publication . Preprint . Article . Research . 2011

Identifying Structural Shocks Behind Loan Supply Fluctuations in Russia

Alexey Ponomarenko; Elena Deryugina;
Open Access
  • Published: 22 Aug 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.
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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