We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over forecasting the disaggregates and aggregating those forecasts, or using only aggregate information in forecasting the aggregate. An implication...

In this paper we model the transition process in China. First we review the economic reform policies since 1978. Based on the review, a two-segment-model is constructed. The model can be viewed as a general equilibrium model, with a planned segment that produces some distortion in the model, and...

The paper studies whether “idiosyncratic riskâ€, i.e. the degree to which firm and industry specific returns are more volatile than aggregate market returns, is higher in innovative industries which are characterized by more risk and uncertainty. Volatility is studied both at the...

This paper investigates monetary shocks and the rôle of inventories with respect to the occurrence of deflationary recessions. We propose a non-tâtonnement approach involving temporary equilibria with rationing in each period and price adjustment between successive periods. By amplifying...

The aim of the present paper is to provide evidence on the internal market efficiency of the Italian index option market. To this end a model-free approach is taken, whereby strategies involving only options are tested by means of a high frequency dataset covering the period 1 September –...

We estimate the intensity of choice parameter in heterogenous agent models in both a static and dynamic setting. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. Actively managed funds have a lower Sharpe ratio than passive index funds, yet...

Existing studies differ significantly on how much terms of trade shocks contribute to output fluctuations. Empirical studies based on VAR analysis find that terms of trade shocks explain less than 10% of output fluctuations while results from calibrated DSGE models suggest a figure of more than...

Personal income distribution in the USA has a well-defined two-class structure. For the lower class, to which the majority of population (97-99%) belongs, income distribution is the characterized by the exponential law. For the upper class (1-3% of population), income distribution follows the...

This paper presents an agent-based model of urban crime, mortality, and exogenous population shocks. Agent decision making is built around a career maximization function, with life expectancy as the key independent variable. Individual rationality is bounded by locally held information, creating...

Credit markets with asymmetric information often prefer credit rationing as a profit maximizing device. This paper asks whether the presence of informal credit markets reduces the cost of credit rationing, that is, whether it can alleviate the impact of asymmetric information based on the...