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The Volatility Curse: Revisiting the Paradox of Plenty
Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009
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 … dependence, physical and institutional barriers to trade and associated policy shocks increase volatility sharply and harm growth …
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
analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework …
Persistent link: https://www.econbiz.de/10009018575
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On the predictability of GDP data revisions in the Netherlands
Roodenburg, Olivier - de Nederlandsche Bank - 2004
The first part of this paper is based on a study by Faust, Rogers and Wright (2004). They found someevidence of predictability of GDP revisions for the G-7 countrie s, especially for the UK, Italy and Japan. In this paper we investigate the quality of the first Dutch GDP releases by using 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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Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001
heterogeneous, and extend the asymptotic distribution theory to cover the case of an infinite cross-section dimension. The proposed …
Persistent link: https://www.econbiz.de/10005021870
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A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van - de Nederlandsche Bank - 2015
We introduce a structural dynamic network model of the formation of lending relationships in the unsecured interbank market. Banks are subject to random liquidity shocks and can form links with potential trading partners to bilaterally Nash bargain about loan conditions. To reduce credit risk...
Persistent link: https://www.econbiz.de/10011185013
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Loss shocks and the quantity and price of private export credit insurance: Evidence from a global insurer
Veer, Koen van der - de Nederlandsche Bank - 2015
Private trade credit insurance - covering the risk of non-payment - plays an important role in facilitating domestic and international trade, especially within Europe. Due to lack of data, however, very little is known about the influence of shocks on the market for private trade credit...
Persistent link: https://www.econbiz.de/10011188577