Research on stress test of commercial banks based on SVAR model

MaRDI QIDQ3175730zbMATH OpenFDO

Authors Zhiquan He

Publication date 18 July 2018

zbMATH Keywords

structural shocksstress testcommercial bankssequence decomposition

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Recommendations

• The real consequences of financial stress
• Estimating a banking-macro model using a multi-regime VAR
• scientific article; zbMATH DE number 1834002
• Financial stress, regime switching and macrodynamics
• What do VARs tell us about the impact of a credit supply shock?

Cited in

(2)

• Macro-stress testing dividend income. Evidence from euro area banks
• Estimating a banking-macro model using a multi-regime VAR

This page was built for publication: Research on stress test of commercial banks based on SVAR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3175730)