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Bank Risk within and across Equilibria
Agur, Itai - de Nederlandsche Bank - 2011
This paper models a financial sector in which there is a feedback between individual bank risk and aggregate funding … market problems. Greater individual risk taking worsens adverse selection problems on the market. But adverse selection … premia on that market push up bank risk taking, leading to multiple equilibria. The model identifies shifts among equilibria …
Persistent link: https://www.econbiz.de/10009193243
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When does the general public lose trust in banks?
Jansen, David-Jan; Mosch, Robert; Cruijsen, Carin van der - de Nederlandsche Bank - 2013
When does the general public lose trust in banks? We provide empirical evidence using responses by Dutch survey participants to eight hypothetical scenarios. We find that members of the general public care strongly about executive compensation. Negative media reports, falling stock prices, and...
Persistent link: https://www.econbiz.de/10010726974
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Identifying systemically important financial institutions: size and other determinants
Moore, Kyle; Zhou, Chen - de Nederlandsche Bank - 2012
systemic risk in the financial system. …
Persistent link: https://www.econbiz.de/10010757294
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Shocks Abroad, Pain at Home? Bank-Firm Level Evidence on the International Transmission of Financial Shocks
Ongena, Steven; Peydro, Jose Luis; Horen, Neeltje van - de Nederlandsche Bank - 2013
We study the international transmission of shocks from the banking to the real sector during the global financial crisis. For identification, we use matched bank-firm level data, including many small and medium-sized firms, in Eastern Europe and Central Asia. We find that...
Persistent link: https://www.econbiz.de/10010681045
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Identifying and dating systemic banking crises using incidence and size of bank failures
Chaudron, Raymond; Haan, Jakob de - de Nederlandsche Bank - 2014
We analyse three databases of banking crises and investigate their consistency in the identification and timing of crises. We find that there are large and statistically significant discrepancies between the three datasets. We also compare the dating of banking crises according to these...
Persistent link: https://www.econbiz.de/10010822692
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The Level Effect of Bank Lending Standards on Business Lending
Veer, Koen van der; Hoeberichts, Marco - de Nederlandsche Bank - 2013
Do tightenings of bank lending standards permanently reduce bank lending? We construct a measure of a bank's level of lending standards using micro-data from the sample of banks participating in the Eurosystem Bank Lending Survey in The Netherlands and show that this level measure affects...
Persistent link: https://www.econbiz.de/10010822703
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Dynamic visualization of large transaction networks: the daily Dutch overnight money market
Heijmans, Ronald; Heuver, Richard; Levallois, Clement; … - de Nederlandsche Bank - 2014
This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and unsecured money market transaction data of the...
Persistent link: https://www.econbiz.de/10010822704
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"Leaning Against the Wind" and the Timing of Monetary Pollicy
Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2011
brief is crucial as bank risk responds primarily to rates that are kept "too low for too long". Within this shorter time …
Persistent link: https://www.econbiz.de/10009192030
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Procyclical Bank Risk-Taking and the Lender of Last Resort
Mink, Mark - de Nederlandsche Bank - 2011
to the stance of the macro-economy. Regulatory liquidity requirements can reduce all forms of risk-taking examined. …, lending standards deteriorate. This risk-taking intensifies when the term spread is steeper, and is thus procyclically related …
Persistent link: https://www.econbiz.de/10009192031
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Monetary Policy and Excessive Bank Risk Taking
Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2010
This paper shows that a rate hike has countervailing effects on banks' risk appetite. It reduces risk when the debt … burden of the banking sector is modest. We model a regulator whose trade-off between bank risk and credit supply is derived … policy. In a dynamic setting, not internalizing bank risk leads a monetary authority to keep rates low for too long after a …
Persistent link: https://www.econbiz.de/10008774017