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Liquidity Stress Detection in the European Banking Sector 欧洲银行业的流动性压力检测
De Nederlandsche Bank Research Paper Series Pub Date : 2019-06-25 DOI: 10.2139/ssrn.3411469
Richard Heuver, Ron Triepels
{"title":"Liquidity Stress Detection in the European Banking Sector","authors":"Richard Heuver, Ron Triepels","doi":"10.2139/ssrn.3411469","DOIUrl":"https://doi.org/10.2139/ssrn.3411469","url":null,"abstract":"Liquidity stress constitutes an ongoing threat to financial stability in the banking sector. A bank that manages its liquidity inadequately might find itself unable to meet its payment obligations. These liquidity issues, in turn, can negatively impact the liquidity position of many other banks due to contagion effects. For this reason, central banks carefully monitor the payment activities of banks in financial market infrastructures and try to detect early-warning signs of liquidity stress. In this paper, we investigate whether this monitoring task can be performed by supervised machine learning. We construct probabilistic classifiers that estimate the probability that a bank faces liquidity stress. The classifiers are trained on a dataset consisting of various payment features of European banks and which spans several known stress events. Our experimental results show that the classifiers detect the periods in which the banks faced liquidity stress reasonably well.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121286417","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}
引用次数: 2
Monetary Policy and the Top One Percent: Evidence from a Century of Modern Economic History 货币政策和最富有的1%:来自一个世纪现代经济史的证据
De Nederlandsche Bank Research Paper Series Pub Date : 2019-04-01 DOI: 10.2139/ssrn.3379740
Mehdi El Herradi, Aurélien Leroy
{"title":"Monetary Policy and the Top One Percent: Evidence from a Century of Modern Economic History","authors":"Mehdi El Herradi, Aurélien Leroy","doi":"10.2139/ssrn.3379740","DOIUrl":"https://doi.org/10.2139/ssrn.3379740","url":null,"abstract":"This paper examines the distributional implications of monetary pol-icy from a long-run perspective with data spanning a century of modern economic history in 12 advanced economies between 1920 and 2015. We employ two complementary empirical methodologies for estimating the dynamic responses of the top 1% income share to a monetary policy shock: vector auto-regressions and local projections. We notably exploit the implications of the macroeconomic policy trilemma to identify exogenous variations in monetary conditions. The obtained results indicate that ex-pansionary monetary policy strongly increases the share of national income held by the top one percent. Our findings also suggest that this e?ect is arguably driven by higher asset prices, and holds irrespective of the state of the economy.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115704667","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}
引用次数: 16
Does Monetary Policy Affect Income Inequality in the Euro Area? 货币政策会影响欧元区的收入不平等吗?
De Nederlandsche Bank Research Paper Series Pub Date : 2019-03-08 DOI: 10.2139/ssrn.3352371
A. Samarina, A. Nguyen
{"title":"Does Monetary Policy Affect Income Inequality in the Euro Area?","authors":"A. Samarina, A. Nguyen","doi":"10.2139/ssrn.3352371","DOIUrl":"https://doi.org/10.2139/ssrn.3352371","url":null,"abstract":"This paper examines how monetary policy affects income inequality in 10 euro area countries over the period 1999–2014. We distinguish macroeconomic and financial channels through which monetary policy may have distributional effects. The macroeconomic channel is captured by wages and employment, while the financial channel by asset prices and returns. We find that expansionary monetary policy in the euro area reduces income inequality, especially in the periphery countries. The macroeconomic channel leads to these equalizing effects: monetary easing reduces income inequality by raising wages and employment. However, there is some indication that the financial channel may weaken the equalizing effect of expansionary monetary policy.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114817513","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}
引用次数: 32
Did Spillovers From Europe Indeed Contribute to the 2010 U.S. Flash Crash? 欧洲的溢出效应确实导致了2010年美国的闪电崩盘吗?
