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Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen

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Wagatha, M. Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen. Credit and Capital Markets – Kredit und Kapital, 37(1), 31-61. https://doi.org/10.3790/ccm.37.1.31
Wagatha, Matthias "Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen" Credit and Capital Markets – Kredit und Kapital 37.1, 2004, 31-61. https://doi.org/10.3790/ccm.37.1.31
Wagatha, Matthias (2004): Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen, in: Credit and Capital Markets – Kredit und Kapital, vol. 37, iss. 1, 31-61, [online] https://doi.org/10.3790/ccm.37.1.31

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Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen

Wagatha, Matthias

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.