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International Journal of Economics and Finance Studies

Yıl 2011 , Cilt 3 , Sayı 2

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Makale özeti
Başlık :

Bank capital and macroeconomic shocks: a principal components analysis and vector error correction model

Yazar kurumları :
Université Montesquieu-Bordeaux IV1, Statistical Engineer Dexia Bank2
Görüntülenme :
138
DOI :
Özet Türkçe :

The recent financial turmoil has clearly highlighted the potential role of financial factors on amplification of macroeconomic developments and stressed the importance of analyzing the relationship between banks' balance sheets and economic activity. This paper assesses the impact of the bank capital channel in the transmission of schocks in Europe on the basis of bank's balance sheet data. The empirical analysis is carried out through a Principal Component Analysis and in a Vector Error Correction Model.

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