We study how information sharing between banks influences the geographical clustering of branches. A spatial oligopoly model first explains why branches cluster and how information sharing impacts price competition and equilibrium clustering. With data on 59,333 branches of 676 banks in 22...

The skewness of a statistical distribution is often used to determine whether that distribution is symmetric or not. Such a determination is misleading. To show this we have analyzed a broad range of (classes of) skewness measures – complying with the requirements of a general skewness measure...

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

Many countries try to smooth their exchange rate movements by means of capital controls or otherwise. By the use of statistical extreme value analysis, we investigate if capital controls succeed in lowering the exchange rate volatility. We define forex volatility as the risk of extreme...

One of the reasons for governments to employ capital controls is to obtain some degree of monetary independence. In this paper we test whether capital controls can reduce the link between exchange rates fluctuations and cross border interest differentials. The standard IMF dummy is used together...

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other ("contagion risk") and to...

[eng] Time Varying Forex Market Inefficiency by Camiel de Koning and Stefan Straetmans . Researchers have gathered abundant empirical evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia. However, few have studied coefficient instability and its...

The paper investigates the long run historic development of the Amsterdam rental housing market (1550–1850). Using rent data on a large cross section of residential properties in Amsterdam we are able to develop an annual constant-quality rent index for the entire time period. Whereas nominal...

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...