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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 … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …

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

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

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

policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and …

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

The interaction between the central bank and government in tail risk scenarios

End, Jan Willem van den; Hoeberichts, Marco - de Nederlandsche Bank - 2012

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...

Persistent link: https://www.econbiz.de/10010583805

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 … interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not …

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

Are European sovereign bonds fairly priced? The role of modeling uncertainty

Haan, Leo de; Hessel, Jeroen; End, Jan Willem van den - de Nederlandsche Bank - 2013

This paper examines the extent to which large swings of sovereign yields in euro area countries during the sovereign debt crisis can be attributed to fundamentals. We focus on the inherent uncertainty in bond yield models, which is often overlooked in the literature. We show that the outcomes...

Persistent link: https://www.econbiz.de/10010705925

Low real rates as driver of secular stagnation: empirical assessment

End, Jan Willem van den; Hoeberichts, Marco - de Nederlandsche Bank - 2014

We empirically test whether there is a causal link between the real interest rate and the natural rate of interest, which could be a harbinger of secular stagnation if the real rate declines. Outcomes of VAR models for Japan, Germany and the US show that a fall in the real rate indeed affects...

Persistent link: https://www.econbiz.de/10010945601

Trading off monetary and financial stability: a balance of risk framework

End, Jan Willem van den - de Nederlandsche Bank - 2010

This paper presents a framework that quantifies the trade-offs for a central bank that includes financial stability in its strategy and uses macroprudential instruments next to the interest rate. It is an innovative application of the Kaminsky and Reinhart early warning method, by assuming that...

Persistent link: https://www.econbiz.de/10008468098

Banks' responses to funding liquidity shocks: lending adjustment, liquidity hoarding and fire sales

Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2011

The crisis of 2007-2009 has shown that financial market turbulence can lead to huge funding liquidity problems for … liquidity management are modelled in a panel Vector Autoregressive (p-VAR) framework. Orthogonalized impulse responses reveal … that banks respond to a negative funding liquidity shock in a number of ways. First, banks reduce lending, especially …

Persistent link: https://www.econbiz.de/10009018572