Download This PaperIdentifying Structural Shocks Behind Loan Supply Fluctuations in Russia
34 Pages Posted: 22 Aug 2011 Last revised: 24 Nov 2011
Date Written: August 3, 2011
Abstract
We examine the drivers behind loan supply fluctuations in Russia using Bayesian vector autoregressive model with sign restrictions on impulse response functions. We identify two types of structural innovations: loan supply shock and monetary stance shock. We find that contractionary shocks of both types contributed significantly and in the roughly equal measure to the decrease of bank lending after the Lehman Brothers collapse.
Keywords: loan supply, Bayesian VAR, sign restrictions, financial crisis, Russia
JEL Classification: C11, C32, E51
Suggested Citation: Suggested Citation
Deryugina, Elena B. and Ponomarenko, Alexey A., Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia (August 3, 2011). BOFIT Discussion Paper No. 20/2011, Available at SSRN: https://ssrn.com/abstract=1914297 or http://dx.doi.org/10.2139/ssrn.1914297
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