Placing the Czech shadow banking sector under the light

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10237881" target="_blank" >RIV/61989100:27510/20:10237881 - isvavai.cz</a>

Výsledek na webu

<a href="https://pep.vse.cz/artkey/pep-202001-0001_placing-the-czech-shadow-banking-sector-under-the-light.php" target="_blank" >https://pep.vse.cz/artkey/pep-202001-0001_placing-the-czech-shadow-banking-sector-under-the-light.php</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.18267/j.pep.710" target="_blank" >10.18267/j.pep.710</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Placing the Czech shadow banking sector under the light

Popis výsledku v původním jazyce

The size of the shadow banking sector (SBS) has more than doubled in the Czech Republic over the last decade. This places a potential burden on policy makers. On the one hand, the SBS complements regular banking by expanding access to credit and investments, enabling better risk sharing and maturity transformation, and supporting market liquidity. On the other hand, SBS activities can put the stability of the financial system at risk and amplify its procyclicality by exacerbating the buildup of leverage and asset price bubbles. We implement a FAVAR model of the Czech economy to determine the impact of macroeconomic factors on the SBS. We find that the SBS: (i) is sensitive to changes in market interest rates and term spread; (ii) exhibits great procyclicality; (iii) can act as a complement to regular banking and satisfy some additional demand for credit. We also define some potential risks of continued growth of the SBS, linked to our empirical evidence.

Název v anglickém jazyce

Placing the Czech shadow banking sector under the light

Popis výsledku anglicky

The size of the shadow banking sector (SBS) has more than doubled in the Czech Republic over the last decade. This places a potential burden on policy makers. On the one hand, the SBS complements regular banking by expanding access to credit and investments, enabling better risk sharing and maturity transformation, and supporting market liquidity. On the other hand, SBS activities can put the stability of the financial system at risk and amplify its procyclicality by exacerbating the buildup of leverage and asset price bubbles. We implement a FAVAR model of the Czech economy to determine the impact of macroeconomic factors on the SBS. We find that the SBS: (i) is sensitive to changes in market interest rates and term spread; (ii) exhibits great procyclicality; (iii) can act as a complement to regular banking and satisfy some additional demand for credit. We also define some potential risks of continued growth of the SBS, linked to our empirical evidence.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

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

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Prague Economic Papers

ISSN

1210-0455

e-ISSN

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Svazek periodika

29

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

26

Strana od-do

3-28

Kód UT WoS článku

000517763900001

EID výsledku v databázi Scopus

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