Examining the Link between Shadow Banking and Monetary Policy Development

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Examining the Link between Shadow Banking and Monetary Policy Development

Popis výsledku v původním jazyce

Using a structural vector autoregressive model, this paper investigates a mutual relationship between shadow banking and monetary policy within the Eurozone. The authors use impulse responses to capture reactions of shadow banking and real economy to shocks in monetary policy. Our findings show that contradictionary monetary policy shock positively influences shadow banking development in time. Conversely, it is noted that shadow banking system could cause a change in macroeconomic development, resulting in damaged price and financial stability. Concretely, reaction of macro variables to a unit positive shock that originates in a shadow banking system is as follows. We would expect short-term inter-bank interest rate (borrowing costs) to drop as the central bankers are trying to fight the shadow banking growth. The reduction of a policy interest rate results into a drop in short-term interest rates and GDP rise at impact. The inflation is reacting in reverse to interest rates.

Název v anglickém jazyce

Examining the Link between Shadow Banking and Monetary Policy Development

Popis výsledku anglicky

Using a structural vector autoregressive model, this paper investigates a mutual relationship between shadow banking and monetary policy within the Eurozone. The authors use impulse responses to capture reactions of shadow banking and real economy to shocks in monetary policy. Our findings show that contradictionary monetary policy shock positively influences shadow banking development in time. Conversely, it is noted that shadow banking system could cause a change in macroeconomic development, resulting in damaged price and financial stability. Concretely, reaction of macro variables to a unit positive shock that originates in a shadow banking system is as follows. We would expect short-term inter-bank interest rate (borrowing costs) to drop as the central bankers are trying to fight the shadow banking growth. The reduction of a policy interest rate results into a drop in short-term interest rates and GDP rise at impact. The inflation is reacting in reverse to interest rates.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]

ISBN

978-80-248-3865-6

ISSN

2336-162X

e-ISSN

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Počet stran výsledku

9

Strana od-do

368-376

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

7. 9. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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