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Identifying structural shocks behind loan supply fluctuations in Russia

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  • Deryugina, Elena B.

    ()
    (BOFIT)

  • Ponomarenko, Alexey A.

    (BOFIT)

Abstract

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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Bibliographic Info

Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 20/2011.

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Length: 38 pages
Date of creation: 22 Aug 2011
Date of revision:
Handle: RePEc:hhs:bofitp:2011_020

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Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
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Related research

Keywords: loan supply; Bayesian VAR; sign restrictions; financial crisis; Russia;

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References

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  1. Nicola Cetorelli & Linda S. Goldberg, 2010. "Global banks and international shock transmission: evidence from the crisis," Staff Reports 446, Federal Reserve Bank of New York.
  2. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
  3. Del Giovane, Paolo & Eramo, Ginette & Nobili, Andrea, 2011. "Disentangling demand and supply in credit developments: A survey-based analysis for Italy," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2719-2732, October.
  4. de Mello, Luiz & Pisu, Mauro, 2010. "The bank lending channel of monetary transmission in Brazil: A VECM approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 50-60, February.
  5. Brissimis, Sophocles N. & Delis, Manthos D., 2009. "Identification of a loan supply function: A cross-country test for the existence of a bank lending channel," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 321-335, April.
  6. Juurikkala, Tuuli & Solanko, Laura & Karas, Alexei, 2009. "The role of banks in monetary policy transmission: Empirical evidence from Russia," BOFIT Discussion Papers 8/2009, Bank of Finland, Institute for Economies in Transition.
  7. Mauricio Calani C. & Pablo García S. & Daniel Oda Z., 2010. "Supply and Demand Identification in the Credit Market," Working Papers Central Bank of Chile 571, Central Bank of Chile.
  8. Madhusudan Mohanty & Philip Turner, 2010. "Banks and financial intermediation in emerging Asia: reforms and new risks," BIS Working Papers 313, Bank for International Settlements.
  9. Chadha, J.S. & Corrado, L. & Sun, Q., 2008. "Money, Prices and Liquidity Effects: Separating Demand from Supply," Cambridge Working Papers in Economics 0855, Faculty of Economics, University of Cambridge.
  10. Fungachova, Z. & Solanko, L., 2010. "Has Banks’ Financial Intermediation Improved in Russia?," Journal of the New Economic Association, New Economic Association, issue 8, pages 101-116.
  11. Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha, 2006. "Markov-Switching Structural Vector Autoregressions: Theory and Application," Computing in Economics and Finance 2006 69, Society for Computational Economics.
  12. Deryugina, Elena B. & Ponomarenko, Alexey A., 2011. "Identifying structural shocks behind loan supply fluctuations in Russia," BOFIT Discussion Papers 20/2011, Bank of Finland, Institute for Economies in Transition.
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Cited by:
  1. Deryugina, Elena B. & Ponomarenko, Alexey A., 2011. "Identifying structural shocks behind loan supply fluctuations in Russia," BOFIT Discussion Papers 20/2011, Bank of Finland, Institute for Economies in Transition.

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