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Regional Interest Rate Variations: Evidence from the Indonesian Credit Markets

Ridhwan, Masagus M.; Groot, Henri L.F. de; Rietveld, Piet; … - Tinbergen Instituut - 2012

This paper explores the determinants of regional differences in interest rates based on a simple theoretical model of loan pricing. The model demonstrates how risks, costs, market concentration and scale economies jointly determine the bank's interest rates. Using recent data of the Indonesian...

Persistent link: https://www.econbiz.de/10011256862

Committee Structure and its Implications for Monetary Policy Decision-making

Berk, Jan Marc; Bierut, Beata K. - Tinbergen Instituut - 2003

We investigate the implications for the setting of interest rateswhen monetary policy decisions are taken by a committee, in whicha subset of members may meet prior to the voting in the committeeand therefore has the possibility to reach consensus ex ante to voteunanimously ex post. We allow for...

Persistent link: https://www.econbiz.de/10011257062

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - Tinbergen Instituut - 2000

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

Persistent link: https://www.econbiz.de/10011255499

The Effects of Learning in Interactive Monetary Policy Committees

Berk, Jan Marc; Bierut, Beata K. - Tinbergen Instituut - 2004

We develop a theoretical framework for studying the effects of interaction on the quaJity of decision-making by monetary policy committees. We show that interaction, i.e. increasing one's expertise through an exchange of views, is most likely not to result in interdependent voting...

Persistent link: https://www.econbiz.de/10011256224

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

Persistent link: https://www.econbiz.de/10011256696

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Instituut - 2006

, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10011256849

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10011256964

Forecasting Interest Rates with Shifting Endpoints

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

"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> 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

The Stochastic Volatility in Mean Model

Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Instituut - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

Persistent link: https://www.econbiz.de/10011257033