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Arnold, I.; Els, P.J.A. van; Haan, J. de - de Nederlandsche Bank - 2002

This paper explores the importance of wealth effects for monetary policy in the context of the policy strategy of the European Central Bank (ECB). Causality tests indicate that nominal equity prices have predictive power for ECB policy indicators of real activity, while housing prices have...

Persistent link: https://www.econbiz.de/10005106706

What Weight Should be Given to Asset Prices in the Measurementof Inflation?

Goodhart, C. - de Nederlandsche Bank - 2001

Besides the theoretical (Alchian/Klein, 1973) case for including asset prices in measures of inflation, there is also a practical case, that some asset prices, notably housing, are closely associated with the main trends in inflation, and via 'bubbles and busts' with output disturbances....

Persistent link: https://www.econbiz.de/10005030257

Measuring Financial Stability: Applying the MfRisk Model to the Netherlands

End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2005

options of the banking, insurance and pension sectors. This measure approximates the probability and the potential loss of … stress in the financia l system. The measure is tested against various indicators of default risk, from which we conclude …

Persistent link: https://www.econbiz.de/10005106687

The Economic Perspective of Bank Bankruptcy Law

Marinc, Matej; Vlahu, Razvan - de Nederlandsche Bank - 2011

This paper argues that a special bank bankruptcy regime is desirable for the efficient restructuring and/or liquidation of distressed banks. We first explore the principal features of corporate bankruptcy law. Next, we examine the specific characteristics that distinguish banks from other...

Persistent link: https://www.econbiz.de/10009275471

Capital Requirements and Credit Rationing

Agur, Itai - de Nederlandsche Bank - 2010

requirements. It extends the Stiglitz-Weiss model of credit rationing to allow for bank default. Bank capital structure then … matters for lending incentives. With default and rationing endogenous, optimal capital requirements can be analyzed … wholesale finance also amplifies capital requirements' effect on default rates. …

Persistent link: https://www.econbiz.de/10008489838

Extreme Stock Return Co-movements of Financial Institutions: Contagion or Interdependence?

Minderhoud, Koen - de Nederlandsche Bank - 2003

measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot … evidence of contagion for the US, Germany and the UK. This result is stronger for the insurance sector than for the banking … sector. In addition, we investigate extreme co-movements among banking and insurance sectors using a multinomial logistic …

Persistent link: https://www.econbiz.de/10005101914

The housing ladder, taxation, and borrowing constraints

Swank, Job; Kakes, Jan; Tieman, Alexander F. - de Nederlandsche Bank - 2002

Using a multi-tier model of the housing market, we show that both starters and movers benefit from mortgage interest deduction for higher income groups. However, such tax favouring also tends to facilitate house price explosions, especially when interest rates and downpayment ratios are low....

Persistent link: https://www.econbiz.de/10005106741

Systemic Risk in the Dutch Financial Sector

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained by a linear model of constant correlation. By using a...

Persistent link: https://www.econbiz.de/10005106754

Cyclical Patterns in Profits, Provisioning and Lending of Banks

Bikker, J.A.; Hu, H. - de Nederlandsche Bank - 2003

(acceleration of) procyclical behaviour of banking, which might threaten macroeconomic stability. This paper analyses the … decades, distortion caused by procyclical behaviour of banks has been limited, banking crises excepted. …

Persistent link: https://www.econbiz.de/10005021893

Is bank capital procyclical? A cross-country analysis

Bikker, Jaap; Metzemakers, Paul - de Nederlandsche Bank - 2004

This paper investigates the determinants of commercial banks' own internal capital targets and potential sensitivity of these levels to the business cycle . World-wide results make clear that banks' own risk is only slightly dependent on the business cycle. Banks tend to hold substantial capital...

Persistent link: https://www.econbiz.de/10004970701

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