Wealth and the demand for money: Empirical evidence for the Netherlands and Belgium

Summary This paper examines the impact of wealth on the demand for money in The Netherlands and Belgium. The empirical analysis reveals a substantial influence of wealth on the demand for money. For The Netherlands, incorporating wealth effects mitigates the volatility of the monetary picture. For Belgium this is not the case, indicating that interest and inflation rates are very important for understanding the monetary developments.We are indebted to Michel Dombrecht of De Nationale Bank van België for providing the data on wealth for Belgium. Helpful comments by Professors S.K. Kuipers and F.C. Palm are gratefully acknowledged.     

The linkage of stock exchange markets between countries: An Empirical Study of Share Price Co-movements in Eleven Industrial Countries

The results of a Pierce-Haugh dependency test on stock market indices in 11 industrial countries are reported and a causality test for the Amsterdam stock exchange is applied.     

Forecasting the need for coins: A case study for The Netherlands

This paper presents short-term and long-term forecasts of the coin circulation in The Netherlands by denomination. The short-term forecasts are obtained with ARIMA models. The long-term forecasts are derived from predictions on the long-term demand for currency along with assumptions on the distribution over notes and coins.     

On interest rates in Belgium and the Netherlands: A comparative analysis of interest rate developments and financial innovations, 1980–1984

Summary Using the method op principal components, this paper examines the question of to what extent independent variations exist among observed market interest rates in Belgium and the Netherlands, and presents a speculative reflection on the main findings. The data employed are monthly observations on interest rates on the capital and the money market as well as on the Euro-money market. The sample period is 1980–1984. The analysis shows that the first principal component, which accounts for at least 80% of total variation, can be identified as the true rate of interest. The second principal component is interpreted as maturity in Belgium and risk in the Netherlands while the third principal component in Belgium reflects risk and international dependence but in the Netherlands the premium for inflation. Another conclusion is that the usual distinction between the money market and the capital market does not show up in the Dutch data but does in the Belgian.     

A principal components analysis of market interest rates in The Netherlands, 1962–1970

This paper reports about a principal components analysis of 20 Dutch market interest rates. We found that on the money market 96% of total variation is explained by the first principal component and 2% by the second one. On the capital market these percentages are 90 and 8.The main conclusions are: (1) the first component identifies the true interest rate, while the second and third component are related to risk and the rate of inflation. (2) The textbook distinction between money and capital markets does not show up. (3) The use of many interest rates in macro models has only a limited economic meaning.     

Diagnostic checking of macroeconomic models: A specification analysis of MORKMON

Summary This article presents a specification analysis of the behavioural equations of the quarterly model MORKMON developed at the Netherlands Bank, and provides a new insight into the statistical properties of this model. Broadly speaking the results are satisfactory and we believe diagnostic checking of a complete model may improve the scientific status of macro-economic models