Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models

• Autorzy: Dobromił Serwa , Piotr Wdowiński
• Języki publikacji: EN

Abstrakty

EN

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 macrofinancial 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.

Słowa kluczowe

EN

Vector Autoregression Model (VAR); Impulse Response Functions (IRF); Banking sector

PL

Model wektorowej autoregresji; Funkcje odpowiedzi na impuls; Sektor bankowy

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2017
• Tom: 9
• Numer: nr 4
• Strony: 323--357

Twórcy

autor

Dobromił Serwa

• Narodowy Bank Polski; Szkoła Główna Handlowa w Warszawie

autor

Piotr Wdowiński

• Narodowy Bank Polski; Uniwersytet Łódzki

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