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Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10010325790

Identifying the Weights in Exchange Market Pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....

Persistent link: https://www.econbiz.de/10010325742

Valuing Euro Rating-Triggered Step-Up Telecom Bonds

Houweling, Patrick; Mentink, Albert; Vorst, Ton - 2003

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...

Persistent link: https://www.econbiz.de/10010324990

The EURO, Prudent Coherence?

Arnold, Ivo J.M.; de Vries, Casper G. - 1998

EURO's will be more stable than thecurrent demand for national currencies. In policy circles this seeminglymoderating …

Persistent link: https://www.econbiz.de/10010324454

Has the Euro increased Trade?

Bun, Maurice J.G.; Klaassen, Franc J.G.M. - 2002

A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade …. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro … euro has significantly increased trade, with an effect of 4% in the first year and cumulating to around 40% in the long …

Persistent link: https://www.econbiz.de/10010325067

Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Kraeussl, R.; Lucas, A.; Rijsbergen, D.; van der Sluis, P.J. - 2008

This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

Persistent link: https://www.econbiz.de/10010325930

The Financial Trilemma

Schoenmaker, Dirk - 2011

The financial trilemma states that financial stability, financial integration and national financial policies are incompatible. Any two of the three objectives can be combined but not all three; one has to give. This paper develops a model to underpin the financial trilemma. Our findings for...

Persistent link: https://www.econbiz.de/10010326076

Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models

Groen, Jan J.J.; Kleibergen, Frank R. - 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10010324502

Aggregation Bias in Elasticities of Substitution and the Minimum Wage Paradox

Teulings, Coen N. - 1998

the bias. Estimation results for the United States show elasticities of complementarity to be underestimated by up to a …

Persistent link: https://www.econbiz.de/10010324516

What goes up sometimes stays up: Shocks and Institutions as Determinants of Unemployment Persistence

Amisano, Gianni; Serati, Massimiliano - 2002

We analyse the determinants of unemployment persistence in four OECDcountries byestimating a structural Bayesian VAR with an informative priorbased on an insiders/outsiders model. We explicitly insert unemployment ben-efits and labour taxes so that our identification is not affected by the Faust...

Persistent link: https://www.econbiz.de/10010324805