Macro-Financial Linkages in the Polish Economy: Combined Impulse-Response Functions in SVAR Models

Serwa, Dobromił; Wdowiński, Piotr

doi:10.2139/ssrn.2845737

Cited by 4 publications

(3 citation statements)

References 45 publications

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“…This type of model is extensively used in the literature in the analysis of the monetary transmission mechanism (e.g. Arratibel & Michaelis, 2014;Kapuściński et al, 2016;Polito & Wickens, 2012;Sack, 2000;Serwa & Wdowiński, 2016;Górajski & Ulrichs, 2016), it can also serve as an appropriate tool for measuring the strength and effectiveness of the channels of transmission of financial and monetary shocks.…”

Section: Macro-financial Relationships In the Polish Economymentioning

confidence: 99%

Identification of Financial and Macroeconomic Shocks in a VAR Model of the Polish Economy. A Stability Analysis

Ulrichs¹

2018

EBR

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Dynamic macroeconomic models (both VAR and DSGE) currently play a very significant role in macroeconomic modelling. But these types of models rarely take into account the impact of financial markets on the behaviour of economies, they are rather more focused on the monetary transmission mechanism. The financial crisis of 2007-2008 highlighted the impact of the financial market on the macroeconomy. In this context macroprudential policy and financial stability analysis has gained a stronger meaning. The main aim of the paper is to estimate a model that simultaneously explains the dynamics of macroeconomic and financial variables and to assess whether the identified relationships are stable over time. Therefore, based on the estimated empirical structural vector autoregression model explaining the interactions between the real economy, the financial system and monetary policy in Poland, financial and macroeconomic shocks were identified. It was shown that the impulse reaction functions changed after the financial crisis. On the basis of Markov -Switching vector autoregression model probabilities of transitions between states of the economy and the regime-dependent impulse reaction functions were estimated.

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Section: Macro-financial Relationships In the Polish Economymentioning

confidence: 99%

Identification of Financial and Macroeconomic Shocks in a VAR Model of the Polish Economy. A Stability Analysis

Ulrichs¹

2018

EBR

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“…Although there are many studies, characterizing macrofinancial interactions for the EU or the European Monetary Union as a whole, 1 the number of such researches for individual European countries or their samples is less impressive. For example, Kongsamut, Mumssen, Paret, and Tressel (2017) investigate how financial conditions help predict macroeconomic outcomes for France, Serwa and Wdowinski (2016) study the relationship between banking sector and real economy for Poland, while Ponomarenko, Rozhkova, and Seleznev (2018) explore if the degree of liquidity dependence accounts for the heterogeneity in macrofinancial linkages for a sample of seven major European economies.…”

Section: Introductionmentioning

confidence: 99%

Macrofinancial linkages in Europe: Evidence from quantile local projections

Stolbov

Shchepeleva

2020

Int. J Fin Econ

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The paper investigates macrofinancial linkages in the sample of 16 European economies over January 1997–December 2019 from a new twofold perspective. First, we put a particular emphasis on the role of news‐based sentiment measures in these relationships, that is, economic policy uncertainty and global geopolitical risk. Second, we pursue a hybrid econometric approach to capture a presumably nonlinear nature of these linkages by building on different quantiles of the data series and estimating impulse responses from smooth local projections (Barnichon and Brownlees, Review of Economics and Statistics, 101(3), 522–530, 2019). Our results legitimize such approach as the number of statistically significant impulse responses based on this approach is skewed towards upper (75th and 90th) quantiles. We find that global economic policy uncertainty index dampens the growth rates of industrial production in Austria, France, Italy, Luxembourg and Slovakia, which calls for specific measures to mitigate this adverse effect at the national level, for example, by curtailing yellow journalism, populist ideas and disbeliefs. However, there is only minor evidence for the relationship running between economic policy uncertainty and financial stress. Global geopolitical risk appears irrelevant in the country‐ and panel‐level analyses. Meanwhile, the VIX index performs a pervasive role in undermining industrial production and increasing economic policy uncertainty in Europe.

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“…Data was analyzed using Bayesian Vector Autoregressive (BVAR) Model. Serwa and Wdowinski [13], argues that the most fashionable tool to research the linkages between business and monetary cycles within the short and medium run could be a vector autoregressive (VAR) model. This study employed the impulse-response analysis and forecast error variance decomposition to investigations these intra-market linkages and their causal effect to financial inclusion.…”

Section: Introductionmentioning

confidence: 99%

Intra-Market Linkages in the Financial Sector and Their Effects on Financial Inclusion

Lidiema¹

2018

IJFBR

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The financial stability objective of any financial system authority is to maintain confidence, and promote the safety and soundness of the domestic financial system. Financial stability has been defined as the resilience of the financial system in the face of adverse shocks to enable the continued smooth functioning of the financial intermediation process. The Kenyan Financial service providers are diverse and they include 42 commercial banks, 49 insurance companies, 12 deposits taking microfinance banks, and 199 registered savings and credit cooperatives (SACCOs). This paper examined financial intramarket linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and Capital Markets) in Kenya and the impact of this transmission on financial inclusion. The study evaluated the effect of intra-market linkages on financial inclusion using Bayesian Vector Autoregressive (BVAR) using monthly data from the Kenyan market during the period January 2004-December 2016. Impulse-response analysis and forecast error variance decomposition were used to investigate these intra-market linkages and their causal effect to financial inclusion. Results show that there are significant market interactions and interlinkages with significant shocks transmission moving from banks to other markets. Interest rates shock transmission affected all markets. This means that monetary policy transmission as expected trickles down to the entire financial sector. The study also found out that, positive shocks from credit impacts positively on lending rate and the capital markets performance implying banking mechanism to reward increased loan uptake at cheaper prices and hence creating cash-flow that spills over to more investment on the Nairobi Securities Exchange. The study recommends that policy makers design policies that help minimize the adverse impact of volatility/shocks but create opportunities for growth on each market to foster price stability and increase investments through financial inclusion.

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Macro-Financial Linkages in the Polish Economy: Combined Impulse-Response Functions in SVAR Models

Cited by 4 publications

References 45 publications

Identification of Financial and Macroeconomic Shocks in a VAR Model of the Polish Economy. A Stability Analysis

Identification of Financial and Macroeconomic Shocks in a VAR Model of the Polish Economy. A Stability Analysis

Macrofinancial linkages in Europe: Evidence from quantile local projections

Intra-Market Linkages in the Financial Sector and Their Effects on Financial Inclusion

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