Showing papers in "Journal of Economic Dynamics and Control in 2008"

TL;DR: In this paper, the authors analyse the network topology of the Italian segment of the European overnight money market through methods of statistical mechanics applied to complex networks and investigate differences in the activities of banks of different sizes and the evolution of their connectivity structure over the maintenance period.

TL;DR: The authors theoretically and empirically document a puzzle that arises when an RBC economy with a job matching function is used to model unemployment, and show that either sticky wages or match-specific productivity shocks can improve the model's performance by making the firm's flow of surplus more procyclical.

TL;DR: In this article, a new Keynesian small open economy model is proposed to account for the switch to an inflation targeting regime in 1993, allowing for a discrete break in the central bank's instrument rule.

TL;DR: In this article, the authors developed a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange, which can be viewed as a very simple agent-based model in which all components of the model are validated against real data.

TL;DR: In this paper, the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio was considered and it was shown that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk.

TL;DR: In this article, the authors employ a calibrated two-country version of the New Area-Wide Model (NAWM) developed at the European Central Bank to examine the potential benefits and spillovers of reducing labour-market distortions caused by euro area tax structures.

TL;DR: In this article, the authors explore the intertemporal covariance structure of assets and liabilities and find that the benefits of long-term investing are larger when there are liabilities than when there is no liabilities.

TL;DR: In this article, a simple variant of the seminal herding model introduced by Kirman was used to derive closed-form solutions for the time-variation of higher moments as well as related quantities of interest.

TL;DR: In this article, the authors examined the equilibrium when negative stock market jumps (crashes) can occur, and investors have heterogeneous attitudes towards crash risk, and the resulting equilibrium is compared with various option pricing anomalies reported in the literature: the tendency of stock index options to over predict volatility and jump risk, the Jackwerth (2000) implicit pricing kernel puzzle, and stochastic evolution of option prices.

TL;DR: In this paper, the authors use an estimated dynamic general equilibrium model with financial frictions to show that comparisons based on such simple metrics as the variance of policy rates are misleading and find that the ECB's policy actions actually had a greater stabilizing effect than did those of the Fed.

TL;DR: For example, the authors showed that an economic model with all agents having preferences quasi-linear in some good has a trading-constraint structure isomorphic to the structure of physical systems with classical thermodynamic equations of state.

TL;DR: In this article, the optimal monetary policy rules in a constrained Ramsey plan with matching frictions and real wage rigidities are studied. But the optimal rule should respond to unemployment alongside with inflation.

TL;DR: In this article, the authors analyze if each European country presents business cycles that are similar enough to validate what some authors call the European cycle and find no clear relation between similarities in business cycle appearance and synchronization across countries.

TL;DR: In a two country world where each country has a traded and a non-traded sector and each sector has sticky prices, optimal independent policy in general cannot replicate the natural-rate allocations as discussed by the authors.

TL;DR: In this paper, the authors develop a method to obtain numerically non-linear feedback Nash equilibrium (FBNE) solutions for a class of pollution control problems, with a specific example for shallow lake pollution control.

TL;DR: In this paper, the authors distill the external finance premium from a Dynamic Stochastic General Equilibrium (DSGE) model estimated on US macroeconomic data covering the period 1954 to 2004.

TL;DR: In this paper, the impact of the cost channel of monetary transmission on the dynamics of inflation within a New Keynesian Phillips curve framework was empirically assessed, showing that the channel adds significantly to the explanation of inflation dynamics in forward-looking sticky-price models for the US, UK, and the Euro area.

TL;DR: In this article, the authors make a short overview of continuous cascade models recently introduced to model asset return fluctuations and show that these models account in a very parcimonious manner for most of'stylized facts' of financial time-series.

TL;DR: The authors decompose inflation in Switzerland into two frequency bands and show that inflation is Granger caused by monetary factors at low frequencies, defined as those corresponding to periodicities of more than 4 years, but is Granger due to the output gap at high frequencies.

TL;DR: In this paper, the use of QQ-learning for modeling the learning behavior of firms in repeated Cournot oligopoly games was studied, and it was shown that QQlearning firms generally learn to collude with each other, although full collusion usually does not emerge.

TL;DR: In this article, the authors develop local stability analysis for deterministic optimal control theory for recursive infinite horizon intertemporal optimization problems where there is a continuum of spatial sites and the state variable can diffuse over these sites.

TL;DR: In this paper, the authors explore the portfolio selection problem involving an uncertain time of eventual exit and present a method for specifying the uncertain information on the distribution of the exit time associated with exogenous and endogenous incentives.

TL;DR: This article showed that adding nominal rigidities and costs of capital adjustment to an otherwise standard RBC model can generate a negative correlation between government size and the volatility of output, however, in the model, the stabilizing effect is only due to a composition effect and it is not present when we look at the volatility in private output.

TL;DR: In this paper, the authors examined the effects of environmental taxation on long run growth in an infinitely lived representative agent model of endogenous growth with negative pollution externalities and showed that environmental taxation generally enhances (harms) long-run growth when the balanced growth path is indeterminate.

TL;DR: In this paper, the authors examined the impact of adding a value-at-risk (VaR) constraint to the problem of an active manager who seeks to outperform a benchmark while minimizing tracking error variance (TEV) by using the model of Roll.

TL;DR: In this article, a computable dynamic game model of the strategic competition between Russia and developing countries, mainly represented by China, on the international market of emission permits created by the Kyoto Protocol is proposed.

TL;DR: In this article, the authors examine the evolution of the distributions of wealth and income in a Ramsey model in which agents differ in their initial capital endowment and where the labor supply is endogenous.

TL;DR: In this paper, the authors consider the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock.

TL;DR: This article derived the optimal consumption and portfolio choice pattern over the life cycle for households facing uninsurable labor income risk, ruin risk, stochastic capital markets, and uncertain lifetime.

TL;DR: In this paper, the authors investigated the effect of habit formation on the optimal consumption and portfolio choice of an investor with habit formation in preferences and access to a complete financial market with time-varying investment opportunities.