De Nederlandsche Bank Research Paper Series Pub Date : 2019-01-28 DOI: 10.2139/ssrn.3325240
D. Jansen
{"title":"Did Spillovers From Europe Indeed Contribute to the 2010 U.S. Flash Crash?","authors":"D. Jansen","doi":"10.2139/ssrn.3325240","DOIUrl":"https://doi.org/10.2139/ssrn.3325240","url":null,"abstract":"Using intraday data, we study spillovers from European stock markets to the U.S. in the hours before the flash crash on 6 May 2010. Many commentators have pointed to negative market sentiment and high volatility during the European trading session before the Flash Crash. However, based on a range of vector autoregressive models, we find no robust evidence that spillovers increased at that time. On the contrary, spillovers on 6 May were mostly smaller than in the preceding days, during which there was great uncertainty surrounding the Greek sovereign debt crisis. The absence of evidence for spillovers underscores the difficulties in understanding the nature of flash events in financial markets.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122976246","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}
引用次数: 1
Forward Guidance and the Role of Central Bank Credibility under Heterogeneous Beliefs 前瞻指引与异质信念下中央银行公信力的作用
De Nederlandsche Bank Research Paper Series Pub Date : 2018-12-01 DOI: 10.2139/ssrn.3296214
G. Goy, C. Hommes, K. Mavromatis
{"title":"Forward Guidance and the Role of Central Bank Credibility under Heterogeneous Beliefs","authors":"G. Goy, C. Hommes, K. Mavromatis","doi":"10.2139/ssrn.3296214","DOIUrl":"https://doi.org/10.2139/ssrn.3296214","url":null,"abstract":"This paper studies the macroeconomic effects of central bank forward guidance when central bank credibility is endogenous. In particular, we take a stylized New Keynesian model with an occasionally binding zero lower bound constraint on nominal interest rates and heterogeneous and boundedly rational households. The central bank uses a bivariate VAR to forecast, not taking into account the time-variation in the distribution of aggregate expectations. In this framework, we extend the central bank's toolkit to allow for the publication of its own forecasts (Delphic guidance) and the commitment to a future path of the nominal interest rate (Odyssean guidance). We find that both Delphic and Odyssean forward guidance increase the likelihood of recovery from a liquidity trap. Even though Odyssean guidance alone appears more powerful, we find it to increase ex post macroeconomic volatility and thus reduce welfare.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116199530","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}
引用次数: 26
Risk Indicators for Financial Market Infrastructure: From High Frequency Transaction Data to a Traffic Light Signal 金融市场基础设施的风险指标:从高频交易数据到交通信号灯
De Nederlandsche Bank Research Paper Series Pub Date : 2017-06-09 DOI: 10.2139/ssrn.2985412
R. Berndsen, Ronald Heijmans
{"title":"Risk Indicators for Financial Market Infrastructure: From High Frequency Transaction Data to a Traffic Light Signal","authors":"R. Berndsen, Ronald Heijmans","doi":"10.2139/ssrn.2985412","DOIUrl":"https://doi.org/10.2139/ssrn.2985412","url":null,"abstract":"This paper identifies quantitative risks in financial market infrastructures (FMIs), which are inspired by the Principles for Financial Market Infrastructures. We convert transaction level data into indicators that provide information on operational risk, changes in the network structure and interdependencies. As a proof of concept we use TARGET2 level data. The indicators are based on legislation, guidelines and their own history. Indicators that are based on their own history are corrected for cyclical patterns. We also define a method for setting the signaling threshold of relevant changes. For the signaling, we opt for a traffic light approach: a green, yellow or red light for a small, moderate or substantial change in the indicator, respectively. The indicators developed in this paper can be used by overseers and operators of FMIs and by financial stability experts.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127797385","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}
引用次数: 8
Home Biased Expectations and Macroeconomic Imbalances in a Monetary Union 货币联盟的国内偏见预期与宏观经济失衡
De Nederlandsche Bank Research Paper Series Pub Date : 2017-06-02 DOI: 10.2139/ssrn.2982461
Dennis Bonam, G. Goy
{"title":"Home Biased Expectations and Macroeconomic Imbalances in a Monetary Union","authors":"Dennis Bonam, G. Goy","doi":"10.2139/ssrn.2982461","DOIUrl":"https://doi.org/10.2139/ssrn.2982461","url":null,"abstract":"Under monetary union, economic dynamics may diverge across countries due to regional inflation differentials and a pro-cyclical real interest rate channel, yet stability is generally ensured through endogenous adjustment of the real exchange rate. The speed of adjustment depends, inter alia, on the way agents’ form expectations. We propose a model in which agents expectations are largely based on domestic variables, and less so on foreign variables. We show that such home bias in expectations strengthens the real interest rate channel and causes country-specific shocks to generate larger and more prolonged macroeconomic imbalances.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"168 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133209394","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}
