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Hindrayanto, Irma; Jacobs, Jan; Osborn, Denise - de Nederlandsche Bank - 2014

Traditional unobserved component models assume that the trend, cycle and seasonal components of an individual time series evolve separately over time. Although this assumption has been relaxed in recent papers that focus on trend-cycle interactions, it remains at the core of all seasonal...

Persistent link: https://www.econbiz.de/10010752366

What drives consumer confidence in times of financial crises? Evidence for the Netherlands

Neisingh, Paul; Stokman, Ad - de Nederlandsche Bank - 2013

Five years after Lehman Brothers defaulted, the Dutch consumer confidence is still very low. Based on a monthly time series analysis from 1978 onwards, we provide evidence that general economic indicators are not sufficient to explain consumer sentiment. We show that during the Great Recession...

Persistent link: https://www.econbiz.de/10010822707

Financial Acceleration of Booms and Busts

Kakes, Jan; Ullersma, Cees - de Nederlandsche Bank - 2005

For a panel of 20 industrialized countries from 1970 through 2002,we analyze the role of financial variables in economic cycles. We focus on equity busts, which are considered a proxy for downward revisions of economic prospects. Our empirical findings provide support for financial accelerator...

Persistent link: https://www.econbiz.de/10005106648

When Did Firms Become More Different? Time-Varying Firm-Specific Volatility in Japan

Veirman, Emmanuel de; Levin, Andrew - de Nederlandsche Bank - 2012

We document how firm-specific volatility in sales, earnings and employment growth evolved year by year in Japan. Our volatility measure also indicates the evolution of firm turnover. We find that patterns in firm-specific volatility have changed when macroeconomic circumstances have. Firm...

Persistent link: https://www.econbiz.de/10010757291

Is Eastern Europe ready for the Euro? A Cointegration Analysis for the Maastricht Criteria

Meister, I.S. - de Nederlandsche Bank - 2002

This report documents the results of cointegration analyses of the degree of convergence which the economies of the … central-eastern european countries (CEECs) have achieved towards the economies of the EMU countries. This cointegration …: inflation, the exchange rate, and the long-term interest rate. The main conclusion that can be drawn from this cointegration …

Persistent link: https://www.econbiz.de/10005021863

Cash versus debit card: the role of budget control

Hernandez, Lola; Jonker, Nicole; Kosse, Anneke - de Nederlandsche Bank - 2014

Due to the financial crisis, an increasing number of households face financial problems. This may lead to an increasing need for monitoring spending and budgets. We demonstrate that both cash and the debit card are perceived as helpful in this respect. We show that, on average, consumers...

Persistent link: https://www.econbiz.de/10010812609

Statistical evidence on the mean reversion of interest rates

End, Jan Willem van den - de Nederlandsche Bank - 2011

Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend...

Persistent link: https://www.econbiz.de/10008861747

Optimal Forecasts in the Presence of Structural Breaks

Pesaran, M Hashem; Pick, Andreas; Pranovich, Mikhail - de Nederlandsche Bank - 2011

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting observations to obtain optimal forecasts in the MSFE sense. We derive optimal weights for continuous and discrete break processes. Under continuous breaks, our approach recovers...

Persistent link: https://www.econbiz.de/10009395175

Do newspaper articles on card fraud affect debit card usage?

Kosse, Anneke - de Nederlandsche Bank - 2012

This paper investigates the impact of newspaper articles about skimming fraud on debit card usage in the Netherlands, using daily transaction data and daily newspaper announcements from January 1st 2005 to December 31st 2008. Key finding is that articles about skimming fraud significantly affect...

Persistent link: https://www.econbiz.de/10009652212

ECB Policy Making and the Financial Crisis

Gorter, Janko; Stolwijk, Fauve; Jacobs, Jan; Haan, Jakob de - de Nederlandsche Bank - 2010

We estimate Taylor rule models for the euro area using Consensus Economics forecasts of inflation and output growth for the period 1998.6-2010.8. We first examine whether the recent financial crisis has affected ECB policies. Our results indicate that the ECB puts stronger emphasis on...

Persistent link: https://www.econbiz.de/10008774018

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