We consider a continuous-time system influenced by different agents who adopt moving-horizon control. The well-known Nash equilibrium concept is used to define two concepts for solutions fitting into the moving-horizon structure. One of them is analyzed in more detail among the class of linear...

We examine the importance of world real interest rate shocks in explaining business-cycle fluctuations in open economies using a stochastic dynamic model of a small open economy. We argue that a good proxy of the world real interest rate is not available. Moreover, the world interest rate...

I consider a method using loop variables that can limit the size of the of a rational-expectations model and hopefully speed up the process of solving it. We can generally write such a model using a "Blanchard-Kahn" specification f_t(y_t, y_{t-1}, y_{t+1}, x_t) = 0 , where y is endogenous, x is...

A reaction function, an interest rate adjustment policy, is identified that might have improved price stability and reduced economic oscillations over the past several decades. The dynamic relationship between the Federal funds rate, the CPI, and a vector of macroeconomic variables is estimated....

This paper elucidates hysteresis using a simple model of market entry and exit. A procedure for calculating hysteresis indices for economic time series is outlined. Some preliminary results assess the explanatory power of hysteresis variables in determining the equilibrium rate of unemployment...

This paper contributes to the recent literature exploring linkages between international trade, environmental degradation, and growth by bringing to the fore the dynamic gaming aspects of these issues. We use genetic algorithms (GA) to search for optimal policies in the presence of knowledge...

A computational approach towards economics potentially enriches economic science beyond increasing available mathematical techniques. Computational economics (CE) can foster a viable and rich institutional economics that encourages both mathematical rigor and historical relevance while avoiding...

This paper studies the effects of two classes of borrowing constraints, collateral and income based, on wealth accumulation, portfolio behavior, and precautionary motives. We examine the sensitivity of solutions to the tightness of constraints, education levels, and preference parameters. The...

In this paper, we consider two polar dynamical models in which firms use debt (loans) to finance their investment expenditure: a three-dimensional supply-driven model and a sophisticated 20-D Keynesian growth model. In the first, firms' debt accumulations interact with the income distribution...

For years, the problems associated with the Lucas critique have loomed over empirical macroeconomics. However, relatively little effort has been devoted to testing the empirical importance of this critique. This paper develops a set of tests for small macroeconometric models, especially those...