Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83627
Authors: 
Tamási, Bálint
Világi, Balázs
Year of Publication: 
2011
Series/Report no.: 
MNB Working Papers 2011/7
Abstract: 
Using Hungarian macroeconomic and financial data, we estimate a Bayesian structural VAR model suitable for macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to the previous literature, different types of credit shocks are distinguished in our paper: a risk assessment and a policy shock. Our main findings are the following. First, we demonstrate that both credit supply and macroeconomic shocks explain the variance of endogenous variables at roughly similar order of magnitude. Second, it is shown that credit supply shocks do not have a dominant role in the decline of the Hungarian economy over the crisis period that started in 2008, although their contribution was non-negligible. Third, the importance of unidentified shocks increased in the crisis period.
Subjects: 
Bayesian SVAR
zero and sign restrictions
credit supply shocks
JEL: 
C11
C32
E32
E44
Document Type: 
Working Paper

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