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Dorinth van Dijk

  • Professor John Muellbauer from Oxford University visited DNB. Professor Muellbauer is a prominent macroeconomist (co-author of Angus Deaton, Noble prize winner in 2015) whose research covers the interactions between the financial sector and the real economy, the impact of credit market liberalisation on consumer debt, spending and housing markets, as well as forecast scenarios for stress testing of the banking system. He gave a presentation on September 13th entitled Consumption and Growth, in which he introduced a consumption theory that emphasises portfolio choices of households.
    Professor Muellbauer, who has an extensive expertise in assessing central banks’ forecasting models, was very interested in DELFI, the DNB model of the Dutch economy. He considers that DELFI’s treatment of the household sector stands out from other central banks’ forecasting models as being one of the most comprehensive. Specifically because DELFI distinguishes explicitly between financial and housing wealth, and includes a detailed treatment of pensions, it allows for a more careful analysis of household consumption behaviour. During his visit he met with the EBO forecasting team to discuss their modelling of the household sector in DELFI and to provide suggestions for further improvement. The household block in DELFI is currently being developed as part of a larger project to introduce more detailed macro-financial interactions between the real economy and the banking sector.
  • Mauro Mastrogiacomo awarded Netspar Large Vision project grant: EUR 1 million
    The Netspar Board of Directors has awarded its maximum grant to the "Uncertainty over the life cycle" project. Mauro Mastrogiacomo (FS) applied for this grant together with Leiden University, University of Groningen and University College London.
    Netspar will be funding one half of the project. The other partners are responsible for contributing the other half. DNB contributes by making available data and other resources. Mauro will appoint a PhD student for the project. "I'm really happy that Netspar has given me the opportunity to participate in this project, which is the largest of the three I have been awarded. Finally, I will be able to develop a micro simulation model for stressing the balance sheets of households, something I've wanted to do for years!"


  • Report of the Conference on “International Conference on the New Normal in the Post-Crisis Era” organized by City University of Hong Kong (Department of Economics and Finance, and Research Center for International Economics), De Nederlandsche Bank (Research Department) and Journal of International Money and Finance Conference held in Hong Kong on 21-22 May 2015
    The financial crisis has left deep scars in many economies. Some say that these scars are so deep that economies will be heading into a "New Normal" after the crisis.
    The post-crisis New Normal was the theme of a conference held in Hong Kong on 21 and 22 May 2015. The conference was organised by the City University of Hong Kong (Yin-Wong Cheung) in cooperation with DNB's Research department (Jakob de Haan) and the Journal of International Money and Finance (Joshua Aizenman). It centred on the question of whether after the World Financial Crisis, economies have fundamentally changed relative to the years preceding the crisis. Although the crisis is not yet over in some countries, the euro area in particular, most researchers found that there is indeed evidence of a fundamental change into what we call the "New Normal". They approached the conference theme from different angles: the level of economic growth, the volatility of exchange rates, the size of international capital flows, and the credibility of central banks. 
    Steven Cecchetti, former chief economist at the BIS and now Professor at Brandeis University, kicked off with a keynote speech on the question of whether monetary policy, prudential policy, and fiscal policy can again be pursued separately after the crisis. The crisis called for close cooperation between the different policymakers, but when  the crisis has passed policymakers will be required to concentrate on their own responsibilities again. By acting more as risk managers, policymakers will be able to contribute towards  preventing future crises. 
    Bertrand Candelon then demonstrated that for the OECD countries the crisis, meaning the banking crisis in particular, has given rise to lower economic growth. For the emerging economies, exchange rates play a more central role. This conclusion is in line with the paper written by DNB's Jan-Willem van den End and Marco Hoeberichts, in which they show that the low level of interest rates in Japan has led to lower expected growth due to the drop in the "natural rate".
    Emerging and OECD countries are hit in different ways during a crisis, but are investors distinguishing between individual emerging economies? [NB1]  The two papers centering on the same question came to opposite conclusions. The BIS paper presented by Eli Remolona found that before the crisis, investors acted mainly on individual country ratings, whereas post-crisis the emerging countries were being seen more as a single group. The paper presented by Ilhan Ozturk on the other hand concluded that distinctions between individual emerging economies were also being made after the crisis. [NB2] 
    Capital flows to and from China are also being influenced by the crisis. Frank Westermann showed that capital flows to and from China in the post-crisis era are mainly driven by the differences in monetary policy pursued by China and the United States. Various authors highlighted the fact that monetary policy, particularly the unconventional monetary policy pursued by the United States, has become an increasingly important factor in international capital flows and exchange rate movements.
