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Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis

Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - Tinbergen Instituut - 2013

Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements...

Persistent link: https://www.econbiz.de/10011255665

Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations

Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014

The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely … journals in the ISI category of “Business – Finance” using quantifiable Research Assessment Measures (RAMs). The analysis … the 89 ISI journals in Finance makes it clear that there are three leading journals in Finance, namely Journal of Finance …

Persistent link: https://www.econbiz.de/10011257606

Is Economic Recovery a Myth? Robust Estimation of Impulse Responses

Teulings, Coen N.; Zubanov, Nick - Tinbergen Institute - 2010

There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF)

Persistent link: https://www.econbiz.de/10008484062

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

Entrepreneurial Moral Hazard in Income Insurance

Ejrnaes, Mette; Hochguertel, Stefan - Tinbergen Institute - 2008

We study risk behavior of Danish self-employed entrepreneurs, whose income risk may be driven by both exogenous factors and effort choice (moral hazard). Partial insurance is available through voluntary unemployment insurance (UI). Additional incentives to sign insurance contracts stem from a...

Persistent link: https://www.econbiz.de/10005144470

Panel Data Estimates of the Production Function and Product and Labor Market Imperfections

Dobbelaere, Sabien; Mairesse, Jacques - Tinbergen Institute - 2009

Embedding the efficient bargaining model into the R. Hall (1988) approach for estimating price-cost margins shows that both imperfections in the product and labor markets generate a wedge between factor elasticities in the production function and their corresponding shares in revenue. This...

Persistent link: https://www.econbiz.de/10005144471

An Econometric Analysis of the Mental-health Effects of Major Events in the Life of Elderly Individuals

Lindeboom, Maarten; Portrait, France; Berg, Gerard J. … - Tinbergen Institute - 2001

Major events in the life of an elderly individual, such as retirement, a significant decrease in income, death of the spouse, disability, and a move to

Persistent link: https://www.econbiz.de/10005281827

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - Tinbergen Institute - 2011

We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have missing observations, and may exhibit common...

Persistent link: https://www.econbiz.de/10008867497

Nearly Unbiased Estimation in Dynamic Panel Data Models with Exogenous Variables

Carree, Martin A. - Tinbergen Instituut - 2002

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This estimator does not share some of the drawbacks of recently developed IVand GMM estimators and has a good performance even in small samples. The nearly unbiased estimatoris derived...

Persistent link: https://www.econbiz.de/10011255535

Insurance, Entrepreneurial Start-Up, and Performance

Ejrnæs, Mette; Hochguertel, Stefan - Tinbergen Instituut - 2014

Availability of (partial) insurance mechanisms is arguably important for the decision of (riskaverse) workers to start up a risky entrepreneurial venture. Using administrative data from Denmark, where unemployment insurance (UI) is available to both wage earners and self-employed on a voluntary...

Persistent link: https://www.econbiz.de/10011255609