Analysis of Dynamics of Net Home and Foreign Assets of Banking Systems Using the Case of the Czech Republic in 1996-2017

Bibliographic Data

ID6109110
AuthorsKarel Brůna (0000-0003-3690-1364, Prague University of Economics and Business), Martin Mandel (0000-0002-7228-3092, Prague University of Economics and Business)
Year2020
Volume68
Issue5
Pages489-514
Publication date2020-10-27
Open AccessYes
TypeARTICLE
VenuePolitická ekonomie (JOURNAL)
Journal identifiersISSN: 0032-3233 • E-ISSN: 2336-8225
PublisherPrague University of Economics and Business (PUBLISHER • CZ)
DOI10.18267/j.polek.1291
OpenAlexW3097441972
LanguageEN
Citations received1
References cited23

Relative changes in home and foreign assets of the Czech banking system are negatively correlated in the period 1996-2017. The target of the research is to test this empirical fact deeply to explain how far this is only a balance sheet effect that is a result of booking the exchange rate changes in monetary survey statistics and how far this is a consequence of economic system behaviour. Our empirical analysis using the Granger causality test and the unconditional ARDL ECM model does not rule out the validity of the balance sheet hypothesis. Besides, it explains the economic nature of this phenomenon in relationship with GDP, exchange rate, foreign reserves, short-term interest rates and bank capital dynamics and confirms a possibility of substitutions between net home and foreign assets of a banking system within a money creation process represented by the M2 monetary aggregate

Balance (ability) · Balance of payments · Balance sheet · Capital (architecture) · Current account · Czech · Econometrics · Economics · Exchange rate · Foreign-exchange reserves · Granger causality · Macroeconomics · Monetary economics · Monetary policy · Monetary system · Net foreign assets · Banking stability, regulation, efficiency · Finance · Fiscal Policies and Political Economy · Monetary Policy and Economic Impact

Tools

Open DOIOpen Access