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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA16-13784S" target="_blank" >GA16-13784S: Hospodářská politika a instituce pro finanční sektor: Současné výzvy při vyvažování finančního rozvoje a stability</a><br>

Návaznosti

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

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

Počet stran výsledku

9

Strana od-do

195-203

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

26. 6. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000418110700024