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Bank Leverage, Credit and GDP in Switzerland: A VAR Analysis 1987-2015

Author

Listed:
  • Kugler, Peter

    () (University of Basel)

  • Junge, Georg

Abstract

A VAR analysis of Swiss data from 1987 to 2015 provides no evidence for significant long and short run influence of leverage on GDP, credit and the interest rate spread. Increasing capital requirements for banks should therefore have no strong negative macroeconomic effects.

Suggested Citation

  • Kugler, Peter & Junge, Georg, 2017. "Bank Leverage, Credit and GDP in Switzerland: A VAR Analysis 1987-2015," Working papers 2017/10, Faculty of Business and Economics - University of Basel.
  • Handle: RePEc:bsl:wpaper:2017/10
    as

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    File URL: https://edoc.unibas.ch/61307/1/20180306094055_5a9e541767145.pdf
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    References listed on IDEAS

    as
    1. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    2. Georg Junge & Peter Kugler, 2013. "Quantifying the Impact of Higher Capital Requirements on the Swiss Economy," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(III), pages 313-356, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    GDP; credit; leverage interest spread; long and short run impact VAR;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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