Tinbergen Institute

Displaying 1-23 of 23 results

  • White Papers // Aug 2011

    Knowledge Virtualization and Local Connectedness Among Smart High-Tech Companies

    Smart high-tech companies are characterized by knowledge intensity and open innovation. Even when these companies emerge in spatial clusters or dense urban places, they may utilize knowledge networks on a global scale. However, there is not much insight into the factors that shape knowledge networks, the role of virtualization herein...

    Provided By Tinbergen Institute

  • White Papers // Feb 2011

    Observation Driven Mixed- Measurement Dynamic Factor Models With An Application To Credit Risk

    The authors propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have missing observations, and may exhibit common dynamics and cross-sectional dependence due to...

    Provided By Tinbergen Institute

  • White Papers // Feb 2011

    CDOs And The Financial Crisis: Credit Ratings And Fair Premia

    This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured finance markets. Tranche yield enhancement...

    Provided By Tinbergen Institute

  • White Papers // Feb 2011

    The Impact Of Cross-Border Banking On Financial Stability

    This paper focuses on the stability aspects of cross-border banking. The authors first argue that cross-border banking brings about various benefits and costs for financial stability. Based on this, they draw conclusions for the desirability of cross-border banking in the EU, and derive implications for its optimal form. Next, they...

    Provided By Tinbergen Institute

  • White Papers // Jan 2011

    The Financial Trilemma

    The financial trilemma states that financial stability, financial integration and national financial policies are incompatible. Any two of the three objectives can be combined but not all three; one has to give. This paper develops a model to underpin the financial trilemma. The authors' findings for financial integration suggest that...

    Provided By Tinbergen Institute

  • White Papers // Jan 2011

    Measuring Financial Market Integration Over The Long Run: Is There A U-Shape?

    Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, the author finds that financial market integration by the end of the 20th century was higher than in earlier periods and exhibited a J -shaped trend with a trough in the 1920s. The main...

    Provided By Tinbergen Institute

  • White Papers // Nov 2010

    A Dynamic Model Of Investor Decision-Making

    According to disposition effect theory, people hold losing investments too long. However, many investors eventually sell at a loss, and little is known about which psychological factors contribute to these capitulation decisions. This paper integrates prospect theory, utility maximization theory, and theory on reference point adaptation to argue that the...

    Provided By Tinbergen Institute

  • White Papers // Sep 2010

    Happiness And Financial Satisfaction In Israel: Effects Of Religiosity, Ethnicity, And War

    The authors analyze individual satisfaction with life as a whole and satisfaction with the personal financial situation for Israeli citizens of Jewish and Arab descent. The data set is the Israeli Social Survey (2006). They are especially interested in the impact of the religions Judaism, Islam and Christianity, where they...

    Provided By Tinbergen Institute

  • White Papers // Sep 2010

    Bank Ownership And Financial Stability

    The authors study how political choices on the allocation of bank control affect bank instability. The political trade o? between lobby contributions and social welfare is determined by political accountability. When accountability is low, inefficient state banks are chosen to maximize extraction. As accountability rises, a shift to private control...

    Provided By Tinbergen Institute

  • White Papers // Aug 2010

    Macro, Industry And Frailty Effects In Defaults: The 2008 Credit Crisis In Perspective

    In the aftermath of the financial crisis, banks in the U.S. and Europe have been subjected to a sequence of stress tests to measure system stability. Such tests are formulated in terms of adverse economic scenarios rather than in terms of systematic default rate increases. This suggests that macroeconomic conditions...

    Provided By Tinbergen Institute

  • White Papers // Aug 2010

    Measuring Socioeconomic Inequality In Health, Health Care And Health Financing By Means Of Rank- Dependent Indices: A Recipe For Good Practice

    The tools to be used and other choices to be made when measuring socioeconomic inequalities with rank-dependent inequality indices have recently been debated in this journal. This paper adds to this debate by stressing the importance of the measurement scale, by providing formal proofs of several issues in the debate,...

    Provided By Tinbergen Institute

  • White Papers // Jul 2010

    Insurance Search And Switching Behavior

    This paper looks into the search behavior of consumers in the market for health insurance contracts. The authors consider the recent health insurance reform in The Netherlands, where a private-public mix of insurance provision was replaced by a system based on managed competition. Although all insurers offer the same basic...

