Nationalbank - Bilanz (balance sheet central bank)

Transcription

1 1 Model Austria 78/1 Source: Dieter Proske, Ökonomisches Modell des monetären Sektors für Österreich (preliminary version), VIth. International Conference of Applied Econometrics, Monetary and financial models, National Bank, Wien, Austria, February, 1979, 1-4 Nationalbank - Bilanz (balance sheet central bank) ERP - Wechsel im Portefeuille der NB ( ERP - bills portfolio central bank) (1) ERP = a 1,1 DLIM + a 1,2 TIME + a 1,3 ERP t-1 + a 1,4 Forderungen gegen den Bund (Central treasury claims) (2) NBTC = a 2,1 DOCC + a 2,2 DIMF + a 2,3 PFXNB + a 2,4 NBTC t-1 + a 2,5 Sonstige Aktiva (Other assets of the central bank) (3) OANB = a 3,1 GNPV + a 3,2 OANB t-1 + a 3,3 Bargeld Publikum (Currency public) (4) CURP = a 4,1 GNPV + a 4,2 RSM1 + a 4,3 RSEC + a 4,4 Reserven (Reserve funds central bank) (5) RFNB = a 4,1 DLIM + a 4,2 RFNB t-1 + a 4,3 Sonstige Passiva (other liabilities central bank) (5) OLNB = a 5,1 PFXNB + a 5,2 OLNB(1) + a 3,3 Konsolidierte Bilanz der Kreditunternehmungen (Consolidated balance sheet banks) Reserven (Reseves Banks) (6) RES = a 6,1 RENB + a 6,2 Freie reserven (Free reserves) (7) RESF = (a 7,1 RESC + a 7,2 RD + a 7,3RSM1 + a 7,4 D77 + a 3,3) CT RODD Bundesschatzscheine (Treasury bills in banks portfolio) (8) BGNB = a 8,1(RESEC - RSM1) + a 8,2 GDD + a 8,3 BGNO(1) + a 8,4 CT Titrierte Kredite (Fixed interest long term securities in banks portfolio) (9) SECB = (a 9,1 GDD + a 9,2 RSEC + a 9,3 RTB + a 9,4 RSM1 + a 9,5 ) CT Auslandsforderungen (Foreign assets banks) (10) ABF = (a 10,1 (REU$ - RSEC) + a 10,2 XVN + a 10,3 FXSW + a 10,4 ) CT Direkte Kredite (Bank loans to public sector) (11) LBP = a 11,1 DLIM + a 11,2 RSEC + a 11,3 GNPV + a 11,4 LPB t-1 + a 11,5 Fremswährungskredite (Bank loans foreign currency to public sector) (12) LBFC = a 12,1 GNPV + a 12,2 REU$ + a 12,3 D73 + a 12,4 Notenbankverschuldung (Reserves borrowed from central bank) (13) REB = a 13,1 LBP + a 13,2 GFXA + a 13,3 RSM1 + a 13,4 Termineinlagen (Time deposits) (14) DT = a 14,1 GNPV + a 14,2 (RESEC - RDS) + a 14,3 D75 + a 14,4 Spareinlagen (Savings deposits) (15) DS = a 15,1 GNPV + a 15,2 RSEC + a 15,3 RDS + a 15,4

2 2 Fremdwährungseinlagen (Foreign currency deposits) (16) DF = a 16,1 XV + a 16,2 FXSD + a 16,3 DF(1) + a 16,4 Bei inländischen Nichtbanken aufgekommene Gelder (Special deposits taken from domestic non-banks) (17) DLB = a 17,1 GNPV + a 17,2 DLIM + a 17,3 RSEC + a 17,4 REU$ + a 17,5 Eigene Inlandsemissionen (Own security issues of banks ) (18) SIB = a 18,1 GNPV + a 18,2 RSEC + a 18,3 Auslandspassiva (Foreign liabilities banks) (19) FLB = a 19,1 GNPV + a 19,2 FXSW+ a 19,3 (REU$ - RD) + a 19,4 Eigenkapital (Networth banks) (20) NWB = a 20,1 A + a 20,2 NWB t-1 + a 20,3 Gleichung für die emissionsrendite der Wertpapiere (Interest rate long term securities new issues) (21) RESEC = a 21,1 M1R + a 21,2 GNP + a 21,3 GNP + a 21,4 RSEC(1) + a 21,5 List of variables Endogenous variables ABF Foreign assets of banks BGNB Treasursy bills in banks' portofolio CT Control total banks CURP Currency holdings of domestic non-banks (public) DD Demand deposits of domestic non-banks with the banking system DF Foreign currency deposits of domestic non-banks with the banking system DLB Special deposit liabilities of banks DS Savings deposits of domestic non-banks with the banking system DT Time deposits of domestic non-banks with the banking system DTS Time and savings deposits ERP European recovery program bills FLB Foreign liabilities of the banking system to domestic non-banks GFXA Monetary reserves of the central bank (adjusted version) LBFC Foreign currency loans of the banking system to domestic non-banks LBP Bank loans to domestic non-banks (public) MBA Monetary base (special adjusted version) M1 Money stock (currency + demand deposits) nominal terms M1R Money stock (currency + demand deposits) real terms NBTC Claims of national bank against treasury NWB Net worth banks OANB Other assets central bank OLNB Other liabilitie central bank REB Reserves borrowed from central bank (discounts + advances) RENB Reserves banks accord. Balance sheet national bank(+ currency banks) RES Reserves banks according to the consolidated RESF Free reserves banks REST Rest assets banks RESUB Unborrowed reserves banks RFNB Reserve funds central bank (pension funds and others)

