Dewachter, H.D.R. (Hans)
http://repub.eur.nl/ppl/5109/
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http://repub.eur.nl/
RePub, Erasmus University RepositoryAgeing and the Relative Price of Nontradeables
http://repub.eur.nl/pub/10481/
Tue, 24 Jul 2007 00:00:01 GMT<div>Bettendorf, L.J.H.</div><div>Dewachter, H.D.R.</div>
In this paper we identify the effects of ageing on the relative price of nontradeables versus tradeables. We consider two cases. In a first specification, age effects only account for short-run dynamics. An alternative case allows for permanent age effects. Estimating the respective cases by means of an ECM on a panel of OECD countries we find significant effects of demographic composition on the relative prices, even after correcting for the standard explanatory variables. Simulations based on population projections of the UN show that ageing might substantially contribute to inflationary pressures in the near future.A joint model for the term structure of interest rates and the macroeconomy
http://repub.eur.nl/pub/17273/
Sat, 01 Apr 2006 00:00:01 GMT<div>Dewachter, H.D.R.</div><div>Lyrio, M.</div><div>Maes, K.</div>
We present and estimate a continuous time term structure model that incorporates observable macroeconomic
variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately
describe the joint dynamics for US macroeconomic variables and the yield curve. However, the observable
variables do not explain the long end of the term structure. Central tendencies of these macroeconomic
variables do a much better job in this respect. These unobservable factors also play an important role in the
description of the interest rate policy rule. Both observable and non-observable factors determine the risk
premia and hence bond excess holding returns.A joint model for the term structure of interest rates and the macroeconomy
http://repub.eur.nl/pub/17274/
Sat, 01 Apr 2006 00:00:01 GMT<div>Dewachter, H.D.R.</div><div>Lyrio, M.</div><div>Maes, K.</div>
The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation
http://repub.eur.nl/pub/435/
Thu, 19 Jun 2003 00:00:01 GMT<div>Dewachter, H.D.R.</div><div>Lyrio, M.</div>
We compute the opportunity cost for rational risk averse agents of using technical trading rules in the foreign exchange rate market. Our purpose is to investigate whether these rules can be interpreted as near-rational investment strategies for rational investors. We analyze four di.erent exchange rates and find that the opportunity cost of using chartist rules tends to be prohibitively high. We also present a method to decompose this opportunity cost into parts related to investor's irrationality and misallocation of wealth. The results show that irrationality of chartist beliefs is an important component of the total opportunity cost of using technical trading rules.Macro factors and the Term Structure of Interest Rates
http://repub.eur.nl/pub/324/
Tue, 29 Apr 2003 00:00:01 GMT<div>Dewachter, H.D.R.</div><div>Lyrio, M.</div>
This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modeling consistently long-run inflation expectations simultaneously with the term structure. This model thus avoids the standard pre-filtering of long-run expectations, as proposed by Kozicki and Tinsley (2001). Application to the U.S. economy shows the importance of long-run inflation expectations in the modelling of long-term bonds. The paper also provides a macroeconomic interpretation for the factors found in a latent factor model of the term structure. More specifically, we find that the standard "level" factor is highly correlated to long-run inflation expectations, the "slope" factor captures temporary business cycle conditions, while the "curvature" factor represents a clear independent monetary policy factor.