Prediction of two periods by simple autoregressive models with one lag

Summary Three different methods are compared by their ability to predict two periods ahead in simple autoregressive models with one lag. In this study both artificial and historical time series are used. In spite of intuitive objections the usual least squares method performs relatively well. Moreover attention is paid to the estimation results, as they provide some links with other studies of the autoregressive model.I am indebted to Dr. M. M. G. Fase and professor A. H. Q. M. Merkies for useful suggestions and remarks and above all to professor J. S. Cramer for his critical comments and his great help in drafting this article. Currently I am research associate of the Econometric and Special Studies Section of the Domestic Research Department at De Nederlandsche Bank N.V., P.O. Box 98, Amsterdam, but the main part of this study was completed at the Instituut voor Actuariaat en Econometric of the University of Amsterdam.     

Financing government spending in the Netherlands

Summary This article addresses the issue of financing government spending from the viewpoint of the Ricardian equivalence theory. After a review of the literature, including a discussion of the underlying assumptions and a comparison with the Keynesian and classical views, we look for empirical evidence for The Netherlands. The empirical results correspond with the findings of many other studies: Ricardian equivalence has to be rejected, although consumers do not completely ignore the government budget constraint. We stress, however, that alternative mechanisms might also be responsible for the empirical findings.Staff members of the Centraal Planbureau, Den Haag and Econometric Research and Special Studies Department, De Nederlandsche Bank NV, Amsterdam. The research project was carried out when the first author was employed at De Nederlandsche Bank. The authors are indebted to J. Pen, M.M.G. Fase, W.C. Boeschoten and A.P. Ros for their valuable comments on an earlier draft.     

Is a common central bank policy necessary within a United Europe?

Address delivered by Dr. M. W. Holtrop, President of De Nederlandsche Bank N.V., Amsterdam, before the Alpbach European Forum on August 30, 1957.     

The Netherlands Bank's narrow monetary policy

Summary In his article Mr. Timmerman describes the way the Netherlands Bank conducts its so-called narrow monetary policy,i.e. the policy pursued in the money and foreign exchange markets. The developments during the period October 1979–July 1981 serve as example of how movements in Dutch money market rates are dominated by exogenous factors. The author concludes that in a small open economy which maintains a stable exchange rate there is no room for an independent money market policy and that the hectic developments in the international money and foreign exchange markets have made illusory what until very recently was regarded as the most important objective of the narrow monetary policy,viz. an orderly money market. P.C. Timmerman was Deputy Director of De Nederlandsche Bank N.V. and is now Managing Director of De Bank van de Nederlandse Antillen. A similar article by the author appeared inZoeklicht op beleid, liber amicorum in honour of Professor G.A. Kessler.     

Notes and Communications

Summary This essay explores the occurrence of illusionary images or trompe-l’oeil in economics and their role in economic policy design. In this context four specific examples are discussed, relating to money illusion, the bias in the consumer price index to measure purchasing power, the econometrics of hyperinflation and the measurement of scholarly productivity. Fellow Tinbergen Institute and the Managing editor of De Economist. Until 2001 deputy executive director as well as head of research with De Nederlandsche Bank and from January 2003 professor emeritus in monetary economics, University of Amsterdam. I am grateful to professor J.S. Cramer and dr Peter van Els for their useful comments.     

Systemic Risk in the Dutch Financial Sector

This paper investigates systemic risk in the Dutch financial sector by focusing on extreme return co-movements of the major financial institutions. In particular, we use a Monte Carlo simulation experiment conditioned on both a fat and a thin tailed underlying return distribution to test the potential for systemic risk. We find evidence of a strong potential for systemic risk, which has emerged after the major mergers in the end of the 1980s and early 1990s.This work was completed while the author was affiliated to De Nederlandsche Bank. The views expressed in this paper are those of the author and do not necessarily represent those of De Nederlandsche Bank. I am grateful to Robert-Paul Berben for many useful discussions on methodology, Jan Kakes for support, Martin Admiraal and Carry Mout for data assistance, Aerdt Houben, Job Swank, Casper de Vries, Garry Schinasi, the participants of the 24th meeting of the Research Group on Financial Stability at De Nederlandsche Bank, and two anonymous referees for useful comments on an earlier version of this paper.     

