Showing papers in "Journal of Economic Dynamics and Control in 2006"

TL;DR: In this paper, a nonparametric test for Granger non-causality was proposed to avoid the over-rejection observed in the frequently used test proposed by Hiemstra and Jones [1994].

TL;DR: In this paper, the authors compared solution methods for dynamic equilibrium economies with a stochastic neoclassical growth model with leisure choice using Undetermined Coefficients in levels and in logs, Finite Elements, Chebyshev Polynomials, Second and Fifth Order Perturbations and Value Function Iteration for several calibrations.

TL;DR: In this article, the authors investigate asset allocation strategies open to members of defined-contribution pension plans with a model that incorporates asset, salary (labour-income) and interest-rate risk.

TL;DR: In this article, economic development and bureaucratic corruption are determined jointly in a dynamic general equilibrium model of growth, bribery and tax evasion, and the relationship between corruption and development is predicted to be negative.

TL;DR: This article developed a model in which boundedly rational agents apply technical and fundamental analysis to identify trading signals in two different speculative markets and found that an ongoing evolutionary competition between the trading strategies causes complex price dynamics which closely resembles the behavior of actual speculative prices.

TL;DR: In this paper, the authors propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, without imposing any given given model but trying to leave the data speak.

TL;DR: In this article, a reduced-form model for credit contagion is proposed, assuming that the local interaction of firms in a business partner network is due to the propagation of economic distress from one firm to another.

TL;DR: The authors developed a two-sector neoclassical growth model to quantitatively assess the driving forces of China's recent structural transformation and found that the reduction in the size of the Chinese government accounted for 15% of the reduction of the agricultural share of employment.

TL;DR: In this paper, the authors analyze the role of information in structural models, which they specify through a model definition of the default time and a model filtration, which describes the information of investors relative to the model definition.

TL;DR: In this paper, the authors propose a dynamic financial market model in which demand for traded assets has both a fundamentalist and a chartist component, and the chartist demand is governed by the difference between current price and a (long-run) moving average.

TL;DR: In this article, identification-robust methods were used to assess a New Keynesian Phillips Curve (NKPC) equation for U.S. and Canadian data, and two variants of the model were studied: one based on a rational-expectations assumption, and a modification which uses survey-based data on inflation expectations.

TL;DR: In this article, the authors characterize the solution to the textbook Hotelling model when there is a ceiling on the stock of emissions, and show that when the ceiling is binding, both the low-cost non-renewable resource and the high-cost renewable resource may be used jointly.

TL;DR: This paper showed that the job matching model in its standard form cannot reproduce these patterns due to excessively rapid vacancy responses, and extended the model to incorporate sunk costs for vacancy creation, leading the stock of vacancies to react sluggishly.

TL;DR: In this paper, the authors consider a discrete-time model of a financial market with one risky asset and one risk-free asset, where the asset price and wealth dynamics are determined by the interaction of two groups of agents, fundamentalists and chartists.

TL;DR: In this paper, the authors model the dynamic process through which a large society may succeed in building up its "social capital" by establishing a stable and dense pattern of interaction among its members.

TL;DR: In this article, the authors derived necessary conditions for optimal control in the presence of threshold effects when the threshold is a curve in n-dimensional space of uncertain location, and the usefulness of these conditions is shown by examining the optimal regulation of two greenhouse gases when there is a risk that the combined radiative forcing from these two gases may trigger the disintegration of the Western Antarctic ice sheet.

TL;DR: In this article, the authors explored the role of the judge/law clerk market and proposed reforms of the market, experimentally in the laboratory and computationally using genetic algorithms, and found that some of the special features of the law clerk market, such as the feeling among many students and judges that students must accept offers when they are made, present obstacles to the success of the proposed reforms.

TL;DR: In this paper, the authors provide empirical evidence that badly governed firms respond more to aggregate shocks than do well governed firms, and they build a simple model where managers are prone to over-invest and where shareholders are more likely to tolerate such a behavior in good times.

TL;DR: In this paper, the authors show that there is a difficulty in the original Goodwin model which is also found in some more recent applications, and they argue that the underlying dynamic structure of the model can be reformulated to ensure that these variables cannot exceed unity.

TL;DR: In this paper, the authors apply the changes of variables technique to solve the stochastic neoclassical growth model and find that the optimal change of variables reduces the average absolute Euler equation errors by a factor of three.

TL;DR: In this paper, the authors use a DSGE model to show that taking account of the expenditure composition of U.S. trade in an empirically realistic way yields implications for the responses of trade to shocks that are markedly different from those of a'standard' framework that abstracts from such compositional differences.

TL;DR: In this article, the authors analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy and show that the construction of a consensus belief, as well as a consensus consumer are valid modulo a predictable aggregation bias, which takes the form of a discount factor.

TL;DR: In this paper, the optimal taxation of income from labor and capital in the stochastic growth model analyzed by Chari et al. was revisited using a linear-quadratic (LQ) approximation to derive a log-linear approximation to the optimal policy rules.

TL;DR: In this article, a stochastic dynamic programming problem is solved for the solution of an optimal control problem for which there is a potential function, where the players select a mean level of control.

TL;DR: In this article, the authors provide a first attempt to quantify and at the same time utilize estimated measures of uncertainty for the design of robust interest rate rules, and they estimate several variants of a linearized form of a New Keynesian model using quarterly US data.

TL;DR: In this article, a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk is presented. But this model is restricted to a single class of agents.

TL;DR: In this paper, the authors study the relationship between risk aversion and the elasticity of intertemporal substitution under recursive utility and obtain an analytic solution for the optimal policies for a three-date model with a stochastic interest rate.

TL;DR: In this paper, the authors quantify the amount of pessimism and doubt in survey data on US consumption and income and find little empirical evidence of either overconfidence or doubt when incorporating this in their estimation, and use an Arrow-Debreu economy to show that disagreement increases the equity premium.

TL;DR: In this paper, the authors extended the one-sector optimal growth model by postulating that individual agents' time preference depends on the economywide average consumption and average income, which are social factors taken as external by individual agents.

TL;DR: In this paper, the effects of stochastic taxation on asset prices in a dynamic general equilibrium model were analyzed, and the effect of tax rates on the after-tax returns of both risky and safe assets was analyzed.