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De Nederlandsche Bank Research Paper Series最新文献

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Macroeconomic Effects of Mortgage Interest Deduction 抵押贷款利息扣除的宏观经济效应
De Nederlandsche Bank Research Paper Series Pub Date : 2016-02-01 DOI: 10.2139/ssrn.2805942
Cenkhan Sahin
{"title":"Macroeconomic Effects of Mortgage Interest Deduction","authors":"Cenkhan Sahin","doi":"10.2139/ssrn.2805942","DOIUrl":"https://doi.org/10.2139/ssrn.2805942","url":null,"abstract":"This paper develops a general equilibrium model featuring tax deductible mortgage interest. There are two main results: (i) a higher mortgage interest deduction leads to higher house prices, more levered households, and a higher rate of mortgage default; (ii) when mortgage risk is high the presence of mortgage interest deduction leads to more volatile responses of the main macro-variables to exogenous shocks (i.e. preference, productivity, and mortgage riskiness shocks). The empirical and theoretical evidence presented support the idea that mortgage interest deductibility may be a relevant factor in the occurrence of homeowner foreclosures.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130664437","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: 0
Price Level Convergence within the Euro Area: How Europe Caught Up with the US and Lost Terrain Again 欧元区内部价格水平趋同:欧洲如何赶上美国并再次失地
De Nederlandsche Bank Research Paper Series Pub Date : 2016-01-18 DOI: 10.2139/ssrn.2723363
M. Hoeberichts, A. Stokman
{"title":"Price Level Convergence within the Euro Area: How Europe Caught Up with the US and Lost Terrain Again","authors":"M. Hoeberichts, A. Stokman","doi":"10.2139/ssrn.2723363","DOIUrl":"https://doi.org/10.2139/ssrn.2723363","url":null,"abstract":"Persistent price differences across euro area countries are an indication of incomplete economic integration. We analyze long and short run developments of price level dispersion in the euro area and compare the results with the situation in the US. We find that monetary and economic integration in Europe has been successful in establishing a major downward trend in price level differences across countries since 1960. In 2007, price level dispersion in the euro area was at the same level as in the US. After the financial crisis, dispersion first continued its downward trend before diverging economic conditions across euro area countries contributed to a widening of price level differences again. Short-run dynamics show that price dispersion in Europe deviates more from the long-term equilibrium than in the US, although deviations have become smaller since EMU.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134570130","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
The Impact of the ECB's Conventional and Unconventional Monetary Policies on Stock Markets 欧洲央行常规和非常规货币政策对股市的影响
De Nederlandsche Bank Research Paper Series Pub Date : 2015-10-07 DOI: 10.2139/ssrn.2670592
R. Haitsma, Deren Unalmis, J. de Haan
{"title":"The Impact of the ECB's Conventional and Unconventional Monetary Policies on Stock Markets","authors":"R. Haitsma, Deren Unalmis, J. de Haan","doi":"10.2139/ssrn.2670592","DOIUrl":"https://doi.org/10.2139/ssrn.2670592","url":null,"abstract":"Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999–2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional monetary policy surprises affect the EURO STOXX 50 index. We also find evidence for the credit channel, notably for unconventional monetary policy surprises. Our results also suggest that value and past loser stocks show a larger reaction to monetary policy surprises. These results are confirmed if identification of monetary policy surprises is based on the Rigobon–Sack heteroscedasticity approach.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131230030","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: 103
The Formation of European Inflation Expectations: One Learning Rule Does Not Fit All 欧洲通胀预期的形成:一条学习规则并不适用于所有
De Nederlandsche Bank Research Paper Series Pub Date : 2015-04-30 DOI: 10.2139/ssrn.2602259
Christina Strobach, Carin van der Cruijsen
{"title":"The Formation of European Inflation Expectations: One Learning Rule Does Not Fit All","authors":"Christina Strobach, Carin van der Cruijsen","doi":"10.2139/ssrn.2602259","DOIUrl":"https://doi.org/10.2139/ssrn.2602259","url":null,"abstract":"We empirically investigate how well different learning rules manage to explain the formation of household inflation expectations in six key member countries of the euro area. Our findings reveal a pronounced heterogeneity in the learning rules employed on the country level. While the expectation formation process in some countries can be best explained by rules that incorporate forward-looking elements (Germany, Italy, the Netherlands), households in other countries employ information on energy prices (France) or form their expectations by means of more traditional learning rules (Belgium, Spain). Moreover, our findings suggest that least squares based algorithms significantly outperform their stochastic gradient counterparts, not only in replicating inflation expectation data but also in forecasting actual inflation rates.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132014429","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: 7
Insurance Companies' Trading Behaviour During the European Sovereign Debt Crisis: Flight Home or Flight to Quality? 欧洲主权债务危机期间保险公司的交易行为:归国还是追求质量?
