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Financial channels and economic activity in the euro area: a large-scale Bayesian VAR approach

机译：欧元区的金融渠道和经济活动：大规模的贝叶斯var方法

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摘要

This paper explores the nexus between financial and macroeconomic developments in the euro area. It draws on key lessons from the literature and provides stylised facts on the main transmission channels through which financial developments have affected real economic activity in the recent years. Specifically, a large-scale Bayesian VAR (Banbura et al. in Int J Forecast 31(3):739-756, 2015) is applied to set of macroeconomic and financial variables focusing at four key channels: (1) the interest rate channel; (2) the borrower balance sheet channel; (3) the bank balance sheet channel; and (4) the uncertainty channel. Overall, conditional forecasts from this model suggests that financial variables have significant impact on macroeconomic developments but also that the relative importance of individual channels varies across time. Notably, the interest rate channel (reflecting also the monetary policy stance) has helped the recovery in 2013/2014 by supporting both private and public consumption. The positive boost has been somewhat compensating the adverse effects of the borrower balance sheet channel. The bank balance sheet channel and the uncertainty channel play in turn a particularly important role in capturing the weakness in the rebound in investment.
机译：本文探讨了欧元区金融和宏观经济发展之间的Nexus。它借鉴了文献的关键课程，并在主要传输渠道上提供了风格化的事实，通过该渠道，近年来金融发展影响了实际的经济活动。具体来说，一个大规模的贝叶斯var（Banbura等人。在int J预测31（3）：739-756,2015）应用于集中在四个关键渠道的宏观经济和金融变量集：（1）利率渠道; （2）借款人资产负债表渠道; （3）银行资产负债表渠道; （4）不确定性频道。总体而言，来自该模型的条件预测表明，金融变量对宏观经济发展产生了重大影响，也具有显着影响宏观经济发展，而且还有各个渠道的相对重要性越差。值得注意的是，利率渠道（反映货币政策立场）通过支持私人和公共消费，帮助在2013/2014中恢复。积极的提升有点补偿借款人资产负债表渠道的不利影响。银行资产负债表渠道和不确定性渠道在捕捉投资反弹的弱点方面的作用特别重要。

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