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De Nederlandsche Bank Research Paper Series最新文献

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Follow the Money: What Does the Literature on Banking Tell Prudential Supervisors on Bank Business Models? 追踪资金:银行业文献对审慎监管机构关于银行业务模式的启示?
De Nederlandsche Bank Research Paper Series Pub Date : 2012-02-01 DOI: 10.2139/ssrn.2002652
P. Cavelaars, J. Passenier
{"title":"Follow the Money: What Does the Literature on Banking Tell Prudential Supervisors on Bank Business Models?","authors":"P. Cavelaars, J. Passenier","doi":"10.2139/ssrn.2002652","DOIUrl":"https://doi.org/10.2139/ssrn.2002652","url":null,"abstract":"This paper gives an overview of the recent literature on bank business models, structured along what we deem to be the three central questions when analysing business models. By doing so, we endeavour to provide the recent shift in prudential supervision towards the analysis of bank business models with a sound economic basis. The bottom-line for supervisors - in our view - is that it is essential to understand where the profit comes from and what risks the bank or the banking sector is exposed to in generating those profits.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133487088","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
Consumer Credit and Payment Cards 消费信贷和支付卡
De Nederlandsche Bank Research Paper Series Pub Date : 2011-09-23 DOI: 10.2139/ssrn.1978788
W. Bolt, Elizabeth Foote, H. Schmiedel
{"title":"Consumer Credit and Payment Cards","authors":"W. Bolt, Elizabeth Foote, H. Schmiedel","doi":"10.2139/ssrn.1978788","DOIUrl":"https://doi.org/10.2139/ssrn.1978788","url":null,"abstract":"We consider debit and credit card networks. Our contribution is to introduce the role of consumer credit into these payment networks, and to assess the way this affects competition and equilibrium fees. We analyze a situation in which overdrafts are associated with current accounts and debit cards, and larger credit lines with 'grace' periods are associated with credit cards. If we just introduce credit cards, we find their merchant fees depend not only on the networks' cost of funds and the probability of default, but also on the interest rates of overdrafts. Whilst debit card merchant fees do not depend on funding costs or default risk in a debit-card only world, this changes when they start to compete with credit cards. First, debit merchant acceptance increases with the default probability, even though merchant fees increase. Second, an increase in funding costs causes a surprising increase in debit merchant fees. Effectively, the bank offering the debit card benefits from consumers maintaining a positive current account balance, when they use their credit instead of their debit card. As a result, this complementarity may lead to relatively high debit card merchant fees as the bank discourages debit card acceptance at the margin.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122366366","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
Exchange Rate Pass-Through and Monetary Integration in the Euro Area 汇率传递与欧元区货币一体化
De Nederlandsche Bank Research Paper Series Pub Date : 2011-08-01 DOI: 10.2139/ssrn.1951878
Ayako Saiki
{"title":"Exchange Rate Pass-Through and Monetary Integration in the Euro Area","authors":"Ayako Saiki","doi":"10.2139/ssrn.1951878","DOIUrl":"https://doi.org/10.2139/ssrn.1951878","url":null,"abstract":"The purpose of this study is to examine how monetary integration affects the exchange rate pass-through, by testing whether monetary policy convergence in the euro area led to a convergence in terms of exchange rate pass-through. We conduct a comparative study between the \"experiment group\" (the euro area) and the \"control group\" (non-euro industrial countries). We find evidence for stronger convergence of exchange rate pass-through for the euro area economies as a group, especially around the 1980s. The group of non-euro industrial countries also had conditional convergence (convergence with permanent cross-sectional heterogeneity) in exchange rate pass-through, but its cross-sectional dispersion remains substantially larger compared to the euro area. This indicates that monetary integration affects the exchange rate pass-through. This has an important policy implication for the euro area, especially for the new member countries, as their exchange rate pass-through would not remain constant or purely exogenous; it should also converge to the euro area average as they work to achieve the Maastricht Criteria.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"182 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115220842","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
