De Nederlandsche Bank Research Paper Series最新文献

{"title":"The Rise in the Cross-sectoral Dispersion of Earnings Expectations During COVID-19","authors":"J. Bats, W. Greif, Daniela Kapp","doi":"10.2139/ssrn.3925013","DOIUrl":"https://doi.org/10.2139/ssrn.3925013","url":null,"abstract":"This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. An empirical analysis shows that the rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector. Accordingly, in terms of earnings expectations, countries that are relatively independent from the travel sector were least affected by a tightening of lockdowns. At the same time, the start of vaccination campaigns has been a game changer: more stringent lockdown measures added far less to the crosssectoral dispersion in earnings expectations once vaccines started to be rolled out in late 2020. Going forward, the dispersion in earnings expectations remains elevated, implying that analysts may expect the effects of the crisis to be of a rather structural nature.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130581358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bank interest rate margins in a negative interest rate environment","authors":"J. Freriks, J. Kakes","doi":"10.2139/ssrn.3890014","DOIUrl":"https://doi.org/10.2139/ssrn.3890014","url":null,"abstract":"This paper studies the impact of the negative interest rate policy (NIRP) on euro area banks’ interest rate margins, using bank-individual data for the 2007-2019 period. An important extension to other studies is our breakdown of banks’ interest rate margin into a funding and lending component. Because of banks’ reluctance to reduce the interest rate on household deposits below zero, the funding margin of banks more reliant on deposit funding has declined compared to that of other banks. Our evidence shows that these banks have been unwilling or unable to compensate this by boosting their lending margins. Therefore, negative rates have significantly reduced the overall net interest margin of deposit-dependent banks compared to other banks.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129444218","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"What’s the damage? Monetizing the environmental externalities of the Dutch economy and its supply chain","authors":"Bas Smeets, Guan Schellekens, Thomas Bauwens, H. Wilting","doi":"10.2139/ssrn.3885482","DOIUrl":"https://doi.org/10.2139/ssrn.3885482","url":null,"abstract":"<br>The environmental externalities of economic activities, such as anthropogenic climate change and pollution, have major social, environmental and economic consequences. Monetary valuation of these externalities is a widely acclaimed approach to better account for them in economic decisions, as it provides an appropriate price level for charging a Pigouvian tax. Yet, little research exists on the monetary valuation of the environmental externalities associated with Dutch economic activities and the impact of pricing them on the profitability of different sectors. To address this gap, this paper estimates the monetary value of 30 environmental externalities associated with the activities of 13 sectors and 163 subsectors for the year 2015, based on a global environmentally extended input-output model. It then compares these environmental costs with the financial performance of the sectors to provide an appraisal of potential profit at risk. The findings show that total environmental damage costs associated with the Dutch economy amount to EUR 50 Bn or 7.3% of Dutch GDP in 2015. They also demonstrate that some sectors (energy production, waste and sewage treatment, manufacturing, transport and agriculture) do not generate sufficient profit to cover their natural resource use and pollution costs. These sectors are particularly exposed to the transition risks associated with the internalization of these costs through, for instance, taxation or stricter regulation. It is especially important for financial institutions to be aware of the presence of these risks. The analysis within this research could help to introduce and improve standards and systems, including relevant regulations aimed at internalizing the external costs of production, extraction and consumption. Moreover, these tools can also support financial institutions to inform their heat mapping exercises, the assessment of materiality and/or measurement of environmental transition risks more broadly.