Maarten van Oordt - Latest

• Best Before? Expiring Central Bank Digital Currency and Loss Recovery

  Staff Working Paper 2021-67 Charles M. Kahn, Maarten van Oordt, Yu Zhu

  We consider introducing an expiry date for offline digital currency balances. Consumers whose digital cash expired would automatically receive the funds back into their online account. This functionality could increase demand for digital cash, with the time to expiry playing a key role.

  Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech JEL Code(s): E, E4, E41, E42

• Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies

  Staff Working Paper 2020-27 Rodney J. Garratt, Maarten van Oordt

  Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival.

  Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): G, G1, G10, L, L1, L11

• Privacy as a Public Good: A Case for Electronic Cash

  Staff Working Paper 2019-24 Rodney J. Garratt, Maarten van Oordt

  Cash gives users a high level of privacy when making payments, but the use of cash to make payments is declining. People increasingly use debit cards, credit cards or other methods to pay.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2, G28

• Entrepreneurial Incentives and the Role of Initial Coin Offerings

  Staff Working Paper 2019-18 Rodney J. Garratt, Maarten van Oordt

  Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates JEL Code(s): G, G3, G32

• Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

  Staff Working Paper 2018-54 Maarten van Oordt

  How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G21, G28

• Credit Risk Transfer and Bank Insolvency Risk

  Staff Working Paper 2017-59 Maarten van Oordt

  The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit risk management, Financial institutions, Financial stability JEL Code(s): G, G2, G21, G28, G3, G32

• On the Value of Virtual Currencies

  Staff Working Paper 2016-42 Wilko Bolt, Maarten van Oordt

  This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its supply); and third, the elements that jointly drive future consumer adoption and merchant acceptance of virtual currency.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Digital currencies and fintech, Exchange rates JEL Code(s): E, E4, E42, E5, E51, F, F3, F31, G, G1

• Timing of Banks’ Loan Loss Provisioning During the Crisis

  Staff Working Paper 2016-27 Leo de Haan, Maarten van Oordt

  We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2, G21, G3, G32

• Estimating Systematic Risk Under Extremely Adverse Market Conditions

  Staff Working Paper 2016-22 Maarten van Oordt, Chen Zhou

  This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, G, G0, G01