Leo de Haan

• PhD
• De Nederlandsche Bank

We model the market stabilization function of quantitative easing (QE) programs as a put option written by the central bank to bond holders. This implicit put option protects bond holders against tail risks, in particular sovereign credit risk. The contingent claims model (CCM) that we use to value the implicit put option has not been applied to QE...

This study investigates the effects of a flattening of the yield curve and decreasing interest rates on the net interest margin (NIM) of 41 Dutch banks during the period 2008Q1 to 2020Q4. Our contribution to the literature is that we distinguish explicitly between net interest income from pure maturity transformation and a residual part representin...

This paper documents how sovereign debt ratings shape the country composition of euro area cross-border holdings of euro area sovereign debt, using granular sectoral security holdings statistics for the period 2009Q4 until 2016Q1. Credit risk is the main risk for bond investors when investing in bonds that are issued in the same currency as the cur...

We empirically analyse the relationship between longer term central bank liquidity support and banks' exposures to governments, using difference-indifferences panel regressions and propensity score matching on a large sample of banks in the euro area. The research question is whether the liquidity operations, which were introduced to prevent disord...

This paper takes stock of European banks’ accumulated losses since 2007 and relates these to bank characteristics. In line with previous studies, we find that large, market-oriented banks were particularly hit by the 2007–2009 global financial crisis, whereas smaller, retail-oriented banks weathered these years relatively well. In subsequent years,...

Using loan level data on mortgage loans originated by Dutch banks during 1996 to 2015, we analyse the determinants of the incidence of non-performance. We find that both the originating loan-to-value ratio (OLTV) and the debt-service-to-income ratio are significantly positively associated with the probability of non-performance. The results suggest...

We empirically determine whether a Ricardian or a non-Ricardian regime is more plausible for the euro area, following the research strategy of Canzoneri et al. (Am Econ Rev 91:1221–1238, 2001). A Vector AutoRegressive model for the primary government balance and the government debt is estimated for the period 1980q2–2013q4. Our model uses dummy int...

Using regulatory data free of self-reporting bias for 2007–16, we decompose investment returns of 455 Dutch pension funds according to their key investment decisions, i.e., asset allocation, market timing and security selection. In extension to existing papers, we also assess the impact of benchmark selection. Over time, asset allocation explains 3...

We analyze the relationship between ECB monetary policy and prudential policies in the host country and international lending by Dutch insurers and pension funds, using confidential institution-specific data. Our results suggest that insurers and pension funds do not significantly change their foreign lending in response to ECB policy changes, prox...

Global financial institutions play an important role in channeling funds across countries and, therefore, transmitting monetary policy from one country to another. In this paper, we study whether such international transmission depends on financial institutions’ business models. In particular, we use Dutch, Spanish, and U.S. confidential supervisor...

Anonymized data by bank: size category, peak accumulated losses and state aid (percentage of RWA, TA)

We investigate the information content of financial variables as signalling devices of two abnormal inflationary regimes: (1) low inflation or deflation, and (2) high inflation. Specifically, we determine the information content of equity and house prices, private credit volumes, and sovereign and corporate bond yields, for 11 advanced economies ov...

We provide empirical evidence on banks’ responses to shocks in the wholesale funding market, using data of 181 euro area banks over the period from August 2007 to June 2013. Responses to funding liquidity shocks for both banks’ lending volumes and loan rates, to households and corporates, are analysed in a panel VAR framework. We thereby distinguis...

We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans. In the short run, however, the adjustment of the allowance is only...

Using recovery plan data of 213 underfunded Dutch pension funds for the years 2011, 2012 and 2013, discrete choice models are estimated describing pension funds' choices between three recovery measures: higher contributions, no indexation and pension cuts. The estimation results suggest, first, that pension cuts are more likely when the funding rat...

This paper examines how credit risk affects bank lending and the business cycle. We estimate a panel Vector Autoregression model for an unbalanced sample of 12 OECD countries over the past two to three decades, consisting of the output gap, inflation, the short-term interest rate, bank lending, as well as loan loss provisioning by banks (as proxy f...

This paper examines the extent to which large swings of sovereign yields in euro area countries during the debt crisis can be attributed to fundamentals, focusing on the inherent uncertainty in bond yield models. We show that the outcomes are strongly affected by modelling choices with regard to i) the confidence bands for the model prediction, ii)...

The crisis of 2007–2009 has shown that financial market turbulence can lead to huge funding liquidity problems for banks. This paper provides empirical evidence on banks’ responses to market funding shocks, using data of seventeen of the largest Dutch banks over the period January 2004–April 2010. The dynamic interrelations among instruments of ban...

