Identifying structural shocks behind loan supply fluctuations in Russia
Deryugina, Elena B.; Ponomarenko, Alexey A. (05.08.2011)
Numero
20/2011Julkaisija
Bank of Finland
2011
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072073Tiivistelmä
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.