Showing papers by "Tinbergen Institute published in 2001"
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TL;DR: This excellent text provides a comprehensive treatment of the state space approach to time series analysis, where observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately.
Abstract: This excellent text provides a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. The book provides an excellent source for the development of practical courses on time series analysis.
1,931 citations
TL;DR: In this paper, the authors present an overview of some important classic contributions relating to today's and tomorrow's empirical research subjects in entrepreneurship, including Cantillon, Say, Marshall, Schumpeter, Knight, and Kirzner.
Abstract: The topic of entrepreneurship currently experiences a revived interest as is shown by the research agenda of today’s empirical researchers. There are few issues in economics which are backed up by such a rich historical knowledge base as is the case with entrepreneurship. This paper aims to give an overview of some important classic contributions relating to today’s and tomorrow’s empirical research subjects. The overview consists of answers to six research questions by six historical contributors to entrepreneurship research. Together, these questions give some insight into the determinants of successful entrepreneurship. The classic contributors considered are Cantillon, Say, Marshall, Schumpeter, Knight, and Kirzner. Their views are compared to each other as well as to some recent results of empirical research into the determinants of successful entrepreneurship.
481 citations
TL;DR: In this article, a two-step subsample bootstrap method is used to adaptively select the sample fraction that minimizes the asymptotic mean-squared error.
481 citations
TL;DR: In this paper, the authors identify the factors that determine the investment behavior of firms, their attitude towards various types of energy policy, and their responsiveness to changes in environmental policy in the Netherlands.
354 citations
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TL;DR: In this paper, a simple model of strategic networks was developed to capture two distinctive features of inter-firm collaboration activity: bilateral agreements and non-exclusive relationships, and the authors examined the incentives of firms to form collaborative links and the architecture of strategically stable networks.
Abstract: textMany markets are characterized by a high level of inter-firm collaboration in R&D activity. This paper develops a simple model of strategic networks which captures two distinctive features of such collaboration activity: bilateral agreements and non-exclusive relationships. We study the effects of collaborations on individual R&D effort, cost reduction, and market performance. We then examine the incentives of firms to form collaborative links and the architecture of strategically stable networks. Our analysis highlights the interaction between market competition and R&D network structure. We find that if firms are Cournot competitors then individual R&D effort is declining in the level of collaborative activity. However, cost reduction and social welfare are maximized under an intermediate level of collaboration. In some cases, firms can gain market power, and even induce exit of rival firms, by forming suitable collaboration agreements. Moreover, under certain circumstances, such asymmetric collaboration networks are also strategically stable. By contrast, if firms operate in independent markets then individual R&D effort is increasing in the level of collaborative activity. Cost reduction and social welfare are maximized under the complete network, which is also strategically stable.
275 citations
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TL;DR: In this paper, the authors investigate whether this is true with respect to the educational attainment of second generation immigrants from Turkey, Morocco, Surinam and the Dutch Antilles in the Netherlands.
Abstract: Since the mid-1960’s the Netherlands has had an immigration surplus, mainly because of manpower recruitment from Turkey and Morocco and immigration from the former Dutch colony of Surinam. Immigrants have a weak labor market position, which is related to their educational level and language skills. Children and grandchildren of immigrants are expected to have a better chance of integration into Dutch society. In this paper we investigate whether this is true with respect to the educational attainment of second generation immigrants from Turkey, Morocco, Surinam and the Dutch Antilles.
195 citations
TL;DR: In this article, the authors investigated the negative effect of risk-aversion on entrepreneurship selection and concluded that risk attitude affects the selection of individuals into entrepreneurial positions, but they were not confident about their measure of risk attitude to conclude anything concerning the causality of this relationship.
Abstract: Entrepreneurship is historically associated with risk bearing. Consequently, risk attitude is widely believed to affect the selection of individuals into entrepreneurial positions. The data used in our empirical analysis support the supposedly negative effect of risk-aversion on entrepreneurship selection. However, we feel not sufficiently confident about our measure of risk attitude to conclude anything concerning the causality of this relationship.
