This paper develops and simulates a three-period life-cycle model with aggregate uncertainty. The model incudes a market in risk-free bonds. The paper studies how uncertainty in fiscal policy affects welfare, the equity premium, risk-sharing, and the caculation of generational accounts.

DEMOGRAPHIC TRANSITION AND INTERNATIONAL FLOWS OF CAPITAL: WHAT CAN AN OLG MODEL TELL US? INGENUE Team (Aglietta CEPII , Breton MODEM , Chateau CEPII , Fayolle OFCE , Juillard CEPREMAP , LeCacheux OFCE , Touze OFCE ) Demographic transition happens and will continue to unfold at different rythms...

Principal components of the residuals are proposed for analysing between-group dependence when estimating PPP equations in large-T, large-N panels. If this dependence arises because omitted variables are correlated with included variables, the appropriate response to between-group dependences...

The paper presents a method for the recursive solution of models with a continuum of heterogeneous agents. Following Krusell and Smith (1998) and others, it is assumed that the wealth distribution in the economy can be represented, to a sufficient degree of accuracy, by a finite number of...

Normative agricultural policy models are traditionally either based on representative farms or on farm samples. A well-known problem of representative farm models is the aggregation error. On the other hand, farm sample models usually do not consider farms' interactions and thus, the farms'...

It is well known that financial returns exhibit positive kurtosis and flat tails. The Student model has been proposed in the literature as most adequate in treatment of financial problems than the Normal model. One of those problems is measuring Risk in a given portfolio using the Value At Risk...

We discuss two optimization problems from economics. The first is a model of optimal investment and the second is a model of resource management. In both cases the time horizon is infinite and the optimal control variables are continuous. Typically, in these optimal control problems multiple...

We consider optimal fishery management under the assumption of increasing returns that is supported by previous empirical evidence. We improve the tractability and realism of the previous approaches by introducing flow adjustment costs on changes in harvest rate. Our framework is the first to...

In this paper we extend the deterministic model of Dechert and Brock (forthcoming) to stochastic models. First, we consider the lake game in a Brock and Mirman framework and show what happens to the Skiba point when there is uncertainty in the model. Second, we develop the model as an optimally...

We use nonparametric, local regression and regression tree analysis to assess whether there exist multiple regimes in U.S. monetary policy over the period 1955:3-2000:2. We model U.S. monetary policy using a Taylor rule specification for the nominal interest rate target. By contrast with...