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Modelling the liquidity ratio as macroprudential instrument

End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...

Persistent link: https://www.econbiz.de/10010543516

Incentive Pay and Performance: Insider Econometrics in a Multi-Unit Firm

Bogaard, Hein; Svejnar, Jan - Institute for the Study of Labor (IZA) - 2013

We exploit organizational reforms in a foreign-owned bank in Central-East Europe to study the implementation of modern HRM policies in an emerging market context. We have branch-level data and use our knowledge of the process that led to the adoption of the reforms to implement two estimators...

Persistent link: https://www.econbiz.de/10010721622

Banks' Liquidity Buffers and the Role of Liquidity Regulation

Bonner, Clemens; Lelyveld, Iman van; Zymek, Robert - de Nederlandsche Bank - 2013

banks' liquidity risk management. Our main question is whether the presence of liquidity regulation substitutes or …

Persistent link: https://www.econbiz.de/10010757282

Bank liquidity, the maturity ladder, and regulation

Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2012

We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid...

Persistent link: https://www.econbiz.de/10010757286

Capital Requirements and Credit Rationing

Agur, Itai - de Nederlandsche Bank - 2010

This paper analyzes the trade-off between financial stability and credit rationing that arises when increasing capital requirements. It extends the Stiglitz-Weiss model of credit rationing to allow for bank default. Bank capital structure then matters for lending incentives. With default and...

Persistent link: https://www.econbiz.de/10008489838

A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio

End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...

Persistent link: https://www.econbiz.de/10010822694

Monetary Policy and Excessive Bank Risk Taking

Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2010

This paper shows that a rate hike has countervailing effects on banks' risk appetite. It reduces risk when the debt burden of the banking sector is modest. We model a regulator whose trade-off between bank risk and credit supply is derived from a welfare function. We show that the regulator...

Persistent link: https://www.econbiz.de/10008774017

Global liquidity regulation - Why did it take so long?

Bonner, Clemens; Hilbers, Paul - de Nederlandsche Bank - 2015

The purpose of this paper is to assess the history of global liquidity regulation until the revised Basel III proposals in 2013 and to analyze the interaction of capital regulation and banks' liquidity buffers. Our analysis suggests that regulating capital is associated with declining liquidity...

Persistent link: https://www.econbiz.de/10011127195

Incentives in the Public Sector: Evidence from a Government Agency

Burgess, Simon; Propper, Carol; Ratto, Marisa; Tominey, Emma - Institute for the Study of Labor (IZA) - 2012

targets, measured with varying degrees of precision. We use data from the agency's performance management system and personnel …This paper addresses a lack of evidence on the impact of performance pay in the public sector by evaluating a pilot … records plus matched labour market data. We focus on three main issues: whether performance pay matters for public service …

Persistent link: https://www.econbiz.de/10010559801