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Beating the random walk : a performance assessment of long-term interest rate forecasts

Butter, Frank A. G. den; Jansen, Pieter W. - 2008

Persistent link: https://www.econbiz.de/10003787153

Beating the random walk : a performance assessment of long-term interest rate forecasts

Butter, Frank A. G. den; Jansen, Pieter W. - 2008 - This version 27 October 2008

This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where...

Persistent link: https://www.econbiz.de/10011377250

Demography and provisions for retirement : the pension composition, an equilibrium approach

Praag, Bernard M. S. van; Hop, J. Peter - 2018

Pensions may be provided for in a modern society by several methods, viz., voluntary individual savings, mandatory fully funded occupational pension systems, and mandatory social security financed by pay-as-you-go. The specific mixture of the three systems we will call the pension composition....

Persistent link: https://www.econbiz.de/10011870742

State-aided price coordination in the dutch mortgage market

Dijkstra, Mark A.; Schinkel, Maarten-Pieter - 2019 - Revision: July 2019

mortgage providers but the largest bank shifted the Dutch mortgage market from a competitive to a collusive price leadership … equilibrium. In May 2009, mortgage rates in The Netherlands suddenly rose against the decreasing funding cost trend to almost a …, and estimate response adjustments in cointegrating equations on a large data set of daily mortgage rates 2004 …

Persistent link: https://www.econbiz.de/10011979609

Till debt do us part : strategic divorces and a test of moral hazard

Kim, Yeorim; Mastrogiacomo, Mauro; Hochgürtel, Stefan; … - 2022

debt. We study the Dutch context, where qualifying homeowners can buy into a mortgage guarantee scheme that insures the … administrative data, we find a significant, 44% increase in the probability to divorce for households with an underwater mortgage … mortgage. Their home equity averages to about €-50.000. Couples with similar characteristics just above the qualification …

Persistent link: https://www.econbiz.de/10013332708

Interest rate rules and macroeconomic stability under heterogeneous expectations

Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars H.; … - 2009

The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...

Persistent link: https://www.econbiz.de/10011378358

Money supply and the implementation of interest rate targets

Schabert, Andreas - 2005

In this paper, we analyze the relation between interest rate targets and money supply in a (bubble-free) rational expectations equilibrium of a standard cash-in-advance model. We examine lump-sum injections of money aimed to implement interest rate sequences that satisfy interest rate target...

Persistent link: https://www.econbiz.de/10011343954

The tax treatment of interest expenditures of multinational enterprises

Ossokina, Ioulia V.; Vollebergh, Herman R. J. - 2000

Persistent link: https://www.econbiz.de/10001483861

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

Persistent link: https://www.econbiz.de/10001503370

An analytically tractable interest rate model with humped volatility

Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996

Persistent link: https://www.econbiz.de/10000939515

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