159 citations
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TL;DR: In this article, the authors characterize asset return linkages during periods of stress by an extremal dependence measure Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships.
Abstract: We characterize asset return linkages during periods of stress by an extremal dependence measure Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration
151 citations
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TL;DR: The authors examined whether sexual preferences affect earnings in the beginning of working careers in the Netherlands and concluded that the Dutch labor market does not discriminate on the basis of both sexual orientation and gender in entry level jobs.
Abstract: A small literature suggests that bisexual and homosexual workers earn less than their heterosexual fellow workers and that a discriminating labor market is partly to blame. In this paper we examine whether sexual preferences affect earnings in the beginning of working careers in the Netherlands. We find (i) that young and highly educated gay male workers earn about 3 percent less than heterosexual men; (ii) that similarly qualified lesbian workers earn about 4 percent more than their heterosexual female coworkers; (iii) that in terms of earnings, bisexual workers are more comparable to heterosexual workers; and (iv) that among homosexual workers the gender gap is not observed. From this we conclude that the Dutch labor market does not discriminate on the basis of both sexual orientation and gender in entry level jobs.
146 citations
TL;DR: In this paper, the authors analyze data from the largest flower auction in the world and find that there is a substantial price decline and suggest that the presence of a buyer's option, whereby the winner of the first auction has the opportunity to buy the remaining units at the winning price, is a main determinant of the observed price decline.
Abstract: According to basic models of sequential private value autions of identical objects, consecutive prices are on average constant or rising. In empirical studies, prices are often found to decline. Several explanations have been put forward for this declining price anomaly. In this paper we analyze data on sequential Dutch auctions of roses from the largest flower auction in the world. We find that there is a substantial price decline and suggest that the presence of a buyer’s option, whereby the winner of the first auction has the opportunity to buy the remaining units at the winning price, is a main determinant of the observed price decline. We advance on the empirical literature on sequential auctions by using formal data estimation techniques.
124 citations
TL;DR: In this paper, the authors derive an analytic approximation to the credit loss distribution of large portfolios by letting the number of exposures tend to infinity, which obeys the empirical stylized facts of skewness and heavy tails, and show how portfolio features like the degree of systematic risk, credit quality and term to maturity affect the distributional shape of portfolio credit losses.
Abstract: We derive an analytic approximation to the credit loss distribution of large portfolios by letting the number of exposures tend to infinity. Defaults and rating migrations for individual exposures are driven by a factor model in order to capture co-movements in changing credit quality. The limiting credit loss distribution obeys the empirical stylized facts of skewness and heavy tails. We show how portfolio features like the degree of systematic risk, credit quality and term to maturity affect the distributional shape of portfolio credit losses. Using empirical data, it appears that the Basle 8% rule corresponds to quantiles with confidence levels exceeding 98%. The limit law's relevance for credit risk management is investigated further by checking its applicability to portfolios with a finite number of exposures. Relatively homogeneous portfolios of 300 exposures can be well approximated by the limit law. A minimum of 800 exposures is required if portfolios are relatively heterogeneous. Realistic loan portfolios often contain thousands of exposures implying that our analytic approach can be a fast and accurate alternative to the standard Monte-Carlo simulation techniques adopted in much of the literature.
TL;DR: In this paper, the authors compare the volatility forecasting findings in 72 papers published and written in the last decade, and compare volatility forecasting results across different asset classes, and markets in different geographical regions.
Abstract: Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 72 papers published and written in the last decade. This article is written for general readers in Economics, and its emphasis is on forecasting instead of modelling. We separate the literature into two main streams; the first consists of research papers that formulate volatility forecasts based on historical price information only, while the second includes research papers that make use of volatility implied in option prices. Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, the effect of data frequency on volatility forecast accuracy, measurement of "actual" volatility, the confounding effect of extreme values (e.g. the 1987 stock market crash) on volatility forecasting performance. We compare volatility forecasting results across different asset classes, and markets in different geographical regions. Suggestions are made for future research.
