De samenhang tussen rentestanden in Nederland 1962–1970

Summary This paper examines the question how much independent variation exists among observed market interest rates in the Netherlands. Therefore a particular form of factor analysis, viz. principal component analysis, has been applied to a time series of monthly data for the period 1962–1970. Ten money market rates as well as ten capital market rates are analysed separately. By doing this we have found that on the money market about 96% of total variation is explained by the first component; an additional percentage of 2 is explained by the second principal component. For the capital market these percentages are 90 and 8. Similar results are obtained when subperiods are studied or when the money and capital market are pooled together.The main insights to be gained by this analysis are the following. First our results suggest that the first component identifies the true interest rate. The second principal component, which is highly correlated with the rate of return on shares, reflects the risk aspect of the rate of interest. The third component seemsto be related to the rate of inflation. The second results is that our analysis shows that the use of many different interest rates in macro models has only a limited economic meaning. The this conclusion is that the usual textbook distinction between money and capital markets does not show up in the principal components obtained.Ik ben veel dank verschuldigd aan de heren P. M. Cambeen en R. L. Coenen, medewerkers op de Studiedienst van de Nederlandsche Bank N.V., die mij behulpzaam zijn geweest bij het uitvoeren van de berekeningen voor dit onderzoek. Vanzelfsprekend komen eventuele tekortkomingen geheel voor miju rekening.     

The demand for money in EEC countries

This paper examines the demand for money in the EEC countries and is focussed on five issues. First it starts form a common economic framework, which allows for shifts from M 2 to non-money assets and vice versa. Second, special attention is given to the dynamic structure of the statistical model in order to obtain meaningful conclusions on, e.g., the speed of adjustment of actual to optimal money holdings. Third, the study is entirely based on a uniform set of quarterly data for the eight countries concerned. Fourth, the paper presents a careful examination of the residuals and, finally, analyses the predictive behaviour of the estimated models. For all countries we found long-run income elasticities greater than unity and interest rate elasticities clustered around -0.20. The impact of inflation and the business cycle variable appeared to be significant in the majority of countries considered.     

The distribution of lifetime earnings: a problem of intertemporal aggregation

Summary The main reason to study lifetime earnings as opposed to annual earnings is that the former are purged of life cycle influences. If annual earnings are described by a random variable, it logically follows that lifetime earnings are also random. This paper examines the implications of this statement, starting from the basic assumption that annual earnings of a new entrant to the labor force are a drawing from a two parameter lognormal distribution. It is found that the probability distribution function of lifetime earnings can be derived explicitly if one is willing to define lifetime earnings as a geometric mean.