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"2016 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128260920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Heterogeneous Expectations and the Business Cycle at the Effective Lower Bound","authors":"Tolga Ozden","doi":"10.2139/ssrn.3859242","DOIUrl":"https://doi.org/10.2139/ssrn.3859242","url":null,"abstract":"<br>We analyze the empirical relevance of heterogeneous expectations at the effective lower bound (ELB) in the canonical New Keynesian model. Agents are allowed switch between an anchored Rational Expectations (RE) rule and an adaptive learning rule, where the latter may generate a de-anchoring of expectations. The structural change in monetary policy during ELB episodes, and the heterogeneity of private sector expectations are both captured in a unified framework of endogenous regime switching. An application to the US economy over the period 1982Q1-2019Q4 shows that expectations are characterized as a mixture of RE and learning over the pre-GFC period, while a larger fraction of expectations remain anchored at the RE during the ELB period after 2008Q4. Model projections over both post-GFC and post-pandemic periods show that, a larger fraction of learning agents and a higher intensity of learning can both generate deflationary spirals and prolonged periods of recession, which highlights the importance of keeping expectations anchored during periods of uncertainty.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121486603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Governance in Systems Based on Distributed Ledger Technology (DLT): A Comparative Study","authors":"Ellen Naudts, Tim Aerts, Leonard J. N. Franken, Aimo Pieterse","doi":"10.2139/ssrn.3876116","DOIUrl":"https://doi.org/10.2139/ssrn.3876116","url":null,"abstract":"The (experimental) use of DLT is growing, also in the financial sector. DLT systems themselves advocate the fact that they use (consensus) algorithms and cryptography to create a leaderless system (horizontal). How is it possible to ensure that decisions in these DLT systems are in the interest of all stakeholders and the public interest, including supervisory authorities? Given the popularity of the Bitcoin and Ethereum blockchains, for example, it is not inconceivable that a part of the FMI will be based on a public DLT system in the future. It is therefore important to gain a better understanding of the governance of such DLT systems, and what the risks are for FIs when using DLT. This paper compares the governance of financial institutions (FIs) and financial market infrastructures (FMIs) on the one hand with the governance of systems based on distributed ledger technology (DLT systems), on the other, to discover how they differ, and where potential risks and benefits lie for their future use, also in the financial markets. We answer two questions: i) What are the differences in governance between traditional FIs, FMIs and DLT systems? and ii) What are the consequences of decentralized governance of DLT systems for supervisory authorities?","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134156656","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Housing Wealth Effect: a comparative study of Italy and the Netherlands","authors":"F. Caloia, M. Mastrogiacomo","doi":"10.2139/ssrn.3859239","DOIUrl":"https://doi.org/10.2139/ssrn.3859239","url":null,"abstract":"<br>This paper tests whether disregarding home-improvements biases the housing wealth effect, the marginal propensity to consume out of housing wealth. The housing wealth effect is decomposed in its endogenous and exogenous component by filtering out previously stated expectations of house prices and accounting for endogenous home improvements.<br>Results of the empirical analysis show that the size of the bias is zero, due to the zero correlation between home-investments and changes in house values. Our results are consistent with a lifecycle model with exogenous home improvements. The use of a comparative empirical approach excludes that these are only internally valid.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"26 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125427493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Effects of Fiscal Policy when Planning Horizons are Finite","authors":"J. Lustenhouwer, K. Mavromatis","doi":"10.2139/ssrn.3868749","DOIUrl":"https://doi.org/10.2139/ssrn.3868749","url":null,"abstract":"We study the importance of planning horizons for fiscal multipliers in a New‐Keynesian model with bounded rationality. We show that, when agents have shorter planning horizons, government spending multipliers are smaller, whereas labor tax cut multipliers are larger. Furthermore, Ricardian equivalence breaks down, and transfer shocks feature a negative multiplier. Results are driven by the cognitive limitations of finite planning horizons that lead agent's expectations to deviate from the fully rational benchmark. We find larger investment responses, which are more in line with empirical findings than those of models with longer planning horizons, rule‐of‐thumb households, or a Blanchard–Yaari structure.