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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
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Financial globalization or great financial expansion? The impact of capital flows on credit and banking crises
Frost, Jon; Tilburg, Ruben van - de Nederlandsche Bank - 2014
This paper empirically examines the impact of capital flows on credit growth, credit excesses and banking crises using quarterly panel data from 43 advanced (AEs) and emerging market economies (EMEs). Regressions show that gross capital inflows precede credit growth and credit excesses. Both...
Persistent link: https://www.econbiz.de/10010945598
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Global liquidity as an early warning indicator of asset price booms: G5 versus broader measures
Bierut, Beata - de Nederlandsche Bank - 2013
We test the performance of various measures of global liquidity as early warning indicators of booms in house and … global liquidity measures based on two aggregation schemes: the traditional measures, based on G5 data, and broader measures …, based on data for up to 26 countries/currency areas. Our results show that, in the last decade, global liquidity measures …
Persistent link: https://www.econbiz.de/10010659995
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The effect of credit conditions on the Dutch housing market
Francke, Marc; Minne, Alex van de; Verbruggen, Johan - de Nederlandsche Bank - 2014
It is widely perceived that the supply of mortgages, especially since the extensive liberalization of the mortgage market of the 1980s, has had implications for the housing market in the Netherlands. In this paper we introduce a new method to estimate a credit condition index (CCI). The CCI...
Persistent link: https://www.econbiz.de/10011079889
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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
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Monitoring the unsecured interbank money market using TARGET2 data
Heijmans, Ronald; Heuver, Richard; Walraven, Daniëlle - de Nederlandsche Bank - 2011
interest rates. The algorithm allows us to track the actual interest rates rather than quoted interest rates on liquidity …
Persistent link: https://www.econbiz.de/10008799345
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A tale of the water-supplying plumber: intraday liquidity provision in payment systems
Ledrut, Elisabeth - de Nederlandsche Bank - 2006
of liquidity are not fully borne by payment system participants can be expected to yield an inefficient outcome … liquidity expensive increases the risk of payment delays and payment system gridlocks, due to participants limiting their …
Persistent link: https://www.econbiz.de/10005101828
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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
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Bank Risk within and across Equilibria
Agur, Itai - de Nederlandsche Bank - 2011
This paper models a financial sector in which there is a feedback between individual bank risk and aggregate funding market problems. Greater individual risk taking worsens adverse selection problems on the market. But adverse selection premia on that market push up bank risk taking, leading to...
Persistent link: https://www.econbiz.de/10009193243
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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