Identifying structural shocks behind loan supply fluctuations in Russia

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.

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Year of publication:	2011
Authors:	Deryugina, Elena B. ; Ponomarenko, Alexey A.
Publisher:	Helsinki : Bank of Finland, Institute for Economies in Transition (BOFIT)

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Series:	BOFIT Discussion Papers ; 20/2011
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-952-462-715-3
Other identifiers:	667362126 [GVK] hdl:10419/212708 [Handle] RePEc:zbw:bofitp:bdp2011_020 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012148639