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Business and Default Cycles for Credit Risk

Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003

This discussion paper led to an article in the Journal of Applied Econometrics (2005). Vol. 20, issue 2, pages 311-323. Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles...

Persistent link: https://www.econbiz.de/10011255530

Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis

Adema, Yvonne; Pozzi, Lorenzo - Tinbergen Instituut - 2012

We investigate the cyclicality of the private savings to GDP ratio for a panel of 19 OECD countries over the period 1971-2009. We find robust evidence that the private savings ratio is countercyclical. Three theories unambiguously predict a higher private savings ratio during recessions: a...

Persistent link: https://www.econbiz.de/10011256485

Stock Selection, Style Rotation, and Risk

Lucas, André; Dijk, Ronald van; Kloek, Teun - Tinbergen Instituut - 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

Persistent link: https://www.econbiz.de/10011257058

Credit Cycles and Macro Fundamentals

Koopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; … - Tinbergen Instituut - 2006

This discussion paper resulted in an article in the Journal of Empirical Finance (2009). Vol. 16, issue 1, pages 42-54. We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from...

Persistent link: https://www.econbiz.de/10011257078

Business Cycles and Compositional Variation in U.S. Unemployment

Abbring, Jaap H.; Berg, Gerard J. van den; Ours, Jan C. van - Tinbergen Instituut - 1997

In the past decades several features of U.S. unemployment dynamics have been investigated empirically. The original focus of research was on the duration of unemployment. In later studies the cyclicality of incidence and duration, compositional effects and duration dependence of the exit rate...

Persistent link: https://www.econbiz.de/10011257090

Individual Mortality and Macro-Economic Conditions from Birth to Death

Lindeboom, Maarten; Portrait, France; Berg, Gerard J. … - Tinbergen Instituut - 2003

a recession to those born in the preceding boom, and we estimate duration models where the individual's mortality rate …

Persistent link: https://www.econbiz.de/10011256757

Recessions after Systemic Banking Crises: Does it matter how Governments intervene?

Wijnbergen, Sweder van; Homar, Timotej - Tinbergen Instituut - 2013

perspective, in particular how do they affect recession duration? We find that bank restructuring, which includes bank … recapitalizations, significantly reduces recession duration. The effect of liquidity support on the probability of recovery is positive …

Persistent link: https://www.econbiz.de/10011256408

Agglomeration Externalities and Localized Employment Growth

Vor, Friso de; Groot, Henri L.F. de - Tinbergen Instituut - 2008

between agglomeration externalities (specialization, diversity, and competition), accessibilty measures and the employment … growth of a particular industry on a particular site. We use data on employment growth of site-industries on 68 formal …

Persistent link: https://www.econbiz.de/10011255689

The Relationship between Firm Births and Job Creation

Stel, André van; Storey, David - Tinbergen Instituut - 2002

employment growth has previously been examined either with no time-lag or with only a short period lag. The current paper … find that the short-run employment impact of new-firm startups in British regions has been bigger in the 1990s compared to … the 1980s. Concerning long-run effects, we find that the employment impact of new-firm startups is strongest after about …

Persistent link: https://www.econbiz.de/10011257022

Horizontal Multinational Firms, Vertical Multinational Firms and Domestic Investment

Namini, Julian Emami; Pennings, Enrico - Tinbergen Instituut - 2009

We build a dynamic general equilibrium model with 2 countries, horizontal and vertical multinational activity and endogenous domestic and foreign investment. It is found that horizontal multinational activity always leads to a complementary relationship between domestic and foreign investment....

Persistent link: https://www.econbiz.de/10011256272