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Who is at the Top? Wealth Mobility over the Life Cycle

Hochguertel, Stefan; Ohlsson, Henry - Tinbergen Institute - 2012

Who is wealthy? This paper presents empirical estimates of household movements into and out of the top percents of the …

Persistent link: https://www.econbiz.de/10009415515

US and European Household Debt and Credit Constraints

Crook, Jonathan; Hochguertel, Stefan - Tinbergen Institute - 2007

the determinants of household debt holding and to investigate whether or not credit constraints are important for … household debt holding. We extend the existing literature in important ways. First, we present comparative evidence for four … countries at the micro level, where we rely on household panel data for two countries; we are thus able to control for …

Persistent link: https://www.econbiz.de/10005137368

Mapping the Minds of Retirement Planners

Hershey, Douglas A.; Henkens, Kène; Dalen, Hendrik P. van - Tinbergen Institute - 2006

This study explored the psychological mechanisms that underlie the retirement planning and saving tendencies of Dutch and American workers. Participants were 988 Dutch and 429 Americans, 25-64 years of age. Analyses were designed to: (a) examine the extent to which structural variables were...

Persistent link: https://www.econbiz.de/10005144426

Entrepreneurial Moral Hazard in Income Insurance

Ejrnaes, Mette; Hochguertel, Stefan - Tinbergen Institute - 2008

We study risk behavior of Danish self-employed entrepreneurs, whose income risk may be driven by both exogenous factors and effort choice (moral hazard). Partial insurance is available through voluntary unemployment insurance (UI). Additional incentives to sign insurance contracts stem from a...

Persistent link: https://www.econbiz.de/10005144470

Competing Risks in a Time on the Market Analysis

Wit, Erik R. de - Tinbergen Institute - 2010

Theoretical models on the selling process in the housing market are scarce. Taylor (1999) specifies a model where time-on-the-market gives a quality signal of the house to potential buyers if inspection outcomes of the house are not public. We specify a duration model with competing risks, where...

Persistent link: https://www.econbiz.de/10008838563

Stochastic Dominance: Convexity and Some Efficiency Tests

Lizyayev, Andrey M. - Tinbergen Institute - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We review

Persistent link: https://www.econbiz.de/10008513225

Equilibrium Selection in Games with Macroeconomic Complementarities

Kaarbøe, Oddvar M.; Tieman, Alexander F. - Tinbergen Institute - 1999

We apply the stochastic evolutionary approach of equilibrium selection to macroeconomic models in which a complementarity at the macro level is present. These models often exhibit multiple Pareto-ranked Nash equilibria, and the best response-correspondence of an individual increases with a...

Persistent link: https://www.econbiz.de/10005136898

A Comparison of Marginal Likelihood Computation Methods

Bos, Charles S. - Tinbergen Institute - 2002

In a Bayesian analysis, different models can be compared on the basis of the expected or marginal likelihood they attain. Many methods have been devised to compute the marginal likelihood, but simplicity is not the strongest point of most methods. At the same time, the precision of methods is...

Persistent link: https://www.econbiz.de/10005136902

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Institute - 2006

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient simulation algorithm exists for this process, at present this...

Persistent link: https://www.econbiz.de/10005136945

Reducing the Dimensionality of Linear Quadratic Control Problems

Balvers, Ronald J.; Mitchell, Douglas W. - Tinbergen Institute - 2001

In linear-quadratic control (LQC) problems with singular control cost matrix and/or singular transition matrix, we derive a reduction of the dimension of the Riccati matrix, simplifying iteration and solution. Employing a novel transformation, we show that, under a certain rank condition, the...

Persistent link: https://www.econbiz.de/10005136980