Ronald Heijmans - Academia.edu (original) (raw)

Papers by Ronald Heijmans

Social Science Research Network, 2013

This paper investigates how changes in the monetary policy framework have affected the overnight ... more This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the overnight lending rate. The results show that modifications of the monetary policy framework in 2004 decreased the volatility of the rate. Since the turmoil of the crisis started the volatility increased again. Our method makes it possible for central banks to monitor the volatility of the rate and the impact of changes in the policy for the whole euro area.

Social Science Research Network, 2016

This paper investigates the impact of the "unconventional" monetary policy measures taken by the ... more This paper investigates the impact of the "unconventional" monetary policy measures taken by the Eurosystem on both the unsecured and the secured money markets. Furthermore, we provide insight into the shifts between the unsecured and secured markets. We provide a euro area overview and a Core-versus-Periphery breakdown. Our results show that: 1) there is a clear segmentation between Core and Periphery; 2) the use of the unsecured money market has decreased substantially and is no longer representative as a reflection of the euro area as a whole; and 3) the use of the secured money markets has increased substantially in value terms since the start of the crisis. Both the secured and the unsecured money markets reacted strongly to the first 3-year long term refinancing operations and quantitative easing. It is not to be expected that turnover in the money markets will revert to pre-crisis levels, in part because new regulation, such as the Basel III requirements, dissuades banks from engaging in short-term lending. Therefore, monetary policy experts should also devote their attention to steering the rates in the secured money market.

Social Science Research Network, 2014

This paper shows how large data sets can be visualized in a dynamic way to support exploratory re... more This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and unsecured money market transaction data of the Dutch part of the Eurosystem's large value payment system, TARGET2. We show how animation facilitates analysis at three different levels. First, animation shows how the market macrostructure develops. Second, it enables individual banks that are of interest to be followed. Finally, it facilitates a comparison of the same market at different moments in time and of different markets (such as countries) at the same moment in time.

Social Science Research Network, 2008

We present the application of network theory to the Dutch payment system with specific attention ... more We present the application of network theory to the Dutch payment system with specific attention to systemic stability. The network nodes comprise of domestic banks, large international banks and TARGET countries, the links are established by payments between the nodes. Traditional measures (transactions, values) first show payments are relatively well behaved through time and that the system does not contain a group of significant structural net receivers or payers among the participant institutions. Structural circular flows do, however, exist in the system, most prominently a large circular net flow between TARGET countries. Analysis of the properties of prominent network measures over time shows that fast network development takes place in the early phase of network formation of about one hour and slower development afterwards. The payment network is small (in actual nodes and links), compact (in path length and eccentricity) and sparse (in connectivity) for all time periods. In the long run, a mere 12% of the possible number of interbank connections is ever used and banks are on average only 2 steps apart. Relations in the network tend to be reciprocal. Our results also indicate that the network is susceptible to directed attacks. In a final section we show that the recent 'sub prime' turmoil in credit markets has not materially affected the network structure.

The journal of financial market infrastructures, Mar 1, 2014

We develop indicators for signs of liquidity shortages and potential financial problems of banks ... more We develop indicators for signs of liquidity shortages and potential financial problems of banks by studying transaction data of the Dutch part of the European real time gross settlement system and collateral management data. The indicators give information on 1) overall liquidity position, 2) the interbank money market, 3) the timing of payment flows, 4) the collateral's amount and use and 5) bank run signs. This information can be used both for monitoring the TARGET2 payment system and for individual banks' supervision. By studying these data before, during and after stressful events in the crisis, banks' reaction patterns are identified. These patterns are translated into a set of behavioural rules, which can be used in payment systems' stress scenario analyses, such as e.g. simulations and network topology. In the literature behaviour and reaction patterns in simulations are either ignored or very static. To perform realistic payment system simulations it is crucial to understand how banks react to shocks.

RePEc: Research Papers in Economics, 2013

Unconventional monetary policy measures included fixed-rate full allotment since October 2008; sw... more Unconventional monetary policy measures included fixed-rate full allotment since October 2008; swap agreements with other central banks (e.g., Federal Reserve, Swiss National Bank); extension of the collateral framework; extension of the duration of the refinancing operations (e.g., year tenders starting July 2009 and three-year tenders starting December 2011); the introduction of the Covered Bond Purchase Program (May 2009), the Securities Market Program (May 2010), and the Outright Monetary Transactions (September 2012).

Advances in finance, accounting, and economics book series, 2013

Simulations in large value payment systems have become a common tool for stress scenario analyses... more Simulations in large value payment systems have become a common tool for stress scenario analyses, often using historical data. The reason for simulating is that disruptions in payment systems are not very common. Simulation of realistic scenarios requires adequate preparation. As part of the preparation, it is essential 1) to have a thorough understanding of the structure of the investigated market, 2) to potentially remove certain types of transactions, such as funding-related transactions (interbank loans), and 3) to understand how banks react to a shock. The financial crisis starting in the summer of 2007 caused several stressful events worldwide and provided insight into how banks behaved during these events.

HAL (Le Centre pour la Communication Scientifique Directe), Jun 1, 2016

This paper shows how large data sets can be visualized in a dynamic way to support data explorati... more This paper shows how large data sets can be visualized in a dynamic way to support data exploration, highlight econometric results or provide early warning information. We use payments and unsecured money market transaction data from the Dutch part of the Eurosystem's large value payment system, TARGET2, to showcase how video animations facilitate analysis at three different levels. First, animation shows how the market macrostructure develops. Second, it enables us to follow individual banks that are of interest. Finally, it facilitates a comparison of the same market at different times, and of different markets (such as countries) at the same time.

