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When is Quantitative Easing effective?
Hoermann, Markus; Schabert, Andreas - Tinbergen Instituut - 2011
We present a simple macroeconomic model with open market operations that allows examining the effects of quantitative and credit easing. The central bank controls the policy rate, i.e. the price of money in open market operations, as well as the amount and the type of assets that are accepted as...
Persistent link: https://www.econbiz.de/10011255917
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Optimal Central Bank Lending
Schabert, Andreas - Tinbergen Instituut - 2010
We analyze optimal monetary policy in a sticky pricemodel where the central bank supplies money outrightvia asset purchases and lends money temporarily againstcollateral. The terms of central bank lending affect ra-tioning of money and impact on macroeconomic aggre-gates. The central bank can...
Persistent link: https://www.econbiz.de/10011257591
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
This discussion paper led to an article in the <I>Journal of Risk and Financial Management</I> (2014). Volume 7(2), pages 80-109.<P> In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where...</p></i>
Persistent link: https://www.econbiz.de/10011256164
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Countries of a Feather flock together
Marrewijk, Charles van; Garita, Gus - Tinbergen Instituut - 2008
Bergstrand and Egger (2007) on Rest of World GDP. …
Persistent link: https://www.econbiz.de/10011257313
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - Tinbergen Instituut - 2013
The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...
Persistent link: https://www.econbiz.de/10011256497
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10011256696
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Optimal Hedging with the Vector Autoregressive Model
Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014
correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite … period should be based on the weighted average of correlation and cointegration parameters. The results are general and can …
Persistent link: https://www.econbiz.de/10011257633
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Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003
) contemporaneous correlation in returns due to market-widefactors. For NYSE-listed Dutch stocks, home market hours are a factor three …
Persistent link: https://www.econbiz.de/10011256044
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Splitting Orders in Fragmented Markets
Menkveld, Bert - Tinbergen Instituut - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10011256874
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Recessions after Systemic Banking Crises: Does it matter how Governments intervene?
Wijnbergen, Sweder van; Homar, Timotej - Tinbergen Instituut - 2013
Systemic banking crises often continue into recessions with large output losses (Reinhart & Rogoff 2009a). In this paper we ask whether the way Governments intervene in the financial sector has an impact on the economy's subsequent performance. Our theoretical analysis focuses on bank incentives...
Persistent link: https://www.econbiz.de/10011256408