Dovern, Jonas ; Meier, Carsten-Patrick ; Vilsmeier, Johannes
Alternative Links zum Volltext:DOIVerlag
| Dokumentenart: | Artikel |
|---|
| Titel eines Journals oder einer Zeitschrift: | Journal of Banking & Finance |
|---|
| Verlag: | ELSEVIER SCIENCE BV |
|---|
| Ort der Veröffentlichung: | AMSTERDAM |
|---|
| Band: | 34 |
|---|
| Nummer des Zeitschriftenheftes oder des Kapitels: | 8 |
|---|
| Seitenbereich: | S. 1839-1848 |
|---|
| Datum: | 2010 |
|---|
| Institutionen: | Wirtschaftswissenschaften > Institut für Volkswirtschaftslehre und Ökonometrie |
|---|
| Identifikationsnummer: | | Wert | Typ |
|---|
| 10.1016/j.jbankfin.2009.12.001 | DOI |
|
|---|
| Stichwörter / Keywords: | MONETARY-POLICY; CREDIT RISK; MODELS; Stress testing; Banking; VAR; Financial stability |
|---|
| Dewey-Dezimal-Klassifikation: | 300 Sozialwissenschaften > 330 Wirtschaft |
|---|
| Status: | Veröffentlicht |
|---|
| Begutachtet: | Ja, diese Version wurde begutachtet |
|---|
| An der Universität Regensburg entstanden: | Ja |
|---|
| Dokumenten-ID: | 65906 |
|---|
Zusammenfassung
Macroeconomic 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 39 years to model the ...
Zusammenfassung
Macroeconomic 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 39 years to model the interaction between the banking sector and the macroeconomy. Our 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. (C) 2009 Elsevier B.V. All rights reserved.
Altmetric