This paper is concerned with the use of low order linear models to develop controls for large nonlinear macroeconometric models. This contrasts with the usual approach to this class of problems of using nonlinear optimization with the nonlinear model, or Linearization of the model and the use of...

Nonlinear dynamic optimization models are widely used in theoretical and empirical economic modeling, especially in the field of optimal growth and intertemporal macroeconomic modeling. In this paper we present a sequential quadratic programming algorithm for computing directly the steady state...

Asymmetries in price adjustment can reconcile contrasts between rapid price movements in inflationary episodes, consistent with classical theories of flexible pricing, and sluggish price responses in contractions, consistent with Keynesian theories of sticky price adjustments. Both classical and...

When new competing products enter a market, a variety of informational and structural mechanisms may play a role in determining the market shares that each product will obtain. In this talk, I introduce a class of models designed to elucidate one such mechanism: the feedback introduced through...

Eastern Europe has been undergoing rapid structural change over the last 10 years and one of the most interesting and dramatic of these changes has involved the foundation of a number of new financial markets and the creation of a system of private ownership for industry almost from scratch....

In this paper we design a simple trading strategy to exploit the hypothesized distinct informational content of the arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture. The profits generated by this cheaply replicable...

In this paper we present an implementation of a Newton method based on iterative Krylov subspace methods such as GMRES, QMR and BiCGSTAB for solving large nonlinear macroeconometric models. These methods are tested for the solution of the model MULTIMOD and the computational costs of the...

The TROLL econetric modelling system provides two methods to solve forward-looking ``rational expectations models with model-consistent endogenous leads. The traditional Fair-Taylor algorithm solves the model through a specified time horizon by treating the leads as exogenous and then iterating...

In this paper, we develop methods for hedging financial instruments through stochastic optimization. We first concentrate on the proper formulation of such problems. Indeed one may consider artibrage-free prices, which are theoretical prices consistent with a model of the risk factors in the...