期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2017
期号：4
页码：323-357
语种：English
出版社：Polska Akademia Nauk
摘要：We estimated a structural vector autoregressive (SVAR) model describingthe links between a banking sector and a real economy. We proposed a newmethod to verify robustness of impulse-response functions to the ordering ofvariables in an SVAR model. This method applies permutations of orderings ofvariables and uses the Cholesky decomposition of the error covariance matrix toidentify parameters. Impulse response functions are computed and combined forall permutations. We explored the method in practice by analyzing the macrofinancial linkages in the Polish economy. Our results indicate that the combinedimpulse response functions are more uncertain than those from a single modelspecification with a given ordering of variables, but some findings remain robust.It is evident that macroeconomic aggregate shocks and interest rate shocks havea significant impact on banking variables.
