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The impact of sovereign debt exposure on bank lending: Evidence from the European debt crisis
Popov, Alexander; Horen, Neeltje van - de Nederlandsche Bank - 2013
Using loan-level data, we find that syndicated lending by European banks with sizeable balance sheet exposures to impaired sovereign debt was negatively affected after the start of the euro area sovereign debt crisis. We also observe a reallocation away from foreign (especially US) markets. The...
Persistent link: https://www.econbiz.de/10010674606
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The impact of sovereign and credit risk on interest rate convergence in the euro area
Arnold, Ivo; Ewijk, Saskia van - de Nederlandsche Bank - 2014
This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative...
Persistent link: https://www.econbiz.de/10010822710
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Systemic risk and bank business models
Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2014
In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial institutions that can be decomposed into two subcomponents...
Persistent link: https://www.econbiz.de/10010945596
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Effect of bank capital requirements on economic growth: a survey
Martynova, Natalya - de Nederlandsche Bank - 2015
This paper reviews studies exploring how higher bank capital requirements affect economic growth. There is little evidence of a direct effect; research focuses on the indirect effects of capital requirements on credit supply, bank asset risk, and cost of bank capital, which in turn can affect...
Persistent link: https://www.econbiz.de/10011213677
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Regulation and banking: a survey
Hebbink, G.E.; Prast, H.M. - de Nederlandsche Bank - 1998
This report presents an overview of the theory of regulation in general, with special attention for the regulation of … banks. Two theories of government regulation are described. The first, normative, theory uses market failures as the … justification of government regulation. The second, positive, theory explains the existence of regulation as the outcome of the …
Persistent link: https://www.econbiz.de/10005021856
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Bank capital ratios in the 1990s: cross-country evidence
Bondt, G.J. de; Prast, H.M. - de Nederlandsche Bank - 1999
This study aims at assessing empirically the determinants of changes in risk-weighted bank capital ratios in the 1990s in Germany, France, Italy, the Netherlands, the UK and the US. Both bank-specific characteristics, factors at the banking industry level and the degree of undercapitalization...
Persistent link: https://www.econbiz.de/10005021872
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Risk in Financial Conglomerates: Management and Supervision
Lelyveld, Iman van; Schilder, Arnold - de Nederlandsche Bank - 2002
emerges from the theory on risk management, both from a market and a firm perspective. After describing the Dutch …
Persistent link: https://www.econbiz.de/10005021889
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Cyclical Patterns in Profits, Provisioning and Lending of Banks
Bikker, J.A.; Hu, H. - de Nederlandsche Bank - 2003
as (shortage of) capital, which contradicts the assumptions underlying capital crunch theory. All in all, over the last …
Persistent link: https://www.econbiz.de/10005021893
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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
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Follow the money: what does the literature on banking tell prudential supervisors on bank business models?
Cavelaars, Paul; Passenier, Joost - de Nederlandsche Bank - 2012
This paper gives an overview of the recent literature on bank business models, structured along what we deem to be the three central questions when analysing business models. By doing so, we endeavour to provide the recent shift in prudential supervision towards the analysis of bank business...
Persistent link: https://www.econbiz.de/10009493320