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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10008697445
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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10008697545
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Still Puzzling : Evaluating the Price Puzzle in an Empirically Identified Structural Vector Autoregression
Demiralp, Selva - 2010
The price puzzle is the association in a structural vector autoregression (SVAR) of a contractionary shock to monetary …
Persistent link: https://www.econbiz.de/10013152728
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Precautionary liquidity shocks, excess reserves and business cycles
Bratsiotis, George; Theodoridis, Konstantinos - 2020
This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous … change in financial intermediaries' preference for "high" liquid assets. The identified shock has sizeable and state …
Persistent link: https://www.econbiz.de/10012483779
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Loan supply shocks in Macedonia : a Bayesian SVAR approach with sign restrictions
Kabashi, Rilind; Suleva, Katerina - Narodna Banka na Republika Makedonija - 2016
estimation. The main results indicate that loan supply shocks have no significant effect on loan volumes and lending rates, as …
Persistent link: https://www.econbiz.de/10011623896
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Global credit shocks and real economies
Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021
We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...
Persistent link: https://www.econbiz.de/10012543597
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Effectiveness and transmission of the ECB's balance sheet policies
Boeckx, Jef; Bossche, Maarten; Peersman, Gert - 2014
crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …
Persistent link: https://www.econbiz.de/10010383862
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Do SVARs with Sign Restrictions not Identify Unconventional Monetary Policy Shocks?
Boeckx, Jef - 2019
A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper,...
Persistent link: https://www.econbiz.de/10012867387
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Monetary policy shocks, set-identifying restrictions, and asset prices : a benchmarking approach for analyzing set-identified models
Uhrin, Gábor B.; Herwartz, Helmut - 2016 - This version: November 17, 2016
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …
Persistent link: https://www.econbiz.de/10011563120
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On the Interaction between Market and Credit Risk : A Factor-Augmented Vector Autoregressive (FAVAR) Approach
Fiori, Roberta - 2011
monetary policy shock on credit risk is amplified when considering the feedback effect deriving from macroeconomic and equity …
Persistent link: https://www.econbiz.de/10013128108