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Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10009369369

Tenure Profiles and Efficient Separation in a Stochastic Productivity Model

Buhai, Sebastian; Teulings, Coen N. - Tinbergen Institute - 2005

This paper provides a new way of analyzing tenure profiles in wages, by modelling simultaneously the evolution of wages and the distribution of tenures. Starting point is the observation that within-job log wages for an individual can be described by random walk. We develop a theoretical model...

Persistent link: https://www.econbiz.de/10005137337

Modeling and Estimation of Synchronization in Multistate Markov-Switching Models

Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Institute - 2011

This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...

Persistent link: https://www.econbiz.de/10008838640

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10005144392

Integrating Expenditure and Income Data: What to do with the Statistical Discrepancy?

Beaulieu, J. Joseph; Bartelsman, Eric J. - Tinbergen Institute - 2004

The purpose of this paper is to build consistent, integrated datasets to investigate whether various disaggregated data can shed light on the possible sources of the statistical discrepancy. Our strategy is first to use disaggregated data to estimate consistent sets of input-output models that...

Persistent link: https://www.econbiz.de/10005795574

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Institute - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10005137081

Finite-State Markov Chains obey Benford's Law

Kaynar, Bahar; Berger, Arno; Hill, Theodore P.; Ridder, Ad - Tinbergen Institute - 2010

A sequence of real numbers (<I>x<sub>n</sub></I>) is Benford if the significands, i.e. the fraction

Persistent link: https://www.econbiz.de/10008838552

Credit Rationing Effects of Credit Value-at-Risk

Slijkerman, Jan Frederik; Smant, David J.C.; Vries, … - Tinbergen Institute - 2004

asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem … of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation … welfare. CVaR regulation also affects the operation of monetary policy. …

Persistent link: https://www.econbiz.de/10005136889

Incentives for Effective Risk Management

Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Institute - 2001

standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

Persistent link: https://www.econbiz.de/10005281967

Deregulating Sunday Shop Policies

Dijkgraaf, E.; Gradus, R.H.J.M. - Tinbergen Institute

Sunday shop opening is deregulated to the municipal level in the Netherlands. Despite positive effects on economic growth and employment, many municipalities restrict Sunday shop opening. Based on 2003 data we show that diverse local characteristics, like the size of municipalities and religious...

Persistent link: https://www.econbiz.de/10005209459

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