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Derived Measurement in Macroeconomics: Two Approaches for Measuring the NAIRU Considered

Rodenburg, Peter - Tinbergen Institute - 2007

This paper investigates two different procedures for the measurement of the NAIRU; one based on structural modeling … (the NAIRU) and numbers. The paper argues that shifts of the Phillips-curve are not a problem for the structural approach … to measurement of the NAIRU, as the NAIRU itself is a time-varying concept. It is however, the impossibility to identify …

Persistent link: https://www.econbiz.de/10005450803

An Experimental Investigation of Wage Taxation and Unemployment in Closed and Open Economies

Riedl, Arno; Winden, Frans van - Tinbergen Institute

We investigate experimentally the economic effects of wage taxation to finance unemployment benefits for a closed economy and an international economy. The main findings are the following. (i) There is clear evidence of a vicious circle in the dynamic interaction between the wage tax and...

Persistent link: https://www.econbiz.de/10005209471

Exchange Rate Policy under Sovereign Default Risk

Schabert, Andreas - Tinbergen Institute - 2011

We examine monetary policy options for a small open economy where sovereign default might occur due to intertemporal insolvency. Under interest rate policy and floating exchange rates the equilibrium is indetermined. Under a fixed exchange rate the equilibrium is uniquely determined and...

Persistent link: https://www.econbiz.de/10008838618

Ageing and the Relative Price of Nontradeables

Bettendorf, Leon; Dewachter, Hans - Tinbergen Institute - 2007

In this paper we identify the effects of ageing on the relative price of nontradeables versus tradeables. We consider two cases. In a first specification, age effects only account for short-run dynamics. An alternative case allows for permanent age effects. Estimating the respective cases by...

Persistent link: https://www.econbiz.de/10005137105

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - Tinbergen Institute - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Persistent link: https://www.econbiz.de/10008838553

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form

Bos, Charles S.; Shephard, Neil - Tinbergen Institute - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10005144469

The Euro Introduction and Non-Euro Currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Institute - 2005

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10005137141

Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

Jong, Frank de; Mahieu, Ronald; Schotman, Peter; … - Tinbergen Institute - 1999

This paper uses Reuters exchange rate data to investigate the contributions to the price discovery process by individual banks in the foreign exchange market. We propose multivariate time series models as well as models in tick time to study the dynamic relations between the quotes of individual...

Persistent link: https://www.econbiz.de/10005137216

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel; Bos, Charles S.; Laurent, Sebastian - Tinbergen Institute - 2005

This paper is the first attempt to assess the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates (EUR/USD and YEN/USD) over the period 1989-2003. We identify the currency components of the mean...

Persistent link: https://www.econbiz.de/10005137342

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002

The linear Gaussian state space model for which the common variance is treated as a stochastic time-varying variable is considered for the modelling of economic time series. The focus of this paper is on the simultaneous estimation of parameters related to the stochastic processes of the mean...

Persistent link: https://www.econbiz.de/10005209436

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