    In addition to these papers, there were presentations by Michael Bordo (on the credibility of central banks before and after the crisis), Peter Tillman (spillover effects of monetary policy), Marcel Fratzscher (bank lending), Mahir Binici (capital flows under the "old" and the "new normal"), and Rasmus Tatum (safe haven currencies).
    Professor Pierre-Olivier Gourinchas of the University of California, Berkeley closed the animated conference by delivering a keynote speech on capital flows and macro-prudential policy. He demonstrated that international capital flows are strongly driven by the exchange rate regime, with global financial developments making flexible exchange rates more attractive. The effects of the monetary policy pursued in the United States on the country itself also prove to be very uncertain, which uncertainty probably plays an even greater role in other countries.
    A selection of papers presented at the conference and edited by the three conference organisers will be published in a special issue of the Journal of International Money and Finance.
  • A paper by Andrea Colciago titled 'Endogenous Market Structures and Optimal Taxation' has been accepted for publication at the Economic Journal. The paper provides optimal Ramsey dividend and labour income taxation in a framework characterized by alternative, imperfectly competitive, endogenous market structures. Market structures are said to be endogenous since the number of producers and price markups are determined in each period. A clear message emerging from the analysis is that the optimal dividend income tax rate is higher in market structures characterized by lower competition. Further, it is shown that the dividend income tax rate is procyclical, meaning that it decreases during expansions, whereas the labour income tax rate is countercyclical.
  • Best paper Award (Anna Samirina and Jakob de Haan)
    The paper 'Right on Target: Exploring The Factors Leading to Inflation Targeting Adoption' of Anna Samirina and Jakob de Haan that was published in Contemporary Economic Policy (CEP), vol. 32, issue 2, has been named Best Paper published in the Journal in 2014. The paper will be featured on the CEP website and also be available to download free of charge for the next three months.
  • Neeltje van Horen became a Research Fellow of the Financial Economics Programme of the Centre for Economic Policy Research (CEPR). The CEPR network of Research Fellows and Affiliates includes over 800 top economists conducting research on issues affecting the European economy. Its Research Fellows have an outstanding record of scholarly publications in leading international journals. By stimulating excellent, policy-relevant economic research and disseminating it widely to policy influencers in the public and private sectors and civil society, the CEPR attempts to enhance the quality of economic policy-making within Europe and beyond. VoxEU.org is the Centre’s policy portal.
  • Research Department successful at AEA/ASSA Annual Meeting in Boston
    The American Economic Association (AEA)/Allied Social Science Association (ASSA) Annual Meeting is held each year in January. This year, the conference was held in Boston, on 3-5 January. Thousands of economists gathered at the Sheraton Boston Hotel to exchange ideas, present papers and engage in debate. In between the sessions, Nobel prize winners including Jean Tirole, Bob Shiller, Lars Hansen and Robert Lucas could be spotted in the lobby enjoying a Starbucks coffee.
    Our own EBO Research Department was also represented with a delegation of three: Jakob de Haan, Steven Poelhekke and Wilko Bolt. On Saturday, Jakob held a presentation on income inequality and capitalism in a session on economic freedom and minority groups. On Sunday, Steven presented his paper on the benefits of foreign takeovers for companies, Jakob discussed a paper by a Banque de France researcher on lending and stress tests, and Wilko engaged in debate with New York Fed researchers about the best way to reduce large central bank reserves. 
    A central element of the Annual Meeting is the Job Market: a virtual market place for top-notch researchers. The supply side mainly consists of PhD students who are in the final stages of completing their thesis. The demand side is represented by universities, research institutes and other organisations with a research department. The job market attracts interested parties from all over the world, including a growing number of central banks. Almost all American Federal Reserve Banks were present in Boston, as well as the ECB, Bank of England, Sveriges Riksbank, Norges Bank, Suomen Pankki, Banco de España, Banca d'Italia and Banque de France. And so was DNB! Only the very best students come to the Job Market to find a job, while the employers are looking for top talents in order to enhance their reputation.      
    We interviewed a total of 14 PhD students: five from Italy, two from Germany and one from Argentina, Ecuador, France, Slovenia, Hungary, Bulgaria and Belgium. At home, at DNB, we also had an interview with a Dutch candidate from VU University. We found that although all candidates were highly talented individuals, not all of them matched the profile DNB is looking for. We will invite five candidates for further interviews at DNB. 
