Erjavec, Natasa; Cota, Boris; Jaksic, Sasa - In: Financial Theory and Practice 36 (2012) 4, pp. 395-412
The paper employs Uhlig’s sign restriction approach to stress-testing of the Croatian banking system. The analysis is based on a standard monetary VAR comprising real economic activity, inflation and short-term interest rates augmented by the ratio of non-performing loans or return on average...