Financial Stability, Monetary Stability and Growth: a PVAR Analysis

George Apostolakis and Athanasios Papadopoulos

Open Economies Review, 2019, vol. 30, issue 1, No 7, 157-178

Abstract: Abstract This paper employs a panel vector autoregressive (PVAR) model to investigate the relationship among financial stress, inflation and growth in 19 advanced economies over the 1999–2016 period. To measure financial stress, we construct a financial stress index (FSI) that provides a signal of financial stress. We apply the PVAR approach along with impulse response functions (IRFs), variance decomposition, and Granger causality tests to FSI data on monetary stability, economic growth, housing markets and government policies. The analysis shows negative responses of the macroeconomic variables to financial stress shocks.

Keywords: Impulse responses; Granger causality; Government deficit; Housing prices; Financial stress index (search for similar items in EconPapers)
JEL-codes: C32 C43 F30 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (16)

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DOI: 10.1007/s11079-018-9507-y

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