publication . Preprint . Article . Research . 2011

Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia

Name: Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia
Keywords: loan supply; Bayesian VAR; sign restrictions; financial crisis; Russia

Alexey Ponomarenko; Elena Deryugina;

Open Access

Published: 22 Aug 2011

Summary

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.

doi: 10.2139/ssrn.1914297

handle: 10419/212708

Subjects

free text keywords: loan supply; Bayesian VAR; sign restrictions; financial crisis; Russia, jel:C11, jel:C32, jel:E51, Financial economics, Loan, Monetary economics, Bayesian vector autoregression, Bayesian probability, Autoregressive model, Supply shock, Financial crisis, Impulse response, Economics, ddc:330

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