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Trading off monetary and financial stability: a balance of risk framework

End, Jan Willem van den - de Nederlandsche Bank - 2010

of inflation risks. The empirical application shows that trading off monetary and macroprudential policy reduces the … overall costs related to inflation and financial instability. This can be achieved by changing the preferences of the central … bank, lengthening the monetary policy horizon and by a more flexible inflation target. Estimation results of a probit model …

Persistent link: https://www.econbiz.de/10008468098

Early warning for currency crises: what is the role of financial openness?

Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013

We explore the role of financial openness - capital account openness and gross capital inflows - and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...

Persistent link: https://www.econbiz.de/10010757284

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

"Leaning Against the Wind" and the Timing of Monetary Pollicy

Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2011

If monetary policy is to aim also at financial stability, how would it change? To analyze this question, this paper develops a general-form, axiomatic framework. Financial stability objectives are shown to make a monetary authority more aggressive. By that we mean that in reaction to negative...

Persistent link: https://www.econbiz.de/10009192030

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 from a welfare function. We show that the regulator...

Persistent link: https://www.econbiz.de/10008774017

Clarity of Central Bank Communication About Inflation

Bulír, Ales; Cihák, Martin; Jansen, David-Jan - de Nederlandsche Bank - 2011

This paper examines whether the clarity of central bank communication about inflation has changed with the economic … environment. We use readability statistics and content analysis to study the clarity of communication on the inflation outlook by … explaining their policies when faced with higher uncertainty or a less favorable inflation outlook. The global financial crisis …

Persistent link: https://www.econbiz.de/10009393909

Exchange Rate Pass-Through, Exchange Rate Volatility, and ExchangeRate Disconnect

Devereux, M.B.; Engel, Ch. - de Nederlandsche Bank - 2003

This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass-through from changes in exchange rates to consumer prices. Exchange rates may be highly volatile because in a sense they have little...

Persistent link: https://www.econbiz.de/10005101953

The Impact of the Single Market on the Effectiveness of ECB Monetary Policy

Cavelaars, Paul - de Nederlandsche Bank - 2003

This paper studies the implications of Europe's single market. Small costs of international trade in goods and services may cause a large home bias in consumer spending and can explain seemingly excessive short-run exchange rate volatility. The European single market (declining costs of...

Persistent link: https://www.econbiz.de/10005106791

The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity

Grammatikos, Theoharry; Vermeulen, Robert - de Nederlandsche Bank - 2012

This paper highlights the impact of credit supply and aggregate demand sensitivity on 91 US industries' stock performance during the 2007-2009 financial crisis. We account explicitly for changes in the market model and investigate, next to stock returns, the changes in systematic risk and...

Persistent link: https://www.econbiz.de/10010757287

Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models

Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001

We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...

Persistent link: https://www.econbiz.de/10005021870

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