Stress Tests of UK Banks Using a VAR Approach

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Factors influencing bank risk in Europe: Evidence from the financial crisis (2015, background): “Hoggarth et al. (2005) find that the important factors indirectly influencing financial stability and loan portfolio quality are the dynamics of inflation and interest rates.”
Optimal Bank Capital (2013, unknown): “For the UK, Hoggarth et al. (2005) estimate a VAR which includes bank-specific and macroeconomic variables and find that the maximum impact of a 1% adverse shock to UK output relative to potential leads to a 0.”
Asymmetric effects of the business cycle on bank credit risk. (2009, background): “Likewise, Hoggarth et al. (2005) provide evidence for the UK of a direct link between the state of the business cycle and banks’ write-offs.”
Asset quality in a crisis period: An empirical examination of Ghanaian banks (2014, methodology): “…he system generalized method of moments (GMM) provides vidence in support of the persistence of non-performing loans Keeton and Morris (1987), Keeton (1999), Gambera (2000) Rajan and Dhal 2003), Jimenez and Saurina (2006), Hoggarth et al. (2005) Bofondi and Ropele 2011) and Louzis et al. (2012).”
The Impact of Non-performing Loans on Bank Lending Behavior: Evidence from the Italian Banking Sector (2015, methodology): “The dependent variable, bank behavior (BB), is measured by the growth of gross loan rate for each year, in line with Laeven and Majnoni (2003), Gambacorta and Mistrulli (2004), Curry et al.”