Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/4289
Authors: 
Dovern, Jonas
Meier, Carsten-Patrick
Vilsmeier, Johannes
Year of Publication: 
2008
Series/Report no.: 
Kiel Working Paper 1419
Abstract: 
Macro-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.
Subjects: 
Banking
VAR
Stress testing
JEL: 
C32
E44
Document Type: 
Working Paper

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