引用次数: 9
Asymmetric Consumption Effects of Transitory Income Shocks 短期收入冲击的不对称消费效应
De Nederlandsche Bank Research Paper Series Pub Date : 2017-02-09 DOI: 10.2139/ssrn.2942102
Dimitris Christelis, Dimitris Georgarakos, T. Jappelli, Luigi Pistaferri, M. van Rooij
{"title":"Asymmetric Consumption Effects of Transitory Income Shocks","authors":"Dimitris Christelis, Dimitris Georgarakos, T. Jappelli, Luigi Pistaferri, M. van Rooij","doi":"10.2139/ssrn.2942102","DOIUrl":"https://doi.org/10.2139/ssrn.2942102","url":null,"abstract":"\u0000 We use the responses of a representative sample of Dutch households to survey questions that ask how much their consumption would change in response to unexpected, transitory income shocks (positive or negative). The questionnaire also distinguishes between relatively small income changes (a one-month increase or drop in income), and relatively larger ones (equal to three-months' income). The results are broadly in line with models of intertemporal choice with precautionary saving, borrowing constraints and finite horizons.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132638274","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}
引用次数: 108
The Signalling Content of Asset Prices for Inflation: Implications for Quantitative Easing 资产价格对通胀的信号内容:量化宽松的启示
De Nederlandsche Bank Research Paper Series Pub Date : 2016-07-28 DOI: 10.2139/ssrn.2815490
Leo J. de Haan, Jan Willem van den End
{"title":"The Signalling Content of Asset Prices for Inflation: Implications for Quantitative Easing","authors":"Leo J. de Haan, Jan Willem van den End","doi":"10.2139/ssrn.2815490","DOIUrl":"https://doi.org/10.2139/ssrn.2815490","url":null,"abstract":"We investigate the information content of financial variables as signalling devices of two abnormal inflationary regimes: (1) very low inflation or deflation, and (2) high inflation. Specifically, we determine the information content of equity and house prices, private credit volumes, and sovereign and corporate bond yields, for 11 advanced economies over the past three decades, using both the receiver operating characteristic (ROC) curve and a logit model. The outcomes show that high asset prices more often signal high inflation than low inflation/deflation. However, in some countries, high asset prices and low bond yields are a significant indicator of low inflation or deflation as well. The transmission time of financial developments to inflation can be quite long (up to 8 quarters). For monetary policy, these findings imply that stimulating asset prices through Quantitative Easing (QE) can effectively influence inflation, but that the effects are quite uncertain, both in timing and direction.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131276454","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}
引用次数: 9
How to Monitor the Exit from the Eurosystem's Unconventional Monetary Policy: Is EONIA Dead and Gone? 如何监控欧元体系非常规货币政策的退出:EONIA已经消亡了吗?
De Nederlandsche Bank Research Paper Series Pub Date : 2016-03-07 DOI: 10.2139/ssrn.2745760
Ronald Heijmans, Richard Heuver, Zion Gorgi
{"title":"How to Monitor the Exit from the Eurosystem's Unconventional Monetary Policy: Is EONIA Dead and Gone?","authors":"Ronald Heijmans, Richard Heuver, Zion Gorgi","doi":"10.2139/ssrn.2745760","DOIUrl":"https://doi.org/10.2139/ssrn.2745760","url":null,"abstract":"This paper investigates the impact of the \"unconventional\" monetary policy measures taken by the Eurosystem on both the unsecured and the secured money markets. Furthermore, we provide insight into the shifts between the unsecured and secured markets. We provide a euro area overview and a Core-versus-Periphery breakdown. Our results show that: 1) there is a clear segmentation between Core and Periphery; 2) the use of the unsecured money market has decreased substantially and is no longer representative as a reflection of the euro area as a whole; and 3) the use of the secured money markets has increased substantially in value terms since the start of the crisis. Both the secured and the unsecured money markets reacted strongly to the first 3-year long term refinancing operations and quantitative easing. It is not to be expected that turnover in the money markets will revert to pre-crisis levels, in part because new regulation, such as the Basel III requirements, dissuades banks from engaging in short-term lending. Therefore, monetary policy experts should also devote their attention to steering the rates in the secured money market.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116938858","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}
引用次数: 5
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