Banking Sector and Real Economy of Poland - Analysis with a VAR Model

• Autorzy: Piotr Wdowiński

Warianty tytułu

Sektor bankowy i sfera realna gospodarki Polski - analiza na podstawie modelu VAR

• Języki publikacji: EN

Abstrakty

EN

The chapter introduces a vector autoregressive model to study impacts of the banking sector in Poland on the real macroeconomic processes. The model includes variables that capture capital adequacy and credit risk in the banking sector as well as main macroeconomic indicators. The role of macroprudential policy is also discussed. The impulse responses and variance decomposition make it possible to draw conclusions. The main result is that there are strong interconnections between the banking sector and the real side. An important aspect of the analysis is the observed drop of GDP below a potential due to higher capital requirements but the loss to GDP growth is minor. (original abstract)

Analiza opiera się na modelu wektorowej autoregresji (VAR) do badania wpływu sektora bankowego w Polsce na sferę realną. Model obejmuje podstawowe zmienne dla sektora bankowego - współczynnik wypłacalności oraz wskaźnik kredytów z utratą wartości - oraz główne wskaźniki makroekonomiczne. Podano również kontekst polityki makroostrożnościowej. Analiza funkcji reakcji oraz dekompozycji wariancji pozwoliła na wyciągnięcie wniosków, iż istnieją silne wzajemne powiązania między sektorem bankowym a sferą realną. Zaobserwowano spadek PKB poniżej produktu potencjalnego na skutek wyższych wymogów kapitałowych, jednak ograniczenie wzrostu gospodarczego było nieznaczne. (abstrakt oryginalny)

Słowa kluczowe

EN

Banking sector; Vector Autoregression Model (VAR); Economy; Macroeconomics; Macroprudential policy

PL

Sektor bankowy; Model wektorowej autoregresji; Gospodarka; Makroekonomia; Polityka makroostrożnościowa

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2013
• Tom: 295 Financial Markets and Macroprudential Policy
• Strony: 25--43

Twórcy

autor

Piotr Wdowiński

• University of Lodz, Poland

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