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TL;DR: This work investigates the effects of certain events on the occurrence of depression using unique longitudinal panel data that track labor market behavior, health status, and major life events, over time, and applies fixed effects estimation methods to deal with endogenous aspects of these events.
Abstract: Major events in the life of an elderly individual, such as retirement, a significant decrease in income, death of the spouse, disability, and a move to a nursing home, may affect the mental health status of the individual. For example, the individual may enter a prolonged depression. We investigate this using unique longitudinal panel data that track labor market behavior, health status, and major life events, over time. To deal with endogenous aspects of these events we apply fixed effects estimation methods. We find some strikingly large effects of certain events on the occurrence of depression. We show that the results are of importance for the design of health care and labor market policy towards the elderly.
TL;DR: In this article, the authors examine implications of liberalization for profits, trade, and national gains from trade in transport services (not cabotage but rather international shipping, transport, and related logistical services).
Abstract: We are concerned with trade in transport services (not cabotage but rather international shipping, transport, and related logistical services) and the importance of competition and market structure in the sector. We examine implications of liberalization for profits, trade, and national gains from trade. Though past GATS maritime negotiations involved the maritime nations, we also flag interests of consuming nations (particularly poorer developing countries). We further illustrate issues raised in the analytical section through a computational example, to provide a rough sense of orders of magnitude and the importance of the issues raised for basic gains from improved market access.
TL;DR: In this paper, Tullock's analysis of rent seeking and overdissipation is reconsidered and it is shown that for particular realizations of players' mixed strategies the total amount spent competing for rents can exceed the value of the prize.
Abstract: Tullock's analysis of rent seeking and overdissipation is reconsidered. We show that, while equilibrium strategies do not permit overdissipation in expectation, for particular realizations of players' mixed strategies the total amount spent competing for rents can exceed the value of the prize. We also show that the cross-sectional incidence of overdissipation in the perfectly discriminating contest ranges from 0.50 to 0.44 as the number of players increases from two to infinity. Thus, even though the original analysis of overdissipation is flawed, there are instances in which rent-seekers spend more than the prize is worth.
TL;DR: In this article, the authors review the strengths and weaknesses associated with traditional investment appraisal techniques and their effect on shareholder value and explore the prospects of shareholder value analysis as a candidate for the future investment evaluation and monitoring.
TL;DR: In this paper, the authors examined the implications of reduced risk and uncertainty regarding trade policy for investor confidence, and ultimately for the capital stock and the long-run structure of production, in developing countries.
Abstract: This paper is concerned with the value of the WTO’s Trade Policy Review Mechanism, particularly its transparency role and its potential role in policy stability, for investor confidence in developing countries. The implications of reduced risk and uncertainty regarding trade policy for investor confidence, and ultimately for the capital stock and the long-run structure of production, are examined in an analytical model. Certainty equivalence is employed to assess the general equilibrium effects of risk and uncertainty. Their reduction can boost risk-adjusted returns, leading to an increase in long-run levels of capital.
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TL;DR: In this paper, the authors describe a search model with a continuum of worker and job types, transferable utility and an increasing returns to scale contact technology, and apply a second order Taylor expansion to characterize the equilibrium.
Abstract: This paper describes a search model with a continuum of worker and job types, transferable utility and an increasing returns to scale contact technology. We apply a second order Taylor expansion to characterize the equilibrium. One third of the increasing returns in contacts are absorbed by firms and workers being more choosy. Hence, strongly increasing returns in contact rates are consistent with weakly increasing returns in matching. The resulting equilibrium is not efficient. Unemployment benefits can reduce the loss by serving as a search subsidy. The loss caused by search frictions is higher when worker types are bad substitutes. Numerical simulations of the model show our Taylor expansions to be quite accurate.
TL;DR: A flexible nonparametric method is applied to a national database and the multidimensional concept of health status is summarized into a limited set of interpretable indices that are used to calculate age-health profiles and expected residual lifetimes in specific health states.
