Open Economies Review

, Volume 30, Issue 1, pp 157–178 | Cite as

Financial Stability, Monetary Stability and Growth: a PVAR Analysis

  • George ApostolakisEmail author
  • Athanasios P. Papadopoulos
Research Article


This paper employs a panel vector autoregressive (PVAR) model to investigate the relationship among financial stress, inflation and growth in 19 advanced economies over the 1999–2016 period. To measure financial stress, we construct a financial stress index (FSI) that provides a signal of financial stress. We apply the PVAR approach along with impulse response functions (IRFs), variance decomposition, and Granger causality tests to FSI data on monetary stability, economic growth, housing markets and government policies. The analysis shows negative responses of the macroeconomic variables to financial stress shocks.


Impulse responses Granger causality Government deficit Housing prices Financial stress index 

JEL Classification

C32 C43 F30 G15 



The authors are particularly grateful to George Tavlas (the editor) and to an anonymous referee for their constructive suggestions and valuable remarks that helped us further improve our manuscript. Useful comments from the participants of the 22nd International Conference on Macroeconomic Analysis and International Finance (ICMAIF) held in Rethymno, Greece on May 24-26, 2018, are also gratefully acknowledged.


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© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of CreteRethymnoGreece
  2. 2.Nyenrode Business UniversiteitBreukelenThe Netherlands

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