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

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

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

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

Regional Price Adjustment in a Monetary Union

Berk, Jan Marc; Swank, Job - Tinbergen Instituut - 2002

, notwithstanding that inflation in some countries tends to converge towards the euro area level. Overa11, inflation persistence has …

Persistent link: https://www.econbiz.de/10011256191

Behavioral Heterogeneity in U.S. Inflation Dynamics

Cornea, Adriana; Hommes, Cars; Massaro, Domenico - Tinbergen Instituut - 2013

In this paper we develop and estimate a behavioral model of inflation dynamics with monopolistic competition, staggered … naive. Fundamentalists are forward-looking in the sense that they believe in a present-value relationship between inflation … forecast future inflation. Agents are allowed to switch between these different forecasting strategies conditional on their …

Persistent link: https://www.econbiz.de/10011256332

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - Tinbergen Instituut - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …

Persistent link: https://www.econbiz.de/10011257504

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

Anglingkusumo, Reza - Tinbergen Instituut - 2005

crisis is empirically examined. The standard model for themonetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation inIndonesia remarkably weIl. Hence, there is an empirical support for the assertion that …

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

Asymmetric Price Responses of Gasoline Stations: Evidence for Heterogeneity of Retailers

Faber, Riemer P. - Tinbergen Instituut - 2009

This paper studies asymmetric price responses of individual firms, via daily retail prices of almost all gasoline stations in the Netherlands and suggested prices of the five largest oil companies over more than two years. I find that 38% of the stations respond asymmetrically to changes in the...

Persistent link: https://www.econbiz.de/10011256930

Trade Liberalization and Developing Countries under the Doha Round

Francois, J.; Meijl, H. van; Tongeren, F. van - Tinbergen Instituut - 2003

We explore the impact of multilateral liberalization, with emphasison distributional effects across countries. We first develop a realistic "base1ine" that takes into account events such as the entry of China into the WTO and the enlargement of the EU, allowing us to focus on those effects that...

Persistent link: https://www.econbiz.de/10011256432

On the Extent of Economic Integration: A Comparison of EU Countries and US States

Bowen, Harry P.; Munandar, Haris; Viaene, Jean-Marie - Tinbergen Instituut - 2010

This discussion paper led to a forthcoming publication in </I>Journal of Regional Science</I> entitled 'Are EU Countries less Integrated than US States? Theory and Evidence'.<P>European economic integration is commonly believed to be incomplete, and that further reforms are needed. In this context, the...</p>

Persistent link: https://www.econbiz.de/10011257234

Countries of a Feather flock together

Marrewijk, Charles van; Garita, Gus - Tinbergen Instituut - 2008

We analyze the economic forces underlying cross-border Mergers and Acquistions (M&As) using a large bilateral panel data set. The frequent occurrence of "zero" observations provides essential information on the structure of M&A flows, which we model empirically using a two-stage procedure. At...

Persistent link: https://www.econbiz.de/10011257313

Capital Regulation and Tail Risk

Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - Tinbergen Instituut - 2011

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...

Persistent link: https://www.econbiz.de/10011257356