Showing papers in "Journal of Economic Dynamics and Control in 2002"

TL;DR: In this paper, the authors relate value at risk (VaR) to mean-variance analysis and examine the economic implications of using a mean-VaR model for portfolio selection, showing that it is plausible for risk-averse agents to end up selecting portfolios with larger standard deviations if they switch from using variance to VaR as a measure of risk.

TL;DR: In this paper, the authors use a simple two-period model to illustrate the optimal timing problems and their implications for environmental policy and then lay out and solve a continuous-time model of policy adoption in which the policy itself entails sunk costs and environmental damage is irreversible.

TL;DR: In this paper, a dynamic general equilibrium model of longevity, fertility and growth is proposed to determine economic and demographic outcomes jointly in a dynamic GEE model of life expectancy, fertility, and educational investment.

TL;DR: In this paper, a human capital externality in the total factor productivity of agriculture and industry is introduced to explain the transition from agriculture to industry, leading to a slow growth in population and income before a switch to a balanced growth path of higher population growth and rapid income growth.

TL;DR: In this paper, a second non-traded log Brownian asset is introduced into the Merton investment model with power-law utility, and an approximation to the solution for the "optimal" reservation price and hedge is proposed.

TL;DR: In this paper, a regime-switching model with state-dependent transition probabilities between regimes can replicate the patterns found by the non-parametric studies, including the drift and volatility function of the term spread.

TL;DR: In this article, the authors demonstrate the advantages of the complementarity formulation for approximating infinite-horizon equilibria in neoclassical growth models as compared with techniques originally developed for optimal planning models.

TL;DR: In this article, the authors focus on the potential effect of small $uctuations in investors' subjective preferences (speci5cally, their discount factors and attitudes towards risk) on the volatility of equity prices.

TL;DR: The subjective distribution of growth rates of aggregate consumption is characterized by pessimism if it is first-order stochastically dominated by the objective distribution as mentioned in this paper, which is a leftward translation of the objective distributions of the logarithm of the growth rate.

TL;DR: In this article, a method to compute adjustment dynamics that occur in infinite time horizon problems of deterministic optimal control is proposed, without loss of accuracy, and this method is easier to implement than existing ones.

TL;DR: In this article, the authors introduce a complex technology space based on percolation theory, which is searched randomly in local neighborhoods of the current best-practice frontier and demonstrate that with increasing radius of search, the probability of becoming deadlocked declines and the mean rate of innovation increases until a plateau is reached.

TL;DR: In this paper, the authors empirically examined the extent of price rigidity using a unique store-level time-series data set, consisting of (i) actual retail transaction prices, (ii) actual wholesale transaction prices which represent both the retailers' costs and the prices received by manufacturers, and (iii) a measure of manufacturers' costs.

TL;DR: In this article, the authors consider the problem of robust optimal portfolio selection for tracking error when the expected returns of the risky and risk-free assets as well as the covariance matrix of the risks are not exactly known, and they show that these two problems are equivalent to solving linear-matrix inequalities (LMI) optimization problems.

TL;DR: In this article, a model of optimal bank closure rules with Poisson-distributed audits of the bank's asset value by the regulator is considered, with the goal of eliminating (ameliorating) the incentives of levered bank shareholders/managers to take excessive risks in their choice of underlying assets.

TL;DR: In this article, the authors investigate optimal Bayesian learning and control with lagged dependent variables and time-varying unknown parameters and find that the optimal decision rule involves a noticeable degree of experimentation for moderate to large levels of uncertainty.

TL;DR: In this paper, the effects of government credit subsidies on the allocation of credit to targeted entrepreneurs, but at the cost of non-targeted entrepreneurs, are quantitatively analyzed and shown to have adverse incentive effects.

TL;DR: In this article, a dynamic oligopoly where firms invest to increase product differentiation and an externality effect operates in the R&D activity via the demand functions is considered, and it is shown that the degree of differentiation resulting from R&DI effort is higher, the larger is the population of firms in the industry.

TL;DR: In this paper, the interaction of fiscal stabilization policies in the Economic and Monetary Union (EMU) is analyzed using a dynamic games approach, and the consequences of the introduction of a fiscal transfer mechanism between countries are studied.

TL;DR: In this article, the authors use numerical methods to model the demand for excess reserves by a representative bank in a framework that includes many realistic features of the current reserve market structure in the United States.

TL;DR: In this paper, the authors investigated the response of the rate of convergence to the intratemporal elasticity of substitution in production, and to the intertemporal and intra-temporal elasticities of substitution for substitution in consumption.

TL;DR: In this article, the authors argue that imposing exogeneity restrictions at the earliest possible stage of model reduction process and then restricting the dynamic adjustment of the model hugely increases the power of tests of overidentifying restrictions on the long-run cointegrating vectors.

TL;DR: In this paper, the reservation write price of European calls and puts and lower bound on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security.

TL;DR: In this paper, the authors build a general equilibrium model with overlapping generations of agents and an endogenous growth specification a la Lucas, and compare the predictions with endogenous growth (under various parameter sets) to those with exogenous growth.

TL;DR: In this article, the authors consider social status, the spirit of capitalism, fiscal policies, and asset pricing in a stochastic model of growth, and derive the explicit solutions to the growth rates of consumption and savings and equilibrium returns on all assets.

TL;DR: In this paper, a direct test for examining the mean-variance efficiency of a given benchmark asset return was developed, allowing for the possibility that short positions in the primitive assets may not be possible.

TL;DR: In this paper, the authors look at the time series of cross-sectional distributions of the growth rates of sales by US quoted companies from 1950 to 1999 and detect correlations between aggregate business cycle fluctuations and the higher moments of the crosssectional distribution.

TL;DR: In this article, a traditional economic model of supply and demand is deployed within a system dynamics model, and the approach is illustrated using an example from the British National Health Service, in which a conventional economic model is deployed in a dynamic framework.

TL;DR: In this paper, a comparative study of portfolio insurance under a variety of modeling strategies is conducted, focusing on portfolio insurers who derive utility from horizon wealth, with marginal utility tending smoothly to infinity at some pre-specified floor.

TL;DR: In this article, the authors discuss the possibility of welfare improving changes on the 1scal policy stance in some actual economies, and characterize the extent to which the initial fall in revenues produced by a permanent tax cut can be compensated by an increase in the tax base, due to a dynamic La#er curve.

TL;DR: In this article, Bernanke et al. proposed a minimalist trend-deviation model with dynamic specifications to improve the data-based realism, while preserving the simplicity, of the minimalist model.