Financial Stability, Monetary Stability and Growth: a PVAR Analysis

被引：27

作者：

Apostolakis, George ^{[1
,2
,3
]}

Papadopoulos, Athanasios P. ^{[1
]}

机构：

[1] Univ Crete, Dept Econ, Rethymno Campus, Rethimnon 74100, Greece

[2] Nyenrode Business Univ, Straatweg 25, NL-3621 BG Breukelen, Netherlands

[3] Nyenrode Business Univ, POB 130, NL-3620 AC Breukelen, Netherlands

来源：

OPEN ECONOMIES REVIEW | 2019年 / 30卷 / 01期

关键词：

Impulse responses; Granger causality; Government deficit; Housing prices; Financial stress index; ECONOMIC-GROWTH; SOVEREIGN DEBT; STRESS; POLICY; CREDIT; PRICES; BRICS;

D O I：

10.1007/s11079-018-9507-y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper employs a panel vector autoregressive (PVAR) model to investigate the relationship among financial stress, inflation and growth in 19 advanced economies over the 1999-2016 period. To measure financial stress, we construct a financial stress index (FSI) that provides a signal of financial stress. We apply the PVAR approach along with impulse response functions (IRFs), variance decomposition, and Granger causality tests to FSI data on monetary stability, economic growth, housing markets and government policies. The analysis shows negative responses of the macroeconomic variables to financial stress shocks.

引用

页码：157 / 178

页数：22

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