Macro-financial linkages in the Polish economy: combined impulse-response functions in SVAR models

Dobromił Serwa () and Piotr Wdowiński

No 246, NBP Working Papers from Narodowy Bank Polski

Abstract: We estimated a structural vector autoregressive (SVAR) model describing the links between a banking sector and a real economy. We proposed a new method to verify robustness of impulse-response functions in a SVAR model. This method applies permutations of the variable ordering in a structural model and uses the Cholesky decomposition of the error covariance matrix to identify parameters. Impulse response functions are computed for all permutations and are then combined. We explored the method in practice by analyzing the macro-financial linkages in the Polish economy. Our results indicate that the combined impulse response functions are more uncertain than those from a single specification ordering but some findings remain robust. It is evident that macroeconomic aggregate shocks and interest rate shocks have a significant impact on banking variables.

Keywords: vector autoregression; Cholesky decomposition; combined impulse response; banking sector; real economy. (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 C87 E44 E58 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:246

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