A long-standing area of research and policy interest is the construction of a measure of monetary policy stance. One measure that has been proposed-as an alternative to indices that employ monetary aggregates or exchange rates-is the spread between the actual real interest rate and its...

The paper presents a dynamic model of endogenous growth with boundedly-rational, locally interacting, firms. Technologies are randomly distributed in a n-dimensional lattice (the productivity space) in such a way that distances between any two practices in the lattice can be taken as a proxy of...

Fluctuations of representative agent economies are not very costly. So if business cycles matter, it must be because agents face uninsured idiosyncratic risk which is somehow worsened by aggregate fluctuation. Idiosyncratic risk could be counteracted either through aggregate stabilization or...

When the Central Bank sets nominal rates as a a non-decreasing function of the inflation rate to stabilize the economy, that is it uses a Taylor Rule, the zero lower bound on interest rates may result in multiple equilibria and a liquidity trap. However, if fiscal policy is non-Ricardian, or...

This paper studies the effects of social insurance policies on the level and distribution of welfare and resources in a general equilibrium model of a closed economy with a continuum of agents and moral hazard. In order to simulate the welfare-state tradeoff between efficiency and equality, I...

The monetary instrument problem is examined in an endowment economy model with various stochastic disturbances, with minimizing the variance of inflation as the policy objective. Following current developments in the theory of fiscal determination of the price level, for different monetary...

A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% of the trading rules generates positive profits, even when correcting for transaction and borrowing...

Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...

This paper presents a comparative evaluation of different filtering techniques employed to separate the trend of a given non-stationary time series from its cyclical components in identifying the business cycles. The performances of detrending techniques under consideration can be compared by...

We study the technological pre-conditions for competitive equilibrium in a multisectoral economy where"land" is an essential imput. Earlier results by Bidard and Salvadori require either very low interest rates or are unable to predict the type of final demand vectors that can be supported by an...