less while risk of riskier and domestic banks reacts more in response to house price shocks. -- FAVAR ; bank risk ; macro … 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 …

less while risk of riskier and domestic banks reacts more in response to house price shocks. -- FAVAR ; bank risk ; macro … 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 …

In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the … scheme does not fall back on any of the standard (FA)VAR identifying assumptions, it confirms the classical finding that …