Economics and Business Review

ISSN 2392-1641
e-ISSN 2450-0097

Poznań University of Economics - Poland

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Volume 1 (15) Number 1 pp. 29-43

Magdalena Ulrichs

University of Lodz, Department of Econometrics, Faculty of Economics and Sociology, Łódź, Poland

Identification of financial and macroeconomic shocks in a VAR model of the Polish economy. A stability analysis

Abstract:

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.

Keywords: VAR models, impulse response functions, Markov‑ Switching VAR models, structural changes.

DOI: 10.18559/ebr.2018.1.3

For citation:

MLA Ulrichs, Magdalena. "Identification of financial and macroeconomic shocks in a VAR model of the Polish economy. A stability analysis." Economics and Business Review EBR 15.1 (2015): 29-43. DOI: 10.18559/ebr.2018.1.3
APA Ulrichs, M. (2015). Identification of financial and macroeconomic shocks in a VAR model of the Polish economy. A stability analysis. Economics and Business Review EBR 15(1), 29-43 DOI: 10.18559/ebr.2018.1.3
ISO 690 ULRICHS, Magdalena. Identification of financial and macroeconomic shocks in a VAR model of the Polish economy. A stability analysis. Economics and Business Review EBR, 2015, 15.1: 29-43. DOI: 10.18559/ebr.2018.1.3