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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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Bank loan supply shocks and alternative financing of non-financial corporations in the euro area
Mandler, Martin; Scharnagl, Michael - 2019
-bank loans to be substitutes for bank loans with negative responses to a positive loan supply shock while trade credit is a …
Persistent link: https://www.econbiz.de/10012034573
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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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Loan supply in Germany during the financial crisis
Busch, Ulrike; Scharnagl, Michael; Scheithauer, Jan - 2010
Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, we employ Bayesian vector autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of...
Persistent link: https://www.econbiz.de/10003959900
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Loan Supply in Germany During the Financial Crisis
Busch, Ulrike - 2016
Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, we employ Bayesian vector autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of...
Persistent link: https://www.econbiz.de/10012991095
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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