Similar Search Results

The optimal size of the European Stability Mechanism: A cost-benefit analysis

Kapp, Daniel - de Nederlandsche Bank - 2012

This study presents a core-periphery model to determine the optimal size of the European Stability Mechanism (ESM), building on Jeanne and Ranciere (2011). While the periphery is subject to a probability of losing access to external credit, the core's incentive for setting up an ESM stems...

Persistent link: https://www.econbiz.de/10010566996

Are banks too big to fail?

Zhou, Chen - de Nederlandsche Bank - 2009

Abstract We consider three measures on the systemic importance of a financial institu- tion within a interconnected financial system. Based on the measures, we study the relation between the size of a financial institution and its systemic importance. From both theo- retical model and empirical...

Persistent link: https://www.econbiz.de/10008475752

Systemic Risk in the Dutch Financial Sector

Minderhoud, Koen - de Nederlandsche Bank - 2003

effective prudential supervision. In addition, our results indicate that insurance activities of banks may increase systemic …

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

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

Systemic Risk, Interbank Relations and Liquidity Provision by theCentral Bank

Freixas, X.; Parigi, B.; Rochet, J-C. - de Nederlandsche Bank - 2000

We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the...

Persistent link: https://www.econbiz.de/10005101949

Why the micro-prudential regulation fails? The impact on systemic risk by imposing a capital requirement

Zhou, Chen - de Nederlandsche Bank - 2010

This paper studies why the micro-prudential regulations fails to maintain a stable financial system by investigating the impact of micro-prudential regulation on the systemic risk in a cross-sectional dimension. We construct a static model for risk-taking behavior of financial institutions and...

Persistent link: https://www.econbiz.de/10008587048

A Pigovian Approach to Liquidity Regulation

Perotti, Enrico; Suarez, Javier - de Nederlandsche Bank - 2011

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relative merit of price versus quantity rules, showing how they target different incentives for risk creation. When banks differ in credit...

Persistent link: https://www.econbiz.de/10009018569

The simple econometrics of tail dependence

Oordt, Maarten R.C. van; Zhou, Chen - de Nederlandsche Bank - 2011

The aim of this paper is to show that measures on tail dependence can be estimated in a convenient way by regression analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework. The advantage of the regression approach is contained...

Persistent link: https://www.econbiz.de/10009018575

Towards a Network Description of Interbank Payment Flows

Pröpper, Marc; Lelyveld, Iman van; Heijmans, Ronald - de Nederlandsche Bank - 2008

We present the application of network theory to the Dutch payment system with specific attention to systemic stability. The network nodes comprise of domestic banks, large international banks and TARGET countries, the links are established by payments between the nodes. Traditional measures...

Persistent link: https://www.econbiz.de/10005030216

Capital Regulation and Tail Risk

Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - de Nederlandsche Bank - 2011

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an...

Persistent link: https://www.econbiz.de/10009188954