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Systemic Risk Allocation for Systems with A Small Number of Banks
Qin, Xiao; Zhou, Chen - de Nederlandsche Bank - 2013
This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity returns and is applicable to both large and small systems....
Persistent link: https://www.econbiz.de/10010659996
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Strategic Loan Defaults and Coordination: An Experimental Analysis
Trautmann, Stefan; Vlahu, Razvan - de Nederlandsche Bank - 2011
This paper experimentally studies the impact of uncertainty about bank and borrower fundamentals on loan repayment. We find that solvent borrowers are more likely to default strategically when stricter disclosure creates common knowledge about bank weakness. Borrowers are also less likely to...
Persistent link: https://www.econbiz.de/10009274333
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Contagious Bank Runs: Experimental Evidence
Brown, Martin; Trautmann, Stefan; Vlahu, Razvan - de Nederlandsche Bank - 2012
We conduct a laboratory experiment to examine under which circumstances a depositor-run at one bank may lead to a depositor-run at another bank. We implement two-person coordination games which capture the essence of the Diamond-Dybvig (1983) bank-run model. Subjects in the roles of followers...
Persistent link: https://www.econbiz.de/10010757292
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From progress to nightmare - European regional unemployment over time
Beyer, Robert; Stemmer, Michael - de Nederlandsche Bank - 2015
We analyze the distribution of regional unemployment in Europe over the last three decades using non-parametric kernel densities and stochastic kernels. In addition, we employ a multi-level factor model to separate European, country, and region-specific unemployment fluctuations. Three phases of...
Persistent link: https://www.econbiz.de/10011152541
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Systematic risk under extremely adverse market condition
Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2011
portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression … compare it to regular systematic risk measures: the market beta and the downside beta. Furthermore, the tail regression beta …
Persistent link: https://www.econbiz.de/10008862363
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The simple econometrics of tail dependence
Oordt, Maarten R.C. van; Zhou, Chen - de Nederlandsche Bank - 2011
The aim of this paper is to show that measures on tail dependence can be estimated in a convenient way by regression …. The advantage of the regression approach is contained by its straightforward extension to the estimation of higher … dimensional tail dependence. We provide an example on international stock markets. The regression approach to tail dependence can …
Persistent link: https://www.econbiz.de/10009018575
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On agricultural commodities' extreme price risk
Oordt, Maarten van; Stork, Philip; Vries, Casper de - de Nederlandsche Bank - 2013
Price risk is among the most substantial risk factors for farmers. Through a two-sector general equilibrium model, we describe how fat tails in agricultural prices may occur endogenously as a result of productivity shocks. Using thirty years of daily futures price data, we show that the returns...
Persistent link: https://www.econbiz.de/10010720029
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Measuring Stock Market Contagion with an Application to the Sub-prime Crisis
Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009
We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between financial markets. In particular, we develop a correlation-like measure of synchronicity between markets that is straightforward to implement while being insensitive to...
Persistent link: https://www.econbiz.de/10004963328
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Dependence structure of risk factors and diversification effects
Zou, Chen - de Nederlandsche Bank - 2009
In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value theory (EVT) framework. We consider the heavy-tailness of the risk factors as well a non-parametric tail dependence structure. This allows a large scope of models on the dependency. We...
Persistent link: https://www.econbiz.de/10004963333
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Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements
Jansen, David-Jan; Haan, Jakob de - de Nederlandsche Bank - 2005
This paper studies the effects of verbal interventions by European cen-tral bankers on high-frequency euro-dollar exchange rates. We find that ECB verbal interventions have had only small and short-lived effects. Ver- bal interventions which are reported in news report headlines are more likely...
Persistent link: https://www.econbiz.de/10005101863