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Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Pozzi, Lorenzo - Tinbergen Institute - 2007
consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … consumption changes. A more important part of aggregate consumption changes is explained by the unobserved component. The …
Persistent link: https://www.econbiz.de/10005209435
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House Prices, Second Mortgages and Household Savings; An Empirical Investigation for the Netherlands, 1987-1994
Rouwendal, Jan; Alessie, Rob - Tinbergen Institute - 2002
Since the beginnings of the eighties house prices in the Netherlands have increased steadily and considerably. In this paper we study the effect of this development on the demand for second mortgages and on the savings of Dutch households. We use the data of the Dutch socio-economic panel for...
Persistent link: https://www.econbiz.de/10005144443
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Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach
Pozzi, Lorenzo - Tinbergen Instituut - 2007
consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … consumption changes. A more important part of aggregate consumption changes is explained by the unobserved component. The …
Persistent link: https://www.econbiz.de/10011256286
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House Prices, Second Mortgages and Household Savings; An Empirical Investigation for the Netherlands, 1987-1994
Rouwendal, Jan; Alessie, Rob - Tinbergen Instituut - 2002
Since the beginnings of the eighties house prices in the Netherlands haveincreased steadily and considerably. In this paper we study the effect of this developmenton the demand for second mortgages and on the savings of Dutch households. We use the dataof the Dutch socio-economic panel for the...
Persistent link: https://www.econbiz.de/10011256325
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Time Series Modelling using TSMod 3.24
Bos, Charles S. - Tinbergen Instituut - 2003
TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review …
Persistent link: https://www.econbiz.de/10011255763
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Time Series Modelling using TSMod 3.24
Bos, Charles S. - Tinbergen Institute - 2003
TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review …
Persistent link: https://www.econbiz.de/10005137386
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Valuing Euro Rating-Triggered Step-Up Telecom Bonds
Houweling, Patrick; Mentink, Albert; Vorst, Ton - Tinbergen Instituut - 2003
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...
Persistent link: https://www.econbiz.de/10011255659
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999
specification, we use a newly developed test statistic that compares spread curves from competing models.<P>This discussion paper …
Persistent link: https://www.econbiz.de/10011255975
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Institute - 1999
specification, we use a newly developed test statistic that compares spread curves from competing models. …
Persistent link: https://www.econbiz.de/10005209449
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Valuing Euro Rating-Triggered Step-Up Telecom Bonds
Houweling, Patrick; Mentink, Albert; Vorst, Ton - Tinbergen Institute - 2003
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and
Persistent link: https://www.econbiz.de/10005209470