Macroprudential Policy: The Need for a Coherent Policy Framework 宏观审慎政策:需要一个连贯的政策框架
De Nederlandsche Bank Research Paper Series Pub Date : 2011-07-01 DOI: 10.2139/ssrn.1876595
D. Schoenmaker, Peter Wierts
{"title":"Macroprudential Policy: The Need for a Coherent Policy Framework","authors":"D. Schoenmaker, Peter Wierts","doi":"10.2139/ssrn.1876595","DOIUrl":"https://doi.org/10.2139/ssrn.1876595","url":null,"abstract":"The recent literature on macroprudential policy contains several suggestions for possible instruments. This paper puts forward and implements a method for arriving at a coherent policy framework. It starts by defining the role of macroprudential policy in the overall policy framework for the monetary and financial system. It then specifies the objective, intermediate targets (pillars), instruments, decision-making, accountability, and the legal base. We introduce a two pillar strategy. The basic presumption is that each instrument should be related to its intermediate target (pillar). This allows us to select a limited set of core instruments aimed at stabilising financial imbalances (pillar 1) and addressing externalities that arise from interconnections in the financial system (pillar 2).","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116688785","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: 54
The Simple Econometrics of Tail Dependence 尾部相关性的简单计量经济学
De Nederlandsche Bank Research Paper Series Pub Date : 2011-05-01 DOI: 10.2139/ssrn.1951840
Maarten R.C. van Oordt, Chen Zhou
{"title":"The Simple Econometrics of Tail Dependence","authors":"Maarten R.C. van Oordt, Chen Zhou","doi":"10.2139/ssrn.1951840","DOIUrl":"https://doi.org/10.2139/ssrn.1951840","url":null,"abstract":"This paper provides a regression approach to estimate tail dependence measures. The estimates coincide with the non-parametric estimates following Extreme Value Theory. The approach can easily be extended to higher dimensional analysis. We provide an example on international stock markets.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129829676","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: 19
Price Dispersion in Europe: Does the Business Cycle Matter? 欧洲的价格差异:经济周期有影响吗?
De Nederlandsche Bank Research Paper Series Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1950597
M. Hoeberichts, A. Stokman
{"title":"Price Dispersion in Europe: Does the Business Cycle Matter?","authors":"M. Hoeberichts, A. Stokman","doi":"10.2139/ssrn.1950597","DOIUrl":"https://doi.org/10.2139/ssrn.1950597","url":null,"abstract":"We analyze the effect of the business cycle on price dispersion in Europe . Five decades of price level dispersion data for Europe enable us to distinguish short-term influences from long-term influences like market integration. We find that at the business cycle frequency, price dispersion across EMU member countries over the 1960 - 2009 period is significantly lower during economic downturns. This confirms on a macroeconomic level the evidence from micro and survey studies that markets become more competitive with falling demand, reducing deviations from the Law of One Price. Our model replicates most of the major drops in price level dispersion during severe economic recessions of the early 1970s, 1980s and 1990s, as well as the small change during the recent financial crisis.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127924531","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
Macro and Micro Drivers of House Price Dynamics: An Application to Dutch Data 房价动态的宏观和微观驱动:对荷兰数据的应用
De Nederlandsche Bank Research Paper Series Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1803087
G. Galati, Federica Teppa, R. Alessie
{"title":"Macro and Micro Drivers of House Price Dynamics: An Application to Dutch Data","authors":"G. Galati, Federica Teppa, R. Alessie","doi":"10.2139/ssrn.1803087","DOIUrl":"https://doi.org/10.2139/ssrn.1803087","url":null,"abstract":"What is the role of micro and macro factors in determining house prices? We address this question empirically by analysing survey data on housing and mortgages from the DNB Household Survey for the period 1993-2009. We focus on the determinants of house owners' subjective assessment of the value of their house. We highlight three main findings. First, subjective house prices are strongly related to household-specific and house-specific factors, including year of construction, cohort, education level, income and wealth. Financing conditions - in particular the presence of a mortgage as well as the mortgage type, and the mortgage rate - play an important role. Second, we find that macro variables such as the long-term interest rate also influence to an important extent how households value their home. Third, there is evidence of \"well behaved\" dynamics of subjective house prices, both in terms of persistence and in terms of mean reversion, indicating that house prices tend to converge to their long run equilibrium value. Finally, our findings support a certain degree of heterogeneity and segmentation in subjective house prices, especially along the dimensions of geographical region and degree of urbanization, funding conditions, and income expectations.