This paper explores the dynamics of the U.S. hog market with three different dynamic models that are distinguished only by their assumptions with regard to market participants' expectations of future prices. The first model assumes that all the producers in the market have rational expectations....

In this paper, we specify a theoretical dynamic oligopoly model with regard to asymmetric firms. We then estimate a structural dynamic model of demand and pricing relations for the semiconductor industry. Using quarterly firm-level output and cost data as well as industry prices from 1974 to...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

The literature on multi-agent models up until recently has been mainly concerned with the price dynamics in a setting where agents are allowed to switch between a finite number of strategies.In reality, however, we would expect a high degree of heterogeneity, such that few belief types will...

The paper presents a correctnes proof as well as an implementation in maple of an algorithm to compute the value function of infinite horizon optimal control problems with a single state variable. It proceeds as follows: step1:compute candidates for equilibria(from the HJB); step2:for each...

Markets for digital information goods provide the possibility of exploring new and more complex pricing schemes, due to information goods' flexibility and negligible marginal cost. In this paper we compare the dynamic performance of price schedules of varying complexity under two different...

In this paper we use a differential game analysis to study the dynamic strategic interaction between a criminal gang extorting money from local shop- owners and the police force. In particular, we are interested in characterizing which factors are important in determining whether the capital...

This paper uses a small, calibrated forward-looking model of the euro-area economy to investigate the implications of incomplete information about potential output for the conduct and the design of monetary policy. Three sets of issues are examined. First, the certainty-equivalent optimal policy...

We investigate several aspects of GARCH(p,q) models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood. This makes standard inference on the estimated coefficient impossible....

"Despite the common view that exchange rate volatility will inevitably depress the volume of international trade by increasing the riskiness of trading activity, empirical researchers have not found clear support for this relationship, with results being characterised as insignificant or where...