In a dynamic framework banks compete for customers by setting lending conditions for the loans they supply, taking into account the capital adequacy requirements posed by the regulator. By easing its lend- ing conditions a bank faces a tradeoff between attracting more demand for loans, thus...

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference...

This paper examines competitive conditions and market structure in the banking industry, and inves- tigates their interrelationship. Competition is measured using the non-structural Panzar-Rosse model, which assesses the elasticities of interest revenues with respect to changes in banks' input...

The independent nature of the Central Bank is often associated with achieving low and stable inflation. Further to that the merits of independence are stretched to achieving low(er) output variability when compared to a government run monetary policy. In this paper we use the Alesina and Alesina...

The current debate on the possible procyclicality of the new Basel Accord pays little attention to the procyclicality created by unsound loan loss provisioning. This paper investigates how bank provisioning behaviour is related to the business cycle, using 8,000 bank-year observations from 29...

Besides the theoretical (Alchian/Klein, 1973) case for including asset prices in measures of inflation, there is also a practical case, that some asset prices, notably housing, are closely associated with the main trends in inflation, and via 'bubbles and busts' with output disturbances....

We study the implications of uncertainty for inflation targeting in a dynamic set-up. Using Svensson's inflation forecast targeting model, we compare the Brainard conservative principle to a more active monetary policy rule, derived from a two-step optimisation procedure. Our analysis points to...

One of the main criticisms on the original Taylor rule is the so-called real time critique; because data on especially the output gap are only available after some quarters the original Taylor rule is not operational. Moreover, Taylor rules estimated with ex post revised data could result in...