JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen
Credit and Capital Markets – Kredit und Kapital, Vol. 37 (2004), Iss. 1 : pp. 31–61
Additional Information
Article Details
Author Details
Matthias Wagatha, Augsburg
References
-
Altman, E. I. (1971): Aggregate Influence on Business Failures, Chapter 2 of: Corporate Bankruptcy in America, Lexington, Mass., Heath Lexington Books, S. 37-56.
Google Scholar -
Banerjee, A./Dolado, J./Galbraith, J. W./Hendry, F. H. (2000): Co-integration, error correction, and the econometric analysis of non-staionary data, Oxford University Press, New York.
Google Scholar -
Bangia, A./Diebold, F. X./Schuermann, T. (2000): Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing, Working Paper, Oliver, Wyman & Company/Stern School, NYU, April 11, 2000.
Google Scholar -
Bär, T. (2002): Predicting and Hedging Credit Portfolio Risk with Macroeconomic Factors, Hamburg.
Google Scholar -
Benkwitz, A./Lütkepohl, H./Wolters, J. (2001): Comparision of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems, in: Macroeconomic Dynamics, 5, S. 81-100.
Google Scholar
Abstract
Macroeconomic Shocks to the Credit Industry - a VAR Model-based Analysis
This article represents an empirical analysis of whether macroeconomic shocks exert a statistical influence on insolvency rates. The quantitative implications of macroeconomie impulses have been explained with the help of impulse-response functions and forecasting error variances with these impulse-response functions and forecasting error variances being based on a VAR model. The estimates of the VAR models take account of the fact that most of the underlying time series have a unit root and that the variables have been co-integrated. The confidence intervals of the estimated impulse-response sequences have been ascertained with the help of a bootstrap procedure.