Showing papers in "Journal of Economic Dynamics and Control in 2003"

TL;DR: In this article, the authors characterize the maximal range of skewness and kurtosis for which a density exists and show that the generalized Student-t distribution spans a large domain in the maximal set.

TL;DR: In this paper, an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectations models is described, with conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non-stationarity of the solution process.

TL;DR: In this paper, the authors introduce incomplete information and preemption into an equilibrium model of firms facing real investment decisions, and show that the optimal investment strategy may lie anywhere between the zero-NPV trigger level and the optimal strategy of a monopolist, depending on the distribution of competitors' costs and the implied fear of preemption.

TL;DR: This paper developed an estimated model of the U.S. economy in which agents form expectations by continually updating their beliefs regarding the behavior of the economy and monetary policy and found that the combination of monetary policy directed at tight stabilization of unemployment near its perceived natural rate and large real-time errors in estimates of the natural rate uprooted heretofore quiescent inflation expectations and contributed to poor macroeconomic performance.

TL;DR: In this paper, the effects of fundamental and sunspot shocks in linear rational expectations models when the equilibrium is indeterminate were analyzed using a New Keynesian dynamic stochastic equilibrium model.

TL;DR: In this paper, a Kalman filter approximation is used to derive the dating rules implicit in such models and compared with dating rules in an algorithm that provides a good approximation to the chronology determined by the NBER.

TL;DR: In this article, a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets is described, and a novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to Frank Knight.

TL;DR: In this paper, the problem of allocation over time of total cost incurred by countries in a cooperative game of pollution reduction is studied, where the Shapley value is applied to determine a fair distribution of the total cooperative cost among players.

TL;DR: In this article, a small forward-looking model of the euro-area economy is used to investigate the implications of incomplete information about potential output for the conduct of monetary policy and conclude that it is optimal to appoint a more "hawkish" central bank.

TL;DR: In this article, the authors examine the impact of IPR protection on economic growth and welfare, and make use of an expanding-variety-type RD, whereas in the case of under protection, the welfare losses can be substantial.

TL;DR: In this paper, a transfer scheme that yields a core property in a dynamic context is discussed. But it is not shown that the transboundary pollution problems that are most important are caused by accumulated pollutants so that a dynamic analysis is required.

TL;DR: In this article, the authors specify and evaluate a comprehensive set of simple monetary policy rules that are suitable for small open economies in general, and for the United Kingdom in particular, by examining the performance of a battery of simple rules, including the familiar Taylor rule and MCI-based rules a la Ball.

TL;DR: In this paper, Maler et al. investigated the occurrence of Skiba points in one-state, one-co-state control systems, for which the effect of the control has a definite direction.

TL;DR: In this article, the authors provide estimates of an optimization-based equilibrium model with sticky prices and wages, which is used to analyse the welfare properties of various interest rate rules for conducting monetary policy.

TL;DR: A Gibbs sampler for Bayesian inferences of structural VARs that restrict the covariance matrix of reduced-form residuals is developed and it is shown that inferences based on the importance sampler can seriously distort economic interpretations.

TL;DR: In this article, the authors make an extensive simulation comparison of popular dynamic strategies of asset allocation for different market situations and with different market volatility, taking into account transaction costs and discrete rebalancing of portfolios.

TL;DR: In this paper, the optimal consumption and portfolio choice for a setting in which the mean returns of a risky asset depend on an unobservable regime variable of the economy, which is defined as a continuous-time Markov chain, is studied.

TL;DR: In this paper, a simple dynamic general equilibrium framework is developed to address the effects of increasing higher education subsidies in the US, from their already substantial levels, on inequality, welfare, and efficiency.

TL;DR: In this paper, the authors extend the Hassett and Metcalf model by incorporating a third factor, the effect of mean-reversion on systematic risk, and show that mean reversion does have a significant impact on investment.

TL;DR: In this paper, the authors analyzed the long run dynamics of a continuous time infinite horizon optimal growth model with identical households where the households’ rate of time preference is endogenously determined.

TL;DR: In this article, a channel of distribution consisting of a manufacturer and a retailer is studied, where the carryover effects of each channel member's advertising efforts are summarized in a stock of advertising goodwill.

TL;DR: In this paper, the authors construct a nonlinear stochastic asset pricing model in which traders rely on technical and fundamental analysis to determine their orders and find that the more traders lend themselves to trend-extrapolating behavior, the better price limits work.

TL;DR: In this paper, the weights implicitly assigned to observations when estimating unobserved components, by filtering or smoothing, using a model in state space form, are computed based on recursions derived from the Kalman filter and associated smoother.

TL;DR: In this paper, the authors disentangle policy parameters from those describing private sector behavior by simultaneously estimating an empirical model for inflation and output along with a loss function for the last three Federal Reserve administrations.

TL;DR: In this article, the optimal transition from a primary, nonrenewable resource to a backstop substitute for a class of problems characterized by the property that the backstop cost decreases continuously as learning from R&D efforts accumulates to increase the knowledge base.

TL;DR: Some light is shed on price developments arising from a simple price adaptation strategy and several adaptive pricing strategies and their learning behavior in a co-learning scenario with different levels of competition are examined.

TL;DR: In this paper, the authors introduce a method that relies exclusively on Monte Carlo simulation in order to compute numerically optimal portfolio values for utility maximization problems, which can be applied regardless of the number of factors and of whether the agent derives utility from intertemporal consumption, terminal wealth or both.

TL;DR: In this paper, a class of models in which agents' expectations influence the actual dynamics while the expectations themselves are the outcome of some recursive processes with bounded memory is studied. And the dynamics of the system, including stability, instability and bifurcation, are affected differently by the recursive processes.

TL;DR: In this paper, an algorithm for pricing American options using Monte Carlo simulation is presented, which is based on using a parametric representation of the early exercise decision, and it is shown that, as long as this paramometric representation subsumes all relevant stopping-times, error bounds can be constructed using two different estimates, one which is biased low and one which are biased high.

TL;DR: This paper developed a stock externality model in an optimal growth framework and examined the relationship between economic growth and the environment, finding that as incomes rise over the growth path, both the marginal benefits of pollution control and the marginal costs of pollution controlling rise.