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Tinbergen Institute Discussion Papers

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20220090: Nevertheless, they persist: Cross-Country Differences in Homeownership Behavior Downloads
Stefanie Huber and Tobias Schmidt
20220080: Gender Differences in Private and Public Goal Setting Downloads
Jordi Brandts, Sabrine El Baroudi, Stefanie Huber and Christina Rott
20220070: This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to “stopâ€, i.e. exercise the option, only at a set of Poisson arrival times; this can be viewed as a liquidity constraint or “penalty†that limits access to optionality. We use monotonicity arguments in function space to establish that the POST algorithm either (i) finds the solution or (ii) demonstrates that no solution exists. The monotonicity of POST carries over to the discretised setting, where we additionally show geometric convergence and provide convergence bounds. For jump-diffusion processes, dense matrix factorisation may be avoided by using a suitable operator-splitting method for which we prove convergence. We also highlight a connection with linear complementarity problems (LCPs). We use the POST algorithm to value American options and compute early-exercise boundaries for Kou’s jump-diffusion model and Heston’s stochastic volatility model, illustrating the breadth of application and numerical reliability of the method Downloads
Jean-Claude Hessing, Rutger-Jan Lange and Daniel Ralph
20220060: Optimal Taxation with Multiple Incomes and Types Downloads
Kevin Spiritus, Etienne Lehmann and Sander Renes
20220050: How to reduce discrimination? Evidence from a field experiment in amateur soccer Downloads
Robert Dur, Carlos Gomez-Gonzalez and Cornel Nesseler
20220032: Advance Information and Consumption Insurance: Evidence from Panel Data Downloads
Marcelo Pedroni, Swapnil Singh and Christian Stoltenberg
20220031: Output Divergence in Fixed Exchange Rate Regimes: Is the Euro Area Growing Apart? Downloads
Yao Chen and Felix Ward
20220030: The short-term effect of the COVID-19 crisis on employment probabilities of labour-market entrants in the Netherlands Downloads
Henri Bussink, Tobias Vervliet and Bas ter Weel
20220029: SHE canÕt afford it and HE doesnÕt want it: The gender gap in the COVID-19 consumption response Downloads
Stefanie Huber
20220028: Intergenerational Risk Sharing with Market Liquidity Risk Downloads
Daniel Dimitrov
20220027: Human Capital Formation: The Effect of a Miscarriage on Mental Health, Labour Market, and Family Outcomes Downloads
Sara Rellstab, Pieter Bakx and Pilar Garci‡-G—mez
20220026: Human Capital Formation: The Importance of Endogenous Longevity Downloads
Titus Galama and Hans van Kippersluis
20220025: Good or Bad? Short- versus Long-Term Effects of Multigrading on Child Achievement Downloads
Gian Paolo Barbetta, Patrick Chuard-Keller, Giuseppe Sorrenti and Gilberto Turati
20220024: Why Do Temporary Workers Have Higher Disability Insurance Risks Than Permanent Workers? Downloads
Pierre Koning, Paul Muller and Roger Prudon
20220023: Weighting the Waiting: Intertemporal Social Preferences Downloads
Kirsten Rohde, Job van Exel and Merel van Hulsen
20220022: Asymptotic properties of the weighted average least squares (WALS) estimator Downloads
Giuseppe De Luca, Jan Magnus and Franco Peracchi
20220021: Fertility and Parental Retirement Downloads
Julius Ilciukas
20220020: Personalized Pricing, Competition and Welfare Downloads
Harold Houba, Evgenia Motchenkova and Hui Wang
20220019: The Economics and Econometrics of Gene-Environment Interplay Downloads
Pietro Biroli, Titus Galama, Stephanie von Hinke, Hans van Kippersluis, Cornelius Rietveld and Kevin Thom
20220018: Optimal Commodity Taxation Under Non-linear Income Taxation Downloads
Kevin Spiritus
20220017: Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks? Downloads
Mahmoud Fatouh, Ioana Neamtu and Sweder van Wijnbergen
20220016: Habitual Communication Downloads
Konstantinos Ioannidis
20220015: The Emerging Autonomy–Stability Choice for Stablecoins Downloads
Maarten van Oordt
20220014: Do firms or workers drive the foreign acquisition wage premium? Downloads
Marcus Rösch, Michiel Gerritse, Bas Karreman, Frank van Oort and Bart Loog
20220013: A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods Downloads
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk
20220012: Responsive state-dependent or habitual state-independent congestion pricing under dynamic congestion Downloads
Xiaojuan Yu, Vincent van den Berg and ZhiChun Li
20220011: A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Downloads
Daan Opschoor and Michel van der Wel
20220010: Do highway widening reduce congestion? Downloads
Ioulia Ossokina, Jos van Ommeren and Henk van Mourik
