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Item type:Publication, The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach(Pontificia Universidad Católica del Peru. Departamento de Economía, 2018-11)This paper analyzes the e§ect of loan supply shocks on the real economic activity of PaciÖc Alliance countries. The econometric approach is a Time-Varying Parameter VAR with Stochastic Volatility (TVP-VAR-SV), which is identiÖed by sign restrictions. Results of a trace test, t-tests and the Kolmogorov-Smirnov test reveal the existence of signiÖcant changes in the distribution of parameters over time, which supports the use of time-varying parameters. The results indicate that loan supply shocks have an important impact on real economic activity in all PaciÖc Alliance countries: about 1% in Colombia, Mexico, and Peru, and about 0.5% in Chile. Moreover, loan supply shocks have a considerable role in driving business cycle áuctuations, not only in crisis periods, but also in stability periods. Their contribution to GDP growth is higher than that of aggregate supply shocks and as high as that of aggregate demand and monetary policy shocks. The evolution of the impact of loan supply shocks on real economic activity shows evidence of cross-country heterogeneity, reáecting di§erent Önancial structures among PaciÖc Alliance countries. Furthermore, by assessing the e§ects on di§erent measures of economic activity, it is estimated that loan supply shocks have a higher impact on domestic demand, while the impact is similar when the model is estimated for non-primary activities. Finally, the sensitivity analysis indicates that the results of the model are robust to di§erent priors speciÖcations, to di§erent measures of external variables, and to multiple sets of sign restrictions. Moreover, by applying an agnostic identiÖcation, the results indicate that even letting the response of GDP unrestricted, its response to loan supply shocks remains positive and signiÖcant. With this multiple speciÖcation, the impact of loan supply shocks on GDP growth ranges between 0.8% and 1.2% in Peru and Colombia, and between 0.5% and 0.8% in Chile. These results are close to the baseline estimation and show robustness. Regarding Mexico, it is estimated that the impact of loan supply shocks varies between 0.8%-3.5%. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Macroeconomic effects of loan supply shocks: empirical evidence for Peru(Centro de Investigacion y Docencia Economicas A.C., 2021-01-01)This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru’s main macroeconomic aggre-gates using a Bayesian vector autoregressive (BVAR) model in combination with an identification scheme with sign restric-tions. The main results indicate that an adverse LS shock: (i) reduces credit and real GDP growth by 372 and 75 basis points in the impact period, respectively; (ii) explains 11.2% of real GDP growth variability on average over the following 20 quarters; and (iii) explained a 180-basis point fall in real GDP growth on average during 2009Q1-2010Q1 in the wake of the Global Financial Crisis (GFC). Additionally, the sensitivity analysis shows that the results are robust to alternative identification schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth.