Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81869
Authors: 
De Graeve, Ferre
Karas, Alexei
Year of Publication: 
2010
Series/Report no.: 
Sveriges Riksbank Working Paper Series 244
Abstract: 
We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose identification restrictions both in the cross-section (across insured and non-insured banks) and across variables (as in macro SVARs). We thus (i) identify bank runs, (ii) quantify the contribution of competing theories, and, (iii) evaluate policies such as deposit insurance. The application suggests substantial promise for the approach and has strong policy implications.
Subjects: 
identification
SVAR
panel-VAR
heterogeneity
bank run
JEL: 
C3
E5
G01
G21
Document Type: 
Working Paper

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