This study investigates the consequences of dynamics in the term structure of Dutch interest rates for the accurateness of value-at-risk models. Therefore, value-at-risk measures are calculated using historical simulation, variance-covariance and Monte Carlo simulation methods. For a ten days...

In this paper, a structural vector error correction model (S-VECM) is estimated to investigate three essential prerequisites for a successful monetary targeting strategy: stability, controllability and predictability. First, multivariate cointegration techniques are used to identify two...

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 American assets, thereby driving up the exchange rate. In this paper a modified portfolio balance model is presented, in which it is shown that the...

In this paper, the asymptotic distribution of the parameters of the moving average representation of structural VAR models with long run restrictions is derived. Moreover, it is shown that the structural model can easily be estimated in a two step procedure, where the reduced form model...

The 'sub-agentschap' of de Nederlandsche Bank did not figurate in the Bank Act 1863, but turned out to develop as a steppingstone between a correspondent and an agency of the Bank. This article considers the history of the office at Leyden, where between 1865 and 1969 a whole lifecycle of a...

This article surveys the history of the 'correspondentschap' Haarlem of the Dutch central Bank from its opening on January 1sr, 1865 till its closing down on the August 29th, 1969. It is written on request of the Vereniging Haerlem and will be published in its Jaarboek.

The measurement of risks associated with options is a complex business for a number of reasons. Firstly, option prices tend to be influenced in a non-linear manner by several variables. Unanticipated changes in the price or volatility of the underlying security or changes in interest rates are...

The measurement of risks associated with options is a complex business for a number of reasons. Firstly, option prices tend to be influenced in a non-linear manner by several variables. Unanticipated changes in the price or volatility of the underlying security or changes in interest rates are...