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De Nederlandsche Bank Research Paper Series最新文献

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The Impact of Scale, Complexity, and Service Quality on the Administrative Costs of Pension Funds – A Cross-Country Comparison 规模、复杂性和服务质量对养老基金管理成本的影响——一个跨国比较
De Nederlandsche Bank Research Paper Series Pub Date : 2010-08-01 DOI: 10.2139/ssrn.1692711
J. Bikker, O. Steenbeek, Federico Torracchi
{"title":"The Impact of Scale, Complexity, and Service Quality on the Administrative Costs of Pension Funds – A Cross-Country Comparison","authors":"J. Bikker, O. Steenbeek, Federico Torracchi","doi":"10.2139/ssrn.1692711","DOIUrl":"https://doi.org/10.2139/ssrn.1692711","url":null,"abstract":"Administrative costs per participant appear to vary widely across pension funds in different countries. Using unique data on 90 pension funds over the period 2004–2008, this article examines the impact of scale, the complexity of pension plans, and service quality on the administrative costs of pension funds, and compares those costs across Australia, Canada, the Netherlands, and the United States. We find that, except for Canada, large unused economies of scale exist. Higher service quality and more complex pension plans significantly raise costs. Administrative costs vary significantly across pension fund types, with differences amounting to 100 percent.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121464497","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: 51
Growth and Earnings Persistence in Banking Firms: A Dynamic Panel Investigation 银行企业成长与盈余持续性:动态面板调查
De Nederlandsche Bank Research Paper Series Pub Date : 2009-09-08 DOI: 10.2139/ssrn.1354331
J. de Haan, Bert Scholtens, C. T. Shehzad
{"title":"Growth and Earnings Persistence in Banking Firms: A Dynamic Panel Investigation","authors":"J. de Haan, Bert Scholtens, C. T. Shehzad","doi":"10.2139/ssrn.1354331","DOIUrl":"https://doi.org/10.2139/ssrn.1354331","url":null,"abstract":"This paper investigates (i) whether growth and profitability persist in banking firms, (ii) whether the level and volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a bank. Using a dynamic panel model estimated by GMM for a mixed sample of more than 1500 banks from 65 countries, we find no evidence of persistence in bank growth. However, our findings suggest significant persistence in bank profitability. Moreover, our results show that the growth and profitability dynamics of banks based in OECD countries differ from those of banks in non-OECD countries.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114183480","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
The Dark Side of Global Integration: Increasing Tail Dependence 全球一体化的阴暗面:日益增长的尾部依赖
De Nederlandsche Bank Research Paper Series Pub Date : 2008-09-24 DOI: 10.2139/ssrn.1342486
M. Beine, Antonio Cosma, R. Vermeulen
{"title":"The Dark Side of Global Integration: Increasing Tail Dependence","authors":"M. Beine, Antonio Cosma, R. Vermeulen","doi":"10.2139/ssrn.1342486","DOIUrl":"https://doi.org/10.2139/ssrn.1342486","url":null,"abstract":"We measure stock market co-exeedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method is based on quantile regressions and enables us to measure comovement at each point of the return distribution. First, we construct an annual co-exeedance probability for the 5, 10, 25, 75, 90 and 95 percent return quantiles using daily data from 1974-2006. Next, we explain these probabilities in a panel gravity model framework. This analysis shows that macroeconomic events asymmetrically in uence comovement of upper and lower tail returns. Financial liberalization has a positive impact on comovement across the return distribution, but its e ect is strongest on the left tail quantiles. Trade competition weakly impact the 5%, 10% and 95% quantiles, but has a stronger in uence on the other quantiles. Industrial dissimilarity has a strong e ect on both tails, but not on the 25% and 75% quantiles. Exchange rate volatilities have a strong e ect only on the 5% and 10% quantiles. However, the introduction of the euro has its most pronounced e ect on upper quantile comovement.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122435601","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: 188
Stress Testing Linkages between Banks in the Netherlands 压力测试荷兰银行之间的联系
De Nederlandsche Bank Research Paper Series Pub Date : 2008-08-06 DOI: 10.1017/CBO9780511635618.013
I. van Lelyveld, F. Liedorp, M. Pröpper