    Provided By Tinbergen Institute

  • White Papers // May 2010

    Evidence On A Real Business Cycle Model With Neutral And Investment- Specific Technology Shocks Using Bayesian Model Averaging

    The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of Vector AutoRegressive (VAR) processes. The linear VAR model is extended to permit cointegration, a...

    Provided By Tinbergen Institute

  • White Papers // Apr 2010

    The Impact Of Monetary Policy On Economic Activity - Evidence From A Meta-analysis

    This paper presents the findings a meta-analysis identifying the causes of variation in the impact of monetary policies on economic development. The sample of observations included in the authors' meta-analysis is drawn from primary studies that uniformly employ Vector AutoRegressive (VAR) models. Their findings reveal that capital intensity, financial deepening,...

    Provided By Tinbergen Institute

  • White Papers // Apr 2010

    Competitive Prices As Profit-Maximizing Cartel Prices

    It is well-known that in an infinitely-repeated oligopoly model, almost all prices, including the monopoly price, can be sustained by trigger strategy profiles as cartel prices for sufficiently patient firms. Since the monopoly price leads to the highest deadweight loss in social welfare, the effects of antitrust enforcement are often...

    Provided By Tinbergen Institute

  • White Papers // Mar 2010

    The Macroeconomics Of The Credit Crisis: In Search Of Externalities For Macro- Prudential Supervision

    In the analysis of the credit crisis of 2007-2010 a clear distinction should be made between the initial shock; the propagation and amplification of the initial shock to the systemic crisis of the financial markets; and the transmission of the credit crisis to the real economic sector causing a major...

    Provided By Tinbergen Institute

  • White Papers // Dec 2009

    Economic Growth And The Volatility Of Foreign Aid

    Foreign aid's effectiveness in promoting economic growth remains mired in controversy. The authors examine the impact of the volatility of aid on economic growth, controlling for the level of aid. A four-year panel analysis is conducted encompassing 155 countries over the period 1966-2001. They find that once the volatility of...

    Provided By Tinbergen Institute

  • White Papers // Jun 2009

    The Pricing Of Bank Debt Guarantees

    The authors analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution framework. They show that the desirability of fair pricing of guarantees depends on the degree of transparency of the banking sector: in relatively opaque banking systems, fair pricing exacerbates banks' incentive to...

    Provided By Tinbergen Institute

  • White Papers // Apr 2009

    Strategic Versus Financial Investors: The Role Of Strategic Objectives In Financial Contracting

    Strategic investors, such as corporate venture capitalists, engage in the financing of start-up firms to complement their core businesses and to facilitate the internalization of externalities. The authors argue that while strategic objectives make it more worthwhile for an investor to elicit high entrepreneurial effort, they can also undermine his...

    Provided By Tinbergen Institute

  • White Papers // Feb 2009

    Coordination Frictions And The Financial Crisis

    In this paper, the author argues that the desirability of fiscal policy in response to the current crisis depends on whether one views the current crisis as a temporary deviation from a unique equilibrium or as a bad equilibrium out of multiple equilibria. The paper presents a simple Diamond (1982)...

    Provided By Tinbergen Institute

  • White Papers // Jan 2009

    Public Initiatives To Support Entrepreneurs: Credit Guarantees Versus Co-Funding

    The authors analyze financial support for the entrepreneurial sector. State support can raise welfare by relaxing financial constraints, but it can also reduce lending standards if entrepreneurs substitute public sources of collateral for their own assets, if it encourages excessive entrepreneurial entry, or if it undermines bank monitoring incentives. They...

    Provided By Tinbergen Institute

  • White Papers // Jan 2009

    Horizontal Multinational Firms, Vertical Multinational Firms And Domestic Investment

    The authors build a dynamic general equilibrium model with 2 countries, horizontal and vertical multinational activity and endogenous domestic and foreign investment. It is found that horizontal multinational activity always leads to a complementary relationship between domestic and foreign investment. Vertical multinational activity, in contrast, leads to either a substitutional...

    Provided By Tinbergen Institute

  • White Papers // Nov 2006

    Investor Protection And Entry

    Entry requires external finance, especially for less wealthy entrepreneurs, so poor investor protection limits competition. The authors model how incumbents lobby harder to block access to finance to entrants when politicians are less accountable to voters. In a broad cross-section of countries and industries, they find that entry rates and...

