Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/4289| Title: | How resilient is the German banking system to macroeconomic shocks? |
| Keywords: | C32 E44 ddc:330 Stress testing Banking VAR Bankensystem Finanzmarktkrise Konjunktur Schock Geldpolitik VAR-Modell Deutschland |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic developments. In this paper we use a newly constructed data set on German banks? income and loss statements over the past 36 years to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the level of stress in the banking sector is strongly affected by monetary policy shocks. The results rationalize the active behavior of central banks observed during periods of financial market crises. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/4289 |
| Other Identifiers: | http://hdl.handle.net/10419/4289 ppn:565654969 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.