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Early warning for currency crises: what is the role of financial openness?
Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013
We explore the role of financial openness - capital account openness and gross capital inflows - and a newly constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a quarterly data set of 46 advanced and emerging market...
Persistent link: https://www.econbiz.de/10010757284
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Current account imbalances in the Euro area: Competitiveness or financial cycle?
Comunale, Mariarosaria; Hessel, Jeroen - de Nederlandsche Bank - 2014
The current account imbalances that are at the heart of the European sovereign debt crisis are often attributed to differences in price competitiveness. However, recent research suggests that domestic demand booms related to the financial cycle may have been more important. As this would have...
Persistent link: https://www.econbiz.de/10010945597
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Requirements for successful currency regimes: the Dutch and Thai experiences
Berben, Robert-Paul; Berk, Jan Marc - de Nederlandsche Bank - 2002
This paper is part of the Kobe Research Project and documents the Dutch and Thai experiences regarding exchange rate policy, capital controls, and developments in the banking sector. In view of these experiences, it seeks to identify requirements for successful currency regimes, in particular...
Persistent link: https://www.econbiz.de/10005101913
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IMF-Supported Programs: Stimulating Capital to Solvent Countries
Veer, Koen van der; Jong, Eelke de - de Nederlandsche Bank - 2010
Sovereign default is the switching state between successful and unsuccessful Fund catalysis. We find the IMF to be effective in mobilising private capital flows to middle-income countries that participate in a Fund program, but do not restructure their debt. A debt restructuring is a clear...
Persistent link: https://www.econbiz.de/10008475755
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Inside the Impossible Triangle:Monetary Policy Autonomy in a Credible Target Zone
Jansen, W. Jos - de Nederlandsche Bank - 2003
This paper examines the trade-off between exchange rate stability and monetary autonomy for a target zone. Using the guilder-mark target zone in the pre-EMU period as a case study, we empirically estimate how much policy discretion the Dutch central bank still enjoyed and how much had been ceded...
Persistent link: https://www.econbiz.de/10005106747
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Is Eastern Europe ready for the Euro? A Cointegration Analysis for the Maastricht Criteria
Meister, I.S. - de Nederlandsche Bank - 2002
This report documents the results of cointegration analyses of the degree of convergence which the economies of the … central-eastern european countries (CEECs) have achieved towards the economies of the EMU countries. This cointegration …: inflation, the exchange rate, and the long-term interest rate. The main conclusion that can be drawn from this cointegration …
Persistent link: https://www.econbiz.de/10005021863
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Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001
We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector … cointegration rank across the individual vector error correction models, both with heterogeneous and homogeneous cointegrating …
Persistent link: https://www.econbiz.de/10005021870
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On the asymptotic distribution of impulse response functions with long run restrictions
Vlaar, P.J.G. - de Nederlandsche Bank - 1998
In this paper, the asymptotic distribution of the parameters of the moving average representation of structural VAR models with long run restrictions is derived. Moreover, it is shown that the structural model can easily be estimated in a two step procedure, where the reduced form model...
Persistent link: https://www.econbiz.de/10005030230
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Financial globalization or great financial expansion? The impact of capital flows on credit and banking crises
Frost, Jon; Tilburg, Ruben van - de Nederlandsche Bank - 2014
This paper empirically examines the impact of capital flows on credit growth, credit excesses and banking crises using quarterly panel data from 43 advanced (AEs) and emerging market economies (EMEs). Regressions show that gross capital inflows precede credit growth and credit excesses. Both...
Persistent link: https://www.econbiz.de/10010945598
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Banking Sector Strenght and the Transmission of Currency Crises
Bruinshoofd, Allard; Candelon, Bertrand; Raabe, Katharina - de Nederlandsche Bank - 2005
We show that, complementary to trade and financial linkages, the strength of the banking sector helps explain the transmission of currency crises. Specifically, we demonstrate that the Mexican, Thai, and Russian crises predominantly spread to countries with weaknesses in their banking sectors....
Persistent link: https://www.econbiz.de/10005101825