Showing papers in "Journal of Economic Dynamics and Control in 1994"

TL;DR: In this paper, the conditional standard deviation is a piecewise linear function of past values of the white noise, which allows different reactions of the volatility to different signs of the lagged errors.

TL;DR: In this article, the authors examine the implications for capital accumulation when infrastructure enters as an external input into private production functions and show that the optimal tax rate is independent of the degree of nonrivalry.

TL;DR: The results of simulations show that the genetic algorithm converges to the rational expectations equilibrium for a wider range of parameter values than other algorithms frequently studied within the context of the cobweb model.

TL;DR: In this article, the consequences of an avoidable risk of irreversible environmental catastrophe for society's optimal long-run consumption/pollution tradeoffs are considered, where the risk is assumed to be a non-decreasing function of pollution concentration which evolves as a dynamic environmental renewal process.

TL;DR: In this article, the authors extend the representative agent framework to allow for decisions on both participation and hours, and calibrate and simulate a dynamic version of the model and show that it is better able to mimic some features of the aggregate data.

TL;DR: In this article, a parameterized and calibrated generalization of their model is studied, one which incorporates search by employed workers, showing that a single source of macro disturbance is consistent with the observed magnitudes of the comovements and fluctuations observed.

TL;DR: In this article, the expectation model of the term structure for US data on three and six-month treasury bills for the period 1962(1) to 1987(3) is explored.

TL;DR: In this paper, the stationary distributions of price quotations and transactions prices, given order arrival rates conditioned on information available through the limit order book, are derived for an automated continuous auction system with price and time priority rules.

TL;DR: In this paper, a comparative analysis of 30 computer trading programs that participated in a double auction tournament held at the Santa Fe Institute in 1990 and 1991 is presented, and a simple rule-of-thumb is found to be a highly effective and robust performer over a wide range of trading environments.

TL;DR: In this paper, the authors examined the case for fiscal policy coordination in a European Economic and Monetary Union (EMU) model with two market structures and found that countries have an incentive to improve their terms of trade leading to an inefficient noncooperative outcome which can be avoided by cooperation.

TL;DR: In this article, the authors start from well-behaved one-state-variable optimal control models and show that the replacement of control by an adjustment process and presumably penalizing these adjustments may convert stable (and only stable) fixed point equilibria into limit cycles.

TL;DR: The authors explored the hypothesis that the seasonal patterns of macroeconomic variables vary with expansions and contractions and used Graphical techniques and generalized predictive tests for structural stability to identify and test patterns of changing seasonality.

TL;DR: In this article, a simple policy game featuring monetary credibility problems is analyzed, and it is shown that loss of monetary discretion is not advantageous, and that credibility problems are temporary and in steady state, the government has removed these through sound policies.

TL;DR: In this article, the authors show that although movements in the nominal yield spread are useful in predicting future economic activity, these movements are not enough to separate real from nominal shocks, and the source of the shock can be determined if movements in both the spread and shifts in nominal yield curve are used jointly.

TL;DR: In this article, a general model of competitive financial equilibrium is developed with multiple sectors and multiple instruments that can be held as assets and/or as liabilities, assuming that the economic behavior of each sector is that of utility maximization and yields the equilibrium asset, liability, and price pattern.

TL;DR: In this paper, a model of market participation in competitive asset markets is constructed, where agents have random needs for liquidity, but they are precluded from trading claims contingent on their type, and from diversifying between assets.

TL;DR: In this article, a general equilibrium model is presented in which buyers and sellers find it increasingly difficult to make private credit arrangements as economic activity spreads into new markets; hence, the demand for money increases as the structure of production and trade becomes more complex.

TL;DR: In this article, a Monte Carlo simulation is used to evaluate any expectations bias that nonlinearities may introduce and the expected value of the policy objective function is optimized simultaneously with the sensitivity of the problem to given sources of uncertainty.

TL;DR: In this article, monetary and fiscal analysis of a recently developed second-order continuous time macroeconometric model of the United Kingdom is concerned with the effect on stability of both simple ad hoc policy feedbacks and more sophisticated feedbacks derived by using optimal control theory.

TL;DR: In this paper, a non-recursive method for computing recursive competitive equilibria in linear models is described, and a nonrecursive algorithm for computing competitive equilibrium is presented.

TL;DR: In this paper, exact solutions for a class of stochastic dynamic programming problems in growth theory involving pairs of constant relative risk aversion utility functions and CES technologies are provided. But they do not consider the case of constant risk aversion with Cobb-Douglas production functions.

TL;DR: In this paper, the authors consider the problem of an investor who is endowed with a deterministic level of initial capital and must use this endowment to consume and invest in a financial market.

TL;DR: In this article, the authors show that feedback from the endogenous variable to the forcing variable in many present value models can change the dynamical properties of the solution(s) of the presented value models very substantially, and they find evidence of a feedback going from lagged stock prices to dividends which gives rise to multiple solutions to the present value stock price.

TL;DR: In this paper, an economic dynamic model of illegal behavior was proposed to explain the age-crime profile, and the analysis showed that intertemporal criminal decisions can be modeled as a dynamic consumption-investment problem.

TL;DR: In this article, the authors examined conditions under which the solutions to parametric families of dynamic programming problems are continuous in the parameters and showed that parametric continuity obtains whenever either (a) the family of problems satisfies strong (joint-) continuity properties in the parameter and state or (b) if it satisfies weaker (separate-) continuity requirements, provided these are supplemented by either stronger assumptions on the transition probabilities or by monotonicity restrictions such as are common in economic modelling.

TL;DR: In this article, the authors give an overview of the differentiability properties of the value and policy functions of dynamic programming and derive approximation estimates for the value functions of a discretized model amenable to the computation of optimal solutions.

TL;DR: In this article, the authors propose hierarchical structures and mean-field approximation schemes as two potentially useful ways of modeling collective behavior in macroeconomics, and describe how such hierarchies may arise in several ways, and how dynamics can exhibit behavior with multiple time scales.

TL;DR: In this paper, a turnpike adjustment algorithm for piecewise deterministic differential games with modal jumps occurs randomly in time according to a Markov chain is presented. And the performance of the algorithm is illustrated on a duopoly model with random market condition, representing the competition of two firms through their capacity accumulation processes.

TL;DR: In this paper, the authors developed Durbin-Hausman tests for cointegration which use regression residuals and derived the asymptotic distributions under the null and the rates of divergence under the alternative.

TL;DR: In this article, a simple repeated agency model is shown to better match several population moments concerning life-cycle labor supply and consumption variation than the same model without incentive constraints, and the authors show that incentive-induced variability is an insufficient explanation of the variability in the data.