BUCH, CLAUDIA M.; EICKMEIER, SANDRA; PRIETO, ESTEBAN - In: Journal of Money, Credit and Banking 46 (2014) 4, pp. 715-751
We analyze the link between banks and the macroeconomy using a model that extends a macroeconomic VAR for the U.S. with a set of factors summarizing conditions in about 1,500 commercial banks. We investigate how macroeconomic shocks are transmitted to individual banks and obtain the following...