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Dybka Piotr (EY Poland; Warsaw School of Economics), Olesiński Bartosz (EY Poland), Pękała Piotr (EY Poland), Torój Andrzej (EY Poland; Warsaw School of Economics)
To SVAR or to SVEC? : on the Transmission of Capital Buffer Shocks to the Real Economy
Bank i Kredyt, 2017, nr 2, s. 119-148, aneks, bibliogr. 56 poz.
Bank & Credit
Klasyfikacja JEL: C32, E44, E51, G21, G32
Shocks to banks' capital buffer can impact the real economy via a number of channels. We investigate the transmission of aggregate capital buffer shocks to loans, prices and economic activity in Poland over the period 2002-2015 using multivariate time series techniques. Impulse-response functions from both SVAR and SVEC models indicate an increase in GDP and loan levels in the aftermath of a positive capital buffer shock. Although previous literature predominantly focuses on SVAR analyses, only the SVEC-based simulation yields economically reliable long-run estimates of the impact. Our long- -run relationships indicate that capital policy may have a lasting impact on the real variables, unlike monetary policy. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
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