We ask whether ex-post inefficiencies consistent with ex-ante efficiency in consumption and labor allocations are compatible with substantive movements in asset allocation. The answer we obtain depends crucially on the market regime relative to unemployment insurance. If there are complete...

The phenomenon of long-memory plays an important role in economics. This paper considers the asymptotic properties of S -estimators -- a class of robust estimates with a high breakdown-point and good asymptotic properties -- in the linear regression model with long memory error terms. Here we...

In the process of expectations formation, autonomous economic agents are usually assumed to form homogeneous expectations, e.g. adaptive or extrapolative, on former or current evaluations, or to act according to the rational-expectations hypothesis. In this paper we use a model of interdependent...

This paper illustrates that conclusions regarding the size of monetary policy contributions to historical movements in financial variables and economic activity depend importantly on the dynamic specification of agent expectations. In both the financial press and in small macroeconomic models,...

This paper shows how to implement arbitrage-free models of the short-term interest rate in a discrete time setting that allows a continuum of rates at any particular date. Current models of the interest rate are either continuous time-continuous state models, such as the Vasicek or Cox,...

This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor with Epstein-Zin-Weil utility who faces a time-varying equity premium. We find that the optimal portfolio allocation to stocks is almost linear and the optimal log...

I propose to add two very general constraints to the standard rendition of production functions. These constraints naturally open the analysis of production functions to recursion theory. Some powerful results are exploited and applied to certain aspects of the theory of production. In...

A baseline micro model leading to employment hysteresis due to hiring- and firing- costs is proposed. A band of inaction accounting for a "weaker" relationship between employment and its determinants is widened by option value effects of exchange rate uncertainty. Based on this micro foundation...

Various studies of asset markets have shown that traders are capable of learning and transmitting information through prices in many situations. In this paper we replace human traders with intelligent software agents in a series of simulated markets. Using these simple learning agents, we are...

This study uses computable general equilibrium (CGE) modeling to show and analyze the economic consequences of some specific environmental policies. The main question is: Will the fulfillment by Poland of commitments resulting from the participation in the Second Sulfur Protocol (SSP) have...