#2942. Macroeconomic effects of loan supply shocks: Empirical evidence for Peru

January 2027publication date
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Economics, Econometrics and Finance (all);
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Abstract:
This paper examines the impact of an adverse credit supply shock (LS) on Perus major macroeconomic aggregates using a Bayesian vector autoregression (BVAR) model in combination with a sign-constrained identification scheme. The results show that an adverse LS shock: (i) reduces credit and real GDP growth by 372 bps and 75 bps over the impact period, respectively; (ii) explains the 11.2% volatility in real GDP growth on average over the next 20 quarters; and (iii) explained the 180 bps drop in real GDP growth on average between 20XXQ1 and 20XXQ1 due to the global financial crisis (GFC).
Keywords:
Banking System; Bayesian Autoregressive Vector Model; Loan Supply Shock; Peruvian Economy; Sign Restrictions

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