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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

Liquidity Stress-Tester: Do Basel III and Unconventional Monetary Policy Work?

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

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

Persistent link: https://www.econbiz.de/10008763231

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

When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour

End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2009

-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures …

Persistent link: https://www.econbiz.de/10008500697

Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk

End, Jan Willem van den - de Nederlandsche Bank - 2008

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main …, induced by behavioural reactions of heterogeneous banks, and idiosyncratic reputation effects. The impact on liquidity risk is … simulated by a Monte Carlo approach. This generates distributions of liquidity buffers for each scenario round, including the …

Persistent link: https://www.econbiz.de/10005030214

Indicator and boundaries of financial stability

End, Jan Willem van den - de Nederlandsche Bank - 2006

This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...

Persistent link: https://www.econbiz.de/10005101852