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http://hdl.handle.net/10419/4289
  

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dc.contributor.authorDovern, Jonasen_US
dc.contributor.authorMeier, Carsten-Patricken_US
dc.contributor.authorVilsmeier, Johannesen_US
dc.date.accessioned2009-01-28T14:31:11Z-
dc.date.available2009-01-28T14:31:11Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/4289-
dc.description.abstractMacro-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 36 years to model the interaction between the banking sector and the macroeconomy. Our identified-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.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKieler Arbeitspapiere 1419en_US
dc.subject.jelC32en_US
dc.subject.jelE44en_US
dc.subject.ddc330-
dc.subject.keywordStress testingen_US
dc.subject.keywordBanking-
dc.subject.keywordVAR-
dc.subject.stwBankensystemen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwSchocken_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwDeutschlanden_US
dc.titleHow resilient is the German banking system to macroeconomic shocks?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn565654969en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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Kieler Arbeitspapiere, IfW

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