Interdependence between The Netherlands and Germany: Forecasting with VAR models

Summary The German economy is usually assumed to take a leading position. In principle this gives smaller countries, which are dependent on Germany, the opportunity to predict their own economic future conditional on the state of the German economy. This paper uses this opportunity for The Netherlands by applying a Vector Auto Regressive model on Dutch and German series. Because the traditional VAR models appear to be overparameterized, their forecast performance can be improved significantly by using shrinkage estimators based on the so-called Minnesota prior. Such a Bayesian VAR forecasts well and confirms the interdependence between Germany and The Netherlands. Variance decomposition of forecast errors and impulse response simulations strengthen the impression that the BVAR model properties are plausible.The author works at the Econometric Research and Special Studies Department of the Nederlandsche Bank. He is grateful to M.M.G. Fase, C.C.A. Winder and two anonymous referees for their useful comments and to R.B.M. Vet for his assistance in various calculations.     

De Vraag Naar Liquiditeiten in Nederland, 1952–1971

Summary This study examines the demand for money (broadly defined) in the Netherlands. The basic model assumes the long run demand for money to depend upon expected real income and prices, the rate of interest and a cyclical indicator. The actual money balances approach equilibrium with an exponentially distributed lag. The model is estimated with seasonally adjusted quarterly data covering the period 1952: I-1971:IV. We found an income elasticity of 0.85 and an interest elasticity of –0.20, a price elasticity close to 1 and a negative correlation between the demand for money and the cyclical indicator. We also found some statistical evidence for the hypothesis that the demand function is stable over time.

---

---

De auteurs zijn hoofd resp. medewerker van de sectie wetenschappelijk onderzoek en econometrie op De Nederlandsche Bank N.V. Ze zijn de heer N. J. A. van der Hoeven veel dank verschuldigd voor zijn hulp bij de uitvoering van de berekeningen.     

Een terugblik op Mr. N. G. Pierson

Summary Dr. Holtrop's address on the occasion of the award of the Dr. N. G. Pierson medal to Professor C. Goedhart and to Professor G. A. Kessler answers the question why it is still meaningful to commemorate Dr. N. G. Pierson (1839–1909), the foremost Dutch economist of the 19th century. Pierson was successively a managing director and later governor of the Nederlandsche Bank (1868–1891), a professor of economics (1877–1886), a minister of finance (1891–1894 and 1897–1901) and a prime-minister (1897–1901). A brief outline is given of Pierson's publications in the fields of (1) methodology, (2) the social problem, (3) the international monetary system, and (4) equitable taxation. The address concludes with a quotation from Alfred Marshall's last letter to Pierson.

---

---

Oud-president van de Nederlandsche Bank.

---

Tekst van een toespraak, gehouden als voorzitter van de Stichting Mr. N. G. Pierson Fonds, ter gelegenheid van de uitreiking der Mr. N. G. Pierson-penning aan Prof. dr. C. Goedhart en aan Prof. dr. G. A. Kessler op 15 september 1978 in het gebouw van De Nederlandsche Bank te Amsterdam. De inleiding van de toespraak is enigszins verkort weergegeven.     

Market Timing and Capital Structure: Evidence for Dutch Firms

Summary We examine market timing and its effects on capital structures for a sample of Dutch listed firms and a sub-sample of Dutch initial public offering (IPO) firms. The results yield evidence of market timing. Stock price run-ups increase the probabilities of equity and dual issues. Further, the effects of stock price run-ups on the choices between issuance of debt, equity or both are consistent with the predictions of the market timing hypothesis. However, in contrast to the existing evidence for US firms, we do not find persistent effects of market timing on capital structures of Dutch firms. This paper has benefited from useful comments from two anonymous referees, Allard Bruinshoofd, Frank de Jong, Jeroen Ligterink, seminar participants at De Nederlandsche Bank, and discussions at the 6th ONS Analysis of Enterprise Microdata Conference (Cardiff 2005).     

