Politická ekonomie 2020, 68(5):489-514 | DOI: 10.18267/j.polek.1291

Analýza vývoje čistých domácích a zahraničních aktiv bankovní soustavy (příklad České republiky v letech 1996-2017)

Karel Brůnaa, Martin Mandela
a Vysoká škola ekonomická v Praze, Fakulta financí a účetnictví

Analysis of Dynamics of Net Home and Foreign Assets of Banking Systems Using the Case of the Czech Republic in 1996–2017

Relative changes in home and foreign assets of the Czech banking system are negatively correlated in the period 1996-2017. The target of the research is to test this empirical fact deeply to explain how far this is only a balance sheet effect that is a result of booking the exchange rate changes in monetary survey statistics and how far this is a consequence of economic system behaviour. Our empirical analysis using the Granger causality test and the unconditional ARDL ECM model does not rule out the validity of the balance sheet hypothesis. Besides, it explains the economic nature of this phenomenon in relationship with GDP, exchange rate, foreign reserves, short-term interest rates and bank capital dynamics and confirms a possibility of substitutions between net home and foreign assets of a banking system within a money creation process represented by the M2 monetary aggregate.

Keywords: monetary survey, Czech National Bank, money endogeneity, ARDL ECM model
JEL classification: E44, E51, G21

Received: October 23, 2019; Revised: March 19, 2020; Accepted: June 17, 2020; Published: October 27, 2020  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Brůna, K., & Mandel, M. (2020). Analysis of Dynamics of Net Home and Foreign Assets of Banking Systems Using the Case of the Czech Republic in 1996–2017. Politická ekonomie, 68(5), 489-514. doi: 10.18267/j.polek.1291
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Aiyar, S., Calomiris, C. W., Wieladek, T. (2014a). Identifying Channels of Credit Substitution when Bank Capital Requirements are Varied. Economic Policy, 29(77), 45-77, https://doi.org/10.1111/1468-0327.12026 Go to original source...
    2. Aiyar, S., Calomiris, C. W., Wieladek, T. (2014b). Does Macro-Prudential Regulation Leak? Evidence from UK Policy Experiment. Journal of Money, Credit and Banking, 46(1), 181-214, https://doi.org/10.1111/jmcb.12086 Go to original source...
    3. Amiti, M., McGuire, P., Weinstein, D. E. (2017). Supply and Demand Side Factors in Global Banking. BIS. Working Papers, No. 639. Go to original source...
    4. Becker, B., Ivashina, V. (2014). Cyclicality of Credit Supply: Firm Level Evidence. Journal of Monetary Economics, 62(C), 76-93, https://doi.org/10.1016/j.jmoneco.2013.10.002 Go to original source...
    5. Bernanke, B., Gertler, M., Gilchrist, S. (1996). The Financial Accelerator and the Flight to Quality. Review of Economics and Statistics, 78(1), 1-15, https://doi.org/10.2307/2109844 Go to original source...
    6. Brůna, K., Blahová, N. (2019). Constraints in the Supply of Credit in an Open Transition Economy under New Basel III Requirements: The Case of the Czech Republic. Eastern European Economics, 57(1), 70-85, https://doi.org/10.1080/00128775.2018.1496457 Go to original source...
    7. Brůna, K., Mandel, M. (2016). Exit z devizových intervencí v situaci rostoucího externího zadlužení bank. Bankovnictví, 23(9), 28-32.
    8. Cerqueir, P. A. (2013). A Closer Look at the World Business Cycle Synchronization. International Economics and Economic Policy, 10(3), 349-363, https://doi.org/10.1007/s10368-013-0233-z Go to original source...
    9. Cerqueir, P. A., Martins, R. (2009). Measuring the Determinants of Business Cycle Synchronization Using a Panel Approach. Economic Letters, 102(2), 106-108, https://doi.org/10.1016/j.econlet.2008.11.016ČNB, ARAD ČNB, Metodologický list, 2019 . Go to original source...
    10. Davidson, P. (1982). International Money and the Real World. London: Macmillan. ISBN 978-1-349-16679-4. Go to original source...
    11. Dow, S. C. (1986). Post Keynesian Monetary Theory for an Open Economy. Journal of Post Keynesian Economics, 9(2), 237-257, https://doi.org/10.1080/01603477.1986.11489616 Go to original source...
    12. Harding, D., Pagan, A. (2002). Disecting the Cycle: A Methodological Investigation. Journal of Monetary Economics, 49(2), 365-381, https://doi.org/10.1016/s0304-3932(01)00108-8 Go to original source...
    13. Harding, D., Pagan, A. (2006). Synchronization of Cycles. Journal of Econometrics, 132(1), 59-79, https://doi.org/10.1016/j.jeconom.2005.01.023 Go to original source...
    14. Chava, S., Purnanandam, A. (2010). Is Default Risk Negatively Related to Stock Returns? Review of Financial Studies, 23(6), 2523-2559, https://doi.org/10.1093/rfs/hhp107 Go to original source...
    15. Chytil, Z. (2015). Eseje z postkeynesovské ekonomie. Praha: Nakladatelství Oeconomica. ISBN 978-80-245-2122-0. Go to original source...
    16. Johnson, H. G. (1977). The Monetary Approach to the Balance of Payments. A Nontechnical Guide. Journal of International Economics, 7(3), 251-268, https://doi.org/10.1016/0022-1996(77)90039-3 Go to original source...
    17. Kiyotaki, N., Moore, J. (1997). Credit Cycles. Journal of Political Economy, 105(2), 211-248, https://doi.org/10.1086/262072 Go to original source...
    18. Koderová, J., Sojka, M., Havel, J. (2008). Teorie peněz. Praha: ASPI. ISBN 978-80-7357-359-1.
    19. Mandel, M., Tomšík, V. (2014). Monetary Policy Efficiency in Conditions of Excess Liquidity Withdrawal. Prague Economic Papers, 23(1), 3-23, https://doi.org/10.18267/j.pep.470 Go to original source...
    20. Mink, M., Jacobs, J., de Haan, J. (2012). Measuring Coherence of Output Gaps with an Application to the Euro Area. Oxford Economic Papers, 64(2), 217-236, https://doi.org/10.1093/oep/gpr049 Go to original source...
    21. Peek, J., Rosengren, E. S. (2000). Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States. American Economic Review, 90(1), 30-45, https://doi.org/10.1257/aer.90.1.30 Go to original source...
    22. Pesaran, M. H., Shin, Y., Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326, https://doi.org/10.1002/jae.616 Go to original source...
    23. Polak, J. J. (1957). Monetary Analysis of Income Formation and Payments Problems. IMF Staff Papers, 6(1), 1-50, https://doi.org/10.2307/3866128 Go to original source...
    24. Polak, J. J. (2001). The Two Monetary Approaches to the Balance of Payments: Keynesian a Johnsonian. International Monetary Fund. Washington, DC Working Paper No. 2001/100, https://doi.org/10.5089/9781451852400.001 Go to original source...
    25. Rojíček, M., Spěváček, V., Vejmělek, J., et al. (2016). Makroekonomická analýza - teorie a praxe. Praha: Grada. ISBN 978-80-247-5858-9.

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content