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The Impact of the Uncertainty in Bank Lending Standards

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  • César Salinas

    (Universidad del Pacífico)

Abstract

This paper examines the macroeconomic consequences of credit uncertainty using a structural vector autoregression model with stochastic volatility (SVAR-SV). Credit supply conditions in the U.S. is captured by the banks’ reports on how credit standards for approving loans have change over time (Bank Lending Standards). The empirical analysis shows that the volatility of macroeconomic and financial variables rises in response to an increase in the credit uncertainty shock. The economic activity falls and credit growth and related interest rates decrease persistently. Moreover, credit volatility shocks explain around 10% of the FEV of endogenous variables. A dissagregated analysis shows that the effect of these shocks are mainly explained by their effects on the corporate business sector.

Suggested Citation

  • César Salinas, 2025. "The Impact of the Uncertainty in Bank Lending Standards," Working Papers 2025-017, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2025-017
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