Dovern, Jonas and Meier, Carsten-Patrick and Vilsmeier, Johannes (2010) How resilient is the German banking system to macroeconomic shocks? JOURNAL OF BANKING & FINANCE, 34 (8). pp. 1839-1848. ISSN 0378-4266, 1872-6372
Full text not available from this repository. (Request a copy)Abstract
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | MONETARY-POLICY; CREDIT RISK; MODELS; Stress testing; Banking; VAR; Financial stability |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 20 Jul 2020 09:59 |
| Last Modified: | 20 Jul 2020 09:59 |
| URI: | https://pred.uni-regensburg.de/id/eprint/24397 |
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