Arbeitspapier
How resilient is the German banking system to macroeconomic shocks?
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1419
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
- Thema
-
Banking
VAR
Stress testing
Bankensystem
Finanzmarktkrise
Konjunktur
Schock
Geldpolitik
VAR-Modell
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dovern, Jonas
Meier, Carsten-Patrick
Vilsmeier, Johannes
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dovern, Jonas
- Meier, Carsten-Patrick
- Vilsmeier, Johannes
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2008
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