Sign restriction approach to macro stress-testing of the Croatian banking system
The paper employs Uhlig’s sign restriction approach to stress-testing of the Croatian banking system. The analysis is based on a standard monetary VAR comprising real economic activity, inflation and short-term interest rates augmented by the ratio of non-performing loans or return on average equity...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute of Public Finance
2012-12-01
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| Series: | Financial Theory and Practice |
| Subjects: | |
| Online Access: | http://fintp.ijf.hr/upload/files/ftp/2012/4/erjavec_cota_jaksic.pdf |