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Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen

Makroökonomische Schocks in der Kreditwirtschaft — eine Analyse mit VAR-Modellen
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Year:    2004

Author:    Wagatha, Matthias

Credit and Capital Markets – Kredit und Kapital, Vol. 37 (2004), Iss. 1 : pp. 31–61

Abstract

Macroeconomic Shocks to the Credit Industry - a VAR Model-based Analysis

This article represents an empirical analysis of whether macroeconomic shocks exert a statistical influence on insolvency rates. The quantitative implications of macroeconomie impulses have been explained with the help of impulse-response functions and forecasting error variances with these impulse-response functions and forecasting error variances being based on a VAR model. The estimates of the VAR models take account of the fact that most of the underlying time series have a unit root and that the variables have been co-integrated. The confidence intervals of the estimated impulse-response sequences have been ascertained with the help of a bootstrap procedure.

Journal Article Details

Publisher Name:    Global Science Press

Language:    Multiple languages

DOI:    https://doi.org/10.3790/ccm.37.1.31

Credit and Capital Markets – Kredit und Kapital, Vol. 37 (2004), Iss. 1 : pp. 31–61

Published online:    2004-01

AMS Subject Headings:    Duncker & Humblot

Copyright:    COPYRIGHT: © Global Science Press

Pages:    31

Author Details

Wagatha, Matthias

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Section Title Page Action Price
Matthias Wagatha: Makroökonomische Schocks in der Kreditwirtschaft -\reine Analyse mit VAR-Modellen 31
I. Einleitung 31
II. Makroökonomische Ursachen von Kreditausfällen 32
1. Erklärungsansätze in der Literatur 32
2. Interpretation makroökonomischer Schocks 33
III. Identifikation makroökonomischer Schocks mittels eines VAR-Modells 35
1. Vektorautoregression und Kointegration 35
2. Impuls-Antwort-Analyse und Vorhersagefehler-Varianz-Zerlegung 38
IV. Empirische Analyse mit VAR-Modellen 39
1. Auswahl der Daten 39
2. Modellspezifikationen 42
3. Empirische Ergebnisse 44
V. Zusammenfassung 48
VI. Anhang 50
Literatur 58
Zusammenfassung: Makroökonomische Schocks in der Kreditwirtschaft - eine Analyse mit VAR-Modellen 60
Summary: Macroeconomic Shocks to the Credit Industry - a VAR Model-based Analysis 61
Résumé: Chocs macroéconomiques dans le crédit - une analyse avec de modèles VAR 61