This paper reconsiders the costs of business cycles in context of incomplete market contracts. The main income variations being brought about by unemployment risks, imperfect insurance is likely to increases the costs of fluctuations in comparison to the Lucas's representative agent model. This...

We wish to understand the implications of recent shifts in US productivity for the structure of optimal monetary policy rules. Accordingly, we augment a standard inflation targeting model in which a forward-looking version of the Taylor rule constitutes the optimal monetary policy with regime...

This paper examines the issue of the generation of optimal control policies where there are explicit constraints upon the control values and there is limited knowledge of the complex economic system. The paper develops a methodology where the constrained optimal control is based upon a learning...

In his monograph The Conquest of American Inflation, Sargent (1999) points out the perils of econometric policy evaluation of the Theil-Tinbergen tradition wherein one estimates a reduced form econometric model of the economy and subjects it to control. If the model is misspecified, as is...

This paper describes an agent-based model of exchange and uses it to illustrate the modelling framework offered by John Holland in his book on emergence and to propagate a hypothesis about the relationship between levels of exchange and the diversity of shadow prices. On both counts, the model...

This paper presents a simple repeated-game model of interaction between the government and the private sector where, at each repetition, the government first makes a non-binding announcement about its future actions. The private sector, unsure whether or not this announcement will be respected,...

In this paper we study a capital accumulation model in an optimal control theoretic framework, where the capital stock and the investment rate are modeled as state variables and the change in the investment rate as control. Adjustment costs are introduced for both investment rate and the change...

Multi-fractal processes have been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their capability of generating various degrees of long-memory in different powers of returns - a feature that has been found to...

Mathematically oriented microeconomic research has contributed enormously to the understanding of economic behavior and the functioning of markets and institutions. However, theoretical as well as applied microeconomic studies may be driven too much by mathematical feasibility. An illustrative...

In this paper, we show how to derive the spectra and cross-spectra of economic times series from an underlying econometric or VAR model. This allows us to conduct a proper frequency analysis of economic and financial variables on a reduced sample of data, without it being ruled out by large...