{"title":"Stress Testing Linkages between Banks in the Netherlands","authors":"I. van Lelyveld, F. Liedorp, M. Pröpper","doi":"10.1017/CBO9780511635618.013","DOIUrl":"https://doi.org/10.1017/CBO9780511635618.013","url":null,"abstract":"Assessing the stability of the financial sector is becoming more common in many countries. This paper presents two useful approaches, applied to the Netherlands. First we discuss the results of a contagion analysis of the Dutch interbank market. We use various ways to measure linkages between banks and find that the interbank market is fairly robust. We then turn to a network analysis of payment flows between Dutch banks. This analysis provides us with a better understanding of the network structure in this type of market. We specifically look at the effect of the recent turmoil on the payment network and find no significant changes.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115034639","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
The Economic Impact of Central Bank Transparency: A Survey 中央银行透明度的经济影响:一项调查
De Nederlandsche Bank Research Paper Series Pub Date : 2007-01-01 DOI: 10.2139/ssrn.962355
S. Eijffinger, Carin van der Cruijsen
{"title":"The Economic Impact of Central Bank Transparency: A Survey","authors":"S. Eijffinger, Carin van der Cruijsen","doi":"10.2139/ssrn.962355","DOIUrl":"https://doi.org/10.2139/ssrn.962355","url":null,"abstract":"We provide an up-to-date overview of the literature on the desirability of central bank transparency from an economic viewpoint. Since the move towards more transparency, a lot of research on its effects has been carried out. First, we show how the theoretical literature has evolved, by looking into branches inspired by Cukierman and Meltzer (1986) and by investigating several, more recent, research strands (e.g. coordination and learning). Then, we summarize the empirical literature which has been growing more recently. Last, we discuss whether: i) the empirical research resolves all theoretical question marks, ii) how the findings of the literature match the actual practice of central banks, and iii) where there is scope for more research.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128574774","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: 87
International Financial Integration Through the Law of One Price 通过 "一价定律 "实现国际金融一体化
De Nederlandsche Bank Research Paper Series Pub Date : 2006-04-01 DOI: 10.1596/1813-9450-3897
Eduardo Levy-Yeyati, S. Schmukler, Neeltje van Horen
{"title":"International Financial Integration Through the Law of One Price","authors":"Eduardo Levy-Yeyati, S. Schmukler, Neeltje van Horen","doi":"10.1596/1813-9450-3897","DOIUrl":"https://doi.org/10.1596/1813-9450-3897","url":null,"abstract":"The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Crisis episodes are associated withhigher volatility, rather than by more persistent deviations from the law of one price.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125696122","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: 27
Is a Word to the Wise Indeed Enough? ECB Statements and the Predictability of Interest Rate Decisions 给智者一句话就够了吗?欧洲央行声明和利率决定的可预测性
De Nederlandsche Bank Research Paper Series Pub Date : 2005-12-01 DOI: 10.2139/ssrn.873449
D. Jansen, J. de Haan
{"title":"Is a Word to the Wise Indeed Enough? ECB Statements and the Predictability of Interest Rate Decisions","authors":"D. Jansen, J. de Haan","doi":"10.2139/ssrn.873449","DOIUrl":"https://doi.org/10.2139/ssrn.873449","url":null,"abstract":"We show that comments by euro area central bankers contain information on future ECB interest rate decisions, but that the comments mainly reflect recent developments in macroeconomic variables. Furthermore, models using only communication variables are outperformed by straightforward Taylor rule models. During the first years of the European Economic and Monetary Union, comments by ECB Executive Board members and high-level Bundesbank policy-makers were more informative than comments by national central bank presidents. We also find that differences of opinion were informative when they concerned the outlook for economic growth. Finally, our results suggest that the ECB used communication especially to signal interest rate increases.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"231 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116004419","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
Inflation Targets as Focal Points 通胀目标是焦点
De Nederlandsche Bank Research Paper Series Pub Date : 2005-09-30 DOI: 10.2139/ssrn.832405
M. Demertzis, N. Viegi
