Ministry of Finance

En este trabajo se demuestra que la distribución del contraste estadístico de la hipótesis nula de ausencia de cointegración, basado en el coeficiente del término del mecanismo de corrección del error, puede aproximarse, en ciertos casos, por la distribucion gaussiana. Por el contrario, la clase de contrastes del tipo Dickey-Fuller, aplicados a los residuos minimocuadraticos del modelo de regresion estático, siempre presenta distribuciones límite no estándar. Además, en la hipótesis alternativa de existencia de cointegración, el contraste basado en el termino de corrección de error es siempre mas potente que el contraste Dickey-Fuller. El origen de estas diferencias reside en el hecho de que el íltimo contraste impone restricciones de factor común, posiblemente inválidas. Dicho problema es bastante general y, por ejemplo, afecta a los contrastes de cointegración basados en sistemas multivariantes. Los resultados analíticos obtenidos se comprueban a través de un experimento de Monte-Carlo. Finalmente se aplica esto a la demanda de dinero británica

SUMMARY We propose a class of observation‐driven time series models referred to as generalized autoregressive score (GAS) models. The mechanism to update the parameters over time is the scaled score of the likelihood function. This new approach provides a unified and consistent framework for introducing time‐varying parameters in a wide class of nonlinear models. The GAS model encompasses other well‐known models such as the generalized autoregressive conditional heteroskedasticity, autoregressive conditional duration, autoregressive conditional intensity, and Poisson count models with time‐varying mean. In addition, our approach can lead to new formulations of observation‐driven models. We illustrate our framework by introducing new model specifications for time‐varying copula functions and for multivariate point processes with time‐varying parameters. We study the models in detail and provide simulation and empirical evidence. Copyright © 2012 John Wiley & Sons, Ltd.

Since the first edition of this book, the world's financial system went through its greatest crisis for a century. What made this crisis unique is that severe financial problems emerged simultaneously in many different countries and that its economic impact was felt throughout the world as a result of the increased interconnectedness of the global economy. Written for undergraduate and graduate students of finance, economics and business, the second edition of this successful textbook provides a fresh analysis of the world financial system in light of the recent financial crisis. Combining theory, empirical data and policy, it examines and explains financial markets, financial infrastructures, financial institutions and challenges in the domain of financial supervision and competition policy. This new edition features three completely new chapters, one on financial crises, a second on financial innovation, and, on the policy side, a third on the monetary policy of the European Central Bank.

Deregulation A political economy analysis Lack of urgency explains why continental Europe trails in the deregulation process. Yet there are lessons to be learnt from deregulation elsewhere. This paper reviews the situation and focuses on the political preconditions for successful deregulation. It finds a clear negative relationship between regulation and economic performance. It characterizes European countries by the degree of regulation of labour and product markets, and finds that the latter seems to be more important for economic performance. Finally, it notes the importance of a proper management of the deregulation effort – which may include some re-regulation: deregulation is more likely to succeed the more transparent the economic benefits, and the more clearly stated the objectives and the time schedule. —Kees Koedijk and jeroen Kremers

Written for undergraduate and graduate students of finance, economics and business, the third edition of Financial Markets and Institutions provides a fresh analysis of the European financial system. Combining theory, data and policy, this successful textbook examines and explains financial markets, financial infrastructures, financial institutions and the challenges of financial supervision and competition policy. The third edition features greater discussion of the financial and euro crises, including extensive analysis of their causes and impact, as well as their remedies. New material covers unconventional monetary policies, the Banking Union, the Basel 3 capital adequacy framework for banking supervision, macroprudential policies and state aid control applied to banks. The new edition also features wider international coverage, with greater emphasis on comparisons with countries outside the European Union. Visit the companion website at www.cambridge.org/de_Haan3e for password-protected PowerPoint lecture slides, solutions, figures and tables for instructors, and exercises for students.

Public organisations develop sustainable public procurement (SPP) policies to compel suppliers to contribute to societal goals. Studies show that the ability, motivation, and opportunity that procurers have to procure in a sustainable manner affect the uptake of SPP. Most studies into SPP examine these factors only in the context of one type of SPP (e.g., green procurement). The goal of this paper is therefore to examine the relationship between ability, motivation, and opportunity and six types of SPP: (1) green public procurement, (2) social return on investment, (3) circular economy, (4) bio-based public procurement, (5) innovation-oriented public procurement and (6) international social criteria. An online survey was administered amongst procurers working in Dutch public organisations. The research shows that ability, motivation, and opportunity affect Green Public Procurement (GPP). Opportunity did affect green public procurement, innovation-oriented public procurement and circular economy, but not the other types of SPP. We were unable to identify an antecedent of more social types of SPP in this research. This research shows that findings based on GPP cannot be directly generalized to other types of SPP, and that there is a need for research into the antecedents of social types of SPP.