20220004: Autonomous cars and activity-based bottleneck model: How do in-vehicle activities determine aggregate travel patterns? Downloads
Xiaojuan Yu, Vincent van den Berg and Erik T. Verhoef
20220003: Will all autonomous cars cooperate? Brands' strategic interactions under dynamic congestion Downloads
Xiaojuan Yu, Vincent van den Berg, Erik Verhoef and ZhiChun Li
20220002: Business models for Mobility as an Service Downloads
Vincent van den Berg, Henk Meurs and Erik T. Verhoef
20210101: The corporate calendar and the timing of share repurchases and equity compensation Downloads
Ingolf Dittmann, Amy Yazhu Li, Stefan Obernberger and Jiaqi Zheng
20210063: Corporate Social Responsibility by Joint Agreement Downloads
Maarten Pieter Schinkel and Leonard Treuren
20210061: Unemployment and tax design Downloads
Albert Jan Hummel
20210060: On the Foundations of Competitive Search Equilibrium with and without Market Maker Downloads
James Albrecht, Xiaoming Cai, Pieter Gautier and Susan Vroman
20210059: COVID-19, Credit Risk and Macro Fundamentals Downloads
Anna Dubinova, Andre Lucas and Sean Telg
20210058: Search, Screening and Sorting Downloads
Xiaoming Cai, Pieter Gautier and Ronald Wolthoff
20210057: Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence Downloads
Francisco Blasques, Enzo D'Innocenzo and Siem Jan Koopman
20210056: Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors Downloads
Paolo Gorgi, Siem Jan Koopman and Julia Schaumburg
20210055: The Effects of Usury Ceilings on Consumers Welfare: Evidence from the Microcredit Market in Colombia Downloads
Laura Marcela Capera Romero
20210054: Early-life Famine Exposure, Hunger Recall and Later-life Health Downloads
Zichen Deng and Maarten Lindeboom
20210053: Quantifying time-varying forecast uncertainty and risk for the real price of oil Downloads
Knut Are Aastveit, Jamie Cross and Herman van Dijk
20210052: On existence of private unemployment insurance with advance information on future job losses Downloads
Piotr Denderski and Christian Stoltenberg
20210051: Monopsony power, income taxation and welfare Downloads
Albert Jan Hummel
20210050: Voting right rotation, behavior of committee members and financial market reactions: Evidence from the U.S. Federal Open Market Committee Downloads
Michael Ehrmann, Robin Tietz and Bauke Visser
20210049: Reputation Shocks and Strategic Responses in Electoral Campaigns Downloads
Rubén Poblete Cazenave
20210048: How Sensitive are Sports Fans to Unemployment? Downloads
J Reade and Jan van Ours
20210047: Oil discoveries and protectionism: role of news effects Downloads
Fidel Sebastian-Perez, Ohad Raveh and Frederick (Rick) van der Ploeg
20210046: The risk-adjusted carbon price Downloads
Frederick (Rick) van der Ploeg and Ton van den Bremer
20210045: On current and future carbon prices in a risky world Downloads
Stan Olijslagers, Frederick (Rick) van der Ploeg and Sweder van Wijnbergen
20210044: Concentration of power at the editorial boards of economics journals Downloads
Lorenzo Ductor and Bauke Visser
20210043: When a coauthor joins an editorial board Downloads
Lorenzo Ductor and Bauke Visser
20210042: Bias in expert product reviews Downloads
Ben Vollaard and Jan van Ours
20210041: Leaders, Factions and Electoral Success Downloads
Benoit S Y Crutzen and Sabine Flamand
20210040: Clustering Dynamics and Persistence for Financial Multivariate Panel Data Downloads
Igor Custodio João, Andre Lucas and Julia Schaumburg
20210039: The Best at the Top? Candidate Ranking Strategies Under Closed List Proportional Representation Downloads
Benoit S Y Crutzen, Hideo Konishi and Nicolas Sahuguet
20210038: Weighted-average least squares (WALS): Confidence and prediction intervals Downloads
Giuseppe De Luca, Jan R. Magnus and Franco Peracchi
20210037: Lockdowns as options Downloads
Sweder van Wijnbergen
20210036: Heterogeneity in Manufacturing Growth Risk Downloads
Daan Opschoor, Dick van Dijk and Philip Hans Franses
20210035: Disparities in socio-economic status and BMI in the UK are partly due to genetic and environmental luck Downloads
Casper A.P. Burik, Hyeokmoon Kweon and Philipp D. Koellinger
20210034: Invariance of Unemployment and Vacancy Dynamics with Respect to Diminishing Returns to Labor at the Firm Level Downloads
Björn Brügemann
20210033: Reconstruction of the Spanish Money Supply, 1492-1810 Downloads
Felix Ward, Yao Chen and Nuno Palma
20210032: The Banker's Oath And Financial Advice Downloads
Utz Weitzel and Michael Kirchler
20210031: Top Down or Bottom Up? Disentangling the Channels of Attention in Risky Choice Downloads
Jan Engelmann, Alejandro Hirmas and Joël van der Weele
20210030: Macroeconomic disasters and consumption smoothing Downloads
Lorenzo Pozzi and Barbara Sadaba
20210029: Pcoins for parking: a field experiment with tradable mobility permits Downloads
Devi Brands, Erik Verhoef and Jasper Knockaert
