- Tytuł:
- Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models
- Autorzy:
-
Serwa, Dobromił
Wdowiński, Piotr - Powiązania:
- https://bibliotekanauki.pl/articles/2119956.pdf
- Data publikacji:
- 2022
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
vector autoregression
Cholesky decomposition
combined impulseresponse
banking sector
real economy - Opis:
- We estimated a structural vector autoregressive (SVAR) model describing the links between a banking sector and a real economy. We proposed a new method to verify robustness of impulse-response functions to the ordering of variables in an SVAR model. This method applies permutations of orderings of variables and uses the Cholesky decomposition of the error covariance matrix to identify parameters. Impulse response functions are computed and combined for all permutations. We explored the method in practice by analyzing the macro- financial linkages in the Polish economy. Our results indicate that the combined impulse response functions are more uncertain than those from a single model specification with a given ordering of variables, but some findings remain robust. It is evident that macroeconomic aggregate shocks and interest rate shocks have a significant impact on banking variables.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2017, 4; 323-357
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł