What Simple Econometric Analysis Will Tell Us about the Relationship between Macroeconomic Variables, Stock Market Indices, and the Activity of the Banking Sector?

• Autorzy: Anna Gomola
• Języki publikacji: EN

Abstrakty

EN

The main goal of macroprudential policy is to reduce the systematic risk and the macroeconomic costs of financial instabilities. After the financial crisis of 2008, the macroprudential framework has been developed. In the paper we test the role of the banking sector's activity in the strength of the causal relationships between the real sector and the financial system. One of the main goals of macroprudential framework is to reduce the credit supply and strengthen the financial system. We examine the strength of the relationship between several macroeconomic variables, such as industrial production, the interest rate, stock market values, the unemployment rate, and particularly the volume of credit to the non-financial sector. The empirical analyses are performed with reference to three economies: Poland, Germany, and the United Kingdom. Substantial diversity of sources of economic growth as well as the size of the financial system in the case of the countries in question allows for a better understanding of the connections between the financial sector and the real sector. Moreover, each of them experienced the 2008 crisis in a different way. (original abstract)

Słowa kluczowe

EN

Macroprudential policy; Financial sustainability; Financial system; Banking sector; Vector Autoregression Model (VAR); Impulse Response Functions (IRF); Granger casuality; Business cycles; Credit cycle; Literature review; Econometric analysis

PL

Polityka makroostrożnościowa; Stabilność finansowa; System finansowy; Sektor bankowy; Model wektorowej autoregresji; Funkcje odpowiedzi na impuls; Przyczynowość w sensie Grangera; Cykl koniunkturalny; Cykl kredytowy; Przegląd literatury; Analiza ekonometryczna

• Czasopismo: Bank i Kredyt
• Rocznik: 2022
• Numer: nr 1
• Strony: 1--46

Twórcy

autor

Anna Gomola

• Uniwersytet Ekonomiczny w Krakowie

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