    All in all, we can say that our trip to Boston was a resounding success. Jakob's paper (co-authored by ETH Zurich researcher Jan-Egbert Sturm) was selected for publication in the Papers & Proceedings 2015 of the renowned American Economic Review. On top of this, Wilko Bolt was unanimously elected as a member of the International Banking and Finance Association (IBEFA) Executive Board. We hope that our recruitment efforts will also be successful, and that we will be able to welcome a new colleague to our Research Department soon.  


  • A new paper by Chen Zhou (jointly with John Einmahl (Tilburg University) and Laurens de Haan (Erasmus University Rotterdam)) entitled “Statistics of heteroscedastic extremes” has been accepted for publication in Journal of the Royal Statistical Society, Series B (JRSS-B). In this paper, the authors introduced a new set of tools to handle time variation in extreme events. The developed methodology can be applied to answer questions like "Are financial crises nowadays more frequent than before?" Empirical evidence confirms that extreme events in financial markets are indeed more likely during certain periods. As a side result, the paper delivers a preliminary tool to forecast risk measures, such as the Value-at-Risk, taking into account the trend in risk evolution.
  •  Tim de Vries wins 2014 Andreas Capital award for outstanding graduation projects on investment research. Tim de Vries (a former intern at DNB) has been presented with the 2014 Andreas Capital award for outstanding graduation projects on investment research for his Master’s thesis entitled: Sovereign Credit Ratings and Bond Yield Spreads in Europe; before and after Mario Draghi’s Speech.
  • Andreas Capital is an international wealth management and fiduciary services company based in Larochette, Luxemburg. It sets itself apart from its peers by applying the methodologies used by large institutional investors to the management of private and family wealth. In its drive for innovation and enhancing the theory of investing, Andreas Capital has launched an initiative to encourage innovative investment research by young students. To this end, the Andreas Capital Group together with the University of Tilburg has established an annual award for the best Finance Master’s thesis on investment.
  • The DNB Household Survey (DHS) has received the Data Seal of Approval (DSA) in August 2014. This international data label, established by a number of institutions committed to the long-term archiving of research data, indicates that the data is stored safely and in a sustainable way, and that they have been thoroughly checked for accuracy. The DSA is assigned by the DSA Board and renewed every year through a modification procedure. The Board consists of members from the following institutes: Alfred Wegener Institute (Germany), CINES (France), DANS (The Netherlands), ICPSR (USA), MPI for Psycholinguistics (The Netherlands), NESTOR (Germany) and UK Data Archive (United Kingdom).


  • At the 8th Journal of Financial Stability 2013 Conference on Risk, Banking and Financial Stability, Dr Razvan Vlahu (De Nederlandsche Bank) won the Best Paper Award for his paper (joint work with Martin Brown and Stefan Trautmann): Understanding Contagious Bank Runs. In this paper, the authors examine through which channels, and under which information conditions, a panic-based depositor-run at one bank may trigger a depositor-run at another bank.
  • A new paper by Maarten van Oordt entitled ‘Securitization and the dark side of diversification’ has been accepted for publication in the Journal of Financial Intermediation. Using a theoretical model, he examines potential new risk management strategies for financial institutions stemming from the creation of different tranches in securitizing loan portfolios.
    One of the surprising findings is that – under certain conditions – it can be particularly unfavourable for financial stability if institutions diversify by exchanging relatively safe tranches. Whether this is the case depends in part on the degree of leverage of the financial institutions involved. Exchanging relatively safe tranches can be especially disadvantageous from a risk management perspective for highly leveraged institutions. If carried out judiciously, however, exchanging tranches may strongly advance the resilience of financial institutions.
    Securitization and the dark side of diversification, Maarten R.C. van Oordt, Journal of Financial Intermediation, forthcoming.
  • The article "Transparency of banking supervisors" by Franka Liedorp, Robert Mosch, Carin van der Cruijsen and Jakob de Haan has been accepted for publication in IMF Economic Review. The authors have constructed an index of transparency of banking supervisors that takes political, economic, procedural, policy and operational transparency into account. Based on a survey, the index is constructed for 24 banking supervisors. The average score is 8.4 points (out of 15), whereas the minimum is 5.5 and the maximum 12 points. On average, political transparency is the highest in the sample, while procedural transparency is the lowest. The analysis suggests that it is very hard to identify factors that can explain the large differences in supervisory transparency, suggesting that country-specific developments drive transparency.
