Identification of credit supply shocks in a Bayesian SVAR model of the Hungarian economy

Bálint Tamási () and Balázs Világi ()
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Bálint Tamási: Magyar Nemzeti Bank (central bank of Hungary)
Balázs Világi: Magyar Nemzeti Bank (central bank of Hungary)

No 2011/7, MNB Working Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

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.

Keywords: Bayesian SVAR; zero and sign restrictions; credit supply shocks (search for similar items in EconPapers)
JEL-codes: C11 C32 E32 E44 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2011
New Economics Papers: this item is included in nep-ban, nep-cba and nep-tra
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:mnb:wpaper:2011/7

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