1cnBvc2VzIG9mIHNlY3VyaXR5LCBiYWNrLXVwIGFuZCBwcmVzZXJ2YXRpb24uCgpZb3UgcmVwcmVzZW50IHRoYXQgdGhlIHN1Ym1pc3Npb24gaXMgeW91ciBvcmlnaW5hbCB3b3JrLCBhbmQgdGhhdCB5b3UgaGF2ZQp0aGUgcmlnaHQgdG8gZ3JhbnQgdGhlIHJpZ2h0cyBjb250YWluZWQgaW4gdGhpcyBsaWNlbnNlLiBZb3UgYWxzbyByZXByZXNlbnQKdGhhdCB5b3VyIHN1Ym1pc3Npb24gZG9lcyBub3QsIHRvIHRoZSBiZXN0IG9mIHlvdXIga25vd2xlZGdlLCBpbmZyaW5nZSB1cG9uCmFueW9uZSdzIGNvcHlyaWdodC4KCklmIHRoZSBzdWJtaXNzaW9uIGNvbnRhaW5zIG1hdGVyaWFsIGZvciB3aGljaCB5b3UgZG8gbm90IGhvbGQgY29weXJpZ2h0LAp5b3UgcmVwcmVzZW50IHRoYXQgeW91IGhhdmUgb2J0YWluZWQgdGhlIHVucmVzdHJpY3RlZCBwZXJtaXNzaW9uIG9mIHRoZQpjb3B5cmlnaHQgb3duZXIgdG8gZ3JhbnQgRFNVIHRoZSByaWdodHMgcmVxdWlyZWQgYnkgdGhpcyBsaWNlbnNlLCBhbmQgdGhhdApzdWNoIHRoaXJkLXBhcnR5IG93bmVkIG1hdGVyaWFsIGlzIGNsZWFybHkgaWRlbnRpZmllZCBhbmQgYWNrbm93bGVkZ2VkCndpdGhpbiB0aGUgdGV4dCBvciBjb250ZW50IG9mIHRoZSBzdWJtaXNzaW9uLgoKSUYgVEhFIFNVQk1JU1NJT04gSVMgQkFTRUQgVVBPTiBXT1JLIFRIQVQgSEFTIEJFRU4gU1BPTlNPUkVEIE9SIFNVUFBPUlRFRApCWSBBTiBBR0VOQ1kgT1IgT1JHQU5JWkFUSU9OIE9USEVSIFRIQU4gRFNVLCBZT1UgUkVQUkVTRU5UIFRIQVQgWU9VIEhBVkUKRlVMRklMTEVEIEFOWSBSSUdIVCBPRiBSRVZJRVcgT1IgT1RIRVIgT0JMSUdBVElPTlMgUkVRVUlSRUQgQlkgU1VDSApDT05UUkFDVCBPUiBBR1JFRU1FTlQuCgpEU1Ugd2lsbCBjbGVhcmx5IGlkZW50aWZ5IHlvdXIgbmFtZShzKSBhcyB0aGUgYXV0aG9yKHMpIG9yIG93bmVyKHMpIG9mIHRoZQpzdWJtaXNzaW9uLCBhbmQgd2lsbCBub3QgbWFrZSBhbnkgYWx0ZXJhdGlvbiwgb3RoZXIgdGhhbiBhcyBhbGxvd2VkIGJ5IHRoaXMKbGljZW5zZSwgdG8geW91ciBzdWJtaXNzaW9uLgo=
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The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
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