    Provided By Tinbergen Institute

  • White Papers // Aug 2010

    Macro, Industry And Frailty Effects In Defaults: The 2008 Credit Crisis In Perspective

    In the aftermath of the financial crisis, banks in the U.S. and Europe have been subjected to a sequence of stress tests to measure system stability. Such tests are formulated in terms of adverse economic scenarios rather than in terms of systematic default rate increases. This suggests that macroeconomic conditions...

    Provided By Tinbergen Institute

  • White Papers // Apr 2010

    The Impact Of Monetary Policy On Economic Activity - Evidence From A Meta-analysis

    This paper presents the findings a meta-analysis identifying the causes of variation in the impact of monetary policies on economic development. The sample of observations included in the authors' meta-analysis is drawn from primary studies that uniformly employ Vector AutoRegressive (VAR) models. Their findings reveal that capital intensity, financial deepening,...

    Provided By Tinbergen Institute

  • White Papers // Feb 2011

    The Impact Of Cross-Border Banking On Financial Stability

    This paper focuses on the stability aspects of cross-border banking. The authors first argue that cross-border banking brings about various benefits and costs for financial stability. Based on this, they draw conclusions for the desirability of cross-border banking in the EU, and derive implications for its optimal form. Next, they...

    Provided By Tinbergen Institute

  • White Papers // Feb 2011

    Observation Driven Mixed- Measurement Dynamic Factor Models With An Application To Credit Risk

    The authors propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have missing observations, and may exhibit common dynamics and cross-sectional dependence due to...

    Provided By Tinbergen Institute

  • White Papers // Feb 2011

    CDOs And The Financial Crisis: Credit Ratings And Fair Premia

    This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured finance markets. Tranche yield enhancement...

    Provided By Tinbergen Institute

  • White Papers // Jan 2011

    The Financial Trilemma

    The financial trilemma states that financial stability, financial integration and national financial policies are incompatible. Any two of the three objectives can be combined but not all three; one has to give. This paper develops a model to underpin the financial trilemma. The authors' findings for financial integration suggest that...

    Provided By Tinbergen Institute

  • White Papers // Jan 2011

    Measuring Financial Market Integration Over The Long Run: Is There A U-Shape?

    Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, the author finds that financial market integration by the end of the 20th century was higher than in earlier periods and exhibited a J -shaped trend with a trough in the 1920s. The main...

    Provided By Tinbergen Institute

  • White Papers // Sep 2010

    Happiness And Financial Satisfaction In Israel: Effects Of Religiosity, Ethnicity, And War

    The authors analyze individual satisfaction with life as a whole and satisfaction with the personal financial situation for Israeli citizens of Jewish and Arab descent. The data set is the Israeli Social Survey (2006). They are especially interested in the impact of the religions Judaism, Islam and Christianity, where they...

    Provided By Tinbergen Institute

  • White Papers // Aug 2010

    Measuring Socioeconomic Inequality In Health, Health Care And Health Financing By Means Of Rank- Dependent Indices: A Recipe For Good Practice

    The tools to be used and other choices to be made when measuring socioeconomic inequalities with rank-dependent inequality indices have recently been debated in this journal. This paper adds to this debate by stressing the importance of the measurement scale, by providing formal proofs of several issues in the debate,...

    Provided By Tinbergen Institute

  • White Papers // Sep 2010

    Bank Ownership And Financial Stability

    The authors study how political choices on the allocation of bank control affect bank instability. The political trade o? between lobby contributions and social welfare is determined by political accountability. When accountability is low, inefficient state banks are chosen to maximize extraction. As accountability rises, a shift to private control...

    Provided By Tinbergen Institute

  • White Papers // May 2010

    Evidence On A Real Business Cycle Model With Neutral And Investment- Specific Technology Shocks Using Bayesian Model Averaging

    The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of Vector AutoRegressive (VAR) processes. The linear VAR model is extended to permit cointegration, a...

    Provided By Tinbergen Institute

  • White Papers // Mar 2010

    The Macroeconomics Of The Credit Crisis: In Search Of Externalities For Macro- Prudential Supervision

    In the analysis of the credit crisis of 2007-2010 a clear distinction should be made between the initial shock; the propagation and amplification of the initial shock to the systemic crisis of the financial markets; and the transmission of the credit crisis to the real economic sector causing a major...

