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http://hdl.handle.net/10419/28623
  
Title:What macroeconomic shocks affect the German banking system? Analysis in an integrated micro-macro model PDF Logo
Authors:Blank, Sven
Dovern, Jonas
Issue Date:2009
Series/Report no.:Discussion Paper Series 2: Banking and financial studies 2009,15
Abstract:We analyze what macroeconomic shocks affect the soundness of the German banking system and how this, in turn, feeds back into the macroeconomic environment. Recent turmoils on the international financial markets have shown very clearly that assessing the degree to which banks are vulnerable to macroeconomic shocks is of utmost importance to investors and policy makers. We propose to use a VAR framework that takes feedback effects between the financial sector and the macroeconomic environment into account. We identify responses of a distress indicator for the German banking system to a battery of different structural shocks. We find that monetary policy shocks, fiscal policy shocks, and real estate price shocks have a significant impact on the probability of distress in the banking system. We identify some differences across type of banks and different distress categories, though these differences are often small and do not show any systematic patterns.
Subjects:VAR
banking sector stability
sign restriction approach
JEL:C32
E44
G21
ISBN:978-3-86558-580-6
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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