Banking Sector and Real Economy of Poland – Analysis with a VAR Model

Piotr Wdowiński ()
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Piotr Wdowiński: University of Lodz, Poland

Chapter 2 in Acta Universitatis Lodziensis. Folia Oeconomica nr 295/2013 - Financial Markets and Macroprudential Policy, 2013, vol. 295, pp 25-43 from University of Lodz

Abstract: The chapter introduces a vector autoregressive model to study impacts of the banking sector in Poland on the real macroeconomic processes. The model includes variables that capture capital adequacy and credit risk in the banking sector as well as main macroeconomic indicators. The role of macroprudential policy is also discussed. The impulse responses and variance decomposition make it possible to draw conclusions. The main result is that there are strong interconnections between the banking sector and the real side. An important aspect of the analysis is the observed drop of GDP below a potential due to higher capital requirements but the loss to GDP growth is minor.

Keywords: Banking sector; Macroeconomy; Macroprudential policy; Capital requirements; VAR model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2013:n:295:ch:02:foe

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