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

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

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

471-476

Název nakladatele

Technická univerzita Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000385239500081