Abstract: With the trend toward aging, increases in health care expenditures are expected. Insight into (future) needs for care services requires a taxonomy of older persons’ health conditions: how health status develops as people age and how these health conditions determine residual life expectancy. In this paper we provide this information for the Netherlands. We apply a flexible nonparametric method—he Grade of Membership method—to a national database and summarize the multidimensional concept of health status into a limited set of interpretable indices. We then use these indices in our panel data model for health status and mortality. The model results are used to calculate age-health profiles and expected residual lifetimes in specific health states.
TL;DR: In this article, it was shown that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not, and that any nonlinear transformation of an antipersistent Gaussian I(d) process is I(0).
Abstract: This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d > 0 leads to a long-memory process with the same or a smaller long-memory parameter depending on the Hermite rank of the transformation. Any nonlinear transformation of an antipersistent Gaussian I(d) process is I(0). For non-stationary I(d) processes, every integer power transformation is non-stationary and exhibits a deterministic trend in mean and in variance. In particular, the square of a non-stationary Gaussian I(d) process still has long memory with parameter d, whereas the square of a stationary Gaussian I(d) process shows less dependence than the initial process. Simulation results for other transformations are also discussed.
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TL;DR: In this article, a simple model is used to investigate the circumstances under which coordination may be desirable and it turns out that coordination is beneficial when the correlation of the shocks hitting the various economies is low.
Abstract: It is widely argued that Europe's unified monetary policy calls for the international coordination at the fiscal level. We survey the issues involved with such coordination of fiscal policy as a demand management tool and we use a simple model to investigate the circumstances under which coordination may be desirable. It turns out that coordination is beneficial when the correlation of the shocks hitting the various economies is low. However, given the potentially adverse reaction by the ECB (as a result of free-riding and/or a conflict on the orientation of the policy mix), fiscal coordination is likely to be counterproductive when demand or supply shocks are highly symmetric across countries and the governments are unable to acquire a strategic leadership position vis-a-vis the ECB.
TL;DR: The conclusion is that in a small country such as The Netherlands, a spatial graduation of fuel taxes will lead to considerable problems, even when the graduation curve is not steep that fuel-fetching trips are prevented.
Abstract: Substantial differences exist among fuel taxes between various countries. These differences represent a form of fiscal competition that has undesirable side effects because it leads to cross-border fuelling and hence to extra kilometres driven. One possible way of dealing with this problem of low fuel taxes in neighbouring countries is to introduce a spatial differentiation of taxes: low near the border and higher farther away. This paper contains an empirical analysis of the consequences of such a spatial graduation of fuel taxes for The Netherlands. Impacts on fuelling behaviour, vehicle kilometres driven, tax receipts, and sales by owners of gas stations are analysed. The appropriate slope of the graduation curve in order to prevent fuel-fetching trips is also discussed. Our conclusion is that in a small country such as The Netherlands, a spatial graduation of fuel taxes will lead to considerable problems, even when the graduation curve is not steep that fuel-fetching trips are prevented. The reason is that – given their activity patterns – car drivers will change the location of their fuelling activity leading to substantial problems for owners of gas stations in areas with high taxes.
TL;DR: In this article, the impact of improved domestic market access for a foreign-service provider on a domestic service market is examined, where the domestic industry is assumed to be imperfectly competitive and, as a result of domestic regulation, able to act as a cartel.
TL;DR: In this paper, the authors describe the distribution of private wealth of Dutch households over the life cycle and relate this to the size of individual entitlements to pay-as-you-go social security benefits and funded pension benefits.
TL;DR: In this paper, the authors analyzed the market transformations in heritage tourism destinations when excessive tourism demand determines the emergence of a class of excursionists among visitors, and highlighted some important dimensions of sustainable tourism development.
