The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach

This paper analyzes the effect of loan supply shocks on the real economic activity of Pacific Alliance countries using a Time-Varying Parameter VAR with Stochastic Volatility (TVP-VAR-SV) model which is identified by sign restrictions. Two main results arise from the analysis. First, loan supply shocks have an important impact on real economic activity in all Pacific Alliance countries: about 1% in Colombia, Mexico, and Peru, and about 0.5% in...