Perú
| info:eu-repo/semantics/workingPaper
Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
| dc.creator | Martínez, Jefferson | |
| dc.creator | Rodríguez, Gabriel | |
| dc.date | 2021-05-05T21:41:44Z | |
| dc.date | 2021-05-05T21:41:44Z | |
| dc.date | 2020-02 | |
| dc.date.accessioned | 2023-03-08T20:47:09Z | |
| dc.date.available | 2023-03-08T20:47:09Z | |
| dc.identifier | http://repositorio.pucp.edu.pe/index/handle/123456789/176224 | |
| dc.identifier | http://doi.org/10.18800/2079-8474.0483 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5975513 | |
| dc.description | Documento de trabajo; 483 | |
| dc.description | 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 identiÖcation schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth. | |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | |
| dc.publisher | PE | |
| dc.relation | urn:issn:2079-8466 | |
| dc.relation | urn:issn:2079-8474 | |
| dc.rights | Atribución-NoComercial-SinDerivadas 2.5 Perú | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | |
| dc.subject | Banking System | |
| dc.subject | Loan Supply Shock | |
| dc.subject | Bayesian Autoregressive Vector Model | |
| dc.subject | Sign Restrictions | |
| dc.subject | Peruvian Economy | |
| dc.subject | http://purl.org/pe-repo/ocde/ford#5.02.00 | |
| dc.title | Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru | |
| dc.type | info:eu-repo/semantics/workingPaper | |
| dc.type | Documento de trabajo |