Showing 1 - 10 of 37
For the classification of industries within a certain country on the basis of their comparative trade advantage or trade disadvantage it is common practise to use the Balassa index. If the value of this index exceeds 1, the concomitant industry is thought to have a comparative trade advantage....
Persistent link: https://www.econbiz.de/10005106722
In this paper, a new method is introduced to predict currency crises. The method models a continuous crisis index, based on depreciations and reserve losses. The fact that during currency crises, the behaviour of market participants differs from normal circumstances is modelled by means of model...
Persistent link: https://www.econbiz.de/10005030240
Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend...
Persistent link: https://www.econbiz.de/10008861747
This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and unsecured money market transaction data of the...
Persistent link: https://www.econbiz.de/10010822704
This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...
Persistent link: https://www.econbiz.de/10010822694
This paper assesses the performance of core inflation measures based on the structural VAR approach. Since core or monetary inflation is not directly observable, we develop a monetary general equilibrium model that fits real aggregated European data and use this model to generate time series for...
Persistent link: https://www.econbiz.de/10005101901
This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot be explained by a linear propagation model of...
Persistent link: https://www.econbiz.de/10005101914
This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained by a linear model of constant correlation. By using a...
Persistent link: https://www.econbiz.de/10005106754
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...
Persistent link: https://www.econbiz.de/10005021845
This paper assesses the performance of core inflation measures based on the structural VAR approach. Since core or monetary inflation is not directly observable, we develop a monetary general equilibrium model that fits real aggregated European data and use this model to generate time series for...
Persistent link: https://www.econbiz.de/10005021897