Showing papers in "Journal of Economic Dynamics and Control in 1998"

TL;DR: In this paper, the authors investigate the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs, where agents choose from a finite set of predictors of future prices of a risky asset and revise their "beliefs" in each period in a boundedly rational way, according to a fitness measure such as past realized profits.

TL;DR: In this paper, the authors consider a model with two logarithmic utility maximizer agents that observe aggregate consumption but disagree about its expected rate of change, and show that volatility of the interest rate in an economy with additional information is higher.

TL;DR: The optimal decision rule is generalized for the case of multiple technology switches and it is shown that for all the switching decisions except the last one, the optimal rule satisfies the net present value criterion.

TL;DR: In this paper, the authors examined the optimal consumption and investment problem for a large investor, whose portfolio choices affect the instantaneous expected returns on the traded assets and established the existence of optimal policies using martingale and duality techniques under general assumptions on the securities' price process and the investor's preferences.

TL;DR: In this paper, the effects of the threat of occurrence of environmental catastrophes on optimal pollution control are considered. And the analysis is carried out via a simple method (the "hδ-method") to identify optimal steady states by comparing steady state policies with small variations from them.

TL;DR: The authors discusses the properties of alternative algorithms for solving MULTIMOD, the IMF's multicountry model of the world economy, and finds that Newton-based techniques are considerably faster and much less prone to simulation failure.

TL;DR: In this paper, the authors present algebraic solutions for an individual firm's optimal sequential investment with costless suspension, without suspension, in the intermediate case of costly suspension, and for aggregate investment.

TL;DR: In this paper, an oligopoly is studied where firms facing a stochastic inverse demand curve use capacity as strategic variable, and capacity may be adjusted continuously over time with linear cost.

TL;DR: In this article, the authors provided a closed-form solution for the price-dividend ratio in a standard asset pricing model when the growth rate of the endowment is a first-order Gaussian autoregression.

TL;DR: In this paper, the authors studied the optimal cutting strategy for an ongoing forest, using stochastic impulse control, and showed how Faustmann's formula can be generalized to growing forests.

TL;DR: This paper developed a quantitative theoretical model for the optimal provision of public capital and showed that the ratio of public to private capital in the US economy since 1925 evolves in a manner that is broadly consistent with an optimal transition path derived from a simple growth model.

TL;DR: In this paper, the authors present an endogenous growth model comprising of financial, human and physical capital and incorporating major features of a general tax system. And they assess the role of differences in taxes and other variables in explaining the difference in growth rates.

TL;DR: In this paper, the authors developed multi-period dynamic models for fixed-income portfolio management under uncertainty, using multi-stage stochastic programming with recourse, and evaluated their performance vis-a-vis single-period models.

TL;DR: In this article, the adaptive learning in a sequence of overlapping generations economies was studied, where agents initially have heterogeneous beliefs and form multi-step-ahead forecasts using a forecast rule chosen from a vast set of candidate rules.

TL;DR: In this paper, the authors considered open-loop Nash equilibria of the linear-quadratic (LQ) differential game and provided necessary and sufficient conditions for existence of a unique solution for the finite-planning horizon case, and showed that there exist situations where the set of associated Riccati differential equations has no solution.

TL;DR: In this article, the problem of determining the order of convergence in pricing American put options for several approaches in the literature is investigated and a model for smooth converging models is constructed.

TL;DR: In this paper, a general proof of the converse of Hartwick's rule is presented, namely that in an economy with stationary instantaneous preferences and a stationary technology, an efficient constant utility path is characterized by the value of net investments being zero at each point in time, where the accumulation of man-made capital always exactly compensates in value for the depletion of the natural resource.

TL;DR: Analytical results and empirical comparisons indicate that the stacked Newton method is a viable alternative for medium-sized economic models and the popular Fair-Taylor approach is indicated.

TL;DR: The main conclusion of this simple model is that lack of convergence, or even divergence, among countries is possible, even with perfect capital mobility and labor mobility.

TL;DR: In this paper, a resampling-based postsample inference procedure is described which explicitly estimates the uncertainty which its large-sample approximation induces in the inference significance levels it produces, applied to postsample forecasting errors from the Ashley et al. study examining Granger-causation between US consumption and advertising expenditures.

TL;DR: In this paper, the authors introduce sufficient conditions for the existence of deterministic cycles and chaos in cash-in-advance models, building on the earlier work of Woodford (1994).

TL;DR: In this article, the cyclical properties of an endogenous growth model are investigated and an explicit solution is derived which permits the full characterization of the cyclic as well as the long-run properties of the model.

TL;DR: In this paper, the authors use Hidden Markov Models (HMM) to obtain recursive estimates of the drift and volatility of the price of a risky asset, and apply the results to two series of prices.

TL;DR: In this paper, the degree of elasticity of intertemporal substitution in consumption using post-war US aggregate data was investigated and it was shown that there is a statistically significant positive response of consumption growth to changes in expected real interest rates.

TL;DR: This article investigated the sensitivity of this result to alternative model specifications and behavioral assumptions and found that the real growth rate effect is substantially large, thus lending to much higher welfare costs than those in existing studies.

TL;DR: In this article, the authors investigate the properties of an international real business cycle model with household production and show that a model with disturbances to both market and household technologies reproduces the main regularities of the data and improves existing models in matching international consumption, investment and output correlations without irrealistic assumptions on the structure of international financial markets.

TL;DR: In this article, the authors present an intuitive homotopy algorithm for the computation of equilibria in the general equilibrium model with incomplete asset markets. And they show that the algorithm is very reliable in general and suitable for large-scale computations.

TL;DR: The authors analyzes an aggregative optimal-growth model where both consumption and leisure enter as arguments in the utility function and shows that preference plays an important role in determining the steady state to which the economy converges.

TL;DR: In this paper, a multi-asset intertemporal general equilibrium model of portfolio selection and asset pricing with differential information is presented, showing that rational investors trade stocks strategically according to their perceptions about economic states and providing a rationale for investors to hold less than perfectly diversified portfolios.

TL;DR: In this paper, a structural linear rational expectations model of the form ∑ i = 0 p ∑ j =− r i A i, j E t − i y t − j =∑ i ∞ Ξ i z t + i, where ξ t ∼ IID (0, Σ ξ ) is an m × 1 vector of reduced-form disturbances.