3 3 RSEC Interest rate on long term securities (new issues) SECB Long terne securities in banks ' portfolio (fixed interest) SIB Own security issues of banks Exogenous variables A Balance sheet total banking system COINS Coins in circulation and portfolio national bank DIMF Dummy IMF-Quota DLIM Dummy limes (dummy for ceilings in bank loans) DOCC Dummy occupation bills D73 Dummy 1973 (year of exclusion of foreign currency bank loans from credit ceiling) D75 Dummy 1975 (year of excessive domestic liquidity caused by capital imports of government) D77 Dummy 1977 (year of change in structure of central bank money creation) FXSD Foreign exchange rate DM (AS / DM) FXSW Weighted foreign exchange rate index world / AS GDD Domestic government debt GFXE Monetary reserves central bank (adjusted version ), exogenous part GNP Gross national product real terms GNPV Gross national product, nominal terms LNBM Other liabilities central bank considered as money LPAU Liabilities of central bank to public authorities and others NWB Net worth central bank PFXNB Profits of central bank from foreign exchange holdings PGNP Price index gross national product Austria PRESC Private discounts of central bank (only until 1969) RD Central bank discount rate RDS Interest rate for savings deposits REU$ Euro$ market rate 90 days RODD Required reserve ratio for demand deposits ROTS Required reserve ratio for time and savings deposits RSM1 Money market rate Austria (call money) RTB Interest rate on treasury bills SECOM Open market securities in portfolio of central bank SWAP Swaps of the banking system with central bank TIME Time trend XV Nominal exports according to trade statistics XVN Nominal exports according to balance of trade Definitionsgleichungen (Definitional equations) Korrigierte monetäre Basis (Monetary base adjusted) MBA = GFXA + SECOM + ERP + SWAP + REB + NBTC + COINS + PRESC -OLNB - NWNB - RFNB - LPAU Geldvolumen M1 nominell (Money stock M1 nominal terms) M1 = LNBM + CURP + DD Geldvolumen M1 real (Money stock M1 real terms)

4 4 M1R = M1 /(PGNP 100) Sichtguthaben fer ku LT NB-bilanz + Kassenbestände ku (acc. balance sheet central bank including cash balances banks) RENB = MBA - CURP Ungeborgte reserven ku (Unborrowed reserves banks) RESUB = RES - REB Sichteilagen ku (Demand deposits banks) DD = (1/RODD) (RESUB - RESF - (ROTS DTS) ) Termin und sparanlagen ku (Time and savings deposits banks) DTA = DT + DS Control total ku (control total banks) CT = ((1 - RODD)/RODD) (RESUB - ROTS DTSB (1-ROTS) + DF + DLB + SIB + FLB + NWB - LBP - LBPFC Restaktivseite ku-bilanz (Rest asseets banks) REST = CT - (RESF/RODD) - BGNB - SECB - ABF Währungsreserven der Notenbank (Foreign exchange reserves national bank) GFXA GFXA t-1 + GFXE + (FLB - FLB t-1 ) - (ABF - ABF t-1 )

5 Source: Dieter Proske, The monetary model of the Austrian National Bank (preliminary version), VIth. International Conference of Applied Econometrics, Monetary and finacial models, National Bank, Wien, Austria, February, 1979, 1-4 The model was constructed in the framework of the consolidated balance sheets four subsections of the monetary sector: the central bank, the banking system, the domestic non-banks and the foreign sector. The public sector covers, apart from private household, public authorities as far as they don't act as monetary authorities. Those items which are considered in one way or other as instruments of the central bank or the monetary authorities in a larger sense are indicated by "*" Central bank balance sheet 5 Adjusted monetary reserves net GFXA Coins and banknotes in circulation excluding cash * The central bank indebtedness of balances in hand of the the banking system banking system (reserves borrowed) REB * Open market papers SECOM Reserves of domestic banks including cash balances European recovery program bills National bank treasury claims ERP NBTC * Swap with domestic banks SWAP Coins COINS CURP RENB * - Liabilities to government 3) and the other public authorities Other assets minus Other liabilities LPAU OANB - OLNB Monetary base including, liabilities of the central bank to government and other authorities

6 6 Consolidated balance sheet of the banking system Reserves RES Central bank indebtedness REB Loans to domestic non-banks (partitioned into domestic and foreign currency) LBP LBFC Demand deposits Saving deposits Treasury bills BGNB Time deposits DT Other fixed interest securities SECB Foreign currency deposits (by domestic non-bank) Domestic equities DEQB Special deposits (by domestic non-bank) Foreign assets ABF Own security issues (fixed interest) Foreign assets minus other liabilities Balance sheet total banks ABO - OLB A Foreign liabilities Net worth DD DS DF DLB SIB FLB NWB Consolidated balance sheet of the public sector (domestic non - bank sector) Currency CURP Bank loans REB Demand deposits with central bank LPAU Treasury bills in banks' portfolio Demand deposits with banks DD Other fixed interest securities in banks' portfolio Savings deposits with banks Time deposits with banks Securities issued by banks Special deposits with banks Other assets minus other liabilities Balance sheet total banks DS DT SIB DLB ABO -OLB BGNB SECB Foreign liabilities of the domestic banking system Other assets minus other liabilities Consolidated balance sheet of the foreign sector FLB Monetary reserves of the central bank (net) Foreign assets for the domestic banking system ABF (CENTRAL BANK)