    Provided By Tinbergen Institute

  • White Papers // Apr 2009

    Strategic Versus Financial Investors: The Role Of Strategic Objectives In Financial Contracting

    Strategic investors, such as corporate venture capitalists, engage in the financing of start-up firms to complement their core businesses and to facilitate the internalization of externalities. The authors argue that while strategic objectives make it more worthwhile for an investor to elicit high entrepreneurial effort, they can also undermine his...

    Provided By Tinbergen Institute

  • White Papers // Feb 2009

    Coordination Frictions And The Financial Crisis

    In this paper, the author argues that the desirability of fiscal policy in response to the current crisis depends on whether one views the current crisis as a temporary deviation from a unique equilibrium or as a bad equilibrium out of multiple equilibria. The paper presents a simple Diamond (1982)...

    Provided By Tinbergen Institute

  • White Papers // Jan 2009

    Horizontal Multinational Firms, Vertical Multinational Firms And Domestic Investment

    The authors build a dynamic general equilibrium model with 2 countries, horizontal and vertical multinational activity and endogenous domestic and foreign investment. It is found that horizontal multinational activity always leads to a complementary relationship between domestic and foreign investment. Vertical multinational activity, in contrast, leads to either a substitutional...

    Provided By Tinbergen Institute

  • White Papers // Nov 2010

    A Dynamic Model Of Investor Decision-Making

    According to disposition effect theory, people hold losing investments too long. However, many investors eventually sell at a loss, and little is known about which psychological factors contribute to these capitulation decisions. This paper integrates prospect theory, utility maximization theory, and theory on reference point adaptation to argue that the...

    Provided By Tinbergen Institute

  • White Papers // Jan 2009

    Public Initiatives To Support Entrepreneurs: Credit Guarantees Versus Co-Funding

    The authors analyze financial support for the entrepreneurial sector. State support can raise welfare by relaxing financial constraints, but it can also reduce lending standards if entrepreneurs substitute public sources of collateral for their own assets, if it encourages excessive entrepreneurial entry, or if it undermines bank monitoring incentives. They...

    Provided By Tinbergen Institute

  • White Papers // Nov 2006

    Investor Protection And Entry

    Entry requires external finance, especially for less wealthy entrepreneurs, so poor investor protection limits competition. The authors model how incumbents lobby harder to block access to finance to entrants when politicians are less accountable to voters. In a broad cross-section of countries and industries, they find that entry rates and...

    Provided By Tinbergen Institute

  • White Papers // Jun 2009

    The Pricing Of Bank Debt Guarantees

    The authors analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution framework. They show that the desirability of fair pricing of guarantees depends on the degree of transparency of the banking sector: in relatively opaque banking systems, fair pricing exacerbates banks' incentive to...

    Provided By Tinbergen Institute

  • White Papers // Aug 2011

    Knowledge Virtualization and Local Connectedness Among Smart High-Tech Companies

    Smart high-tech companies are characterized by knowledge intensity and open innovation. Even when these companies emerge in spatial clusters or dense urban places, they may utilize knowledge networks on a global scale. However, there is not much insight into the factors that shape knowledge networks, the role of virtualization herein...

    Provided By Tinbergen Institute

  • White Papers // Apr 2010

    Competitive Prices As Profit-Maximizing Cartel Prices

    It is well-known that in an infinitely-repeated oligopoly model, almost all prices, including the monopoly price, can be sustained by trigger strategy profiles as cartel prices for sufficiently patient firms. Since the monopoly price leads to the highest deadweight loss in social welfare, the effects of antitrust enforcement are often...

    Provided By Tinbergen Institute

  • White Papers // Dec 2009

    Economic Growth And The Volatility Of Foreign Aid

    Foreign aid's effectiveness in promoting economic growth remains mired in controversy. The authors examine the impact of the volatility of aid on economic growth, controlling for the level of aid. A four-year panel analysis is conducted encompassing 155 countries over the period 1966-2001. They find that once the volatility of...

    Provided By Tinbergen Institute

  • White Papers // Jul 2010

    Insurance Search And Switching Behavior

    This paper looks into the search behavior of consumers in the market for health insurance contracts. The authors consider the recent health insurance reform in The Netherlands, where a private-public mix of insurance provision was replaced by a system based on managed competition. Although all insurers offer the same basic...

    Provided By Tinbergen Institute