Identifying 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

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

Elena B. Deryugina

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Alexey A. Ponomarenko (Contact Author)

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

HOME PAGE: http://http.//www.cbr.ru

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