{"title":"Inflation Targets as Focal Points","authors":"M. Demertzis, N. Viegi","doi":"10.2139/ssrn.832405","DOIUrl":"https://doi.org/10.2139/ssrn.832405","url":null,"abstract":"In a world characterised by noisy information and conflicting signals, no Central Bank is always able to affect private sector expectations. Based on Morris and Shin's model, monetary policy then becomes an information game, in which individuals form their expectations based on all the information that is available to them (public and private). However individual agents also know that ultimately inflation is affected by both the objectives of the Central Bank (and hence the policies it pursues) as well as the average expectation formed by the all agents. They thus need to evaluate both actions. Central to our argument is the way that individuals interpret these actions to form their expectations. We apply Bacharach's methodology to provide a framework for assessing everyone's interpretations. Our contribution is to merge these two models to show that a monetary policy regime that has explicit quantitative objectives may provide individuals with better anchors for expectations to coordinate at. However, that is only true first, if no great shocks are anticipated to hit the economy and second, when all other public information is very unclear thus rendering the inflation target the only clear piece of information. We derive in detail the conditions under which this is true.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117266470","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: 71
Palmnet: A Pension Asset and Liability Model for the Netherlands Palmnet:荷兰养老金资产负债模型
De Nederlandsche Bank Research Paper Series Pub Date : 2004-04-01 DOI: 10.2139/ssrn.672402
M. van Rooij, Arjen Siegmann, Peter J. G. Vlaar
{"title":"Palmnet: A Pension Asset and Liability Model for the Netherlands","authors":"M. van Rooij, Arjen Siegmann, Peter J. G. Vlaar","doi":"10.2139/ssrn.672402","DOIUrl":"https://doi.org/10.2139/ssrn.672402","url":null,"abstract":"This study presents a pension model geared to the typical pension contract in the Netherlands. It is based on a defined benefit/average earnings pension system. Nominal benefits are guaranteed and indexation is intended. The model provides a framework for analysing adjustments to such factors as the asset mix, retirement age, returns and the method of discounting, premium setting and indexation. The importance of uncertainty over interest rate movements and returns on shares is made explicit by means of stochastic and historical simulations. In this, PALMNET differs from existing, often deterministic pension models. The main findings are, first, a wage -indexed defined benefit pension is still affordable despite the current shortfall of wealth of pension funds. Second, fair value accounting considerably increases the volatility of pension premiums. Third, reducing risks by adjusting the asset mix towards more bonds is costly in terms of average premiums, but reduces the volatility. These conclusions are based on realistic to conservative assumptions regarding returns and risks.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117047943","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: 17
The Political Economy of Entry: Lobbying and Financial Development 进入的政治经济学:游说与金融发展
De Nederlandsche Bank Research Paper Series Pub Date : 2004-02-01 DOI: 10.2139/ssrn.643997
E. Perotti, P. Volpin
{"title":"The Political Economy of Entry: Lobbying and Financial Development","authors":"E. Perotti, P. Volpin","doi":"10.2139/ssrn.643997","DOIUrl":"https://doi.org/10.2139/ssrn.643997","url":null,"abstract":"We present a model of endogenous lobby formation in which wealth inequality and political accountability undermine both entry and financial development. The elite will seek a lower level of effective minority protection than the middle class to prevent potential entrants from raising financing. The elite wins because its lobby can promise larger political contributions due to the higher rents earned by restricting entry. Entry and investor protection improve when wealth distribution becomes less unequal, and the political system becomes more accountable. Evidence across 48 countries indicates that greater accountability and lower income inequality are associated with stronger legal enforcement, even after controlling for legal origin and per-capita income. Moreover, greater political accountability increases entry in external capital-dependent industries; its inclusion makes financial development insignificant. These results suggest that lobbying protects established interests by creating entry barriers and undermining legal enforcement.","PeriodicalId":154291,"journal":{"name":"De Nederlandsche Bank Research Paper Series","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116225178","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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