Loan-To-Deposit Ratio and Financial Stability: macroprudential policy perspective

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236655" target="_blank" >RIV/61989100:27510/17:10236655 - isvavai.cz</a>
Result on the web
<a href="https://is.muni.cz/do/econ/sborniky/70896034/EFS2017-Proceedings_1_final.pdf?fakulta=1456#page=195" target="_blank" >https://is.muni.cz/do/econ/sborniky/70896034/EFS2017-Proceedings_1_final.pdf?fakulta=1456#page=195</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Loan-To-Deposit Ratio and Financial Stability: macroprudential policy perspective
Original language description
This paper evaluates the relation between the loan-to-deposit ratio (LTD) and financial stability and hence the usefulness of the LTD as a macroprudential policy indicator or instrument. In general, an increase of the LTD should indicate a financial stability decrease. Subsequently we adopt a macroprudential policy perspective and test financial sector stability with respect to the currency (domestic/foreign) in which loans and deposits are denominated. This is done in a linear empirical framework by using large factor-augmented VAR model (FAVAR) which is not limited to number of variables used. For such analysis, it is appropriate to choose an open economy with a bank-based financial system and potential substitutability between domestic and foreign currency loans and deposits. Therefore, we analyze the Czech Republic and Hungary as these countries meet the above listed characteristics. Our results suggest that the structure of financial transactions in terms of domestic/foreign currency denomination cannot be ignored or disregarded in relation to financial stability objective.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-13784S" target="_blank" >GA16-13784S: Financial sector policy and institutions: Current challenges in balancing financial development and stability</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2017: proceedings of the 14th international scientific conference : June 26-27, 2017, Brno, Czech Republic. Part 1.
ISBN
978-80-210-8609-8
ISSN
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e-ISSN
neuvedeno
Number of pages
9
Pages from-to
195-203
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jun 26, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000418110700024

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