Economics at your fingertips  

Macro Stress Testing for Indian Banking: VAR Approach

Sanjay Singh and S. Majumdar
Additional contact information
Sanjay Singh: Financial Stability Unit, Reserve Bank of India
S. Majumdar: Financial Stability Unit, Reserve Bank of India

Indian Economic Review, 2013, vol. 48, issue 2, 275-296

Abstract: A vast body of literature endorses the fact that the changes in the macroeconomic conditions of an economy do impact banks’ performance, simultaneously or with a lag. It is also possible that the feedback effects of bank instability on real economic activity could amplify the fluctuations especially during recessions. Therefore, in order to judge the resilience of banking to various macroeconomic shocks, macro stress test using Vector Autoregressive (VAR) approach has been adopted. Based on empirical results it is found that macroeconomic variables do have significant impact on banks’ stability.

Keywords: Macro Stress Testing; Slippage Ratio; VAR; Impulse Response Function (search for similar items in EconPapers)
JEL-codes: C32 E44 G21 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Indian Economic Review is currently edited by Pami Dua (Editor) & Ram Singh (Associate Editor) and Sunil Kanwar

More articles in Indian Economic Review from Department of Economics, Delhi School of Economics University of Delhi, Delhi 110 007. Contact information at EDIRC.
Bibliographic data for series maintained by Pami Dua ().

Page updated 2018-06-23
Handle: RePEc:dse:indecr:0073