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Information about:
Peter Vlaar

Personal Details | Affiliation | Works
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First Name: Peter
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Last Name: Vlaar
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RePEc Short-ID: pvl3

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Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Peter Spreij & Enno Veerman & Peter Vlaar, 2008. "Multivariate Feller conditions in term structure models: Why do(n't) we care?," DNB Working Papers 173, Netherlands Central Bank, Research Department. [Downloadable!]

  2. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department. [Downloadable!]

  3. Maarten van Rooij & Arjen Siegmann & Peter Vlaar, 2007. "Market Valuation, Pension Fund Policy and Contribution Volatility," DNB Working Papers 159, Netherlands Central Bank, Research Department. [Downloadable!]
    Published as:

  4. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department. [Downloadable!]

  5. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department. [Downloadable!]

  6. M.C.J. van Rooij & A.H. Siegmann & P.J.G. Vlaar, 2004. "Palmnet: A pension asset and liability model for the Netherlands," WO Research Memoranda (discontinued) 760, Netherlands Central Bank, Research Department. [Downloadable!]

  7. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]

  8. A.H.J. den Reijer & P.J.G. Vlaar, 2003. "Forecasting Inflation in the Netherlands and the Euro Area," WO Research Memoranda (discontinued) 723, Netherlands Central Bank, Research Department. [Downloadable!]

  9. Peter J.G. Vlaar, 2003. "On the Influence of capital Requirements on Competition and Risk taking in Banking," DNB Staff Reports (discontinued) 102, Netherlands Central Bank. [Downloadable!]

  10. P.J.G. Vlaar, 2003. "On the Strenght of the US Dollar: Can it be Explained by Output Growth?," DNB Staff Reports (discontinued) 82, Netherlands Central Bank.
    Other versions:

  11. P.J.G. Vlaar & A.H.J. den Reijer, 2003. "Forecasting inflation: An art as well as a science!," DNB Staff Reports (discontinued) 107, Netherlands Central Bank. [Downloadable!]
    Other versions:
    Published as:

  12. P.J.G. Vlaar, 2002. "Shocking the Eurozone," WO Research Memoranda (discontinued) 696, Netherlands Central Bank, Research Department. [Downloadable!]
    Published as:

  13. P.J.G. Vlaar, 2002. "What do we Understand about Exchange Rates," WO Research Memoranda (discontinued) 684, Netherlands Central Bank, Research Department. [Downloadable!]

  14. L. van Wersch & P.J.G. Vlaar, 2000. "Contagion and capital flows: an empirical analysis of the Asian crisis," WO Research Memoranda (discontinued) 622, Netherlands Central Bank, Research Department. [Downloadable!]

  15. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:

  16. Peter J.G. Vlaar, 2000. "Capital requirements and competition in banking industry," Working Paper Series WP-00-18, Federal Reserve Bank of Chicago. [Downloadable!]

  17. P.J.G. Vlaar, 2000. "Capital requirements and competition in the banking industry," WO Research Memoranda (discontinued) 634, Netherlands Central Bank, Research Department. [Downloadable!]

  18. P.J.G. Vlaar & H. Schuberth, 1999. "Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach," DNB Staff Reports (discontinued) 36, Netherlands Central Bank. [Downloadable!]
    Other versions:

  19. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?," DNB Staff Reports (discontinued) 40, Netherlands Central Bank. [Downloadable!]
    Other versions:

  20. P.J.G. Vlaar, 1999. "Currency Crises Models for Emerging Markets," WO Research Memoranda (discontinued) 595, Netherlands Central Bank, Research Department. [Downloadable!]

  21. P.J.G. Vlaar, 1998. "On the asymptotic distribution of impulse response functions with long run restrictions," WO Research Memoranda (discontinued) 539, Netherlands Central Bank, Research Department.
    Published as:

  22. P.J.G. Vlaar, 1997. "The consequences of the dynamics in the term structure of interest rates for risk management by banks: an analysis of value-at-risk models," WO Research Memoranda (discontinued) 512, Netherlands Central Bank, Research Department.

  23. M.M.G. Fase & P.J.G. Vlaar, 1997. "International convergence of capital market interest rates," WO Research Memoranda (discontinued) 519, Netherlands Central Bank, Research Department.

  24. Peter J G Vlaar & Franz C Palm, 1993. "Inflation Differentials and Excess Returns in the European Monetary System," CEPR Financial Markets Paper 0038, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG.
    Published as:

Articles

  1. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March. [Downloadable!] (restricted)
    Other versions:

  2. Vlaar, Peter J.G., 2007. "GDP growth and currency valuation: The case of the dollar," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1424-1449, December. [Downloadable!] (restricted)

  3. Jacob A Bikker & Peter J G Vlaar, 2007. "Conditional Indexation in Defined Benefit Pension Plans in the Netherlands*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 32(4), pages 494-515, October. [Downloadable!] (restricted)

  4. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, 03. [Downloadable!] (restricted)
    Other versions:

  5. Vlaar, Peter J. G., 2004. "Shocking the eurozone," European Economic Review, Elsevier, vol. 48(1), pages 109-131, February. [Downloadable!] (restricted)
    Other versions:

  6. Vlaar, Peter J.G., 2004. "On The Asymptotic Distribution Of Impulse Response Functions With Long-Run Restrictions," Econometric Theory, Cambridge University Press, vol. 20(05), pages 891-903, October. [Downloadable!]
    Other versions:

  7. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, 05. [Downloadable!] (restricted)

  8. Vlaar, Peter J. G., 2002. "Innovations in testing the stability of risk measures over time and across models," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 375-380, March. [Downloadable!] (restricted)

  9. Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July. [Downloadable!] (restricted)

  10. Vlaar, P. J. G. & Palm, F. C., 1997. "Inflation differentials and excess returns in the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 1-20, April. [Downloadable!] (restricted)
    Other versions:

  11. Stefano Cavaglia & Kees Koedijk & Peter Vlaar, 1994. "Exchange rate expectations and risk premia in the European Monetary System: 1985–1991," Open Economies Review, Springer, vol. 5(4), pages 347-360, October. [Downloadable!] (restricted)

  12. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-60, July.

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2004-08-16 2008-04-29
  2. NEP-CFN: Corporate Finance (2) 2001-02-08 2003-06-16
  3. NEP-CMP: Computational Economics (1) 2008-01-05
  4. NEP-ECM: Econometrics (2) 2003-06-19 2004-03-14
  5. NEP-EEC: European Economics (4) 2003-06-16 2003-06-16 2006-02-05 2006-02-19 Author is listed
  6. NEP-ETS: Econometric Time Series (2) 2003-10-12 2004-08-16
  7. NEP-FIN: Finance (3) 2003-10-12 2006-02-05 2006-02-19
  8. NEP-FMK: Financial Markets (3) 2003-10-12 2006-02-05 2007-02-10
  9. NEP-IAS: Insurance Economics (1) 2006-02-19
  10. NEP-IFN: International Finance (6) 2003-07-21 2003-07-21 2003-07-21 2003-10-12 2004-03-14 2004-08-16 Author is listed
  11. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2008-01-05
  12. NEP-MAC: Macroeconomics (3) 2004-03-14 2006-02-19 2008-04-29
  13. NEP-MON: Monetary Economics (2) 2003-06-16 2008-04-29
  14. NEP-PBE: Public Economics (1) 2006-02-05
  15. NEP-RMG: Risk Management (2) 2003-10-12 2004-03-14
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This page was last updated on 2009-6-26.

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