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Assessing Bank Competition for Consumer Loans 评估银行对消费贷款的竞争
De Nederlandsche Bank Research Paper Series Pub Date : 2014-04-04 DOI: 10.2139/ssrn.2553802
W. Bolt, D. Humphrey
{"title":"Assessing Bank Competition for Consumer Loans","authors":"W. Bolt, D. Humphrey","doi":"10.2139/ssrn.2553802","DOIUrl":"https://doi.org/10.2139/ssrn.2553802","url":null,"abstract":"We assess the competitiveness of the $400 billion dollar U.S. bank consumer loan market by comparing results from different competition measures-HHI, Lerner Index, H-Statistic along with three others, two of which are related to frontier analysis. These measures are typically weakly related to one another and only half of them identify banks with the highest loan price and spread as also being the least competitive. This is the opposite of what would be expected. The states where the most and least competitive banks are located are noted. The most populous states with the largest banks are underrepresented.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"166 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128111055","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: 30
Dynamic Visualization of Large Transaction Networks: The Daily Dutch Overnight Money Market 大型交易网络的动态可视化:每日荷兰隔夜货币市场
De Nederlandsche Bank Research Paper Series Pub Date : 2014-03-27 DOI: 10.2139/ssrn.2416821
Ronald Heijmans, Richard Heuver, Clement Levallois, I. van Lelyveld
{"title":"Dynamic Visualization of Large Transaction Networks: The Daily Dutch Overnight Money Market","authors":"Ronald Heijmans, Richard Heuver, Clement Levallois, I. van Lelyveld","doi":"10.2139/ssrn.2416821","DOIUrl":"https://doi.org/10.2139/ssrn.2416821","url":null,"abstract":"This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and unsecured money market transaction data of the Dutch part of the Eurosystem's large value payment system, TARGET2. We show how animation facilitates analysis at three different levels. First, animation shows how the market macrostructure develops. Second, it enables individual banks that are of interest to be followed. Finally, it facilitates a comparison of the same market at different moments in time and of different markets (such as countries) at the same moment in time.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115947535","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
On Trend-Cycle-Seasonal Interactions 关于趋势-周期-季节相互作用
De Nederlandsche Bank Research Paper Series Pub Date : 2014-03-12 DOI: 10.2139/ssrn.2407920
Irma Hindrayanto, J. Jacobs, D. Osborn
{"title":"On Trend-Cycle-Seasonal Interactions","authors":"Irma Hindrayanto, J. Jacobs, D. Osborn","doi":"10.2139/ssrn.2407920","DOIUrl":"https://doi.org/10.2139/ssrn.2407920","url":null,"abstract":"Traditional unobserved component models assume that the trend, cycle and seasonal components of an individual time series evolve separately over time. Although this assumption has been relaxed in recent papers that focus on trend-cycle interactions, it remains at the core of all seasonal adjustment methods applied by official statistical agencies around the world. The present paper develops an unobserved components model that permits non-zero correlations between seasonal and non-seasonal shocks, hence allowing testing of the uncorrelated assumption that is traditionally imposed. Identification conditions for estimation of the parameters are discussed, while applications to observed time series illustrate the model and its implications for seasonal adjustment.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129034624","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
Tourist Test or Tourist Trap? Unintended Consequences of Debit Card Interchange Fee Regulation 旅游测试还是旅游陷阱?借记卡交换费规定的意外后果
De Nederlandsche Bank Research Paper Series Pub Date : 2013-12-19 DOI: 10.2139/ssrn.2369799
W. Bolt, N. Jonker, M. Plooij
{"title":"Tourist Test or Tourist Trap? Unintended Consequences of Debit Card Interchange Fee Regulation","authors":"W. Bolt, N. Jonker, M. Plooij","doi":"10.2139/ssrn.2369799","DOIUrl":"https://doi.org/10.2139/ssrn.2369799","url":null,"abstract":"In this article we empirically analyze how the Tourist Test methodology affects the level of multilateral interchange fees (MIFs) for debit card payments over time. Using Dutch cost data for 2002 and 2009 we argue that this method leads to rising cost for merchants in the long run. The outcomes show that MIFs may increase from 0.2% to 0.5% of the transaction amount of an average debit card payment. If card acquirers would pass such an increase on to merchants by raising acquiring fees, merchants will face a considerable rise in operating costs. Our results indicate that an straightforward application of the Tourist Test methodology may not yield a suitable benchmark tool for interchange fee regulation, at least for countries such as the Netherlands with rising costs for cash and declining costs for debit card payments.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114887810","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
Measuring the Effects of Financial Sector Supervision 衡量金融部门监管的效果
De Nederlandsche Bank Research Paper Series Pub Date : 2013-08-27 DOI: 10.2139/ssrn.2321591
Paul Hilbers, Karina Raaijmakers, David R. Rijsbergen, Femke de Vries
{"title":"Measuring the Effects of Financial Sector Supervision","authors":"Paul Hilbers, Karina Raaijmakers, David R. Rijsbergen, Femke de Vries","doi":"10.2139/ssrn.2321591","DOIUrl":"https://doi.org/10.2139/ssrn.2321591","url":null,"abstract":"Financial supervisors are increasingly expected to be able to demonstrate the effectiveness of their actions. In practice, however, this proves challenging as it is difficult to prove the causality between supervisory actions and observed effects. In this paper we describe four lessons that help financial supervisors measure the effects of their actions. We also provide suggestions for the development of specific performance indicators to measure the effectiveness of financial supervision.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131869118","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
Effects of Explicit FOMC Policy Rate Guidance on Market Interest Rates 明确的联邦公开市场委员会政策利率指导对市场利率的影响
De Nederlandsche Bank Research Paper Series Pub Date : 2013-07-23 DOI: 10.2139/ssrn.2297389
R. Moessner
{"title":"Effects of Explicit FOMC Policy Rate Guidance on Market Interest Rates","authors":"R. Moessner","doi":"10.2139/ssrn.2297389","DOIUrl":"https://doi.org/10.2139/ssrn.2297389","url":null,"abstract":"We quantify the impact of explicit FOMC policy rate guidance used as an unconventional monetary policy tool at the zero lower bound of the policy rate on market interest rates. We study the impact on short- to medium-term interest rates implied by Eurodollar interest rate futures contracts, and on near- to long-term interest rates implied by US Treasury securities. We find that explicit policy rate guidance announcements significantly reduced interest rates implied by Eurodollar futures at horizons of 1 to 5 years ahead, with the largest effect at the intermediate horizon of 3 years. We also find that they significantly reduced forward interest rates implied by US Treasuries at horizons of 1 to 7 years ahead, with the largest effect at the intermediate horizons of 4 and 5 years. Moreover, we find that explicit FOMC policy rate guidance led to a significant reduction in the term spread, ie to a fiattening of the yield curve, both for the Eurodollar futures curve and the US Treasury yield curve.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132760511","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: 13
Migrants' Choice of Remittance Channel: Do General Payment Habits Play a Role? 移民汇款渠道的选择:一般支付习惯是否起作用?
