Wouter J Den Haan
Biographic Data
| ID | 5730672 |
|---|---|
| NAME | Wouter J Den Haan |
| GIVEN NAMES | Wouter J Den |
| FAMILY NAME | Haan |
| SIGNATURE | HAAN W J D |
| AFFILIATIONS | London School of Economics and Political Science and CEPR |
| VERIFIED | No |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 10 |
| AUTHOR COUNT | 7 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 2016 |
| H-INDEX | 2 |
Predictable Recoveries
A random walk with drift is a good univariate representation of US GDP. This paper shows, however, that US economic downturns have been associated with predictable short‐term recoveries and with changes in long‐term GDP forecasts that are substantially smaller than the initial drop. To detect these predictable changes, it is important to use a multivariate time series model. We discuss reasons why univariate representations can miss key character…
The Role of Debt and Equity Finance Over the Business Cycle
If equity issuance is introduced into the costly state verification framework and the friction firms face in raising equity is acyclical, then the model cannot simultaneously generate procyclical equity issuance and a countercyclical default rate. This requires a countercyclical equity issuance friction. With a countercyclical friction, the model can also overturn an undesirable feature of the standard debt-only model: dampening of shocks. To qua…
Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks: Bank Loan Components
The impulse response function (IRF) of an aggregate variable is time-varying if the IRFs of its components are different from each other and the relative magnitudes of the components are not constant—two conditions likely to be true in practice. We model the behaviour of loan components and document that the induced time variation for total loans is substantial, which helps to explain why studies describing total loans have had such a hard time f…
The Myth of Financial Innovation and the Great Moderation
Financial innovation is widely believed to be at least partly responsible for the recent financial crisis. At the same time, there are empirical and theoretical arguments that support the view that changes in financial markets, in particular, innovations in consumer credit and home mortgages, played a role in the great moderation. This article questions empirical evidence supporting this view. Especially the behaviour of aggregate home mortgages …
Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate
Small-Sample Properties of GMM for Business-Cycle Analysis
We investigate, by Monte Carlo methods, the finite-sample properties of generalized method of moment procedures for conducting inference about statistics that are of interest in the business-cycle literature. These statistics include the second moments of data filtered using the first-difference and Hodrick–Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existin…
Solving the Stochastic Growth Model by Parameterizing Expectations
This article describes a method for solving the one-good stochastic growth model by parameterizing the expectations part of the stochastic Euler equation. The conditional expectation is specified as a function of the state of the system, and the parameters of that function are estimated to solve the model. The article includes a discussion of how to find the parameters of the function and determine systematically the complexity of the functional …
The Role of Debt and Equity Finance Over the Business Cycle
If equity issuance is introduced into the costly state verification framework and the friction firms face in raising equity is acyclical, then the model cannot simultaneously generate procyclical equity issuance and a countercyclical default rate. This requires a countercyclical equity issuance friction. With a countercyclical friction, the model can also overturn an undesirable feature of the standard debt-only model: dampening of shocks. To qua…
The Myth of Financial Innovation and the Great Moderation
Financial innovation is widely believed to be at least partly responsible for the recent financial crisis. At the same time, there are empirical and theoretical arguments that support the view that changes in financial markets, in particular, innovations in consumer credit and home mortgages, played a role in the great moderation. This article questions empirical evidence supporting this view. Especially the behaviour of aggregate home mortgages …
Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks: Bank Loan Components
The impulse response function (IRF) of an aggregate variable is time-varying if the IRFs of its components are different from each other and the relative magnitudes of the components are not constant—two conditions likely to be true in practice. We model the behaviour of loan components and document that the induced time variation for total loans is substantial, which helps to explain why studies describing total loans have had such a hard time f…
Solving the Stochastic Growth Model by Parameterizing Expectations
This article describes a method for solving the one-good stochastic growth model by parameterizing the expectations part of the stochastic Euler equation. The conditional expectation is specified as a function of the state of the system, and the parameters of that function are estimated to solve the model. The article includes a discussion of how to find the parameters of the function and determine systematically the complexity of the functional …
Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate
Small-Sample Properties of GMM for Business-Cycle Analysis
We investigate, by Monte Carlo methods, the finite-sample properties of generalized method of moment procedures for conducting inference about statistics that are of interest in the business-cycle literature. These statistics include the second moments of data filtered using the first-difference and Hodrick–Prescott filters, and they include statistics for evaluating model fit. Our results indicate that, for the procedures considered, the existin…
Bank Loan Components and the Time-varying Effects of Monetary Policy Shocks: Bank Loan Components
The impulse response function (IRF) of an aggregate variable is time-varying if the IRFs of its components are different from each other and the relative magnitudes of the components are not constant—two conditions likely to be true in practice. We model the behaviour of loan components and document that the induced time variation for total loans is substantial, which helps to explain why studies describing total loans have had such a hard time f…
The Myth of Financial Innovation and the Great Moderation
Financial innovation is widely believed to be at least partly responsible for the recent financial crisis. At the same time, there are empirical and theoretical arguments that support the view that changes in financial markets, in particular, innovations in consumer credit and home mortgages, played a role in the great moderation. This article questions empirical evidence supporting this view. Especially the behaviour of aggregate home mortgages …
The Role of Debt and Equity Finance Over the Business Cycle
If equity issuance is introduced into the costly state verification framework and the friction firms face in raising equity is acyclical, then the model cannot simultaneously generate procyclical equity issuance and a countercyclical default rate. This requires a countercyclical equity issuance friction. With a countercyclical friction, the model can also overturn an undesirable feature of the standard debt-only model: dampening of shocks. To qua…
Predictable Recoveries
A random walk with drift is a good univariate representation of US GDP. This paper shows, however, that US economic downturns have been associated with predictable short‐term recoveries and with changes in long‐term GDP forecasts that are substantially smaller than the initial drop. To detect these predictable changes, it is important to use a multivariate time series model. We discuss reasons why univariate representations can miss key character…
Economics (6 works) · Monetary Policy and Economic Impact (6 works) · Econometrics (5 works) · Mathematics (5 works) · Statistics (4 works) · Business cycle (2 works) · Computer Science (2 works) · Debt (2 works) · Economic theories and models (2 works) · Finance (2 works)