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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 uffers. The interaction of liquidity regulation and monetary policy as …
Persistent link: https://www.econbiz.de/10011127195
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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
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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
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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
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Eurodynamics in the Netherlands: results of the seventh DNB euro survey
Roszbach, K.F.; Stokman, A.C.J. - de Nederlandsche Bank - 1998
This survey, which was conducted in September 1998, shows that the degree of acceptance of the Euro has grown to 78% among the public and 94% among businesses. Merely a quarter of the public is aware, however, of the starting year of the EMU, compared to 70% among large enterprises and 40 %...
Persistent link: https://www.econbiz.de/10005101868
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On the (A)symmetry of Shocks in EMU: Is it that Shocking?
Verhoef, B.A. - de Nederlandsche Bank - 2002
A disadvantage of EMU is the lack of national monetary policy to absorb country-specific shocks. The seriousness of this depends on the availability of alternative adjustment mechanisms, as well as on the asymmetry of the demand and supply shocks within EMU. The aim of this paper is to analyse...
Persistent link: https://www.econbiz.de/10005106691
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The (A)Symmetry of shocks in the EMU
Verhoef, Bastiaan A. - de Nederlandsche Bank - 2003
A disadvantage of EMU is the lack of national monetary policy to absorb country-specific shocks. The seriousness of this depends on the availability of alternative adjustment mechanisms, as well as on the asymmetry of the demand and supply shocks within EMU. Previous empirical research on the...
Persistent link: https://www.econbiz.de/10005106766
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A Pigovian Approach to Liquidity Regulation
Perotti, Enrico; Suarez, Javier - de Nederlandsche Bank - 2011
This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based funding ratios are distorsionary. Liquidity buffers are … overconfidence), excess credit and liquidity risk are best controlled with net funding ratios. Taxes on short-term funding emerge …
Persistent link: https://www.econbiz.de/10009018569
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Franchise value and risk-taking in modern banks
Martynova, Natalya; Ratnovski, Lev; Vlahu, Razvan - de Nederlandsche Bank - 2014
Traditional theory suggests that high franchise value limits bank risk-taking incentives. Then why did many banks with exceptionally valuable franchises get exposed to new financial instruments, resulting in significant losses during the crisis? This paper attempts to reconcile theory and...
Persistent link: https://www.econbiz.de/10010798444
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Banking stress test effects on returns and risks
Neretina, Ekaterina; Sahin, Cenkhan; Haan, Jakob de - de Nederlandsche Bank - 2014
We investigate the effects of the announcement and the disclosure of the clarification, methodology, and outcomes of the US banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk during the 2009-13 period. We find only weak evidence that stress tests after...
Persistent link: https://www.econbiz.de/10010760529