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Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates

Darvas, Zsolt; Rappai, Gábor; Schepp, Zoltán - de Nederlandsche Bank - 2006

new explanation for the UIP-puzzle maintaining rational expectations and risk neutrality. The model builds on the … interaction of foreign exchange and fixed income markets. Ex ante short run and long run UIP and the EHTS is assumed. We show that … the failure of ex post short UIP regressions. We present evidence on ex post validity of long run UIP and strikingly new …

Persistent link: https://www.econbiz.de/10005101817

Low real rates as driver of secular stagnation: empirical assessment

End, Jan Willem van den; Hoeberichts, Marco - de Nederlandsche Bank - 2014

We empirically test whether there is a causal link between the real interest rate and the natural rate of interest, which could be a harbinger of secular stagnation if the real rate declines. Outcomes of VAR models for Japan, Germany and the US show that a fall in the real rate indeed affects...

Persistent link: https://www.econbiz.de/10010945601

Determinants of the rate of the Dutch unsecured overnight money market

Heijmans, Ronald; Hernández, Lola; Heuver, Richard - de Nederlandsche Bank - 2013

This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that...

Persistent link: https://www.econbiz.de/10011004570

Co-Movements in Long-Term Interest Rates and the Role of PPP-BasedExchange Rate Expectations

Berk, J.M.; Knot, K.H.W. - de Nederlandsche Bank - 1999

market liberalization and deregulation in the early 1980s. Given the similarity between PPP-based UIP tests and those …

Persistent link: https://www.econbiz.de/10005101943

Are European sovereign bonds fairly priced? The role of modeling uncertainty

Haan, Leo de; Hessel, Jeroen; End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper examines the extent to which large swings of sovereign yields in euro area countries during the sovereign debt crisis can be attributed to fundamentals. We focus on the inherent uncertainty in bond yield models, which is often overlooked in the literature. We show that the outcomes...

Persistent link: https://www.econbiz.de/10010705925

Bank Competition Efficiency in Europe: A Frontier Approach

Bolt, Wilko; Humphrey, David - de Nederlandsche Bank - 2008

There are numerous ways to indicate the degree of banking competition across countries. Antitrust authorities rely on the structure-conduct-performance paradigm while academics prefer price mark-ups (Lerner index) or correlations of input costs with output prices (H-statistic). These measures...

Persistent link: https://www.econbiz.de/10005101793

The Volatility Curse: Revisiting the Paradox of Plenty

Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009

The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling for initial income per capita, population growth, human capital, investment, openness and natural resource dependence. This effect is significant and robust over a wide range of...

Persistent link: https://www.econbiz.de/10005106643

Growth, Foreign Direct Investment and Urban Concentration: Unbundling Spatial Lags

Poelhekke, Steven; Ploeg, Frederick van der - de Nederlandsche Bank - 2008

Cross-country regressions suggest that urbanization and FDI are important drivers of growth However, it is not clear that primacy eventually hurts growth performance. Since it is tough to interpret cross-country growth regressions, we provide detailed evidence on the determinants of outward FDI...

Persistent link: https://www.econbiz.de/10005030208

When arm's length is too far. Relationship banking over the business cycle

Beck, Thorsten; Degryse, Hans; Haas, Ralph de; Horen, … - de Nederlandsche Bank - 2014

Using a novel way to identify relationship and transaction banks, we study how banks' lending techniques affect funding to SMEs over the business cycle. For 21 countries we link the lending techniques that banks use in the direct vicinity of firms to these firms' credit constraints at two...

Persistent link: https://www.econbiz.de/10010945600

Explaining Foreign Direct Investment in Central and Eastern Europe: an Extended Gravity Approach

Bos, Jaap; Laar, Mindel van de - de Nederlandsche Bank - 2004

In this paper, we question whether there is a catch-up effect or announcement effect in Foreign Direct Investment (FDI) from the European Union (EU) to the ten EU accession countries. We study FDI outflows from the Netherlands, a small open economy with few historical ties to Eastern Europe, and...

Persistent link: https://www.econbiz.de/10005021821

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