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Banking net income and macroeconomics, from multicollinearity to Granger causality using US data

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  • Szybisz, Martin Andres

Abstract

We select six macroeconomic variables and study their relation with (aggregate) net banking income. The aggregate net banking income was reconstructed from US banking sector authorities' data. Usefulness may be twofold, it provides aggregate insight and the methodology can be replicated at bank institution level. We use standard tools such as linear regression analysis (to study multicollinearity) and Granger causality. The obtained results suggest a highly changing relation between all variables in time and an increase of causality and feedback relations after the 2008 crisis.

Suggested Citation

  • Szybisz, Martin Andres, 2018. "Banking net income and macroeconomics, from multicollinearity to Granger causality using US data," MPRA Paper 90473, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:90473
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    More about this item

    Keywords

    Banking Net Income; Macroeconomics; Multicollinearity; Granger causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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