Social security wealth and aggregate consumption: An extended life-cycle model estimated for The Netherlands

Summary In this paper a method is developed to calculate a wealth variable accounting for the existence of the basic old-age provisions in The Netherlands (AOW). In line with Feldstein's extended life-cycle model, consumption functions with (gross) social security wealth are estimated for The Netherlands for the period 1957–1986. The marginal propensity to consume social security wealth is statistically significant in the applied specifications. The data favour the use of an age- and period-dependent discount rate. The results compare relatively well with the consumption equations in the models of the Central Planning Bureau and De Nederlandsche Bank.this paper improved considerably thanks to comments of members of the Department of Macro-Economics (University of Amsterdam) and the anonymous referee(s) of this journal. Special thanks to Hans Amman for letting me write my own computer program!     

FORECASTING SOUTH AFRICAN INFLATION

This paper looks at what variables are useful for forecasting inflation starting in 1990. I show that the output gap, a measure of real economic conditions, does seem to provide useful information for forecasting inflation. This is good news for the Reserve Bank, since the primary way that the Reserve Bank tries to affect future inflation is through real economic conditions. In addition, short‐term interest rates and import price inflation also seem to provide useful information. The most accurate of these forecasts suggests a root mean square forecast error of 1–2 per cent for 1‐year ahead inflation, which is within the Reserve Bank's current target range.     

The emergence of a private clientele for banks in the early eighteenth century: Hoare's Bank and some women customers1

The records of Hoare's Bank and the correspondence of six of its women customers show how these women started to use the new banking services both for transferring money and for trading in the stock market. It is clear that alongside their use of the new facilities, older systems of money transfer remained important for customers. Much of the business of the bank and its customers, including their ventures into the stock market, took place within groups of people united by kinship, religion, and politics.     

Money demand and monetary policy in Europe

Money Demand and Monetary Policy in Europe.—The European Central Bank will soon have to decide on her monetary strategy. This paper discusses properties of money demand functions and implications for monetary policy in a monetary targeting regime. Special attention is paid to different concepts of stability of money demand, to the length and variability of adjustment lags, and to the controllability of the money stock. At the European level, stable money demand functions are identified for M1 and M3. However, M3 appears to be less controllable than M1. Long and variable adjustment lags in the demand for M3 weaken the case for broad money as a monetary target. JEL no. E41, E52     

Forecasts for international financial series with VMD algorithms

Recent models with variational mode decomposition (VMD) have been applied to time-series forecasting. In this paper, we build a hybrid model named VMD–autoregressive integrated moving average (ARIMA)–Taylor expansion forecasting (TEF) to increase accuracy and stability for predicting financial time series. We use VMD algorithms to decompose financial series into subseries. An ARIMA model is built to predict each mode’s linear component, and the pragmatic TEF model based on a tracking differentiator is applied to forecast of the nonlinear component. Then the forecasts of all subseries are assembled as a final forecast. Our empirical results of international stock indices demonstrate that the proposed hybrid approach surpasses several existing state-of-the-art hybrid models.     

The micro‐foundations of the early London capital market: Bank of England shareholders during and after the South Sea Bubble, 1720–251

Using two sources, Bank of England Transfer Books and Stock Ledgers, this article explores the nature of the ‘customer base’ for Bank shares during and after the South Sea Bubble. This examination uncovers the nature of individual participation in this early capital market. The Transfer Ledgers record roughly 7,000 transfers during 1720, while the Ledger Books from 1720–25 record over 8,000 individuals holding stock. The analysis finds the customer base had breadth and depth, comprising individuals from across the social spectrum, from all over England and Europe. The market was diverse and liquid. Activity during the Bubble came from those living in and around London, with most traders participating in the market only twice at most. While the majority of participants were men, there was a sizeable female presence. Men as a group lost money from their market activity, but women made money. In the five years after the Bubble, the customer base was sustained. The analysis argues that the secondary market in financial assets cannot be dismissed as mere gambling devices, and that the basis for a mutually productive interaction between the financial sector and the real sector of the economy was already in existence and was sustained through the shock of the South Sea Bubble and its collapse.     

