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Disentangling the effect of household debt on consumption
PublicationWe estimate the contemporaneous relationship between household debt and consumption for the period 2006 to 2015. Using Dutch administrative data, we find that the average consumption of households with high debt has decreased much more during the crisis than that of other households. We disentangle this into an effect through the availability of credit for direct consumption and an effect through household debt overhang. →
Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?
PublicationA Review on ESBies - The senior tranche of sovereign bond-backed securities
PublicationSafe assets, assets with low risk and high liquidity, are the cornerstone for modern financial systems. The biggest holders of safe assets are banks, which need to hold safe assets to meet capital and liquidity requirements. Safe assets also provide high-quality, liquid collateral for banks’ repo transactions. Besides, safe assets provide benchmarks for the price formation of other financial assets. →
Forecasting long-term interest rates
PublicationThe long-term interest rate in the Euro area is an important exogenous input in CPB macro-econometric models to project the world economy and the Dutch economy, so it is important to have a reliable projection for it. However, there were concerns about the CPB practice of forecasting the long-term interest rate, especially over the inconsistency of long-term interest rate projections in the short and medium term. Therefore, this document compares the old CPB practice with several alternative forecasting methods for long-term interest rates, and evaluates these methods. →