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Are European sovereign bonds fairly priced? The role of modeling uncertainty

Haan, Leo de; Hessel, Jeroen; End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper examines the extent to which large swings of sovereign yields in euro area countries during the sovereign debt crisis can be attributed to fundamentals. We focus on the inherent uncertainty in bond yield models, which is often overlooked in the literature. We show that the outcomes...

Persistent link: https://www.econbiz.de/10010705925

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

Adaptive learning and survey data

Markiewicz, Agnieszka; Pick, Andreas - de Nederlandsche Bank - 2014

This paper investigates the ability of the adaptive learning approach to replicate the expectations of professional forecasters. For a range of macroeconomic and financial variables, we compare constant and decreasing gain learning models to simple, yet powerful benchmark models. We find that...

Persistent link: https://www.econbiz.de/10011004569

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

Credit ratings and bond spreads of the GIIPS

Vries, Tim de; Haan, Jakob de - de Nederlandsche Bank - 2014

We examine the relationship between credit ratings and bond yield spreads of peripheral countries in the euro area (Greece, Ireland, Italy, Portugal and Spain) for the period 1995-2014. Since 2012, bond spreads of those countries have come down very fast, whereas credit ratings have hardly...

Persistent link: https://www.econbiz.de/10010812610

Price Dividend Models Revisited, and their Role as Indicators for Monetary Policy

Valckx, N. - de Nederlandsche Bank - 2002

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining a dynamic Gordon … model specification with the inflation-augmented capital asset pricing model (CAPM). The model is estimated for the Euro … signals of the output gap and inflation. Finally, for the U.S., the overvaluation of the price dividend ratio, derived from …

Persistent link: https://www.econbiz.de/10005021852

House Prices and Affordability - A First and Second Look Across Countries

Brounen, Dirk; Neuteboom, Peter; Dijkhuizen, Arjen van - de Nederlandsche Bank - 2006

In this paper we analyze the development of house prices for eight different countries over the period 1970-2003. First we look at real house price dynamics of the United States, the United Kingdom, Germany, France, Italy, the Netherlands, Sweden, and Belgium. After discussing the observable...

Persistent link: https://www.econbiz.de/10005101839

Indicator and boundaries of financial stability

End, Jan Willem van den - de Nederlandsche Bank - 2006

This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...

Persistent link: https://www.econbiz.de/10005101852

De samenhang tussen beurskoersen en huizenprijzen

End, Jan Willem van den; Kakes, Jan - de Nederlandsche Bank - 2002

In this paper the relationship between stock prices and house prices is analysed for six countries over the years 1976-2001. We find that both asset prices show a positive long-term relationship, which can partly be explained by common macro-economic factors such as credit, consumption and...

Persistent link: https://www.econbiz.de/10005101928

The pitch rather than the pit: investor inattention during FIFA World Cup matches

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

Persistent link: https://www.econbiz.de/10009493318

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