Narrow search
Showing 1 - 10 of 107
Cover Image
Indicator and boundaries of financial stability
End, Jan Willem van den - de Nederlandsche Bank - 2006
This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...
Persistent link: https://www.econbiz.de/10005101852
Cover Image
How to measure the unsecured money market? The Eurosystem's implementation and validation using TARGET2 data
Arciero, Luca; Heijmans, Ronald; Heuver, Richard; … - de Nederlandsche Bank - 2013
This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money market loans from transaction data of the most important euro processing payment system, TARGET2, for maturity ranging from one day (overnight) up to three months. The implementation has been...
Persistent link: https://www.econbiz.de/10010757281
Cover Image
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
Cover Image
Monitoring the unsecured interbank money market using TARGET2 data
Heijmans, Ronald; Heuver, Richard; Walraven, Daniëlle - de Nederlandsche Bank - 2011
We investigate the euro unsecured interbank money market during the current financial crisis. To identify the loans traded in this market and settled in TARGET2, we extend the algorithm developed by Furfine (1999) and adapt it to the European interbank loan market with maturity up to one year....
Persistent link: https://www.econbiz.de/10008799345
Cover Image
The Roots of Banking Crises in Emerging Market Economics: A Panel Data Approach
Lambregts, Edwin; Ottens, Daniël - de Nederlandsche Bank - 2006
This paper investigates which leading indicators signal banking crises in emerging economies by using a multivariate logit model. We find that the stability of banking sectors in emerging economies is at risk in an environment of rapid lending growth, high inflation and rising real interest...
Persistent link: https://www.econbiz.de/10009319248
Cover Image
Credit Booms in Emerging Market Economies: A Recipe for Banking Crises?
Ottens, Daniel; Lambregts, Edwin; Poelhekke, Steven - de Nederlandsche Bank - 2005
This paper investigates whether credit booms are an important warning signal for banking crises in Asian and Latin American emerging market economies. Based on a signalling leading indicator model, the results suggest that credit booms are indeed a prelude for banking crises, especially in Latin...
Persistent link: https://www.econbiz.de/10005101805
Cover Image
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
Cover Image
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
that leverage has a significantly positive effect on systematic risk changes during the financial crisis. After accounting … for the change in systematic risk, the crisis induced idiosyncratic return is significantly related to industry leverage … and the industry's sensitivity to aggregate demand. A subsequent analysis shows that both leverage and demand sensitivity …
Persistent link: https://www.econbiz.de/10010757287
Cover Image
Price Dividend Models Revisited, and their Role as Indicators for Monetary Policy
Valckx, N. - de Nederlandsche Bank - 2002
This paper investigates the role of inflation risk in a model of the price dividend ratio, combining a dynamic Gordon model specification with the inflation-augmented capital asset pricing model (CAPM). The model is estimated for the Euro Area and U.S. and tested against traditional models. For...
Persistent link: https://www.econbiz.de/10005021852
Cover Image
House Prices and Affordability - A First and Second Look Across Countries
Brounen, Dirk; Neuteboom, Peter; Dijkhuizen, Arjen van - de Nederlandsche Bank - 2006
analyzing structural differences in legislation and mortgage markets, which might help us to understand the cross … nominal house prices are corrected for household income changes and the net financing costs of mortgage payments. This model …
Persistent link: https://www.econbiz.de/10005101839