    Transparency of banking supervisors, Franka Liedorp, Robert Mosch, Carin van der Cruijsen and Jakob de Haan, IMF Economic Review, forthcoming.
  • A new paper by Chen Zhou (jointly with Laurens de Haan and Casper de Vries, both from Erasmus University Rotterdam) entitled “The number of active bidders in Internet auctions” has been accepted for publication in the Journal of Economic Theory. In this paper, the authors investigate why there are only a few active bidders in Internet auctions even if the auctions attract numerous agents. By modeling the valuations of the active bidders as a specific record sequence, the paper shows that if the number of potential bidders, n, is large, the number of active bidders is approximately 2log(n). This result potentially explains the relative inactivity. In addition, if the arrival of potential bidders forms a non-homogeneous Poisson process due to a time preference for auctions that are soon to close, then the arrival process of the active bidders is approximately a Poisson arrival process.
    The number of active bidders in Internet auctions, Laurens de Haan, Casper G. de Vries and Chen Zhou, Journal of Economic Theory, forthcoming.
  • Netspar grant for research about the pension preparation of small companies 
    Netspar is a network for  ‘Studies on Pensions, Aging and Retirement’ that makes grants available for researchers. Recently Mauro Mastrogiacomo (Financial Stability division and VU University ) has received a grant aiming to study the retirement preparation of freelancers in small companies. Are they, for instance, willing to take part in a collective pension fund?  
    The grant is financed by Netspar and VU University. Also DNB (the Dutch Central Bank), AFM (Authority for the Financial Markets), Robeco, the Ministry of Economic and Social affairs and other institutions are involved in this research  
    The research project starts on March 1st. Mauro will be appointed for 1 day a week as researcher within EBO (the research unit of the DNB), that will also accommodate the PhD and the post-doc that will be hired on this grant. 


  • A new paper by Neeltje van Horen (joint with Ralph de Haas of the EBRD) entitled “Running for the exit? International bank lending during a financial crisis” has been accepted for publication in the Review of Financial Studies. Using data on syndicated lending the authors provide insights in how banks reduced cross-border lending after the collapse of Lehman Brothers. The paper shows that substantial heterogeneity existed in the extent to which different banks retrenched from the same country: there was no blanket ‘run for the exit’. Instead, banks reduced credit less to markets that were geographically close; where they had more lending experience; where they operated a subsidiary; and where they were integrated into a network of domestic co-lenders. These results show that deeper financial integration is associated with more stable cross-border credit during times of crisis.
  • A new paper by Peter Wierts (joint with Roel Beetsma and Massimo Giuliodori from the University of Amsterdam and Benjamin Bluhm from Goethe University Frankfurt) entitled "From Budgetary Forecasts to Ex-Post Fiscal Data: Exploring the Evolution of Fiscal Forecast Errors in the EU" got accepted for Contemporary Economic Policy. In this paper, the authors investigate how ex post fiscal data differ from forecasts and nowcasts. The predictive content of fiscal plans is important, because it determines the reliability of the budget, while that of the nowcasts is important because these figures are an input for the next budget and may contain important signals about the fiscal stance. Findings show that, while fiscal plans are on average too optimistic relative to the nowcasts, nowcasts are overly optimistic relative to the ex-post figures. While most of the over optimism at the planning stage relative to the nowcast stage is driven by expenditures, revision errors are mainly caused by over optimism about revenues at the nowcast stage. Results also suggest that an improvement in the quality of institutions, whether measured by the tightness of national fiscal rules, the medium-term budgetary framework or budgetary transparency, increases the quality of budgetary reporting at both the planning and the nowcast stage. See link for the working paper version.
  • A paper by Joris de Wind (joint with Wouter den Haan of the London School of Economics) entitled "Nonlinear and stable perturbation-based approximations" got accepted for publication in the Journal of Economic Dynamics and Control. In this paper, the authors propose a nonlinear perturbation-based approximation method that---unlike standard higher-order perturbation---does generate stable time paths for sure and does not have odd shapes. Moreover, the proposed approximation method avoids the drawbacks that hamper pruning, a procedure proposed by Kim, Kim, Schaumburg, and Sims (2008) to avoid the instability problems of standard higher-order perturbation. The authors find that both the proposed approximation as well as the pruning procedure give a good qualitative insight in the nonlinear aspects of the true solution, but---with a few exceptions---differ from the true solution in some quantitative aspects, especially in severe peaks and throughs.


