FINANCIAL ECONOMICS OF THE SHADOW BANKING SECTOR IN THE PROVISION OF SAFE MONETARY ASSETS IN THE UK
dc.contributor.supervisor | Brand, Steven | |
dc.contributor.author | Silman, Dominic J | |
dc.contributor.other | Plymouth Business School | en_US |
dc.date.accessioned | 2020-06-20T13:38:26Z | |
dc.date.available | 2020-06-20T13:38:26Z | |
dc.date.issued | 2020 | |
dc.identifier | 10238357 | en_US |
dc.identifier.uri | http://hdl.handle.net/10026.1/15793 | |
dc.description.abstract |
We study the role of the so-called 'shadow banking' sector in innovating aggregate money supply and providing safe assets to meet demand from assetholders with a need for low-risk, high-liquidity monetary services. We consider the measurement and literature around shadow banking to date, econometrics of modelling money demand, and latent factor approaches. In doing so we contribute to a literature around shadow banking founded on the papers of Pozsar, Adrian, Shin, Gorton, Metrick, and their various co-authors. We set the shadow banking sector within the financial frictions paradigm espoused by Bernanke and co-authors, and our empirical approach builds on the work of Johansen & Juselius (1990), as extended by Stock & Watson (2002). The focus on demand for money in the UK follows the work of Drake & Chrystal (1994). The quarterly-frequency dataset collected follows the work of Errico et al (2014), and covers 38 variables from Q1 1984 to Q2 2016 (130 quarters). The empirical methodology extends the Factor-Augmented VECM approach of Banerjee & Marcellino (2009), and introduces a novel technique of time-cluster analysis in Principal Component space. A novel identification strategy is also applied, extending the work of Johansen & Juselius (1990). Assessing hypotheses due to Pozsar (2013) and to Krishnamurthy & Vissing-Jorgensen (2012), we find evidence that shadow-bank-created 'money' is treated as a safe-asset substitute both for government debt and for deposits in the regulated banking sector. | en_US |
dc.language.iso | en | |
dc.publisher | University of Plymouth | |
dc.subject | Shadow Banking | en_US |
dc.subject | Econometrics | en_US |
dc.subject | VECM | en_US |
dc.subject | Principal Components | en_US |
dc.subject.classification | PhD | en_US |
dc.title | FINANCIAL ECONOMICS OF THE SHADOW BANKING SECTOR IN THE PROVISION OF SAFE MONETARY ASSETS IN THE UK | en_US |
dc.type | Thesis | |
plymouth.version | publishable | en_US |
dc.identifier.doi | http://dx.doi.org/10.24382/434 | |
dc.identifier.doi | http://dx.doi.org/10.24382/434 | |
dc.rights.embargoperiod | No embargo | en_US |
dc.type.qualification | Doctorate | en_US |
rioxxterms.version | NA |
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