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The Role of Banking and Shadow Banking Sector in the Euro Area: Relationship Assessment via Dynamic Correlation

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098186" target="_blank" >RIV/61989100:27510/16:86098186 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Role of Banking and Shadow Banking Sector in the Euro Area: Relationship Assessment via Dynamic Correlation

  • Original language description

    Financial sector comprises many types of institutions, among others shadow banking institutions. Shadow banking activities can be associated with the potential financial instability because they are realised outside the regulated banking sector. The aim of the paper is to assess the relationship between the banking and shadow banking activities and credit lending standards imposed by banking institutions in Euro Area countries. For such aim we use correlation analysis. In deep view into dependence structure is done via dynamic correlation. We use quarterly data over the period 2003-2015. However, an attention is paid to the period during and after the financial crisis where the particular role of shadow bank institutions seems to be important. We conclude that banking institutions of the analysed Euro Area countries originated fewer loans in reaction to tighter lending standards (imposed by banking institutions on their loans). However, the expected positive impact of tighter lending standards, higher interest rates and higher capital requirements on loans provided by shadow banking institutions is confirmed only in some periods and frequency ranges.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2016

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    34th International Conference Mathematical Methods in Economics (MME) : proceedings papers

  • ISBN

    978-80-7494-296-9

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    471-476

  • Publisher name

    Technická univerzita Liberec

  • Place of publication

    Liberec

  • Event location

    Liberec

  • Event date

    Sep 6, 2016

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article

    000385239500081