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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

Lenders on the storm of wholesale funding shocks: Saved by the central bank?

Haan, Leo de; End, Jan Willem van den; Vermeulen, Philip - de Nederlandsche Bank - 2015

We provide empirical evidence on banks' responses to shocks in wholesale funding, using data of 181 euro area banks over the period August 2007 to June 2013. Banks' adjustments of loan volumes and lending rates in response to funding liquidity shocks are analysed in a panel VAR framework. The...

Persistent link: https://www.econbiz.de/10011127196

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

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

Employment dynamics within small, medium and large establishments in the netherlands at the end of the 1990s: where and to what extent did job creation and job destruction occur?

Jakulj, J.; Jonker, N.; Peeters, H.M.M. - de Nederlandsche Bank - 2003

This study analyses Dutch employment growth and dynamics during the booming end 1990s. In this period many new jobs … employment i.e. the numbers of jobs created and number of jobs destructed- are calculated per establishment in 1994, 1996 and … 1998. From the analyses follows that relatively many jobs were destructed. Further, relatively more job creation and job …

Persistent link: https://www.econbiz.de/10005030226

Size and support ratings of US banks

Poghosyan, Tigran; Werger, Charlotte; Haan, Jakob de - de Nederlandsche Bank - 2014

We examine whether Fitch support ratings of US banks depend on bank size. Using quarterly data for the period 2004:Q4 to 2012:Q4 and controlling for several factors that make large and small banks different, we find that bank size is positively related to support ratings. However, the effect is...

Persistent link: https://www.econbiz.de/10010885311

Firms' dynamic adjustment to target capital structures in transition economies

Haas, R.T.A. de; Peeters, H.M.M. - de Nederlandsche Bank - 2004

We study the capital structure dynamics of Central and Eastern European firms in order to get a better understanding of the quantitative and qualitative development of the financial systems in this region. The dynamic model we use endogenizes the target leverage as well as the adjustment speed...

Persistent link: https://www.econbiz.de/10005021855

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

Bank liquidity, the maturity ladder, and regulation

Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2012

We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid...

Persistent link: https://www.econbiz.de/10010757286

Reinsurers as financial intermediaries in the market for catastrophic risk

Lewis, John - de Nederlandsche Bank - 2010

In a world of perfect markets, primary insurers could hedge catastrophic risks using financial instruments. In practice however, most primary insurers deal with catastrophic risk by the use of a financial intermediary - a reinsurer. This paper uses insights gained from the institutional...

Persistent link: https://www.econbiz.de/10010757590