M2의 신용과 부채 및 자본간의 Granger Causality 연구

Abstract

This study demonstrated the association between M2's credit and debt and equity for M2 (wide currency) and cash currencies and total capital and liabilities representing domestic and foreign credit of central and general banks from December 2001 to December 2020. The main analysis contents are as follows: First, theoretical prior studies have demonstrated that currency volume changes affect domestic and international economies and indicators in various forms. Second, an empirical analysis of the Grandeur causal relationship shows a correlation between the amount of money (M2) and the total capital and liabilities representing the credit of the central and general banks, but cash currencies have a preferential effect on the central and general banks only. Third, the amount of money (M2) and cash currencies were found to affect each other until a certain time difference and then disappear for the total capital and liabilities representing the credit of the central and general banks. Such impact response function analysis supports the Grandeur causal analysis results, which imply the existence of interrelationships between two variables, and can be inferred that mutual influence exists until a certain time difference. Together, these analyses show that M2 and cash currencies, the benchmark index for monetary volume, are closely related to liabilities and equity, meaning the credit of the central and general banks. Therefore, the government and the central bank will need to actively manage the central bank's foreign exchange reserves, general bank deposits, and investments in foreign countries and institutions, and continue to pay attention to changes in banks' credit debt and capital, as theoretical studies have significant impact on the economy and industry.