BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 20/2011:
Identifying structural shocks behind loan supply fluctuations in Russia
Elena B. Deryugina ()
and Alexey A. Ponomarenko
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; (follow links to similar papers)
JEL-Codes: C11; C32; E51; (follow links to similar papers)
38 pages, August 22, 2011
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