Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru


  • Jefferson Martí­nez Pontificia Universidad Católica del Perú and Central Reserve Bank of Peru
  • Gabriel Rodrí­guez Pontificia Universidad Católica del Perú



Banking System, Loan Supply Shock, Bayesian Autoregressive Vector Model, Sign Restrictions, Peruvian Economy


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


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Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru. (2021). Latin American Economic Review, 30, 1-24.

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