Written for undergraduate and graduate students of finance, economics and business, the fourth edition of Financial Markets and Institutions provides a fresh analysis of the European financial system. Combining theory, data and policy, this successful textbook examines and explains financial markets, financial infrastructures, financial institutions, and the challenges of financial supervision and competition policy. The fourth edition features not only greater discussion of the financial and euro crises and post-crisis reforms, but also new market developments like FinTech, blockchain, cryptocurrencies and shadow banking. On the policy side, new material covers unconventional monetary policies, the Banking Union, the Capital Markets Union, Brexit, the Basel III capital adequacy framework for banking supervision and macroprudential policies. The new edition also features wider international coverage, with greater emphasis on comparisons with countries outside the European Union, including the United States, China and Japan.

Written for undergraduate and graduate students of finance, economics and business, this textbook provides a fresh analysis of the European financial system. Combining theory, empirical data and policy, it examines and explains financial markets, financial infrastructures, financial institutions, and challenges in the domain of financial supervision and competition policy. Key features: • Designed specifically for courses on European financial integration • Clear signposting and presentation of text with learning objectives, boxes for key concepts and theories, chapter overviews and suggestions for further reading • Broad coverage of European financial system – markets, infrastructure and institutions • Explains the ongoing process of financial integration, in particular the impact of the euro • Examines financial systems of new member states • Uses up-to-date European data throughout A companion website will be available with exercises and freely downloadable solutions.

We introduce a hedonic price model that enables us to disentangle the value of a property into the value of land and the value of structure. For given reconstruction costs, we are able to estimate the impact of physical deterioration, functional obsolescence and vintage effects on the structure and the impact of time on sale (and external obsolescence) on the land value simultaneously. Our findings show that maintenance has a substantial impact on the rate of physical deterioration. After 50 years of not or barely maintaining a home, a typical structure has lost around 43% of its value. In contrast, maintaining a home very well results in virtually no physical deterioration in the long run.

Abstract We investigate debt restructurings in Germany for a sample of 116 financially distressed companies. About half of the firms succeed in restructuring their debt in a workout while the others file for bankruptcy. Our evidence suggests that firms which have higher leverage, owe more debt to banks, and exhibit higher going concern values are more likely to conduct a workout. Bankruptcy is more likely for firms with deficient lender coordination and a high fraction of collateralized debt. An analysis of stock returns suggests that the market uses similar information to predict workouts. 84% of the bankrupt firms were ultimately liquidated.

This article assesses the predictive power of variables that measure market tightness, such as seller's bargaining power and sale probabilities, on future home prices. Theoretical insights from a stylized search‐and‐matching model illustrate that such indicators can be associated with subsequent home price appreciation. The empirical analysis employs listings data on residential units offered for sale through a real estate broker in the Netherlands and for certain U.S. regions. Individual records are used to construct quarterly home price indices, an index that measures seller's bargaining power and (quality‐adjusted) home sale probabilities. Using conventional time‐series models we show that current sale probabilities and bargaining power can significantly reduce home price appreciation forecast errors and help to predict turning points in local area housing markets. The measures and approaches in this article help to demonstrate ways in which researchers and practitioners can leverage listings data to gain knowledge about the current and future state of the housing market.

Abstract Financial well-being is a desirable state as it benefits individuals, families, organizations, and society, and these benefits reach beyond the financial domain. We assessed financial well-being as two components (current financial stress and expected future financial security) and used data from a representative sample of adults in the United Kingdom ( n = 411). Our study provides novel insights based on preregistered hypotheses, method, and analysis plan on the Open Science Framework. We hypothesized that both executive functioning and financial self-efficacy are positively related to financial well-being via positive financial behaviors. We also hypothesized that executive functioning moderated the indirect relation of financial self-efficacy with financial well-being, and that financial self-efficacy moderated the indirect relation of executive functioning with financial well-being. As predicted, results showed that financial self-efficacy was strongly positively related to financial well-being via positive financial behaviors. Our results did not show that executive functioning was related to financial well-being via positive financial behaviors, nor that executive functioning or financial self-efficacy operated as moderators. This study provides possible strategies for financial practitioners and service providers, among others, to help individuals and families better their financial behaviors and their financial well-being.

Do acquirors profit from acquisitions, or do CEOs overbid and destroy shareholder value? We propose a novel approach to measuring the long-run returns to mergers. In a new data set of close bidding contests we use losers' post-merger performance to construct the counterfactual performance of winners had they not won the contest. We find that winner and loser returns are closely comoving in the years before the contest, providing support for our approach to identification. After the merger, they diverge: Winners underperform losers by 24 percent over the following three years in the U.S. sample, and by 14 percent in the international sample. Merger characteristics commonly associated with underperformance, such as acquiror size, acquiror Q, or stock financing do not explain the underperformance. Instead, the large underperformance of cash-financed mergers and their post-merger increase in leverage is consistent with behavioral and practitioner views on the determinants of merger outcomes. We also show that commonly used methodologies such as the announcement effect fail to identify the acquiror underperformance.

