Template-Type: ReDIF-Paper 1.0

Author-Name: Elena Deryugina
Author-Email: DeryuginaEB@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Olga Kovalenko
Author-Email: KovalenkoOV@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Irina Pantina
Author-Email: PantinaIV@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Alexey Ponomarenko
Author-Email: PonomarenkoAA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation


Title:  Disentangling loan demand and supply shocks in Russia
Abstract: This article presents three alternative models for decomposing loan developments into components associated with changes in loan demand and supply fundamentals. Two models are based on macro data (error correction model and structural vector autoregression with sign restrictions) and one is based on bank-specific Bank Lending Survey results. We conclude that although loan growth in Russia converges to a long-run equilibrium determined by macroeconomic (demand) factors the convergence is likely to be driven by bank-side (supply) shocks. We identify large and unex-plained supply shocks in loan fluctuations during the crisis of 2008-2009, signifying an impairment of credit markets. We also find contractionary shocks unrelated to demand fundamentals or balance sheet structures in 2013, although in general loan developments in 2013 and the first half of 2014 were not at all extraordinary.

Length: 32 pages
Creation-Date: 2015-03
Revision-Date:
Publication-Status:
File-URL: http://www.cbr.ru/Content/Document/File/87552/wps_3_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps3
Classification-JEL: C32; E51; G21
Keywords: loan demand, loan supply, cointegration, structural VAR, sign restrictions, Bank Lending Survey, Russia
Handle: RePEc:bkr:wpaper:wps3