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A theoretical and empirical investigation on the validity of the uncovered interest parity
Blom, M.H.J. - de Nederlandsche Bank - 1999
In the empirical literature, not much support is found for the uncovered interest parity. Especially with free floating exchange rates, the forward rate is a biased predictor of the future exchange rate. This phenomenon can both be explained by an absence of rational expectations or by risk...
Persistent link: https://www.econbiz.de/10005021868
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Perspectieven voor een Europese onderhandse kapitaalmarkt
Lenior, O.J.P. - de Nederlandsche Bank - 1999
In Continentaal Europa zijn onderhandse kapitaalmarkten een belangrijke bron voor de financiering van de collectieve sector. In de Verenigde Staten daarentegen hebben onderhandse leningen een belangrijke rol in de ondernemingsfinanciering. Deze studie laat zien dat er mogelijk een Europese...
Persistent link: https://www.econbiz.de/10004970711
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What do we Understand about Exchange Rates
Vlaar, P.J.G. - de Nederlandsche Bank - 2002
One of the major puzzles of the economic profession is the pricing of exchange rates. Despite the development of numerous theories, the actual behaviour of exchange rates, especially in the short run, is not well understood. This article evaluates several popular exchange rate theories and...
Persistent link: https://www.econbiz.de/10005101887
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Contagion and capital flows: an empirical analysis of the Asian crisis
Wersch, L. van; Vlaar, P.J.G. - de Nederlandsche Bank - 2000
In the nineties, the number of currency crises has been high, both in the industrial world and among emerging countries. An important characteristic of many of these crises is that they started in one country but very soon affected others as well. Currency crises seemed to be contagious. In this...
Persistent link: https://www.econbiz.de/10005106699
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Insuring California earthquakes and the role for catastrophe bonds
Penalva, José - Department of Economics and Business, Universitat … - 2001
The 1994 Northridge earthquake sent ripples to insurance conpanies everywhere. This was one in a series of natural disasters such as Hurricane Andrew which together with the problems in Lloyd's of London have insurance companies running for cover. This paper presents a calibration of the U.S....
Persistent link: https://www.econbiz.de/10005827500
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De samenhang tussen beurskoersen en huizenprijzen
End, Jan Willem van den; Kakes, Jan - de Nederlandsche Bank - 2002
In this paper the relationship between stock prices and house prices is analysed for six countries over the years 1976 …-2001. We find that both asset prices show a positive long-term relationship, which can partly be explained by common macro …-economic factors such as credit, consumption and interest rates. Moreover, a direct and increasing interaction between stock prices and …
Persistent link: https://www.econbiz.de/10005101928