In this paper, the relationship between excess returns on foreign exchange investment and inflation differentials and a measure of volatility is investigated for the European Monetary System. A high inflation rate relative to Germany leads to a real appreciation relative to the D-mark, which...

With the increased emphasis on market valuation in accounting rules and solvency regulation, the proper modeling of interest rate dynamics has become increasingly important for pension funds. A number of pension fund characteristics make these models particularly demanding. First, as the...

This note argues that the narrow exchange rate margins acted as a target for self-fulfilling speculative attacks leading to the quot;collapsequot; of the European Monetary System in August 1993. Exchange rate and interest rate behaviour after the collapse suggests that, by not immediately using...

In this study, we build two forecasting models to predict inflation Harmonised Index of Consumer Prices (HICP) for the Netherlands and for the euro area. The models provide point forecasts and prediction intervals for both the components of the HICP and the aggregated HICP-index itself. Both...

Market valuation is becoming more and more popular, both in accounting and regulation, as well as in academic circles. For pension funds and their participants, the knowledge that market-valued pension liabilities can indeed be transferred to a third party, if necessary, is a great virtue. Using...

This paper focuses on the interaction between regulation and competition in an industrial organisation model. We analyse how capital requirements affect the profitability of two banks that compete as Cournot duopolists on a market for loans. Bank management of both banks choose optimal levels of...

One popular view on the current strength of the US dollar is that the higher growth in the US compared to Europe has stimulated foreigners to buy US assets, thereby driving up the exchange rate. In this paper a modified portfolio balance model is presented, in which it is shown that the impact...

This study presents a pension model geared to the typical pension contract in the Netherlands. It is based on a defined benefit/average earnings pension system. Nominal benefits are guaranteed and indexation is intended. The model provides a framework for analysing adjustments to such factors as...