Template-Type: ReDIF-Paper 1.0
Author-Name: Bálint Tamási
Author-X-Name-First: Bálint
Author-X-Name-Last: Tamási
Author-Email: tamasib@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Author-Name: Balázs Világi
Author-X-Name-First: Balázs
Author-X-Name-Last: Világi
Author-Email: vilagib@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Title: Identification of credit supply shocks in a Bayesian SVAR model of the Hungarian economy
Abstract: Using Hungarian macroeconomic and financial data, we estimate a Bayesian structural VAR model suitable for macroprudential simulations. We identify standard macroeconomic and credit supply shocks by sign and zero restrictions. In contrast to the previous literature, different types of credit shocks are distinguished in our paper: a risk assessment and a policy shock. Our main findings are the following. First, we demonstrate that both credit supply and macroeconomic shocks explain the variance of endogenous variables at roughly similar order of magnitude. Second, it is shown that credit supply shocks do not have a dominant role in the decline of the Hungarian economy over the crisis period that started in 2008, although their contribution was non-negligible. Third, the importance of unidentified shocks increased in the crisis period.
Length: 26 pages
Creation-Date: 2011
File-URL: http://www.mnb.hu/letoltes/wp-2011-07.pdf
File-Format: Application/pdf
Number: 2011/7
Classification-JEL: C11, C32, E32, E44
Keywords: Bayesian SVAR, zero and sign restrictions, credit supply shocks

Handle: RePEc:mnb:wpaper:2011/7