VECM on Bank Lending Channel

[Billaudes]

Hi everyone,

I have an intuitive question, I am trying to run a VECM on the Bank Lending Channel using the variables, total loans, deposits, securities, and central bank rates as variables in that order. According to my Johanses test I do have two Cointegrating Vectors, so it seems to make sense. However, my impulse responses are flat lines and only move slightly. Any ideas what I could be doing wrong???

Thank you,
Billaudes

[micky]

Hi, Billaudes, i can't give you exactly what you want, but i can provide a useful link which can be helpful, try to search your answer here http://papers.ssrn.com/sol3/papers.cfm? ... _id=304457. Good-luck!
micky Simulation pret immobilier