Recent empirical work has shown that ongoing international financial integration facilitates cross-country consumption risk-sharing. While these studies typically employ absolutemeasures to account for a country''s integration in international capital markets, we devise a relative measure that...

This paper analyzes the empirical link between asset prices, consumption and the trade balance using a global macroeconometric model developed by Pesaran, Schuermann, and Weiner (2004). The model is estimated for 29 countries with quarterly data over the period 1981Q1 - 2006Q4. Motivated by...

This paper compares two approaches towards the empirical inertia of inflation and output. Two variants that produce persistence are added to a baseline DSGE model of sticky prices: 1) sticky information applied to firms, workers, and households; and 2) a backward-looking inflation indexation...

We propose an approach for checking the data admissibility of non-stationary multivariate time series models (VAR or VARMA) through that of their implied individual ARIMA specifications. In particular we show that the presence of different kinds of common cyclical features restrictions, leading...

In this paper, we question whether there is a catch-up effect or announcement effectin Foreign Direct Investment (FDI) from the European Union (EU) to the ten EU accession countries. We study FDI outflows from the Netherlands, a small open economy with few historical ties to Eastern Europe, and...

Over de verhouding tussen overheid en markt wordt steeds vaker de grootst mogelijk onzin verkondigd. Dat gebeurt niet alleen in de universitaire (economische) wetenschap, maar vooral ook in de politieke wereld van de beleidsmakers. Dat heeft fatale gevolgen voor ons wetenschappelijk denken over...

We show that, complementary to trade and financial linkages, the strength of the bankingsector helps explain the transmission of currency crises. Specifically, we demonstrate thatthe Mexican, Thai, and Russian crises predominantly spread to countries with weaknesses intheir banking sectors. At...

The purpose of this paper is to propose a new measure of contagion. Our approach to testing contagion is based on the frequency analysis of causality developed recently by Breitung and Candelon (2004). This approach handles, in a unified framework, several of the statistical problems identified...

De situatie waarin de Nederlandse samenleving zich bevindt, lijkt rooskleurig, en tot op zekere hoogte is dat beeld juist. Maar een grondiger analyse laat ons zien dat het ordeprobleem groter wordt, ondanks de politieke aandacht die het krijgt. In dit artikel wordt betoogd dat de Nederlandse...

Empirical evidence shows that government spending crowds in private consumption, a Keynesian phenomenon. The current state of the art, New Keynesian models based on optimising households and _rms, is not able to predict such a result. We show with a graphical framework as well as a formal model...