While early computational studies of bargaining strategies, such as Rust, Miller and Palmer (1993, 1994) and Andrew and Prager (1996) all indicates the significance of agent-based modeling in the follow-up research, a real agent-based model of bargaining strategies in DA markets has never been...

This paper discusses the problem known in economics as ``backward dynamics''. In economic models of ``rational'' intertemporal behavior, agents' decisions at any given moment in time depend on their expectations of future values of some variables and, in the deterministic variants of those...

In this paper I propose a discrete hidden Markov model to approximate a general class of stochastic volatility models with homogenous volatility processes, including the popular Ornstein-Uhlenbeck process. The advantage of this model is that it allows for unknown forms of the volatility...

A number of recent papers have explored monetary policy options, including inflation targeting and inflation forecast targeting (notably Svensson (1998, 1999, 2000)) and price level targeting (Wolman 1999, Batini and Yates 1999, Blinder 1999). Most papers explore ``optimal'' monetary policy in...

In this paper, we propose a general analytical and computational framework to handle a large class of vintage capital models in continuous time. Concretely, our treatment applies to vintage capital models with clay-clay and putty-clay technologies, which covers most of the models recently...

During recession, many macroeconomic variables display higher levels of volatility. We show how introducing an AR(1)-ARCH(1) driving pro- cess into the canonical Lucas consumption CAPM framework can account for the empirically observed greater volatilty of asset returns during re- cessions. In...

A well-known result in spatial voting theory is that, for a one-dimensional issue space and under certain mild conditions, political parties choose platforms coinciding with the median voter's position. This result does not carry over to multi-dimensional issue spaces however, since then an...

Evidence of the statistical significance of profits in Q regressions remains one of the principal findings in the empirical investment literature. This result is taken to support the view that capital market imperfections are an important element for understanding investment. This paper...