1 Model Austria 78/1 Source: Dieter Proske, Ökonomisches Modell

1 Model Austria 78/1 Source: Dieter Proske, Ökonomisches Modell

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
= a1,1DLIM + a1,2TIME + a1,3ERPt-1 + a1,4
Forderungen gegen den Bund (Central treasury claims)
(2) NBTC = a2,1DOCC + a2,2DIMF + a2,3PFXNB + a2,4NBTCt-1 + a2,5
Sonstige Aktiva (Other assets of the central bank)
(3) OANB = a3,1GNPV + a3,2OANBt-1 + a3,3
Bargeld Publikum (Currency public)
(4) CURP = a4,1GNPV + a4,2RSM1 + a4,3RSEC + a4,4
Reserven (Reserve funds central bank)
(5) RFNB = a4,1DLIM + a4,2RFNBt-1 + a4,3
Sonstige Passiva (other liabilities central bank)
(5) OLNB = a5,1PFXNB + a5,2OLNB(1) + a3,3
Konsolidierte Bilanz der Kreditunternehmungen
(Consolidated balance sheet banks)
Reserven (Reseves Banks)
(6) RES = a6,1RENB + a6,2
Freie reserven (Free reserves)
(7) RESF
= (a7,1RESC + a7,2RD + a7,3RSM1 + a7,4D77 + a3,3) · CT · RODD
Bundesschatzscheine (Treasury bills in banks portfolio)
(8) BGNB = a8,1(RESEC - RSM1) + a8,2GDD + a8,3BGNO(1) + a8,4CT
Titrierte Kredite (Fixed interest long term securities in banks portfolio)
(9) SECB
= (a9,1GDD + a9,2∆RSEC + a9,3RTB + a9,4∆RSM1 + a9,5) · CT
Auslandsforderungen (Foreign assets banks)
(10) ABF
= (a10,1∆ (REU$ - RSEC) + a10,2XVN + a10,3∆FXSW + a10,4) · CT
Direkte Kredite (Bank loans to public sector)
(11) ∆LBP = a11,1DLIM + a11,2∆RSEC + a11,3∆GNPV + a11,4LPBt-1 + a11,5
Fremswährungskredite (Bank loans foreign currency to public sector)
(12) LBFC = a12,1GNPV + a12,2REU$ + a12,3D73 + a12,4
Notenbankverschuldung (Reserves borrowed from central bank)
(13) ∆REB = a13,1∆LBP + a13,2∆GFXA + a13,3RSM1 + a13,4
Termineinlagen (Time deposits)
(14) ∆DT
= a14,1∆GNPV + a14,2∆(RESEC - RDS) + a14,3D75 + a14,4
Spareinlagen (Savings deposits)
(15) ∆DS
= a15,1GNPV + a15,2∆RSEC + a15,3∆RDS + a15,4
2
Fremdwährungseinlagen (Foreign currency deposits)
(16) DF
= a16,1XV + a16,2∆FXSD + a16,3DF(1) + a16,4
Bei inländischen Nichtbanken aufgekommene Gelder (Special deposits taken from
domestic non-banks)
(17) DLB
= a17,1GNPV + a17,2DLIM + a17,3RSEC + a17,4REU$ + a17,5
Eigene Inlandsemissionen (Own security issues of banks )
(18) SIB
= a18,1∆GNPV + a18,2∆RSEC + a18,3
Auslandspassiva (Foreign liabilities banks)
(19) FLB
= a19,1GNPV + a19,2FXSW+ a19,3(REU$ - RD) + a19,4
Eigenkapital (Networth banks)
(20) NWB = a20,1A + a20,2NWBt-1 + a20,3
Gleichung für die emissionsrendite der Wertpapiere (Interest rate long term securities new
issues)
(21) RESEC = a21,1M1R + a21,2GNP + a21,3∆GNP + a21,4RSEC(1) + a21,5
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
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
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
GFXAt-1 + ∆GFXE + (FLB - FLBt-1 ) - (ABF - ABFt-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
Adjusted monetary reserves net
GFXA
* The central bank indebtedness of
the banking system
(reserves borrowed)
REB
* Open market papers
SECOM
European recovery program bills
ERP
National bank treasury claims
NBTC
* Swap with domestic banks
CURP
Reserves of domestic banks
including cash balances
RENB
SWAP
Coins
COINS
* - Liabilities to government 3) and the
other public authorities
Other assets minus
Other liabilities
Coins and banknotes in
circulation excluding cash
balances in hand of the
banking system
LPAU
OANB - OLNB
Monetary base including, liabilities of the central bank to government and other authorities
6
Consolidated balance sheet of the banking system
Reserves
RES
Central bank indebtedness
REB
Demand deposits
DD
Loans to domestic non-banks
(partitioned into domestic and
foreign currency)
LBP
LBFC
Saving deposits
DS
Treasury bills
BGNB
Time deposits
DT
Other fixed interest securities
SECB
Foreign currency deposits
(by domestic non-bank)
DF
Special deposits
(by domestic non-bank)
DLB
Own security issues
(fixed interest)
SIB
Foreign liabilities
FLB
Net worth
NWB
Domestic equities
DEQB
Foreign assets
ABF
Foreign assets
minus other liabilities
ABO
- OLB
Balance sheet total banks
A
Consolidated balance sheet of the public sector (domestic non - bank sector)
Currency
CURP
Demand deposits with
central bank
LPAU
Demand deposits with banks
DD
Savings deposits with banks
DS
Time deposits with banks
DT
Securities issued by banks
Special deposits with banks
Other assets
minus other liabilities
SIB
DLB
ABO
-OLB
Bank loans
REB
Treasury bills in banks' portfolio
BGNB
Other fixed interest securities in
banks' portfolio
SECB
Balance sheet total banks
Consolidated balance sheet of the foreign sector
Foreign liabilities of the
domestic banking system
Other assets
minus other liabilities
(CENTRAL BANK)
FLB
Monetary reserves of the central
bank (net)
Foreign assets for the domestic
banking system
ABF