127 Discussion Papers

• 17-080/IV - Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program

  Authors: Martijn (M.I.) Droes, University of Amsterdam & Amsterdam School of Real Estate; Tinbergen Institute, The Netherlands; Ryan van Lamoen, Dutch Central Bank; Simona Mattheussens, Dutch Central Bank

  Date: September 05, 2017

• 17-078/IV - Foreign Investment and Domestic Productivity: Identifying Knowledge Spillovers and Competition Effects

  Authors: Christian Fons-Rosen, Universitat Pompeu Fabra, CEPR, and Barcelona Graduate School of Economics, Spain; Sebnem Kalemli-Ozcan, University of Maryland, CEPR, and NBER, the USA; Bent E. Sorensen, University of Houston and CEPR, the USA; Carolina Villegas-Sanchez, ESADE - Universitat Ramon Llull, Spain; Vadym (V.) Volosovych, Erasmus University Rotterdam, Erasmus Research Institute of Management, the Netherlands; Tinbergen Institute, The Netherlands

  Date: September 05, 2017

• 17-041/IV - Do Negative Interest Rates Make Banks Less Safe?

  Authors: Federico Nucera, LUISS Guido Carli University, Rome; Andre Lucas, Vrije Universiteit Amsterdam and Tinbergen Institute; Julia Schaumburg, Vrije Universiteit Amsterdam and Tinbergen Institute; Bernd Schwaab, European Central Bank, Financial Research

  Date: April 25, 2017

• 17-002/IV - Implied Volatility Sentiment: A Tale of Two Tails

  Authors: Philip Stork, VU Amsterdam, The Netherlands; Luiz Felix, VU Amsterdam, The Netherlands; Roman Kraussl, University of Luxembourg, Luxembourg

  Date: January 13, 2017

• 16-093/IV - The (Self-)Funding of Intangibles

  Authors: Robin Döttling, University of Amsterdam, The Netherlands; Tomislav Ladika, University of Amsterdam, The Netherlands; Enrico Perotti, University of Amsterdam, The Netherlands

  Date: November 03, 2016

• 16-087/IV - Liquidity Runs

  Authors: Rafael Matta, University of Amsterdam, The Netherlands; Enrico Perotti, University of Amsterdam, The Netherlands

  Date: October 19, 2016

• 16-074/IV - Network, Market, and Book-Based Systemic Risk Rankings

  Authors: Michiel C.W. van de Leur, VU University Amsterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands

  Date: September 08, 2016

• 16-069/IV - Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands

  Date: September 02, 2016

• 16-067/IV - Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Julia Schaumburg, VU University Amsterdam, the Netherlands

  Date: August 29, 2016

• 16-066/IV - Bank Business Models at Zero Interest Rates

  Authors: Andre Lucas, VU University Amsterdam, the Netherlands; Julia Schaumburg, VU University Amsterdam, the Netherlands; Bernd Schwaab, European Central Bank, Germany

  Date: August 29, 2016

• 16-064/IV - Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads

  Authors: Rutger-Jan Lange, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands; Arjen H. Siegmann, VU University Amsterdam, the Netherlands

  Date: August 29, 2016

• 16-051/IV - Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

  Authors: Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands

  Date: July 11, 2016

• 16-022/IV - Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment

  Authors: Luiz Felix, VU University Amsterdam, the Netherlands; Roman Kraussl, University of Luxembourg, Luxemburg; Philip Stork, VU University Amsterdam, the Netherlands

  Date: April 01, 2016

• 16-008/IV - What causes the Positive Price-Turnover Correlation in European Housing Markets?

  Authors: Martijn I. Dröes, University of Amsterdam, and Amsterdam School of Real Estate, the Netherlands; Marc K. Francke, Amsterdam School of Real Estate, the Netherlands

  Date: February 04, 2016

• 15-110/IV - How to Construct Nationally Representative Firm Level Data from the Orbis Global Database: New Facts on SMEs and Aggregate Implications for Industry Concentration

  Authors: Sebnem Kalemli-Ozcan, University of Maryland; Bent Sørensen, University of Houston; Carolina Villegas-Sanchez, Universitat Ramon Llull; Vadym Volosovych, Erasmus University Rotterdam; Sevcan Yesiltas, Koc University

  Date: September 14, 2015

• 15-079/IV - Mortgage Finance and Technological Change

  Authors: Robin Döttling, University of Amsterdam, the Netherlands; Enrico Perotti, University of Amsterdam, the Netherlands

  Date: July 06, 2015

• 15-076/IV - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

  Authors: Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam; Andre Lucas, VU University Amsterdam

  Date: July 01, 2015

• 15-057/IV - Regulating the Financial Cycle: An Integrated Approach with a Leverage Ratio

  Authors: Dirk Schoenmaker, VU University Amsterdam, the Netherlands; Peter Wierts, VU University Amsterdam, the Netherlands

  Date: June 16, 2015

• 15-046/IV - Investor Sentiment and Employment

  Authors: Maurizio Montone, Erasmus University Rotterdam, the Netherlands; Remco C.J. Zwinkels, VU University Amsterdam, the Netherlands

  Date: April 02, 2015

• 15-036/IV - Cheap but Flighty: How Global Imbalances create Financial Fragility

  Authors: Enrico Perotti, University of Amsterdam, the Netherlands; Toni Ahnert, Bank of Canada, Canada

  Date: March 19, 2015