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Determinants of the rate of the Dutch unsecured overnight money market

Heijmans, Ronald; Hernández, Lola; Heuver, Richard - de Nederlandsche Bank - 2013

This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that...

Persistent link: https://www.econbiz.de/10011004570

Monitoring the unsecured interbank money market using TARGET2 data

Heijmans, Ronald; Heuver, Richard; Walraven, Daniëlle - de Nederlandsche Bank - 2011

interest rates. The algorithm allows us to track the actual interest rates rather than quoted interest rates on liquidity …

Persistent link: https://www.econbiz.de/10008799345

How to measure the unsecured money market? The Eurosystem's implementation and validation using TARGET2 data

Arciero, Luca; Heijmans, Ronald; Heuver, Richard; … - de Nederlandsche Bank - 2013

This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money market loans from transaction data of the most important euro processing payment system, TARGET2, for maturity ranging from one day (overnight) up to three months. The implementation has been...

Persistent link: https://www.econbiz.de/10010757281

Banking sector development and financial stability in the run up to EU accession

Brouwer, H.; Haas, R. de; Kiviet, B. - de Nederlandsche Bank - 2002

The EU accession countries have made remarkable progress in developing their financial sectors. Nevertheless, potential risks to banking sector stability remain. We take stock of these risks, with a focus on the challenges posed by the EU accession process. Important potential risks we identify...

Persistent link: https://www.econbiz.de/10005101924

Is this bank ill? The diagnosis of doctor TARGET2

Heijmans, Ronald; Heuver, Richard - de Nederlandsche Bank - 2011

We develop indicators for signs of liquidity shortages and potential financial problems of banks by studying … indicators give information on 1) overall liquidity position, 2) the interbank money market, 3) the timing of payment flows, 4 …

Persistent link: https://www.econbiz.de/10009292423

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

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

The (A)Symmetry of shocks in the EMU

Verhoef, Bastiaan A. - de Nederlandsche Bank - 2003

Persistent link: https://www.econbiz.de/10005106766

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

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