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International Diversification During the Financial Crisis: A Blessing for Equity Investors?
Vermeulen, Robert - de Nederlandsche Bank - 2011
market diversification provides large gains during the financial crisis. This is remarkable because of large stock market … countries during the financial crisis. This result implies that global equity diversification has an important positive effect …
Persistent link: https://www.econbiz.de/10009385893
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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
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Is Contagion in the Eye of the Beholder?
Mink, Mark - de Nederlandsche Bank - 2009
Empirical research on contagion between international stock markets generally focuses on market returns converted to US dollars, as this would be consistent with the perspective of an international investor. This note argues that such a conversion is inappropriate, since only returns denominated...
Persistent link: https://www.econbiz.de/10008475757
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The pungent smell of Red Herrings; Subsoil assets, rents, volatility and the resource curse
Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009
Brunnschweiler and Bulte (2008) provide cross-country evidence that the resource curse is a red herring&; once one corrects for the endogeneity of natural resource exports and allows resource abundance to have an effect on growth. Their results show that resource exports are no longer...
Persistent link: https://www.econbiz.de/10008475761
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Securitization and the dark side of diversification
Oordt, Maarten van - de Nederlandsche Bank - 2012
Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear … diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with … different seniority levels. We show that tranching offers nonlinear diversification strategies, which can reduce the failure …
Persistent link: https://www.econbiz.de/10010543515
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Pension fund sophistication and investment policy
Dreu, Jan de; Bikker, Jacob - de Nederlandsche Bank - 2009
, resulting in limited asset diversification. Third, medium-sized and smaller pension funds favor regional investments and as such … not fully employ the opportunities of international diversification. Finally, we show that pension funds using less …
Persistent link: https://www.econbiz.de/10004983365
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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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The crisis as a wake-up call. Do banks tighten screening and monitoring during a financial crisis?
Haas, Ralph de; Horen, Neeltje van - de Nederlandsche Bank - 2010
To what extent was the credit contraction during the global financial crisis due to more intense screening and monitoring by banks? We address this question by analyzing changes in the structure of a large number of syndicated loans to private, non-financial corporations. We find an increase in...
Persistent link: https://www.econbiz.de/10008587049
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Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates
Grammatikos, Theoharry; Vermeulen, Robert - de Nederlandsche Bank - 2011
This paper tests for the transmission of the 2007-2010 financial and sovereign debt crises to fifteen EMU countries. We use daily data from 2003 to 2010 on country financial and non-financial stock market indexes. First, we find strong evidence of crisis transmission to European non-financials...
Persistent link: https://www.econbiz.de/10008860749
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Towards a framework for financial stability
Houben, Aerdt; Kakes, Jan; Schinasi, Garry - de Nederlandsche Bank - 2004
This study examines the emergence of financial stability as a key police objective. It discusses the underlying trends in the financial system, as well as the role of finance in relation to money, the real economy and public policy. Financial stability is defined in terms of its ability to help...
Persistent link: https://www.econbiz.de/10010945590