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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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Loan loss provisioning, bank credit and the real economy
Pool, Sebastiaan; Haan, Leo de; Jacobs, Jan - de Nederlandsche Bank - 2014
This paper examines how credit risk affects bank lending and the business cycle. We estimate a panel Vector …, inflation, the short-term interest rate, bank lending, as well as loan loss provisioning by banks (as proxy for credit risk …). Our main findings are that: (i) bank lending and loan loss provisioning are important drivers of business cycle …
Persistent link: https://www.econbiz.de/10010945599
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Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the …-testing model, which takes into account the impact of bank reactions on second round feedback effects. We show that a flexible …
Persistent link: https://www.econbiz.de/10010543516
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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
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Credit Booms in Emerging Market Economies: A Recipe for Banking Crises?
Ottens, Daniel; Lambregts, Edwin; Poelhekke, Steven - de Nederlandsche Bank - 2005
This paper investigates whether credit booms are an important warning signal for banking crises in Asian and Latin American emerging market economies. Based on a signalling leading indicator model, the results suggest that credit booms are indeed a prelude for banking crises, especially in Latin...
Persistent link: https://www.econbiz.de/10005101805
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Modelling Scenario Analysis and Macro Stress-testing
End, Jan Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - de Nederlandsche Bank - 2006
Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks' credit and interest rate risks by deterministic and stochastic...
Persistent link: https://www.econbiz.de/10005101857
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Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk
End, Jan Willem van den - de Nederlandsche Bank - 2008
This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main drivers of the recent financial crisis. The model takes into account the first and second round (feedback) effects of shocks, induced by behavioural reactions of heterogeneous...
Persistent link: https://www.econbiz.de/10005030214
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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
demand and/or quality, or by other types of shocks to bank balance sheets. The slowdown in lending is lower for banks that …
Persistent link: https://www.econbiz.de/10010674606
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Identifying Banking Crises Using Money Market Pressure: New Evidence For a Large Set of Countries
Jing, Zhongbo; Haan, Jakob de; Jacobs, Jan; Yang, Haizhen - de Nederlandsche Bank - 2013
We construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to …
Persistent link: https://www.econbiz.de/10010703362
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A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio
End, Jan Willem van den - de Nederlandsche Bank - 2013
This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...
Persistent link: https://www.econbiz.de/10010822694