Banking Sector and Real Economy of Poland – Analysis with a VAR Model
Keywords:
banking sector, macroeconomy, macroprudential policy, capital requirements, VAR modelAbstract
Analiza opiera się na modelu wektorowej autoregresji (VAR) do badania wpływu sektora bankowego w Polsce na sferę realną. Model obejmuje podstawowe zmienne dla sektora bankowego – współczynnik wypłacalności oraz wskaźnik kredytów z utratą wartości – oraz główne wskaźniki makroekonomiczne. Podano również kontekst polityki makroostrożnościowej. Analiza funkcji reakcji oraz dekompozycji wariancji pozwoliła na wyciągnięcie wniosków, iż istnieją silne wzajemne powiązania między sektorem bankowym a sferą realną. Zaobserwowano spadek PKB poniżej produktu potencjalnego na skutek wyższych wymogów kapitałowych, jednak ograniczenie wzrostu gospodarczego było nieznaczne.Downloads
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