Macroeconomic Determinants of Shadow Banking: evidence from Spain
Macroeconomic Determinants of Shadow Banking: evidence from Spain

Author(s): Martin Hodula, Martin Macháček, Ales Melecky
Subject(s): National Economy, Supranational / Global Economy, Business Economy / Management
Published by: Masarykova univerzita nakladatelství
Keywords: shadow banking; credit intermediation; Bayesian ARDL;
Summary/Abstract: Shadow banking is a term that corresponds to credit intermediation outside the regulated banking system. Shadow banking system constitutes over one-quarter of total financial assets in the euro Area. Traditional banks now rely more on short-term funding from other financial intermediaries, which also cover shadow banking entities. Due to this fact they may become more susceptible to runs and liquidity shortages and endanger overall financial stability. Macroprudential authorities should therefore carefully monitor and supervise the growing share of shadow banking activities in the financial system. This paper presents a novel evidence on the shadow banking system dynamics in Spain. We chose Spain as a training sample because of its highly dynamic housing markets and related high securitization of loans. We use different methods to estimate the shadow banking size. We estimate a Bayesian ARDL model to uncover possible determinants of shadow banking system dynamics. Based on preliminary results, we conclude that macroeconomic environment may significantly influence the evolution of shadow banking system.

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