Search results
Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model
PublicationWe propose a model-based method to estimate a unique financial cycle based on a rank-restricted multivariate state-space model. This permits us to use mixed-frequency data, allowing for longer sample periods. In our model the financial cycle dynamics are captured by an unobserved trigonometric cycle component. →
Are the savings of Dutch households optimal?
PublicationDutch households (implicitly) have an unusual mix of assets. Particularly their high level of mortgage debts and pension entitlements stand out in an international context. In this paper we examine how Dutch household wealth compares to the theoretically optimum. In general we find that Dutch households do not save too much. At retirement age, the median optimum assets are roughly the same as the median observed net assets of Dutch households. However the differences between households can be substantial. in particular have more assets than is optimal according to the model. Their observed wealth remains constant or sometimes even increases after retirement. →
Estimates of the Financial Cycle for Advanced Economies
PublicationUntil recently, macroeconomic theory provided at most a small role for the financial system to influence the real economy. This changed with the collapse of Lehman Brothers in 2008 and the financial crisis which followed. Financial quantities such as outstanding credit and house prices are now believed to have real macroeconomic effects. In order to study these effects we need to quantify the influence of the financial system. The financial cycle, characterized by long period cyclical movements in financial variables, may provide such a measure. →
De verscheidenheid van vermogens van huishoudens
Publication (in Dutch only)De verschillen tussen huishoudens zijn groot als het gaat om vermogens en schulden. In deze notitie brengen we de heterogeniteit tussen huishoudens in kaart. We bekijken de verschillende componenten in samenhang, inclusief de pensioenvermogens. We hebben de huishoudens ingedeeld naar leeftijd, naar arbeidssituatie (werknemer of zelfstandig) en naar woonsituatie (eigen woning of huur). →
Voorspellen van de werkloosheid. Kan het beter?
Publication (in Dutch only)Dit document beschrijft verschillende routes om de CPB-kortetermijnramingen van de werkloosheid te ondersteunen. Op basis van recente wetenschappelijke literatuur is onderzocht of de werkloosheid nauwkeuriger geraamd kan worden met tijdreeksmodellen. Daarnaast besteden we aandacht aan de kwaliteit van voorspellingen in de buurt van omslagpunten. →
Accounting for the Business Cycle Reduces the Estimated Losses from Systemic Banking Crises
PublicationAuthors
- Rob Luginbuhl (12)
- Adam Elbourne (5)
- Bert Smid (3)
- Rutger Teulings (3)
- Beau Soederhuizen (2)
- Harro van Heuvelen (2)
- Leon Bettendorf (2)
- Nicoleta Ciurila (2)
- Yvonne Adema (2)
- Alice Zulkarnain (1)
- Bas Scheer (1)
- Bert Kramer (1)
- Douwe Kingma (1)
- Gerdien Meijerink (1)
- Joris de Wind (1)
- Katarzyna Grabska (1)
- Kees Folmer (1)
- Sonny Kuijpers (1)
- Show all