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The Volatility Curse: Revisiting the Paradox of Plenty
Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009
mitigate the harmful causes of volatility. Our panel data estimation confirms our cross-country results, but we also offer …The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling …. This effect is significant and robust over a wide range of specifications. We unravel the effects of volatility by opening …
Persistent link: https://www.econbiz.de/10005106643
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The pungent smell of Red Herrings; Subsoil assets, rents, volatility and the resource curse
Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009
evidence that resource dependence leads to more volatility and thus indirectly to worse growth prospects. …
Persistent link: https://www.econbiz.de/10008475761
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The simple econometrics of tail dependence
Oordt, Maarten R.C. van; Zhou, Chen - de Nederlandsche Bank - 2011
. The advantage of the regression approach is contained by its straightforward extension to the estimation of higher …
Persistent link: https://www.econbiz.de/10009018575
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Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001
We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...
Persistent link: https://www.econbiz.de/10005021870
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On the predictability of GDP data revisions in the Netherlands
Roodenburg, Olivier - de Nederlandsche Bank - 2004
predictable to some extent. These results are strengthened when applying the more general state-space estimation procedure. The …
Persistent link: https://www.econbiz.de/10005101787
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A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets
Goorbergh, Rob van den - de Nederlandsche Bank - 2004
This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...
Persistent link: https://www.econbiz.de/10005101799
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Eurozone money demand: time series and dynamic panel results
Bosker, E.M. - de Nederlandsche Bank - 2003
The effectiveness of the important role for money in the monetary policy of the European Central Bank (ECB) is usually assessed by looking at time series estimates of the eurozone money demand equation. This implicitly calls for a choice of aggregation method to construct data series long enough...
Persistent link: https://www.econbiz.de/10005101883
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(EURO) Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel
Groen, J.J.J. - de Nederlandsche Bank - 2001
In this paper a panel of vector error correction models based on a common long-run relationship is utilized to test whether the DM exchange rates of Canada, Japan and the United States comply in the long-run with a rational expectations-based monetary exchange rate model. Compared to existing...
Persistent link: https://www.econbiz.de/10005106700
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Determinants of the real impact of banking crises: A review and new evidence
Wilms, Philip; Swank, Job; Haan, Jakob de - de Nederlandsche Bank - 2014
We examine which variables are robust in explaining cross-country differences in the real impact of systemic banking crises. Based on a meta-analysis, we identify 21 variables frequently used as determinants of the severity of crises. Employing nine proxies for crisis severity, we find that...
Persistent link: https://www.econbiz.de/10010885310
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Financial globalization or great financial expansion? The impact of capital flows on credit and banking crises
Frost, Jon; Tilburg, Ruben van - de Nederlandsche Bank - 2014
This paper empirically examines the impact of capital flows on credit growth, credit excesses and banking crises using quarterly panel data from 43 advanced (AEs) and emerging market economies (EMEs). Regressions show that gross capital inflows precede credit growth and credit excesses. Both...
Persistent link: https://www.econbiz.de/10010945598