Economics at your fingertips  

To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy

Piotr Dybka (), Bartosz Olesiński, Piotr Pękała and Andrzej Torój ()
Additional contact information
Bartosz Olesiński: EY Poland
Piotr Pękała: EY Poland

Bank i Kredyt, 2017, vol. 48, issue 2, 119-148

Abstract: 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.

Keywords: bank capital buffers; shocks to capital ratio; impulse-response; SVAR; SVEC (search for similar items in EconPapers)
JEL-codes: C32 E44 E51 G21 G32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf)

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:

Access Statistics for this article

More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Michał Wieloch ().

Page updated 2018-08-03
Handle: RePEc:nbp:nbpbik:v:48:y:2017:i:2:p:119-148