To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy
Piotr Dybka (),
Piotr Pękała and
Andrzej Torój ()
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Bartosz Olesiński: EY Poland
Piotr Pękała: EY Poland
Bank i Kredyt, 2017, vol. 48, issue 2, 119-148
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)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:48:y:2017:i:2:p:119-148
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