Advances in finance, accounting, and economics book series, 2016

In this chapter the authors provide a method to aggregate large value payment system transaction ... more In this chapter the authors provide a method to aggregate large value payment system transaction data for executing simulations with the Bank of Finland payment simulator. When transaction data sets get large, simulation may become too time consuming in terms of computer power. Therefore, insufficient data from a statistical point of view can be processed. The method described in this chapter provides a solution to this statistical problem. In order to work around this problem the authors provide a method to aggregate transaction data set in such a way that it does not compromise the outcome of the simulation significantly. Depending on the type of simulations only a few business days or up to a year of data is required. In case of stress scenario analysis, in which e.g. liquidity position of banks deteriorates, long time series are preferred as business days can differ substantially. As an example this chapter shows that aggregating all low value transactions in the Dutch part of TARGET2 will not lead to a significantly different simulation outcome.

RePEc: Research Papers in Economics, Aug 18, 2021

We study the impact of tiered settlement on relative intraday liquidity use (liquidity consumptio... more We study the impact of tiered settlement on relative intraday liquidity use (liquidity consumption) for settlement banks in TARGET2. We estimate a panel data model employing transaction-level data from 2010 to 2019 which shows that a higher share of tiered payments from client banks reduces relative liquidity consumption by settlement banks. Metrics on timing, delay, and payment priorities suggest that settlement banks can make use of more leeway in settling tiered payments from client banks compared to their own payments. Payment timing as a proxy for external delay suggests that tiered payments are used to smooth settlement banks' liquidity positions. Results on payment delay within the system show no clear dynamic over time, whereas payment priorities are consistently lower for tiered payments. We conclude that to some degree settlement banks employ tiered arrangements to manage intraday liquidity more efficiently. To a certain extent this hints to "free riding" or higher recycling of liquidity from client banks' payments. However, the results * The authors thank participants of the 55th Annual Conference of the Canadian Economics Association and the 13th Payment and Settlement System Simulation Seminar at the Bank of Finland. We thank James Chapman, Anneke Kosse and Segun Bewaji for very helpful comments and suggestions and Constanza Martínez for an excellent discussion of preliminary results,. Excellent research assistance was provided by Josefine Quast during early stages of the work. Diehl, Heijmans and Paulick are members of one of the user groups with access to TARGET2 data in accordance with Article 1(2) of Decision ECB/2017/2080 of 22 September 2017 on access to and use of certain TARGET2 data. The Deutsche Bundesbank, De Nederlandsche Bank and the MIB have checked the paper against the rules for guaranteeing the confidentiality of transaction-level data imposed by the MIB pursuant to Article 1(4) of the above mentioned issue. The views expressed in the paper are solely those of the authors and do not necessarily represent the views of LCH, the Deutsche Bundesbank, De Nederlandsche Bank or the Eurosystem.

SSRN Electronic Journal, 2017

This paper identifies quantitative risks in financial market infrastructures (FMIs), which are in... more This paper identifies quantitative risks in financial market infrastructures (FMIs), which are inspired by the Principles for Financial Market Infrastructures. We convert transaction level data into indicators that provide information on operational risk, changes in the network structure and interdependencies. As a proof of concept we use TARGET2 level data. The indicators are based on legislation, guidelines and their own history. Indicators that are based on their own history are corrected for cyclical patterns. We also define a method for setting the signaling threshold of relevant changes. For the signaling, we opt for a traffic light approach: a green, yellow or red light for a small, moderate or substantial change in the indicator, respectively. The indicators developed in this paper can be used by overseers and operators of FMIs and by financial stability experts.

SSRN Electronic Journal, 2016

The Journal of Financial Market Infrastructures, 2013

Analyzing the Economics of Financial Market Infrastructures

Tools and Emerging Applications

SSRN Electronic Journal, 2013

The Journal of Network Theory in Finance, 2016

SSRN Electronic Journal, 2000

We investigate the euro unsecured interbank money market during the current financial crisis. To ... more We investigate the euro unsecured interbank money market during the current financial crisis. To identify the loans traded in this market and settled in TARGET2, we extend the algorithm developed by and adapt it to the European interbank loan market with maturity up to one year. This paper solves the problem of systematic errors which occur when you only look at overnight loans (as the Furfine algorithm does). These errors especially occur in times of (very) low interest rates. The algorithm allows us to track the actual interest rates rather than quoted interest rates on liquidity trading by participants of the Dutch part of the euro large value payment system (TARGET2-NL). The algorithm enables us to constitute the Dutch part of the EONIA, making it possible to compare the interest rates developments in the Dutch market to the European average ones. Based on the new algorithm, we develop a policy tool to monitor the interbank money market, both at macro level (whole market) and individual bank level (Money Market Monitoring Dashboard).

This experimental study investigates the behaviour of banks in a large value payment system. More... more This experimental study investigates the behaviour of banks in a large value payment system. More specifically, we look at 1) the reactions of banks to disruptions in the payment system, 2) the way in which the history of disruptions affects the behaviour of banks (path dependency) and 3) the effect of more concentration in the payment system (heterogeneous market versus