Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru

Descripción del Articulo

Documento de trabajo; 483
Detalles Bibliográficos
Autores: Martínez, Jefferson, Rodríguez, Gabriel
Formato: documento de trabajo
Fecha de Publicación:2020
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/176224
Enlace del recurso:http://repositorio.pucp.edu.pe/index/handle/123456789/176224
http://doi.org/10.18800/2079-8474.0483
Nivel de acceso:acceso abierto
Materia:Banking System
Loan Supply Shock
Bayesian Autoregressive Vector Model
Sign Restrictions
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
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spelling Martínez, JeffersonRodríguez, Gabriel2021-05-05T21:41:44Z2021-05-05T21:41:44Z2020-02http://repositorio.pucp.edu.pe/index/handle/123456789/176224http://doi.org/10.18800/2079-8474.0483Documento de trabajo; 483This 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 identiÖcation schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth.engPontificia Universidad Católica del Perú. Departamento de EconomíaPEurn:issn:2079-8466urn:issn:2079-8474info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Banking SystemLoan Supply ShockBayesian Autoregressive Vector ModelSign RestrictionsPeruvian Economyhttp://purl.org/pe-repo/ocde/ford#5.02.00Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peruinfo:eu-repo/semantics/workingPaperDocumento de trabajoreponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPhttps://orcid.org/0000-0002-1740-6037https://orcid.org/0000-0003-1174-964TEXTDDD483.pdf.txtDDD483.pdf.txtExtracted texttext/plain79409https://repositorio.pucp.edu.pe/bitstreams/cf8a8268-b038-4297-9219-591879fabf7e/download6bc24e940fe0d5ec99dca7d5711b4570MD59falseAnonymousREADTEXTCC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8811https://repositorio.pucp.edu.pe/bitstreams/ced3181d-778d-48e1-9960-3484f15351b7/download3655808e5dd46167956d6870b0f43800MD52falseAnonymousREADORIGINALDDD483.pdfDDD483.pdfTexto completoapplication/pdf1452111https://repositorio.pucp.edu.pe/bitstreams/45e9d831-c601-4fb7-99ad-f81eecc561ae/downloadaa81cf132e38078db80043810edfc743MD53trueAnonymousREADTHUMBNAILDDD483.pdf.jpgDDD483.pdf.jpgIM Thumbnailimage/jpeg36556https://repositorio.pucp.edu.pe/bitstreams/c2631091-6e50-4538-a500-57e0b979f4ba/download300b80b2ff162bd3ec389f5a1170eba1MD510falseAnonymousREAD20.500.14657/176224oai:repositorio.pucp.edu.pe:20.500.14657/1762242025-05-22 10:53:25.979http://creativecommons.org/licenses/by-nc-nd/2.5/pe/info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.es_ES.fl_str_mv Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
title Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
spellingShingle Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
Martínez, Jefferson
Banking System
Loan Supply Shock
Bayesian Autoregressive Vector Model
Sign Restrictions
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
title_short Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
title_full Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
title_fullStr Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
title_full_unstemmed Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
title_sort Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
author Martínez, Jefferson
author_facet Martínez, Jefferson
Rodríguez, Gabriel
author_role author
author2 Rodríguez, Gabriel
author2_role author
dc.contributor.author.fl_str_mv Martínez, Jefferson
Rodríguez, Gabriel
dc.subject.en_US.fl_str_mv Banking System
Loan Supply Shock
Bayesian Autoregressive Vector Model
Sign Restrictions
Peruvian Economy
topic Banking System
Loan Supply Shock
Bayesian Autoregressive Vector Model
Sign Restrictions
Peruvian Economy
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; 483
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2021-05-05T21:41:44Z
dc.date.available.none.fl_str_mv 2021-05-05T21:41:44Z
dc.date.issued.fl_str_mv 2020-02
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.other.none.fl_str_mv Documento de trabajo
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dc.identifier.doi.none.fl_str_mv http://doi.org/10.18800/2079-8474.0483
url http://repositorio.pucp.edu.pe/index/handle/123456789/176224
http://doi.org/10.18800/2079-8474.0483
dc.language.iso.es_ES.fl_str_mv eng
language eng
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urn:issn:2079-8474
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dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. 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
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instname_str Pontificia Universidad Católica del Perú
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Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
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