Identifying VARs through heterogeneity: An application to bank runs

Arbeitspapier

We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose identification restrictions both in the cross-section (across insured and non-insured banks) and across variables (as in macro SVARs). We thus (i) identify bank runs, (ii) quantify the contribution of competing theories, and, (iii) evaluate policies such as deposit insurance. The application suggests substantial promise for the approach and has strong policy implications.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Sveriges Riksbank Working Paper Series ; No. 244

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: identification ; SVAR ; panel-VAR ; heterogeneity ; bank run ; Finanzmarkt ; Bank ; VAR-Modell ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): De Graeve, Ferre ; Karas, Alexei
• Event: Veröffentlichung
• (who): Sveriges Riksbank
• (where): Stockholm
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/81869
• Last update: 10.03.2025, 11:45 AM CET