Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru

This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's main macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination with identification scheme sign restrictions. The results indicate that LS shock: (i) reduces credit real GDP growth by 372 75 basis points period, respectively; (ii) explains 11.2% variability average over following 20 quarters; (iii) explained 180-basis point fall during 2009Q1-2010Q1 wake Global Financial Crisis (GFC). Additionally, sensitivity analysis shows are robust to alternative schemes restrictions; has greater non-primary growth.