Disentangling Loan Demand and Supply Shocks in Russia

33 Pages Posted: 20 Mar 2015

See all articles by Elena Deryugina

Elena Deryugina

Bank of Russia

Olga Kovalenko

Central Bank of Russia

Irina Pantina

Bank of Russia

Alexey A. Ponomarenko

Central Bank of Russia

Date Written: March 5, 2015

Abstract

This article presents three alternative models for decomposing loan developments into components associated with changes in loan demand and supply fundamentals. Two models are based on macro data (error correction model and structural vector autoregression with sign restrictions) and one is based on bank-specific Bank Lending Survey results. We conclude that although loan growth in Russia converges to a long-run equilibrium determined by macroeconomic (demand) factors the convergence is likely to be driven by bank-side (supply) shocks. We identify large and unexplained supply shocks in loan fluctuations during the crisis of 2008-2009, signifying an impairment of credit markets. We also find contractionary shocks unrelated to demand fundamentals or balance sheet structures in 2013, although in general loan developments in 2013 and the first half of 2014 were not at all extraordinary.

Keywords: loan demand, loan supply, cointegration, structural VAR, sign restrictions, Bank Lending Survey, Russia

JEL Classification: C32, E51, G21

Suggested Citation

Deryugina, Elena and Kovalenko, Olga and Pantina, Irina and Ponomarenko, Alexey A., Disentangling Loan Demand and Supply Shocks in Russia (March 5, 2015). BOFIT Discussion Paper No. 8/2015, Available at SSRN: https://ssrn.com/abstract=2580234 or http://dx.doi.org/10.2139/ssrn.2580234

Elena Deryugina

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Olga Kovalenko

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Irina Pantina

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

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