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The interaction between the central bank and government in tail risk scenarios

End, Jan Willem van den; Hoeberichts, Marco - de Nederlandsche Bank - 2012

We analyse the relationship between tail risk and crisis measures by governments and the central bank. Using an … the central bank and the governments is less binding if the risk of contagion is high. The strategic interaction between …

Persistent link: https://www.econbiz.de/10010583805

Determinants of the real impact of banking crises: A review and new evidence

Wilms, Philip; Swank, Job; Haan, Jakob de - de Nederlandsche Bank - 2014

We examine which variables are robust in explaining cross-country differences in the real impact of systemic banking crises. Based on a meta-analysis, we identify 21 variables frequently used as determinants of the severity of crises. Employing nine proxies for crisis severity, we find that...

Persistent link: https://www.econbiz.de/10010885310

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

When does the general public lose trust in banks?

Jansen, David-Jan; Mosch, Robert; Cruijsen, Carin van der - de Nederlandsche Bank - 2013

When does the general public lose trust in banks? We provide empirical evidence using responses by Dutch survey participants to eight hypothetical scenarios. We find that members of the general public care strongly about executive compensation. Negative media reports, falling stock prices, and...

Persistent link: https://www.econbiz.de/10010726974

The optimal size of the European Stability Mechanism: A cost-benefit analysis

Kapp, Daniel - de Nederlandsche Bank - 2012

This study presents a core-periphery model to determine the optimal size of the European Stability Mechanism (ESM), building on Jeanne and Ranciere (2011). While the periphery is subject to a probability of losing access to external credit, the core's incentive for setting up an ESM stems...

Persistent link: https://www.econbiz.de/10010566996

Bank Risk within and across Equilibria

Agur, Itai - de Nederlandsche Bank - 2011

This paper models a financial sector in which there is a feedback between individual bank risk and aggregate funding … market problems. Greater individual risk taking worsens adverse selection problems on the market. But adverse selection … premia on that market push up bank risk taking, leading to multiple equilibria. The model identifies shifts among equilibria …

Persistent link: https://www.econbiz.de/10009193243

The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity

Grammatikos, Theoharry; Vermeulen, Robert - de Nederlandsche Bank - 2012

stock returns, the changes in systematic risk and idiosyncratic return induced by the financial crisis. The results show … that leverage has a significantly positive effect on systematic risk changes during the financial crisis. After accounting … for the change in systematic risk, the crisis induced idiosyncratic return is significantly related to industry leverage …

Persistent link: https://www.econbiz.de/10010757287

Preferential regulatory treatment and banks' demand for government bonds

Bonner, Clemens - de Nederlandsche Bank - 2014

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

Confidence and trust: empirical investigations for the Netherlands and the financial sector

Mosch, Robert; Prast, Henriëtte - de Nederlandsche Bank - 2008

This paper studies confidence and trust in the Netherlands, especially with regard to the financial sector. Confidence and trust are qualitative, emotion-based variables which seems to be a powerful force in the economy. The aim of this paper is to gain a better understanding of the relationship...

Persistent link: https://www.econbiz.de/10011004560

Global liquidity regulation - Why did it take so long?

Bonner, Clemens; Hilbers, Paul - de Nederlandsche Bank - 2015

The purpose of this paper is to assess the history of global liquidity regulation until the revised Basel III proposals in 2013 and to analyze the interaction of capital regulation and banks' liquidity buffers. Our analysis suggests that regulating capital is associated with declining liquidity...

Persistent link: https://www.econbiz.de/10011127195