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

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

Karel Brůna () and Martin Mandel

Politická ekonomie, 2020, vol. 2020, issue 5, 489-514

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: E44 E51 G21 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.18267/j.polek.1291

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