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...

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

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> 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...</p>

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...

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...

A foundation is provided for a correct and accurate analysis of the relationship between monetary values and physical dimensions in economic production. A distinction is proposed between direct and indirect substitution. Linked to this, a classification is offered of various types of...

Nancy Cartwright views models as blueprints for nomological machines - machines which, if properly shielded, generate lawlike behaviour or regularities. Marcel Boumans has argued that we can look for devices inside models which enable us to measure aspects of these regularities. So, if models do...

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...

In this paper it is argued that the slowness of the legislativesystem implies pre-commitment of legislation for at least the periodit takes to change a law. A simple model illustrates the benefit ofthis pre-commitment.

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...