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...

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...

This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. Under realistic assumptions, we find that all agents can benefit from the...

We investigate actual capital chosen by banks in presence of capital minimum requirements and ex-post penalties for violating them. The model yields excess capital that is always positive and increases during times of distress in the economy, which is in line with empirical evidence. Next, we...

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...

The topic of convergence is at the heart of a wide-ranging debate in the growth literature. Empirical studies of convergence differ widely in their theoretical backgrounds, empirical specifications and in their treatment of cross-sectional heterogeneity. Despite these differences, a rate of...

This discussion paper led to a publication in <A href="http://books.google.nl/books?hl=nl&lr=&id=rqM2GtTl9NcC&oi=fnd&pg=PA309&dq=allesintitel:+%22Integrating+Expenditure+and+Income+Data%22&ots=k7CbcJlBhn&sig=8cJoITJe8wPXfrHVXFl99x_biXQ#v=onepage&q&f=false">(D.W. Jorgenson, J.S. Landefeld, W.D. Nordhaus, eds.) 'A New Architecture for the U.S. National Accounts', NBER Studies in Income and Wealth</A>, vol. 66, 309-54, University of Chicago Press, 2006.<P>The purpose of this paper is to build consistent,...</p></a>

This discussion paper led to an article in the <I>Journal of Applied Econometrics</I> (2005). Vol. 20, issue 2, pages 311-323.<P> 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...</p></i>

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...

This discussion paper resulted in an article in the <I>Journal of Empirical Finance</I> (2009). Vol. 16, issue 1, pages 42-54.<P> 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...</p></i>