Using longitudinal data before and during the first six months of the COVID-19 pandemic for a representative sample of Dutch households, we examined the role of financial stress, defined as the subjective experience of lacking financial resources to cope with demands, in mental health changes. Also, we examined financial stress and mental health relations with households' income, savings, and debts. The data revealed that average mental health did not change during the first six months of the pandemic but showed considerable underlying heterogeneity. Results showed that financial stress changes significantly explained this heterogeneity. Increases in financial stress predicted decreases in mental health, whereas decreases in financial stress predicted increases in mental health. While income did not explain financial stress changes, fewer savings and more debts were related to increased financial stress, which was, in turn, negatively related to mental health. We discuss the implications of our findings for mental health care and financial security policy and provide suggestions for future research.

Most scholars focus on the prevalence and democratic effects of (partisan) news exposure. This focus misses large parts of online activities of a majority of politically disinterested citizens. Although political content also appears outside of news outlets and may profoundly shape public opinion, its prevalence and effects are under-studied at scale. This project combines three-wave panel survey data from three countries (total N = 7,266) with online behavioral data from the same participants (over 106M visits). We create a multi-lingual classifier to identify political content both in news and outside (e.g. in shopping or entertainment sites). We find that news consumption is infrequent: just 3.4% of participants' online browsing comprised visits to news sites. Only between 14% (NL) and 36% (US) of these visits were to news about politics. The overwhelming majority of participants' visits were to non-news sites. Although only 1.6\% of those visits related to politics, in absolute terms, citizens encounter politics more frequently outside of news than within news. Out of every 10 visits to political content, 3.4 come from news and 6.6 from non-news sites. Furthermore, exposure to political content outside news domains had the same - and in some cases stronger - associations with key democratic attitudes and behaviors as news exposure. These findings offer a comprehensive analysis of the online political (not solely news) ecosystem and demonstrate the importance of assessing the prevalence and effects of political content in non-news sources.

The European Community countries appear to be locked into a process that may eventually lead their economies to full monetary unification. Although the road to monetary union in the EC is bound to be bumpy, all countries appear committed to the final goal, with the possible exception of Britain. According to plans under negotiation at the inter-governmental conference that started in December 1990, the currencies of twelve European economies, which include a number of leading international currencies such as the Deutschmark, sterling and the French franc, will ultimately be replaced by a new currency, likely to be called the ‘ecu’.

International audience

This paper reviews the state of the banking sector in Europe. At the aggregate level, the empirical data suggest that the Baltics, Cyprus, Greece and Ireland, in particular, are hit by a strong decline in lending in the wake of the financial crisis. This deleveraging is mainly caused by a reduction in cross-border supply of credit. We also examine the capital position of the European banking system, using November 2013 stock market data. In the basic scenario to restore capital to a market based leverage ratio of 3%, EUR 84 billion of extra capital would be needed for the largest 60 banks. At the bank level, the top tertile of well-capitalised banks (with a market based leverage ratio well above 4%) continues lending. By contrast, the 2nd tertile of medium-capitalised banks (between 3 and 4%) and the 3rd tertile of weakly capitalised banks (well below 3%) show a strong decline in lending. Moreover, the market-to-book ratio is below one for these banks. The market thus gives a lower value to these banks. Our findings provide prima facie evidence of a credit crunch in Europe. Another fallout of the financial crisis is an increase, though very modest, of concentration in banking in the distressed countries (Greece, Ireland, Portugal, Spain and Italy). The enhancement of financial stability through (forced) M&As seems to come at the expense of reduced competition.

Abstract In this paper, we propose country‐specific and systemic metrics that can be used to judge whether cross‐border banking in a country (or region) takes a desirable form. Applying these metrics to the EU countries, we find that the countries with the largest banking centres, the UK and Germany, are well diversified. By contrast, the New Member States (NMS) are highly dependent on a few West European banks and vulnerable to contagion effects. The Nordic and Baltic regions are closely interwoven with little diversification. At the system level, the EU banking system is weakly diversified, with an overexposure to the United States and an underexposure to Japan and China. This explains why the recent US‐originated financial crisis had such a significant impact on European banks.

Environmental pollution brings severe challenges in the context of a high growing economy of China. Pollution events bring serious ecological cost to the environment, direct costs from sanction, and reputational damage to the listed firms. We study the market reaction to 145 pollution events in China during Jan 2008 and Feb 2015. We find that the 2-day cumulative abnormal returns (CARs) of pollution events are significantly negative, which shows the disciplining effect of the stock market on the listed firms. In addition, pollution events with sanctions have lower CARs than otherwise, which are heterogeneous among different sanction types such as shutting down, fines and rectification. Finally, water pollution has lower CARs than other pollution types. We find that direct economic loss is an important reason for the negative market reactions to pollution events.