Working Paper: Macro-financial linkages in a SVAR model with application to Denmark

Working Paper - January 2019 - No. 134

Authors Jensen, Jakob Roager; Pedersen, Jesper
Subject Economic activity and employment; Financial markets; Models
Type Working paper
Year 2019
Published 30 January 2019
We analyse macro-financial linkages in the Danish economy by estimating a structural VAR model. We construct a new financial condition index for the Danish economy. We find that financial conditions stimulated GDP before the financial crisis and deepened the subsequent recession. In recent years, financial conditions have contributed to the expansion in Denmark.