This paper analyzes effects of tax-favored savings plans on savings and retirement decisions in a realistically specified life-cycle model. Individuals face mortality risk and stochastic earnings, allocate assets between conventional savings accounts (CSAs) and tax-deferred accounts (TDAs), make...

Three methods have been developed by the authors for solving optimal experimentation problems. David Kendrick (1981, 2002, Ch.10) uses quadratic approximation of the value function and linear approximation of the equation of motion to simulate general optimal experimentation (active learning)...

This paper analyses collusion by innovative firms and the role of patents in a continuous-time real options framework. A patent-investment race model is formulated in which innovative firms bargain and reach collusive agreements. It is shown that, while collusion always delays innovation, it...

The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses,...

This work is dedicated to comparative analysis and estimation of quantitative methods of risk valuation in application to Russian stock market, which include historical simulation, exponentially-weighted historical simulation, variance-covariance models with adaptive covariance matrix,...

A common approach to evaluate dynamic stochastic general equilibrium (DSGE) models is to compare the impulse responses functions from the DSGE model to impulse responses obtained from identified vector autoregressions (VARs). This paper uses Monte Carlo techniques to address the question: Are...

Frech-Ginsburg showed that medical insurance reimbursement systems with certain price-control characteristics cause chronic price inflation. We construct a three-party market in which Experts, Non-Experts and Insurers negotiate with each other for services, insurance coverage and cash in such a...

A group of developing countries bear high rates of financial dollarisation. Under this circumstance, monetary-policy makers are uncertain about the presence and scale of potentially harmful effects that might appear because of balance sheet mismatches arising from high and unexpected...

The accuracy of the solution of dynamic general equilibrium models has become a major issue. Recent papers, substituting second order for first order approximations, have shown to obtain significant differences in accuracy. Second order approximations have had some considerable success in...

Emprical studies of hyperinflations reveal that the rational expectations hypothesis fails to hold. To address this issue, we study a model of hyperinflation and learning in an attempt to better understand the volatility in movements of expectations, money, and prices. The findings surprisingly...