Open AccessMacroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
Author(s) -
Jefferson Martínez,
Gabriel Rodríguez
Publication year - 2021
Publication title -
latin american economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.391
H-Index - 8
eISSN - 2198-3526
pISSN - 2196-436X
DOI - 10.47872/laer-2021-30-5
Subject(s) - economics , bayesian vector autoregression , real gross domestic product , shock (circulatory) , autoregressive model , econometrics , basis point , loan , financial crisis , monetary economics , order (exchange) , interest rate , macroeconomics , bayesian probability , finance , statistics , mathematics , medicine
This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's 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.