Unravelling the credit market shocks and investment dynamics: A theoretical and empirical perspective
研究斯洛文尼亚经济中信贷市场冲击对商业投资的影响，通过理论模型和贝叶斯VAR模型识别出贷款供给冲击和流动性需求冲击是关键因素，为货币政策与财政政策提供参考。
This paper investigates the underlying credit market shocks that historically affected business investment in the Slovenian economy. In contrast to the existing literature, we explore more profound structural shocks beneath the credit demand and supply shocks. For the purpose of structural identification, we propose a theoretical model of the credit market that reveals the credit market imperfections on the side of credit supply as well as liquidity demand. The theoretical structure justifies our set of identifying restrictions, further evaluated with the structural Bayesian VAR model. Our results confirm the relevance of loan supply shocks for the business investment activity, suggesting the existence of credit market imperfections. Furthermore, business investment is strongly conditioned by liquidity demand shocks, which explain a significant part of the variation in investment activity. Even though loan supply shocks constrained the investment activity in Slovenia during the financial crisis, the results of our analysis suggest that banks predominantly reacted to the increasing financial risk as opposed to the changes in their profit functions. Based on the results, we may conclude that in the common monetary area, fiscal policy should implement country-specific measures to effectively address the business sector's expectations regarding the economy's medium- and long-term development.