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Contagion during the Greek Sovereign Debt Crisis
Mink, Mark; Haan, Jakob de - de Nederlandsche Bank - 2012
Using an event study approach, we examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 banks included in the European stress tests. We identify the twenty days with extreme returns on Greek sovereign bonds and categorize the news...
Persistent link: https://www.econbiz.de/10009493319
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The Maastricht Inflation Criterion: What is the Effect of Expansion of the European Union?
Lewis, John; Staehr, Karsten - de Nederlandsche Bank - 2007
Following the Maastricht criteria, a country seeking to join the European Monetary Union cannot have an inflation rate … in excess of 1.5 percent plus the average inflation rates in the three 'best performing' EU countries. This inflation … simulations show that the expansion of the EU from 15 to 27 members reduces the expected inflation reference value by 0 …
Persistent link: https://www.econbiz.de/10005053800
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An Independent Central Bank faced with Elected Government: A Political Economy Conflict
Demertzis, M.; Hallett, A. Hughes; Viegi, N. - de Nederlandsche Bank - 2002
The literature argues that the benefits of an independent Central Bank accrue at no cost to the real side. In this paper, we argue that the lack of correlation between monetary autonomy and output variability, is due to the proactive role of fiscal policy when faced with rigid monetary...
Persistent link: https://www.econbiz.de/10005021867
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The end of the stability and growth pact?
Haan, J. de; Berger, H.; Jansen, D. - de Nederlandsche Bank - 2003
This paper evaluates the Stability and Growth Pact. After examining the rules in place and the experience so far, the Pact is analysed from a political economy perspective, focusing on the choice for so-called soft law and drawing inferences from characteristics of successful fiscal rules at the...
Persistent link: https://www.econbiz.de/10005021882
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On the Impact of Income and Policy Shocks on Consumption
Bayoumi, Tamim; Sgherri, Silvia - de Nederlandsche Bank - 2007
An increasing body of evidence suggests that the behavior of the economy has changed in many fundamental ways over the last decades. In particular, greater financial deregulation, larger wealth accumulation, and better policies might have helped lower uncertainty about future income and lengthen...
Persistent link: https://www.econbiz.de/10005106649
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The fiscal dimension of a common monetary policy: results with a non-Ricardian global model
Sgherri, S. - de Nederlandsche Bank - 2000
This paper studies the interaction of fiscal and monetary policy within an Economic and Monetary Union (EMU). Results suggest that, in a model in which bonds and money are counted as net wealth, the primary source of cross-country heterogeneity in response to a common monetary shock is the...
Persistent link: https://www.econbiz.de/10005030229
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How does unconventional monetary policy affect inequality? Evidence from Japan
Saiki, Ayako; Frost, Jon - de Nederlandsche Bank - 2014
Inequality has been largely ignored in the literature and practice of monetary policy, but is gaining more attention recently. We look at how a decade of unconventional monetary policy (UMP) in Japan affected inequality among households using survey data. Our vector auto regression (VAR) results...
Persistent link: https://www.econbiz.de/10010822702
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Valuation of Liabilities in Hybrid Pension Plans
Broeders, Dirk; Chen, An; Rijsbergen, David - de Nederlandsche Bank - 2011
In this paper we derive an analytic valuation formula for a generalized form of liabilities in hybrid pension plans taking account of both equity and interest rate risk. Comparative statistics are carried out to show the relevance of some key parameters in defining the hybrid pension plans,...
Persistent link: https://www.econbiz.de/10009644842
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What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
Broeders, Dirk; Hilbers, Paul; Rijsbergen, David - de Nederlandsche Bank - 2013
, inflation and real wage growth. The type of pension fund and the interest rate exposure are also statistically significant …
Persistent link: https://www.econbiz.de/10010757288
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin; Hagen, Juergen von; Vries, Casper de - de Nederlandsche Bank - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10008475753