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Boot, Arnoud W.A.; Ratnovski, Lev - Tinbergen Instituut - 2012

We study the effects of a bank’s engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, short-term, capital constrained, and with...

Persistent link: https://www.econbiz.de/10011256147

The Euro Introduction and Non-Euro Currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Instituut - 2005

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>

Persistent link: https://www.econbiz.de/10011255883

Defending against Speculative Attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - Tinbergen Institute - 2008

-known currency crisis model of Morris and Shin (American Economic Review 88 (1998) 587-97). After adding these natural elements, our … model outperforms standard currency crisis models at explaining stylised features of speculative attacks. Moreover, our … model connects the theoretical currency crisis literature to an empirical literature on exchange market pressure, by …

Persistent link: https://www.econbiz.de/10005209456

Model-free Measurement of Exchange Market Pressure

Klaassen, Franc; Jager, Henk - Tinbergen Institute - 2007

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10005136975

The Euro Introduction and Non-Euro Currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Institute - 2005

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10005137141

Defending against Speculative Attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - Tinbergen Instituut - 2008

Persistent link: https://www.econbiz.de/10011256910

Model-free Measurement of Exchange Market Pressure

Klaassen, Franc; Jager, Henk - Tinbergen Instituut - 2007

Persistent link: https://www.econbiz.de/10011257027

Banks and Market Liquidity

Arping, Stefan - Tinbergen Instituut - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity-provision frictions that, in an unlevered economy, would lead...

Persistent link: https://www.econbiz.de/10011256979

Splitting Orders in Fragmented Markets

Menkveld, Bert - Tinbergen Institute - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by...

Persistent link: https://www.econbiz.de/10005209503

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Lean, Hooi Hooi; McAleer, Michael - Tinbergen Instituut - 2013

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...

Persistent link: https://www.econbiz.de/10011256736

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