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  • 标题:Relationship between financial system systemic risk and the real sector: A FAVAR approach
  • 本地全文:下载
  • 作者:Wilmar Alexander Cabrera Rodríguez ; Luis Fernando Melo Velandia ; Daniel Parra Amado
  • 期刊名称:Ensayos sobre Política Económica
  • 印刷版ISSN:0120-4483
  • 出版年度:2014
  • 卷号:32
  • 期号:75
  • 页码:1-22
  • DOI:10.1016/j.espe.2014.08.001
  • 出版社:Banco de la Republica, Bogotà
  • 摘要:

    This paper estimates the effects of financial and real shocks on 111 variables of the Colombian economy for the sample period 2003-2013. An extension of the FAVAR model proposed by Bernanke, Boivin, & Eliasz (2005) is used; in this case the series are explained by both, a common component and an idiosyncratic component. Two exercises were performed: (i) impulse responses analysis for both, shocks in the real factor and shocks in the financial factor, and (ii) analysis of a stress event impact on the financial sector over the real sector and vice versa. For the latter, an alternative measure of CoVaR is proposed, this measure is called CoFaR. The results suggest that the close links between the two sectors propagate the shocks in both directions. In particular, the financial sector reacts quicker to a shock on real activity than the effect of a financial shock over real sector.

  • 关键词:Systemic Risk. FAVAR model. CoVaR.
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