BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 8/2015:
Disentangling loan demand and supply shocks in Russia
Elena Deryugina ()
, Olga Kovalenko ()
, Irina Pantina ()
and Alexey Ponomarenko ()
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; (follow links to similar papers)
JEL-Codes: C32; E51; G21; (follow links to similar papers)
33 pages, March 5, 2015
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