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Preference heterogeneity in monetary policy committees

Riboni, Alessandro; Ruge-Murcia, Francisco - de Nederlandsche Bank - 2007

This short paper employs individual voting records of the Monetary Policy Committee (MPC) of the Bank of England to study heterogeneity in policy preferences among committee members. The analysis is carried out using a simple generalization of the standard Neo Keynesian framework that allows...

Persistent link: https://www.econbiz.de/10005101791

Pension fund finance and sponsoring companies: empirical evidence on theoretical hypotheses

Davis, E. Philip; Grob, Sybille; Haan, Leo de - de Nederlandsche Bank - 2007

This study presents empirical evidence on the influence of sponsoring companies on the funding and portfolio allocation of pension funds, an issue on which most extant literature is theoretical. We use a unique microdataset of 550 Dutch defined benefit company pension funds and 100 sponsoring...

Persistent link: https://www.econbiz.de/10005101838

Investment risk taking by institutional investors

Gorter, Janko; Bikker, Jacob A. - de Nederlandsche Bank - 2011

This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a … unique and extended dataset that covers the volatile investment period 1995-2009, we find that, in the Netherlands, insurers … take substantially less investment risk than pension funds, even though a market risk capital charge for insurers is yet …

Persistent link: https://www.econbiz.de/10009018570

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

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

When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour

End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2009

This paper provides empirical evidence of behavioural responses by banks and their contribution to system-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures of size and herding show that balance sheet adjustments...

Persistent link: https://www.econbiz.de/10008500697

Internal Capital Markets in Multinational Banks: Implications for European Transition Countries

Haas, Ralph de; Naaborg, Ilko - de Nederlandsche Bank - 2005

We use focused interviews with bank managers to analyse how multinational banks use internal capital markets to control their subsidiaries. It is found that foreign bank affiliates are strongly influenced by the capital allocation and credit steering mechanisms of the parent bank. Parent banks...

Persistent link: https://www.econbiz.de/10005101850

Loan Extension in China: a Rational Affair

Gennip, Piet van - de Nederlandsche Bank - 2005

Against the background of the problem of Non Performing Loans, the lack of data causes banking behaviour in China being wrapped in mystery. By making use of data reported by Shenzhenlisted firms, this paper reveals some stylized facts on loan extension in China. For that purpose both static and...

Persistent link: https://www.econbiz.de/10005106686

Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk

End, Jan Willem van den - de Nederlandsche Bank - 2008

, induced by behavioural reactions of heterogeneous banks, and idiosyncratic reputation effects. The impact on liquidity risk is …

Persistent link: https://www.econbiz.de/10005030214

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