This paper contributes to the literature on the relation between bank profitability and economic activity. When allowing for stronger co-movement of bank profit with economic activity during deep recessions, we find a much larger impact of output growth on bank profitability than commonly found in the literature. Among the different components of b...

This article provides comparative international evidence on the effect of market timing on corporate capital structures using panel data for US, UK and continental European firms. We document that the empirical regularity found for US firms, that historical market-to-book ratios and corporate leverage correlate negatively does not extend to UK and...

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 hold more liquid assets against their stock of liquid liabilities, such as demand deposits, than strictly required...

We present empirical evidence on the funding and portfolio allocation of around 200 Dutch corporate pension funds over the period 1996-2005, with a special focus on the influence of the sponsoring firm. We find that unprofitable and small firms contribute less to their pension funds than profitable and large firms, consistent with theories of capit...

We estimate a probit model of insolvency risk, using a dataset of about 400 Dutch insurance companies during the period 1995-2005. The results suggest that surplus capital, company size, profitability, long-tailed business and being a mutual insurer reduce the risk of insolvency. The model can be used to identify insurers with high insolvency risk...

This article investigates investment strategies of Dutch pension funds, life insurers and nonlife insurers, using quarterly flow-of-funds data. The results suggest that all three investor types buy past losers and sell past winners, although they only partially rebalance their portfolios that way.

This paper analyses investment strategies of three types of Dutch institutional investors – pension funds, life insurers and non-life insurers – over the period 1999–2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset reallocations back to both active trading and reval...

This paper presents an empirical analysis of the interest rate setting behavior of the four largest banks in the Dutch mortgage market, using advertised interest rates at a daily frequency. The evidence for the long run pricing behaviour suggests that the banks operate in a competitive environment as they base their interest rates on funding cost....

This paper examines the relationship between corporate capital structures and historical market-to-book ratios using panel data for US, UK, and continental European firms for the period 1991-2001. We confirm the negative effect on leverage found for the United States, but find that this effect is weak for the United Kingdom and continental Europe a...

We investigate whether insurers base their solvency margins on risk factors even when operating under a supervisory regime where minimum solvency requirements do not fully take such risk factors into account. To do this, we use a dataset of about 350 Dutch insurers from all major lines of business during the pre-Solvency II period 1995–2005. We fin...

This study examines macroeconomic developments around reversals in current account deficits in 29 OECD countries over four decades and draws some inferences for the present US deficit. Estimates of a probit model indicate that the deepness of the deficit itself, absence of spare production capacity and a beginning real depreciation are factors that...

We examine market timing and its effects on capital structures for a sample of Dutch listed firms and a sub-sample of Dutch initial public offering (IPO) firms. The results yield evidence of market timing. Stock price run-ups increase the probabilities of equity and dual issues. Further, the effects of stock price run-ups on the choices between iss...

According to the 'broad credit view' bank-dependent firms are more strongly affected by monetary contractions than firms with access to non-bank forms of external finance. Within the credit view the bank lending channel focuses on the special role of bank loans, and predicts that monetary contractions reduce loan supply to firms facing information...

For the Netherlands there is some evidence on the bank-lending channel from both VAR and panel data analysis. VAR analysis generally indicates that the lending channel is not very relevant in the Netherlands from a macroeconomic viewpoint. According to Garretsen and Swank (1998), van Ees, Garretsen and Sterken (1999) and Kakes (2000) the lending ch...

We estimate the incremental financing decision for a sample of some 150 Dutch companies for the years 1984 through 1997, thereby distinguishing internal finance and three types of external finance: bank borrowing, bond issues, and share issues. First, we estimate a multinomial logit model, which confirms several predictions of both the static trade...

This study contributes to the empirical evidence on the lending channel in the Netherlands using individual bank data. The main conclusion is that a lending channel is operative in the Netherlands. However, it is only operative for unsecured lending and not for secured lending, possibly because loans with government guarantees get special treatment...

It is generally accepted that real markets are sometimes affected by imperfections and their consequences. In contrast, the functioning of financial markets is mostly assumed to be perfect and efficient. Modigliani and Miller (1958, hereafter MM) show that in the latter case the capital structure of the firm is irrelevant for the user cost of capit...

In the eighties The Netherlands has recorded a marked increase in the quantity of money. This development was notably attended by a rise in money balances of nonfinancial firms. In an attempt to trace the causes of this development, the Dutch central bank conducted a large-scale survey in 1991. The results corroborate previous econometric research...

Policy planning requires an insight into the current and future state of the business cycle. Traditionally, leading indicators have been among the instruments used to gain this insight. This article presents a new leading indicator for the Netherlands.