De Nederlandsche Bank Research Paper Series Pub Date : 2015-03-17 DOI: 10.2139/ssrn.2587052
Melle Bijlsma, R. Vermeulen
{"title":"Insurance Companies' Trading Behaviour During the European Sovereign Debt Crisis: Flight Home or Flight to Quality?","authors":"Melle Bijlsma, R. Vermeulen","doi":"10.2139/ssrn.2587052","DOIUrl":"https://doi.org/10.2139/ssrn.2587052","url":null,"abstract":"This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio revaluations at a quarterly frequency during 2006-2013. When explaining insurers' trading behaviour we explicitly control for country risk and momentum strategies. The results show that insurers exhibited a flight to quality during the European sovereign debt crisis, while we find no evidence of a flight home. The observed flight to quality was not present before the European sovereign debt crisis and disappeared after ECB chairman Draghi's speech mid-2012.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133512947","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: 36
Current Account Imbalances in the Euro Area: Competitiveness or Financial Cycle? 欧元区经常账户失衡:竞争力还是金融周期?
De Nederlandsche Bank Research Paper Series Pub Date : 2014-10-13 DOI: 10.2139/ssrn.2509303
Mariarosaria Comunale, J. Hessel
{"title":"Current Account Imbalances in the Euro Area: Competitiveness or Financial Cycle?","authors":"Mariarosaria Comunale, J. Hessel","doi":"10.2139/ssrn.2509303","DOIUrl":"https://doi.org/10.2139/ssrn.2509303","url":null,"abstract":"The current account imbalances that are at the heart of the European sovereign debt crisis are often attributed to differences in price competitiveness. However, recent research suggests that domestic demand booms related to the financial cycle may have been more important. As this would have very different policy implications, this paper aims to investigate the relative role of price competitiveness and domestic demand as drivers of the current account imbalances in the euro area. We estimate panel error-correction models for exports, imports and the trade balance. We specifically look at fluctuations in domestic demand at the frequency of the financial cycle. We conclude that although differences in price competitiveness have an influence, differences in domestic demand are more important than is often realized. Fluctuations at the frequency of the financial cycle are more suitable to explain the trade balance than fluctuations at the frequency of the normal business cycle. Our results call for more emphasis on credit growth and macro prudential policy, in addition to the current attention for competitiveness and structural reforms.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116763217","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: 59
Financial Globalization or Great Financial Expansion? The Impact of Capital Flows on Credit and Banking Crises 金融全球化还是金融大扩张?资本流动对信贷和银行危机的影响
De Nederlandsche Bank Research Paper Series Pub Date : 2014-10-01 DOI: 10.2139/ssrn.2504927
Jon Frost, Ruben van Tilburg
{"title":"Financial Globalization or Great Financial Expansion? The Impact of Capital Flows on Credit and Banking Crises","authors":"Jon Frost, Ruben van Tilburg","doi":"10.2139/ssrn.2504927","DOIUrl":"https://doi.org/10.2139/ssrn.2504927","url":null,"abstract":"This paper empirically examines the impact of capital flows on credit growth, credit excesses and banking crises using quarterly panel data from 43 advanced (AEs) and emerging market economies (EMEs). Regressions show that gross capital inflows precede credit growth and credit excesses. Both gross inflows and high private domestic credit precede banking crises. Formalized hypotheses allow us to study whether domestic or international drivers more frequently precede banking crises, and thus to evaluate \"financial globalization\" and the \"great financial expansion\" as explanations for country vulnerability to banking crises. Our evidence provides support for both narratives as drivers of country vulnerability; financial globalization seems to matter particularly for EMEs. We also provide some ground for caution on the effectiveness of capital controls and the desirability of very high levels of private credit to GDP.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"132 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128752496","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
Efficiency and Competition in the Dutch Non-Life Insurance Industry: Effects of the 2006 Health Care Reform 荷兰非寿险行业的效率和竞争:2006年医疗改革的影响
De Nederlandsche Bank Research Paper Series Pub Date : 2014-09-25 DOI: 10.2139/ssrn.2501932