  • On 3-4 November 2011 we had organized our 14th Annual Research Conference in Amsterdam. This year's topic was 'Complex systems: Towards a better understanding of financial stability and crises'.
    In the face of the financial crisis, many policymakers felt abandoned by conventional economic tools. Serious limitations of existing economic and financial models immediately became apparent. Arbitrage broke down, markets froze and market participants were gripped by panic. Macro models failed to predict the crisis and seemed unable to deal with extreme situations and out-of-equilibrium dynamics.  Complex systems offer a new view on macroeconomic and financial phenomena where non-linear feedbacks and collective behavior play an important role.
    The conference’s aim was to bring together researchers and policymakers to deepen our understanding of macroeconomic and financial systems by using methods for complex systems developed in other fields, such as physics, engineering and biology, and to identify more efficient approaches for financial authorities and central banks to pursue their macroeconomic and financial stability goals.


  • 1 December 2010: DNB-researcher publishes in Journal of Financial Economics                                                                                                                                                                                                   Maarten van Rooij (Economics & Research Division) has had his paper ‘Financial Literacy and Stock Market Participation’ (joint with Annamaria Lusardi and Rob Alessie) accepted by JFE. This study measures financial literacy and its relationship with stock market participation. The findings suggest that the majority of respondents display basic financial knowledge and have some grasp of concepts such as interest compounding, inflation, and the time value of money. However, very few go beyond these basic concepts; many respondents do not know the difference between bonds and stocks, the relationship between bond prices and interest rates, and the basics of risk diversification. Most important, the results show that financial literacy affects financial decision-making: Those with low literacy are much less likely to invest in stocks.
  • March 3: New Visiting Scholar - Graciela Kaminsky
    From 8-12 March, Graciela Kaminksy (George Washington University) will be visiting DNB as a visiting scholar. She will present a paper titled: Two Hundred Years of Financial Integration: Latin America since Independence. Graciela Kaminsky is professor of Economics and International Affairs at George Washington University and Research Associate at the National Bureau of Economic Research. She has published widely in leading academic journals. Her research covers a variety of topics in macroeconomics and international finance, including financial globalization, mutual fund’s investment strategy, currency and banking crises, contagion, credibility, and inflation stabilization policies.
  • 12 January 2010: New Visiting Scholar - Dwight Jaffee
    From 12-15 January, Dwight Jaffee (Haas School of Business) will be visiting DNB as a visiting scholar. He will give a two-day course titled The U.S. Subprime Crisis: An Analysis of Proposed Banking and Financial Market Regulatory Reforms. Dwight Jaffee is the Willis Booth Professor of Banking, Finance and Real Estate in Haas School of Business, University of Califonia, Berkeley. He has written numerous articles. His current research focuses on the mortgage market and insurance supervision.
  • 12 January 2010: Markus Brunnermeier (Princeton University) visits DNB
    Markus Brunnermeier will present his paper titled 'A Macroeconomic Model with a Financial Sector' (written jointly with Yuliy Sannikov). He has done path-breaking research in a number of fields, including the relationship between financial intermediaries and macrovariables, global games, the relationship between funding and market liquidity, carry trades and currency crashes, and systemic risk. In the policy debate, he is mostly known for his contribution to the Geneva Report (The Fundamental Principles of Financial Regulation) and his analysis of the causes and dynamics of the crisis.


  • 28th November 2009: DNB Researcher publishes in Journal of Monetary Economics
    Vincent Sterk (Research Dept) has had his paper 'Credit Frictions and the Comovement between Durable and Non-durable Consumption' (DNB working paper no 210) accepted by the JME. This work analyses the relationship between credit frictions and macroeconomic fluctuation using a DSGE model, and finds that current attempts to model financial frictions cannot generate sufficiently volatile macro aggregates.
  • 2nd November 2009: New Visiting Scholar - Simon van Norden
    From 2-5 November, Simon van Norden (HEC Montreal) is at DNB as a visiting scholar. He will give a short course on data revision in macroeconomics and a research seminar.
  • 26th October 2009: DNB Working Paper featured in Handelsblatt
    A recent working paper (No 218) by Andreas Pick, Thomas Meyer and Michael Biggs on the relationship between credit impulses and GDP growth was discussed in an analysis piece in the German newspaper Handelsblatt.