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The Anatomy of the Euro Area Interest Rate Swap Market
(2019-06-01)
"Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ...
Rigid Wages and Contracts: Time- versus State-Dependent Wages in the Netherlands
(2019-09-01)
We study nominal wage rigidity in the Netherlands using administrative data, which has three key features: (1) high-frequency (monthly), (2) high-quality (administrative records), and (3) high coverage (the universe of ...
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
(2020-03-01)
We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ...
Spillovers of Funding Dry-ups
(2020-08-29)
We uncover a new channel for spillovers of funding dry-ups. The 2016 US money market fund (MMF) reform exogenously reduced unsecured MMF funding for some banks. We use novel data to trace those banks to a platform for ...
Horizontal Industry Relationships and Return Predictability
(2019-08-09)
It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)). We show that robust predictability also arises ...
The Collateralizability Premium
(2019-10-09)
A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium, that is, capital ...
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
(2019-10-14)
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ...
Depressed Demand
(2020-02-14)
Using a survey of Dutch households, we find that individuals who have experienced higher national unemployment rates over their lifetime save more and borrow less, after controlling for aggregate shocks, income, wealth, ...
The Value of Firm Networks: A Natural Experiment on Board Connections
(2020-04-13)
This paper presents causal evidence of the effects of boardroom networks on firm value and compensation policies. We exploit exogenous variation in network centrality arising from a ban on interlocking directorates of ...
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)
We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...