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Low real rates as driver of secular stagnation: empirical assessment

End, Jan Willem van den; Hoeberichts, Marco - de Nederlandsche Bank - 2014

We empirically test whether there is a causal link between the real interest rate and the natural rate of interest, which could be a harbinger of secular stagnation if the real rate declines. Outcomes of VAR models for Japan, Germany and the US show that a fall in the real rate indeed affects...

Persistent link: https://www.econbiz.de/10010945601

Does Central Bank Transparency Reduce Interest Rates?

Geraats, Petra M.; Eijffinger, Sylvester C.W.; … - de Nederlandsche Bank - 2006

Central banks have become increasingly transparent during the last decade. One of the main benefits of transparency predicted by theoreticalmodels is that it enhances the credibility, reputation, and flexibility of monetary policy, which suggests that increased transparency should result in...

Persistent link: https://www.econbiz.de/10005101801

The effects of Learning in Interactive Monetary Policy Committees

Berk, Jan Marc; Bierut, Beata K. - de Nederlandsche Bank - 2004

We develop a theoretical framework for studying the effects of interaction on the quality of decision-making by monetary policy committees. We show that interaction, is increasing one's expertise through an exchange of views, is most likely not to result in interdependent voting behaviour....

Persistent link: https://www.econbiz.de/10005106745

Committee structure and its implications for Monetary policy decision-making

Berk, Jan Marc; Bierut, Beata K. - de Nederlandsche Bank - 2003

We investigate the implications for he setting of interest rates when monetary policy decisions are taken by a committee, in which a subset of members may meet prior to the voting in the commitee and therefore has the possibility to reach consensus ex ante to vote unanimously ex post. We allow...

Persistent link: https://www.econbiz.de/10005030248

Statistical evidence on the mean reversion of interest rates

End, Jan Willem van den - de Nederlandsche Bank - 2011

Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend...

Persistent link: https://www.econbiz.de/10008861747

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 … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …

Persistent link: https://www.econbiz.de/10010543516

Preferential regulatory treatment and banks' demand for government bonds

Bonner, Clemens - de Nederlandsche Bank - 2014

analysis suggests that preferential treatment in liquidity and capital regulation increases banks' demand for government bonds … beyond their own risk appetite. Liquidity and capital regulation also seem to incentivize banks to substitute other bonds …

Persistent link: https://www.econbiz.de/10010812608

Liquidity Regulation, Funding Costs and Corporate Lending

Bonner, Clemens - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on … find that banks which are just above/below their quantitative liquidity requirement do not charge higher interest rates for …

Persistent link: https://www.econbiz.de/10010757277

Banks' Liquidity Buffers and the Role of Liquidity Regulation

Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013

We assess the determinants of banks' liquidity holdings using balance sheet data for nearly 7000 banks from 30 OECD … banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or … complements banks' incentives to hold liquid assets. Our results reveal that in the absence of liquidity regulation, the …

Persistent link: https://www.econbiz.de/10010757282

The Impact of the LCR on the Interbank Money Market

Bonner, Clemens; Eijffinger, Sylvester - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the … banks from 2005 to 2011, we show that banks which are just above/below their short-term regulatory liquidity requirement pay … liquidity requirement's 30 day horizon. Being close to the minimum liquidity requirement induces banks to increase borrowing …

Persistent link: https://www.econbiz.de/10010757285