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131521478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Enhancing Banknote Authentication by Guiding Attention to Security Features and Prevalence Expectancy","authors":"Frank C. P. van der Horst, Joshua Snell, J. Theeuwes","doi":"10.2139/ssrn.3864087","DOIUrl":"https://doi.org/10.2139/ssrn.3864087","url":null,"abstract":"<br>All banknotes have security features which are intended to help to determine whether a banknote is false or genuine. Typically however, the general public has limited knowledge of where on a banknote these security features can be found. Here we tested whether counterfeit detection can be improved with the help of salient cues, designed to guide bottom-up visuospatial attention. We also tested the influence of the participant’s a priori level of trust in the authenticity of the banknote. In an online study (N=422), a demographically diverse panel of Dutch participants distinguished genuine banknotes from banknotes with one (left- or right-sided) counterfeited security feature. Either normal banknotes (without novel design elements) or banknotes that contained a salient cue (a pink rectangular frame) were presented for 1s. To manipulate the participant’s level of trust, trials were administered in three blocks, whereby at the start of each block, participants were instructed that either one third, one half, or two thirds of the upcoming banknotes were counterfeit (though the true ratio was always 1:1). We hypothesized (i) that in the presence of a salient cue, counterfeits would be better detected when the cue was valid (whereby the location of the salient element matched the location of the counterfeited security feature) than when it was invalid; and (ii) that this effect would be stronger with lower trust. Our hypotheses were partly confirmed: counterfeit detection improved with valid cues and decreasing trust, but the level of trust did not modulate the cueing effect. As the overall detection performance was rather poor, we replicated the study with a sample of university students (N=66), this time presenting stimuli until response. While indeed observing better overall performance, all other patterns were replicated. Two lessons can be learned here. Firstly, as lower trust yields better authentication accuracy, central bankers may see merit in raising awareness about the existence of counterfeit banknotes. Secondly, our findings provide a proof of concept for the idea that bottom-up saliency can be used to aid banknote authentication.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126982585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Anchoring of Consumers’ Long-Term Euro Area Inflation Expectations During the Pandemic","authors":"G. Galati, R. Moessner, M. van Rooij","doi":"10.2139/ssrn.3864076","DOIUrl":"https://doi.org/10.2139/ssrn.3864076","url":null,"abstract":"This paper analyses the results from a new monthly survey of consumers’ euro area inflation expectations before and during the pandemic. We find that consumers’ longterm euro area inflation expectations have remained elevated above the ECB’s inflation aim throughout the pandemic. Moreover, their distributions have continuously shown a greater probability of high inflation (2pp above the ECB’s inflation aim of 2%) than of deflation during the pandemic. These results suggest that during the pandemic consumers’ long-term euro area inflation expectations have been de-anchored on the upside rather than on the downside. This is in contrast to concerns by ECB policymakers about a de-anchoring on the downside during the pandemic. We find that during the pandemic consumers’ expected probabilities in the long term of deflation in the euro area have been above those from the ECB Survey of Professional Forecasters, and below those implied by options. We also find based on consumers’ point inflation expectations and on three measures calculated directly from their individual expected probability distribution, that consumers’ long-term euro area inflation expectations have been better anchored for higher education levels and for higher net household income.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114761737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Staggered wages, unanticipated shocks and firms’ adjustments","authors":"F. Caloia, J. Parlevliet, M. Mastrogiacomo","doi":"10.2139/ssrn.3849286","DOIUrl":"https://doi.org/10.2139/ssrn.3849286","url":null,"abstract":"<br>This paper studies the employment and wage effects of contract staggering, i.e., the staggered nature in which wages adjust to changes in the economic environment. Our analysis is based on a large matched employers employees dataset merged to collective agreements in the Netherlands, a country in which collective bargaining is dominant and contract staggering is relatively pervasive. By exploiting exogenous variation in the start dates of collective agreements around the Great Recession, we estimate the causal effect of increases in base wages mandated by collective agreements signed right before the shock on labour cost adjustments of firms. Our main result is that contract staggering has, on average, no real effect on employment. We find significant employment losses only in sectors covered by contracts with duration larger than thirty months, a rigidity much higher than that assumed in macroeconomic models including staggered wages. Instead, we show that firms were able adjust labour costs by curbing other pay components such as bonuses and benefits and incidental pay.<br><br>","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"2305 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127473176","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}