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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015
area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
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A theory of policy reversal
Dur, Robert A. J.; Swank, Otto H. - 1997
Persistent link: https://www.econbiz.de/10000968764
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An economic theory of policy advice
Swank, Otto H.; Letterie, Wilko A.; Dalen, Hendrik P. van - 1997
Persistent link: https://www.econbiz.de/10000970064
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The effect of fiscal rules on public investment if budget deficits are politically motivated
Dur, Robert A. J.; Peletier, Ben D.; Swank, Otto H. - 1997
Persistent link: https://www.econbiz.de/10000976081
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Budgeting principles under uncertainty
Dalen, Hendrik P. van; Swank, Otto H. - 1995
Persistent link: https://www.econbiz.de/10000921028
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Producing and manipulating information
Dur, Robert A. J.; Swank, Otto H. - 2003
To reduce the chances of policy failures, policy makers need information about the effects of policies. Sometimes, policy makers can rely on agents who already possess the information. Often, the information has yet to be produced. This raises two problems. First, for a policy maker it is hard...
Persistent link: https://www.econbiz.de/10011507674
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Model-based business cycle and financial cycle decomposition for Europe and the U.S.
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016
We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...
Persistent link: https://www.econbiz.de/10011520505
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Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
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The self-perception theory vs. a dynamic learning model
Swank, Otto H. - 2006
motivation may undermine intrinsic motivation. The self-perception (SP) theory developed by Bem (1972) explains this finding. The … crux of this theory is that people remember their past decisions and the extrinsic rewards they received, but they do not … recall their intrinsic motives. In this paper I show that the SP theory can be modeled as a variant of a conventional dynamic …
Persistent link: https://www.econbiz.de/10011349711
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...
Persistent link: https://www.econbiz.de/10011350384