Why does bank credit not drive money in Germany (any more)?

Кузин, Владимир; Schobert, Franziska

doi:10.1016/j.econmod.2014.10.013

Cited by 15 publications

(13 citation statements)

References 5 publications

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“…Before 1985, money and credit were interdependent, although it was not clear whether money or credit was leading. Kuzin and Schobert (2015) found a different change in money-credit link. According to their results, domestic credit to non-banks used to determine money creation before the monetary union to a considerable extent in Germany.…”

Section: The Theoretical Background Of the Decoupling Of Money And Crmentioning

confidence: 91%

“…banks may grant credit beyond their deposit base) and augmented funding via the nonmonetary liabilities of banks. Goodhart and Hofmann (2008) and Kuzin and Schobert (2015) also investigated the relationship between money and credit. Goodhart and Hofmann (2008) found that after 1985 credit granger caused money growth in a panel VAR for 17 industrialized countries.…”

Section: The Theoretical Background Of the Decoupling Of Money And Crmentioning

confidence: 99%

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Money and credit during normal times and house price booms: evidence from time-frequency analysis

Ryczkowski

2019

Empirica

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I analyse the link between money and credit for twelve industrialized countries in the time period from 1970 to 2016. The euro area and Commonwealth Countries have rather strong co-movements between money and credit at longer frequencies. Denmark and Switzerland show weak and episodic effects. Scandinavian countries and the US are somewhere in between. I find strong and significant longer run comovements especially around booming house prices for all of the sample countries. The analysis suggests the expansionary policy that cleans up after the burst of a bubble may exacerbate the risk of a new house price boom. The interrelation is hidden in the short run, because the co-movements are then rarely statistically significant. According to the wavelet evidence, developments of money and credit since the Great Recession or their decoupling in Japan suggest that it is more appropriate to examine the two variables separately in some circumstances.

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Section: The Theoretical Background Of the Decoupling Of Money And Crmentioning

confidence: 91%

Section: The Theoretical Background Of the Decoupling Of Money And Crmentioning

confidence: 99%

Money and credit during normal times and house price booms: evidence from time-frequency analysis

Ryczkowski

2019

Empirica

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“…The sum of these transactions constitutes the change in funds owned by the non-banking sector. In the balance of payments, this sum also equals the sum of the banking sector's external transactions, which is reflected in the change in the net foreign assets (NFA) (see Duc et al (2008), Chung et al (2015), Kuzin and Schobert (2015) and Ponomarenko (2017a) for a detailed discussion of money creation through external transactions).…”

Section: Flow Of Funds Analysismentioning

confidence: 99%

Forecasting the Implications of Foreign Exchange Reserve Accumulation With an Agent-Based Model

2018

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We develop a stock-flow-consistent agent-based model that comprises a realistic mechanism of money creation and parametrize it to fit actually observed data. The model is used to make out-of-sample projections of broad money and credit developments under the commencement/termination of foreign reserve accumulation by the Bank of Russia. We use direct forecasts from the agent-based model as well as the two-step approach, which implies the use of artificial data to pre-train the Bayesian vector autoregression model. We conclude that the suggested approach is competitive in forecasting and yields promising results.

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“…We focus on an analysis of emerging markets, as we believe there may be important differences here compared to the recent literature on advanced countries (e.g. the description of money creation in the euro area countries by Kuzin and Schobert (2015)). In particular, we believe that the importance of external transactions in money creation may be conditional on the central bank's foreign reserves policy.…”

Section: Introductionmentioning

confidence: 99%

“…See e.g Tobin (1982). for theoretical discussion as well as Berg (2012),Kuzin and Schobert (2015) andKauko (2015) for recent applications 3. For simplicity, we will not specifically discuss the case of government borrowing from the foreign sector.…”

mentioning

confidence: 99%