光伏建筑一体化行业板块指数的预测模型构建 ——基于ARIMA模型的实证分析

在30、60双碳目标之下,光伏建筑一体化行业的发展是绿色建筑、碳中和的重要实现路径,故有效地判断该行业板块未来的变动趋势,有助于更好地把握该行业投资盈利点。基于2019年4月1日至2021年5月28日沪深股市中 37 家光伏建筑一体化相关企业的股票数据,建立ARIMA模型对光伏建筑一体化的板块指数发展趋势做出预测。研究发现,ARIMA(20,1,3)模型通过了ADF 检验和 L-Jung-Box 检验,并预测出2021年5月至2021年7月该板块指数将呈现“锯齿”形总体不断向上增长。最后,根据模型预测结果和市场背景,提出针对性的建议,为市场投资者和企业管理者提供相应的技术参考和启示。     

关于国际铸币税收益的再探讨

铸币税是一个国家的中央银行凭借着发行货币的权利而得到的一种类似于税收的收益,而国际铸币税则是一个国家凭借着本国货币的国际储备货币地位所获得一种类似于国内铸币税收益。国际铸币税收益有流量和存量之分,美国凭借着美元的主要国际储备货币地位获得了巨额的国际铸币税收益。但是,国际铸币税在性质上是一种债务,一旦美国经济地位下降,美国将返还以前的国际铸币税收益,从而有可能对持有美元的国家造成重大损失,也可能对美国经济带来严重的不利影响。     

Forecasting Inflation: An Art as Well as a Science!

Summary In this study, we build two forecasting models to predict inflation Harmonised Index of Consumer Prices (HICP) for the Netherlands and for the euro area. The models provide point forecasts and prediction intervals for both the components of the HICP and the aggregated HICP -index itself. Both models are small-scale linear time series models allowing for long-run equilibrium relationships between HICP components and other variables, notably the hourly wage rate and the import or producer prices. The model for the Netherlands is used to generate the Dutch inflation projections for the eurosystem’s Narrow Inflation Projection Exercise (NIPE). The recursive forecast errors for several forecast horizons are evaluated for all models, and are found to outperform a naive forecast and optimal AR models. Moreover, the same result holds for the Dutch NIPE projections, which have been provided quarterly since 1999. The aggregation method to predict total HICP inflation generally outperforms the direct method, except for long horizons in the case of the Netherlands. We thank an anonymous referee of this journal and participants of the second Conference of the Euro Area Business Cycle Network, the 10th International Conference on Computing in Economics and Finance and seminar participants at De Nederlandsche Bank, Erasmus University Rotterdam and Maastricht University, in particular Filippo Altissimo, Bob Chirinko, Bertrand Candelon, Denise Osborn and Adrian Pagan for useful comments.     

Overshooting,reform and retreat of the welfare state

Summary The paper discusses various reforms that may lower the costs of the contemporary welfare state, including a shift from taxes to actuarially fair, although still compulsory, insurance premia; wider use of co-insurance,etc. It is also suggested that social security entitlements are made more robust against political interventions by moving them outside of the government budget. Freer competition is suggested in the provision of social services. Reform of the political process is also discussed to avoid an overshooting of the welfare state in the sense that imperfections in the political process result in excessive welfare state spending.Seventh Tinbergen Lecture delivered on October 1, 1993 at De Nederlandsche Bank, Amsterdam for the Royal Netherlands Economic Association. I Am grateful for comments on an early draft of this paper by Thorvaldur Gylfason, Torsten Persson, Agnar Sandmo, Karl Gustaf Scherman, Lars E.O. Svensson, Paul Söderlind and Lars Söderström.