De Nederlandsche Bank Research Paper Series Pub Date : 2013-04-04 DOI: 10.2139/ssrn.2244970
A. Kosse, R. Vermeulen
{"title":"Migrants' Choice of Remittance Channel: Do General Payment Habits Play a Role?","authors":"A. Kosse, R. Vermeulen","doi":"10.2139/ssrn.2244970","DOIUrl":"https://doi.org/10.2139/ssrn.2244970","url":null,"abstract":"This paper investigates the determinants in migrants’ choice of payment channel when transferring money to relatives abroad. We analyze survey results on 501 migrants in the Netherlands, identifying five remittance channels: bank, money transfer operator, in-cash transfers via informal intermediaries, ATM withdrawals abroad, and carrying cash abroad. The results show that education, costs, access, and financial development in the recipient country are important determinants, while general cash preferences and internet banking usage play a limited role. Based on our findings, financial education, cost reduction, and increasing financial inclusion may serve a valuable role to increase the use of formal channels.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128249720","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: 61
The Interaction between the Central Bank and Government in Tail Risk Scenarios 尾部风险情景下中央银行与政府的互动
De Nederlandsche Bank Research Paper Series Pub Date : 2013-03-25 DOI: 10.2139/ssrn.2163503
Jan Willem van den End, M. Hoeberichts
{"title":"The Interaction between the Central Bank and Government in Tail Risk Scenarios","authors":"Jan Willem van den End, M. Hoeberichts","doi":"10.2139/ssrn.2163503","DOIUrl":"https://doi.org/10.2139/ssrn.2163503","url":null,"abstract":"We analyse the relationship between tail risk and crisis measures by governments and the central bank. Using an adjusted Merton model in a game theoretical set-up, the analysis shows that the participation constraint for interventions by the central bank and the governments is less binding if the risk of contagion is high. The strategic interaction between governments and the central bank also influences the effectiveness of the interventions. A joint effort of both the governments and central bank leads to a better outcome. To prevent a bad equilibrium a sizable commitment by both players is required. Our stylized model sheds light on the strategic interaction between EMU governments and the Eurosystem in the context of the Outright Monetary Transactions program (OMT).","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131648430","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
A Frontier Measure of U.S. Banking Competition 美国银行业竞争的前沿指标
De Nederlandsche Bank Research Paper Series Pub Date : 2012-12-10 DOI: 10.2139/ssrn.2187300
W. Bolt, D. Humphrey
{"title":"A Frontier Measure of U.S. Banking Competition","authors":"W. Bolt, D. Humphrey","doi":"10.2139/ssrn.2187300","DOIUrl":"https://doi.org/10.2139/ssrn.2187300","url":null,"abstract":"The three main measures of competition (HHI, Lerner index, and H-statistic) are uncorrelated for U.S. banks. We investigate why this occurs, propose a frontier measure of competition, and apply it to five major bank service lines. Fee-based banking services comprise 35 percent of bank revenues so assessing competition by service line is preferred to using a single measure for traditional activities extended to the entire bank. As the Lerner index and the H-statistic together explain only 1 percent of HHI variation and the HHI is similarly unrelated to the frontier method developed here, current merger/acquisition guidelines should be adjusted as banking concentration seems unrelated to likely more accurate competition measures.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"198 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126692201","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: 31
Mean Reversion in Stock Prices: Implications for Long-Term Investors 股票价格的均值回归:对长期投资者的影响
De Nederlandsche Bank Research Paper Series Pub Date : 2012-04-25 DOI: 10.2139/ssrn.2046093
L. Spierdijk, J. Bikker
{"title":"Mean Reversion in Stock Prices: Implications for Long-Term Investors","authors":"L. Spierdijk, J. Bikker","doi":"10.2139/ssrn.2046093","DOIUrl":"https://doi.org/10.2139/ssrn.2046093","url":null,"abstract":"This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we show that mean reversion makes stocks less risky for investors with long investment horizons. Next, we consider a mean-variance efficient investor and show how mean reversion in stock prices affects such an investor’s optimal portfolio weights. Finally, we discuss the implications of our findings for the investment decisions of long-term investors.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130007675","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: 20
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