As population aging sets in, publicly managed pension systems operating on the basis of pay-as-you-go (PAYG) schemes face difficulties in maintaining contribution/replacement rate-retirement age configurations. The changing age composition of societies during demographic transition gradually...

In this paper we study the finite sample properties of the nonparametric method developed by Stanton and later extended by Boudoukh, et al. for the estimation of the drifts and diffusions of multifactor continuous-time term-structure models. Monte Carlo simulations from a known parametric model...

In this paper, we propose a new architecture to study artificial stock markets. This architecture rests on a mechanism called "school" which is a procedure for mapping the phenotype to the genotype or, in plain English, to uncover the secret of success. We propose an agent-based model of school,...

The literature on the optimal currency area weighs up the static gains in terms of lower transaction costs against the costs associated with adjusting asymmetric shocks when nominal exchange-rate movements are not possible. Endogenous growth theory and the new economic geography show that, in...

In the emerging age of electronic commerce, it is of paramount importance to design mechanisms that ensure timely and reliable transactions in cyberspace. This is an important problem given the bursty nature of Internet congestion, which leads to large variability in the risk and cost of...

This paper describes the potential application of a US Department of Defense-developed simulation architecture to the domain of economic and financial simulation. This approach, known as the High Level Architecture (HLA) for Simulation Interoperability, provides the ability to link disparate...

Ashley, Granger, and Schmalensee (1980) and Diebold and Mariano (1995) suggest that forecast comparisons may be used to examine Granger causality. According to Ashley et al., if forecasts of y based on a VAR model in x and y are superior to those based on an AR model for y , then x carries...

Early evolutionary models of industry dynamics have used very simple ways of modeling bounded rationality. In the precursory work of Nelson and Winter (1982), for example, R&D decisions of firms are given by a fixed rule: firms invest in each period a fixed proportion of their capital stock in...

Spatial autocorrelation (more generally, spatial dependence) occurs when a regression's error term at one location is correlated with that at another location. Ignoring the resulting non-diagonal disturbance covariance matrix results in misspecification and bias. While most studies focus on...

We review and analyze a recently proposed model of an Oligopoly Game. From a theoretical investigation of the payoff scheme, we confirm that it cannot be a true representation of the N -Person Iterated Prisoner's Dilemma. From an empirical investigation of the model's parameters, we show which...