J. Bikker, Adelina Popescu
{"title":"Efficiency and Competition in the Dutch Non-Life Insurance Industry: Effects of the 2006 Health Care Reform","authors":"J. Bikker, Adelina Popescu","doi":"10.2139/ssrn.2501932","DOIUrl":"https://doi.org/10.2139/ssrn.2501932","url":null,"abstract":"This paper investigates the cost efficiency and competitive behaviour of the non-life – or property and casualty – insurance market in the Netherlands over the period 1995-2012. We focus on the 2006 health care reform, where public health care insurance has been included in the non-life insurance sector. We start with estimating unused scale economies and find that after the health care reform in 2006, unused scale economies are, at 21%, much higher than before the reform (4%), pointing to a relative increase of fixed costs. Scale inefficiencies are generally higher for smaller insurance and lower for large insurance companies. As a benchmark, we also estimate scale economies for non-health lines of business (LOB), which range from 5% to 10%. To measure competition directly, we apply a novel approach that estimates the impact of marginal costs as indicator of inefficiency on either market shares or profits. Over time, competition in health insurance has increased significantly, but the inclusion of the (non-competitive) public health care funds in the health insurance sector in 2006 caused a fall in the average level of competitive pressure. After the reform, competition continued to improve. In the non-health LOB non-life insurance, we find similar significant effects of efficiency on both market shares. The non-life effects are weaker than in life insurance, banking and non-financial sectors, suggesting less heavy competition.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128664369","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: 6
Determinants of the Real Impact of Banking Crises: A Review and New Evidence 银行业危机真正影响的决定因素:综述和新证据
De Nederlandsche Bank Research Paper Series Pub Date : 2014-08-11 DOI: 10.2139/ssrn.2479213
P. Wilms, J. Swank, J. de Haan
{"title":"Determinants of the Real Impact of Banking Crises: A Review and New Evidence","authors":"P. Wilms, J. Swank, J. de Haan","doi":"10.2139/ssrn.2479213","DOIUrl":"https://doi.org/10.2139/ssrn.2479213","url":null,"abstract":"We examine which variables are robust in explaining cross-country differences in the real impact of systemic banking crises. Based on a meta-analysis, we identify 21 variables frequently used as determinants of the severity of crises. Employing nine proxies for crisis severity, we find that large current account imbalances are the most robust determinant of the real impact of banking crises. Countries with a high GDP per capita have more prolonged downfalls after the occurrence of a banking crisis. Exchange rate developments and pre-crisis GDP growth are related to the peak-to-trough impact of a banking crisis.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117217892","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
The Role of Financial Intermediaries in Monetary Policy Transmission 金融中介机构在货币政策传导中的作用
De Nederlandsche Bank Research Paper Series Pub Date : 2014-04-23 DOI: 10.2139/ssrn.2428147
T. Beck, A. Colciago, D. Pfajfar
{"title":"The Role of Financial Intermediaries in Monetary Policy Transmission","authors":"T. Beck, A. Colciago, D. Pfajfar","doi":"10.2139/ssrn.2428147","DOIUrl":"https://doi.org/10.2139/ssrn.2428147","url":null,"abstract":"The recent financial crisis has stimulated theoretical and empirical research on the propagation mechanisms underlying business cycles, in particular on the role of financial frictions. Many issues concerning the interactions between banking and monetary policy forced policy makers to redefine economic policies, and motivated macroeconomists to focus on the implications of financial intermediation constraints for asset price fluctuations, the behavior of non-financial firms, households, governments and in turn for real macroeconomic performance. This paper surveys research on the role of financial intermediaries and financial frictions in the transmission of monetary policy and discusses how to design both the new banking regulatory and supervisory structures and monetary policy in order to stabilize the economy. It also serves as an introduction to this special issue.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132009205","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: 53
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