Past years have shown that macroeconomic models fell short in explaining reasons and consequences of the current financial crisis. One potential reason is the abstraction from the special role of the banking system in the transmission of macroeconomic shocks. Since currently, banks have mostly be seen as neutral agents which are transmitting exogenous shocks (e.g. monetary policy) almost unchanged to the real economy. Furthermore the banking system itself has scarcely be seen as a source of macroeconomic disturbences.
The aim of this project is to shed light on the role of the banking system in both the transmission and emission of macroeconomic shocks, and thus, to enable early recognistion of future financial criseses and to moderate their impact on the real economy. Part of this research is the development of new econometric techniques needed to analyse and quantify the transmission and emission of macroeconomic shocks through the banking system. Moreover, a theoretical framework will be developed that enables the analysis of shocks within the banking system as well as its moderating or amplifying role with regard to the transmission of macroeconomic shocks from outside.
We explore the impact of differences in the structure of the banking system on its amplifying or moderating role in the transmission of monetary policy shocks by analysing regional asymmetries in the impulse-responses of spatial vector autoregressions. Further, we identify shocks that are specific to the banking system with panel data on the micro level based on ifo survey data. Moreover, we estimate credit supply shocks on the base of vectorautoregressions. And finally, we model the transmission and emission of macroeconomic shocks through the banking system withing a DSGE framework.
Ifo Institute, national Central Banks, national statistic agencies, OECD, IMF, Ecowin.
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