Abstract: This paper analyses the market transformations in heritage tourism destinations when excessive tourism demand determines the emergence of a class of excursionists among visitors. Building on the approach of Keane (1997) and Shapiro (1983), some important dimensions of sustainable tourism development are highlighted. The lesser capacity of excursionists to learn the true quality of the tourist goods provides an opportunity for producers to cut back on quality. To serve high quality goods and keep up the reputation of the destination, producers need to gain a mark-up on price that might not be sustained in a competitive market. Hence the decline in "high-paying" demand segments, increasingly substituted by visitors with lesser quality expectations. The proposed set-up allows the identification of appropriate policy instruments to reverse this process.
TL;DR: In this paper, a matching model of the labor market with an interaction between shocks and institutions was used to explain the divergent behavior of European and US unemployment rates using a job market matching model.
Abstract: This paper explains the divergent behavior of European and US unemployment rates using a job market matching model of the labor market with an interaction between shocks and institutions. It shows that a reduction in TFP growth rates, an increase in real interest rates, and an increase in tax rates leads to a permanent increase in unemployment rates when the replacement rates or initial tax rates are high, while no increase in unemployment occurs when institutions are 'employment friendly.' The paper also shows that an increase in turbulence, modeled as an increased probability of skill loss, is not a robust explanation for the European unemployment puzzle in the context of a matching model with both endogenous job creation and job destruction.
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TL;DR: In this article, the authors studied the signs and reasons of decline of job stability in West Germany using data from the German Socio-economic Panel 1984-1997, and they found that the decline in job stability of men can be attributed primarily to an increase in layoffs.
Abstract: This paper studies signs and reasons of decline of job stability in West Germany. Using data from the German Socio-Economic Panel 1984-1997, we look at two measures for job stability. Based on repeated cross sectional data we first show that medium elapsed tenure declined for men. Secondly, we find that the measure of completed job duration can efficiently be used, to distinguish reasons for job termination and to surpass the problem of right censoring. Estimating hazard models with competing risks, we show that the decline in job stability of men can be attributed primarily to an increase in layoffs.
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TL;DR: In this paper, the authors investigate whether this is true with respect to the educational attainment of second generation immigrants from Turkey, Morocco, Surinam and the Dutch Antilles and find that children and grandchildren of immigrants are expected to have a better chance of integration into Dutch society.
Abstract: Since the mid-1960's the Netherlands has had an immigration surplus, mainly because of manpower recruitment from Turkey and Morocco and immigration from the former Dutch colony of Surinam. Immigrants have a weak labor market position, which is related to their educational level and language skills. Children and grandchildren of immigrants are expected to have a better chance of integration into Dutch society. In this paper we investigate whether this is true with respect to the educational attainment of second generation immigrants from Turkey, Morocco, Surinam and the Dutch Antilles.
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TL;DR: In this paper, empirical strategies that control for both observed and unobserved parental ability were proposed to determine the influence of family income on the educational attainment of children. But the results were limited.
Abstract: One would expect that family income is an important positive factor in the school attainment of children. However, evidence on this relationship is often tainted by the lack of control for parental ability, since at least a portion of ability is transferred genetically to children. This paper considers empirical strategies that control for both observed and unobserved parental ability. In the end, family income still has a significant effect, which must therefore be causative. It implies that high-ability children in low-income families face binding credit constraints that society may wish to relieve.
TL;DR: This paper presents a consistent formulation of Spatial Interaction Models in the Wilson tradition and Alonso's Theory of Movements, and argues that simultaneous equation techniques are required to estimate the so-called systemic parameters.
Abstract: The Spatial Interaction Model proposed by Alonso as “Theory of Movements” offers an innovative specification of spatial origin-destination flow models. Equations for flows between regions, total outflow from and total inflow to a region are linked by balancing factors. This paper presents a consistent formulation of Spatial Interaction Models in the Wilson tradition and Alonso's Theory of Movements. The paper is intended as an introduction to the model and a review of␣the state of the art. Besides it is argued that simultaneous equation techniques are required to estimate the so-called systemic parameters.