Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen
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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
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Matthias Wagatha, Augsburg
References
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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.