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Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis

Anglingkusumo, Reza - Tinbergen Instituut - 2005

In this paper the effect of excess narrow money (MI) on C PI intlation in Indonesiabefore, during, and after the Asian crisis is empirically examined. The standard model for themonetary analysis of inflation, i.e. the P-Star model by Hallman-Porter-Small (1991), isapplied and tested empirically...

Persistent link: https://www.econbiz.de/10011257626

Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - Tinbergen Instituut - 2014

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero. We...

Persistent link: https://www.econbiz.de/10011271948

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002

This discussion paper led to an article in Statistica Neerlandica (2003). Vol. 57, issue 4, pages 439-469. The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this...

Persistent link: https://www.econbiz.de/10011255780

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Elkamhia, Redouane; Stefanova, Denitsa - Tinbergen Instituut - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...

Persistent link: https://www.econbiz.de/10011256409

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Instituut - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011256451

The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Instituut - 2007

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a …

Persistent link: https://www.econbiz.de/10011256468

How Diverse can Spatial Measures of Cultural Diversity be? Results from Monte Carlo Simulations on an Agent-Based Model

Arribas-Bel, Daniel; Nijkamp, Peter; Poot, Jacques - Tinbergen Instituut - 2014

Cultural diversity is a complex and multi-faceted concept. Commonly used quantitative measures of the spatial distribution of culturally-defined groups 'such as segregation, isolation or concentration indexes' are often only capable of identifying just one aspect of this distribution. The...

Persistent link: https://www.econbiz.de/10011256812

Correcting for Primary Study Misspecifications in Meta-Analysis

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Instituut - 2005

In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...

Persistent link: https://www.econbiz.de/10011256967

A Real Options Perspective on R&D Portfolio Diversification

Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han - Tinbergen Instituut - 2007

This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...

Persistent link: https://www.econbiz.de/10011257428

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Instituut - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011256282