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Home Equity, Mobility, and Macroeconomic Fluctuations
Sterk, Vincent - de Nederlandsche Bank - 2010
mortgage loan. Unemployed homeowners therefore turn down job offers that would require them to move. The model explains joint …
Persistent link: https://www.econbiz.de/10008725737
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Financial vulnerability of mortgage owners and mortgage lenders
Rooij, M.C.J. van - de Nederlandsche Bank - 2002
special attention to the mortgage debt/house value ratio and the mortgage debt/household income ratio. The affordability of … housing costs for households with a mortgage is assessed in the case of an increase in mortgage interest rates, a decline in … house prices and a rise in unemployment. The risk that banks and other mortgage lenders may suffer infection of their …
Persistent link: https://www.econbiz.de/10005101888
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Reforming the architecture of EMU: Ensuring stability in Europe
Haan, Jakob de; Hessel, Jeroen; Gilbert, Niels - de Nederlandsche Bank - 2014
This paper analyses the reforms in the architecture of EMU since the eruption of the euro crisis in 2010. We describe major weaknesses in the original set-up of EMU, such as lack of fiscal discipline, diverging financial cycles and competitiveness positions, and a lack of crisis instruments....
Persistent link: https://www.econbiz.de/10010945595
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Loan loss provisioning, bank credit and the real economy
Pool, Sebastiaan; Haan, Leo de; Jacobs, Jan - de Nederlandsche Bank - 2014
This paper examines how credit risk affects bank lending and the business cycle. We estimate a panel Vector Autoregression model for an unbalanced sample of 12 OECD countries over the past two to three decades, consisting of the output gap, inflation, the short-term interest rate, bank lending,...
Persistent link: https://www.econbiz.de/10010945599
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Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...
Persistent link: https://www.econbiz.de/10010543516
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When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour
End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2009
This paper provides empirical evidence of behavioural responses by banks and their contribution to system-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures of size and herding show that balance sheet adjustments...
Persistent link: https://www.econbiz.de/10008500697
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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
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Modelling Scenario Analysis and Macro Stress-testing
End, Jan Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - de Nederlandsche Bank - 2006
Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks' credit and interest rate risks by deterministic and stochastic...
Persistent link: https://www.econbiz.de/10005101857
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Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk
End, Jan Willem van den - de Nederlandsche Bank - 2008
This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main drivers of the recent financial crisis. The model takes into account the first and second round (feedback) effects of shocks, induced by behavioural reactions of heterogeneous...
Persistent link: https://www.econbiz.de/10005030214
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The impact of sovereign debt exposure on bank lending: Evidence from the European debt crisis
Popov, Alexander; Horen, Neeltje van - de Nederlandsche Bank - 2013
Using loan-level data, we find that syndicated lending by European banks with sizeable balance sheet exposures to impaired sovereign debt was negatively affected after the start of the euro area sovereign debt crisis. We also observe a reallocation away from foreign (especially US) markets. The...
Persistent link: https://www.econbiz.de/10010674606