20210028: Sharing the cost of cleaning up a polluted river Downloads
Wenzhong Li, Genjiu Xu and Rene van den Brink
20210027: Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages Downloads
Eva Janssens and Robin Lumsdaine
20210026: Unravelling urban advantages - A meta-analysis of agglomeration economies Downloads
Stuart Donovan, Thomas Graaff, Henri de Groot and Carl Koopmans
20210025: Optimal Taxation of Normal and Excess Returns to Risky Assets Downloads
Robin Boadway and Kevin Spiritus
20210024: Balanced Externalities and the Proportional Allocation of Nonseparable Contributions Downloads
Rene van den Brink, Youngsub Chun, Yukihiko Funaki and Zhengxing Zou
20210023: The initial deposit decision and the occurrence of bank runs Downloads
Johan de Jong
20210022: The option value of vacant land: Don't build when demand for housing is booming Downloads
Rutger-Jan Lange and Coen N. Teulings
20210021: Will urban air mobility fly? The efficiency and distributional impacts of UAM in different urban spatial structures Downloads
Anna Straubinger, Erik T. Verhoef and Henri de Groot
20210020: Time-varying state correlations in state space models and their estimation via indirect inference Downloads
Caterina Schiavoni, Siem Jan Koopman, Franz Palm, Stephan Smeekes and Jan van den Brakel
20210019: Networks, Communication and Hierarchy: Applications to Cooperative Games Downloads
Encarnacion Algaba and Rene van den Brink
20210018: Disentangling Covid-19, Economic Mobility, and Containment Policy Shocks Downloads
Annika Camehl and Malte Rieth
20210017: Bayes estimates of multimodal density features using DNA and Economic Data Downloads
Nalan Basturk, Lennart Hoogerheide and Herman van Dijk
20210016: A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance Downloads
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk
20210015: Citywide parking policy and traffic: Evidence from Amsterdam Downloads
Francis Ostermeijer, Hans RA Koster, Leonardo Nunes and Jos van Ommeren
20210014: Technology vs information to promote conservation: Evidence from water audits Downloads
Erik Ansink, Carmine Ornaghi and Mirco Tonin
20210013: Eliciting time preferences when income and consumption vary: Theory, validation & application to job search Downloads
Michèle Belot, Philipp Kircher and Paul Muller
20210012: The Informational Affective Tie Mechanism: On the Role of Uncertainty, Context, and Attention in Caring Downloads
Frans van Winden
20210011: Market power in California's water market Downloads
Françeska Tomori, Erik Ansink, Harold Houba, Nick Hagerty and Charles Bos
20210010: Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution Downloads
Francisco Blasques, Andre Lucas, Anne Opschoor and Luca Rossini
20210009: Bankruptcy Codes and Risk Sharing of Currency Unions Downloads
Xuan Wang
20210008: Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels Downloads
Siem Jan Koopman, Julia Schaumburg and Quint Wiersma
20210007: Weak versus strong dominance of shrinkage estimators Downloads
Giuseppe De Luca and Jan R. Magnus
20210006: Forecasting in a changing world: from the great recession to the COVID-19 pandemic Downloads
Mariia Artemova, Francisco Blasques, Siem Jan Koopman and Zhaokun Zhang
20210005: Going Through The Roof: On Prices for Drugs Sold Through Insurance Downloads
Jurjen Kamphorst and Vladimir Karamychev
20210004: Robust Estimation of Probit Models with Endogeneity Downloads
Andrea A. Naghi, Máté Váradi and Mikhail Zhelonkin
20210003: Mental Health Effects of Same-Sex Marriage Legalization Downloads
Shuai Chen and Jan van Ours
20210002: Macroeconomic Conditions When Young Shape Job Preferences for Life Downloads
Maria Cotofan, Lea Cassar, Robert Dur and Stephan Meijer
20210001: The Value Added of Machine Learning to Causal Inference: Evidence from Revisited Studies Downloads
Anna Baiardi and Andrea A. Naghi
20210000: Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies Downloads
Terri van der Zwan, Erik Hennink and Patrick Tuijp
20200086: Welfare Measurement and Poverty Targeting Based on Participatory Wealth Rankings Downloads
Martin Wiegand
20200085: Optimal Linear Income Taxation and Education Subsidies under Skill-Biased Technical Change Downloads
Bas Jacobs and Uwe Thuemmel
20200084: Do Disability Benefits Hinder Work Resumption After Recovery? Downloads
Pierre Koning, Paul Muller and Roger Prudon
20200083: Taking Time Seriously: Implications for Optimal Climate Policy Downloads
Michael Grubb, Rutger-Jan Lange, Nicolas Cerkez, Pablo Salas, Jean-Francois Mercure and Ida Sognnaes
20200082: Dynamic complementarity in skill production: Evidence from genetic endowments and birth order Downloads
Dilnoza Muslimova, Hans van Kippersluis, Cornelius A. Rietveld, Stephanie von Hinke and S. Fleur W. Meddens
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