Jan Kakes

Identifying the mechanism: is there a bank lending channel of monetary transmission in the Netherlands?

The paper investigates the role of bank lending in the monetary transmission process in the Netherlands. The Johansen approach is used to identify supply and demand relationships in the credit market, and it is concluded from the short-run dynamics that this market is demand-determined. In this way, an important identification problem of studies based on aggregate data is explicitly addressed. Results are consistent with earlier fundings that banks hold a buffer stock of securities which they use to offset monetary shocks. The main implication of the study is that a bank lending channel is not an important monetary transmission mechanism.

Do stock prices affect house prices? Evidence for the Netherlands

The relationship between stock prices and house prices is investigated by comparing different segments of the Dutch housing market. This connection is strongest for the most expensive segment, and is also related to homeowners’ stock market exposure. These findings support the idea that equity is a determinant of house prices.

Pensions in a perfect storm: financial behaviour of Dutch pension funds (2002–2005)

This article examines the financial behaviour of Dutch pension funds during 2002–2005, a turbulent period characterized by stock market corrections and historically low interest rates. Especially for industry-wide funds, financial transactions remained consistent with rebalancing a strategically fixed asset mix, which suggests that the pension sector had a stabilizing influence on financial markets. For company-linked funds, deteriorating funding ratios were counteracted by a rapid increase in pension contributions.

What drives bank earnings? Evidence for 28 banking sectors

The crisis has revived interest in the determinants of bank earnings. We investigate the relationship between profitability and balance sheet composition of 28 national banking sectors. Using Statistical Cost Accounting, we find a plausible pattern of individual assets’ and liabilities’ contributions to earnings and costs. Both wholesale and retail activities yield positive margins, while interbank lending and customer deposits are the most expensive funding sources. Wholesale finance has a positive effect on profitability, which may explain banks’ increasing reliance on it prior to the crisis. Economic growth and unemployment have a procyclical impact, while inflation tends to erode profitability.

Investment strategies of institutional investors: evidence from Dutch flow-of-funds data

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.