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132013184","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: 25
Systematic Risk Under Extremely Adverse Market Conditions 极端不利市场条件下的系统性风险
De Nederlandsche Bank Research Paper Series Pub Date : 2011-02-07 DOI: 10.2139/ssrn.1780307
Maarten R.C. van Oordt, Chen Zhou
{"title":"Systematic Risk Under Extremely Adverse Market Conditions","authors":"Maarten R.C. van Oordt, Chen Zhou","doi":"10.2139/ssrn.1780307","DOIUrl":"https://doi.org/10.2139/ssrn.1780307","url":null,"abstract":"Extreme losses are the major concern in risk management. The dependence between financial assets and the market portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression beta , defined by an asset's sensitivity to large negative market shocks, and establish the estimation methodology. We compare it to regular systematic risk measures: the market beta and the downside beta. Furthermore, the tail regression beta is a useful instrument in both portfolio risk management and systemic risk management. We demonstrate its applications in analyzing Value-at-Risk (VaR) and Conditional Value-at-Risk (CoVaR).","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114958397","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
Bank Size, Market Concentration, and Bank Earnings Volatility in the US 美国银行规模、市场集中度和银行收益波动
De Nederlandsche Bank Research Paper Series Pub Date : 2011-01-16 DOI: 10.2139/ssrn.1950576
J. de Haan, T. Poghosyan
{"title":"Bank Size, Market Concentration, and Bank Earnings Volatility in the US","authors":"J. de Haan, T. Poghosyan","doi":"10.2139/ssrn.1950576","DOIUrl":"https://doi.org/10.2139/ssrn.1950576","url":null,"abstract":"We examine whether bank earnings volatility depends on bank size and the degree of concentration in the banking sector. Using quarterly data for non-investment banks in the United States for the period 2004Q1-2009Q4 and controlling for the quality of management, leverage, and diversification , we find that bank size reduces return volatility. The negative impact of bank size on bank earnings volatility decreases (in absolute terms) with market concentration. We also find that larger banks located in concentrated markets have experienced higher volatility during the recent financial crisis.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124259638","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: 167
Disruptions in Large Value Payment Systems: An Experimental Approach 大额支付系统的中断:一种实验性方法
De Nederlandsche Bank Research Paper Series Pub Date : 2010-09-01 DOI: 10.2139/ssrn.1950089
K. Abbink, Ronald Bosman, Ronald Heijmans, F. van Winden
{"title":"Disruptions in Large Value Payment Systems: An Experimental Approach","authors":"K. Abbink, Ronald Bosman, Ronald Heijmans, F. van Winden","doi":"10.2139/ssrn.1950089","DOIUrl":"https://doi.org/10.2139/ssrn.1950089","url":null,"abstract":"This experimental study investigates the behaviour of banks in a large value payment system. More specifically, we look at 1) the reactions of banks to disruptions in the payment system, 2) the way in which the history of disruptions affects the behaviour of banks (path dependency) and 3) the effect of more concentration in the payment system (heterogeneous market versus a homogeneous market). The game used in this experiment is a stylized version of a model of Bech and Garrett (2006) in which each bank can choose between paying in the morning (efficient) or in the afternoon (inefficient). The results show that there is significant path dependency in terms of disruption history. Also the level of disruption influences the behaviour of the participants. Once the system has moved to the inefficient equilibrium, it does not easily move back to the efficient equilibrium. Furthermore, there is a clear leadership effect in the heterogeneous market.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115725614","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
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