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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

Financial Globalization and Monetary Policy

Wagner, Helmut; Berger, Wolfram - de Nederlandsche Bank - 2003

Recently, it has often been argued that globalization eases the job of central banks as it helps to tame inflation. This is used to argue that central banks (particularly the ECB, referring to the objectives as laid down in the EU-Treaty) could or should reduce their efforts in the fight against...

Persistent link: https://www.econbiz.de/10005106786

International Diversification During the Financial Crisis: A Blessing for Equity Investors?

Vermeulen, Robert - de Nederlandsche Bank - 2011

This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...

Persistent link: https://www.econbiz.de/10009385893

Net Foreign Asset (Com)position: Does Financial Development Matter?

Vermeulen, Robert; Haan, Jakob de - de Nederlandsche Bank - 2012

We investigate the relationship between a country's domestic financial development and the (composition of its) net …

Persistent link: https://www.econbiz.de/10009652211

Early warning for currency crises: what is the role of financial openness?

Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013

gross (but not net) capital inflows in general increase the risk of a currency crisis, but looking at a disaggregated level …, gross portfolio flows increase the risk of a currency crisis for advanced economies, whereas gross FDI inflows decrease the … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …

Persistent link: https://www.econbiz.de/10010757284

Banking across Borders

Niepmann, Friederike - de Nederlandsche Bank - 2011

This paper develops and tests a theoretical model that allows for the endogenous decision of banks to engage in international and global banking. International banking, where banks raise capital in the home market and lend it abroad, is driven by differences in factor endowments across...

Persistent link: https://www.econbiz.de/10009644843

The impact of sovereign debt exposure on bank lending: Evidence from the European debt crisis

Popov, Alexander; Horen, Neeltje van - de Nederlandsche Bank - 2013

Using loan-level data, we find that syndicated lending by European banks with sizeable balance sheet exposures to impaired sovereign debt was negatively affected after the start of the euro area sovereign debt crisis. We also observe a reallocation away from foreign (especially US) markets. The...

Persistent link: https://www.econbiz.de/10010674606

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

Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin; Wolff, Guntram - de Nederlandsche Bank - 2006

bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase … two signals depends on the transparency of the country. Greater transparency reduces risk premia. The empirical results … confirm the hypotheses. Creative accounting increases the spread. The increase of the risk premium is stronger if financial …

Persistent link: https://www.econbiz.de/10005030205

Currency Crises Models for Emerging Markets

Vlaar, P.J.G. - de Nederlandsche Bank - 1999

In this paper, a new method is introduced to predict currency crises. The method models a continuous crisis index, based on depreciations and reserve losses. The fact that during currency crises, the behaviour of market participants differs from normal circumstances is modelled by means of model...

Persistent link: https://www.econbiz.de/10005030240