Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U … address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …