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Privatization, Political Risk and Stock Market Development in Emerging Economies

Perotti, Enrico C.; Oijen, Pieter van - Tinbergen Instituut - 1999

This paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatization program represents a major political test that gradually resolves uncertainty...

Persistent link: https://www.econbiz.de/10011255862

Forecasting Interest Rates with Shifting Endpoints

Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - Tinbergen Instituut - 2012

">Journal of Applied Econometrics</A>, 2014, 29, pages 693-712. Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …

Persistent link: https://www.econbiz.de/10011257019

Level-Slope-Curvature - Fact or Artefact?

Lord, Roger; Pelsser, Antoon - Tinbergen Instituut - 2005

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

Persistent link: https://www.econbiz.de/10011256999

Estimating Loss Functions of Experts

Franses, Philip Hans; Legerstee, Rianne; Paap, Richard - Tinbergen Instituut - 2011

We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear...

Persistent link: https://www.econbiz.de/10011257050

A Multi-Scenario Forecast of Urban Change: A Study on Urban Growth in the Algarve

Vaz, Eric de Noronha; Nijkamp, Peter; Painho, Marco; … - Tinbergen Instituut - 2011

This discussion paper resulted in an article in Landscape and Urban Planning (2012). Volume 104, issue 2, pages 201-211. The Algarve region in Portugal is often considered as one of the most appealing regions for tourism in the country. Its attractive location and moderate climate have since the...

Persistent link: https://www.econbiz.de/10011257362

A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model

Kleijn, Richard; Dijk, Herman K. van - Tinbergen Instituut - 2001

The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...

Persistent link: https://www.econbiz.de/10011256984

A Tourism Conditions Index

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2014

Index (MCI). The empirical findings show that TCI weighted by spillovers reveal greater significance in forecasting the …

Persistent link: https://www.econbiz.de/10011272578

Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes

Wel, Michel van der; Menkveld, Albert; Sarkar, Asani - Tinbergen Instituut - 2009

We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...

Persistent link: https://www.econbiz.de/10011255454

Large Swings in Currencies driven by Fundamentals

Cumperayot, Phornchanok; Vries, Casper G. de - Tinbergen Instituut - 2006

Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...

Persistent link: https://www.econbiz.de/10011255570

Long Term Government Debt, Financial Fragility and Sovereign Default Risk

Kwaak, Christiaan van der; Wijnbergen, Sweder van - Tinbergen Instituut - 2013

We analyze the interaction between bank rescues, financial fragility and sovereign debt discounts. We construct a model that contains balance sheet constrained financial intermediaries financing both capital expenditure of intermediate goods producers and government deficits. The financial...

Persistent link: https://www.econbiz.de/10011255596