This paper examines the role of habit persistence in consumption in explaining persistent responses of inflation and output to money growth shocks. A MIU-model with a separable utility function is embedded into a stochastic DGE model with sticky prices. It is shown that for a high degree of...

Currency crises are usually associated with large real depreciations. In some countries real depreciations are perceived to be very costly(''fear of floating''). In this paper we try to understand the reasons behind this fear. We first look at episodes of currency crises in the '90s and...

We reformulate the baseline disequilibrium AS-AD model of Asada et al. (2004) to make it applicable for empirical estimation. The model now exhibits a Taylor interest rate rule in the place of an LM curve, a dynamic IS curve and dynamic employment adjustment. It is based on sticky wages and...

This paper is of interest for two reasons. First, it provides a simple algorithm for solving an optimal control problem in which the law of motion of the economy is a Markov regime-switching vector autoregression. Second, it applies this algorithm to study optimal monetary policy in a stylised...

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...

The extend to which common-pool resources are used and managed sustainably depends highly on incentives. Incentives influence the behaviour of individuals with respect to natural resource management and are determined by institutional arrangements comprising of formal and informal rules and...

Here artificial neural networks (ANNs) are employed for efficiency purposes. First, the main features of ANNs are presented. Then, common techniques of the efficiency literature are reviewed: parametric (deterministic and stochastic) and non-parametric (Data Envelopment Analysis [DEA] and Free...

This paper applies a dynamic programming methodology to the valuation problem for the flexibility to switch. In our model, flexibility provides an investor with the right, or option, to perform a switch between a less profitable and a more profitable project at no cost. In contrast to previous...

We investigate evidence for nonlinear mean reversion in yearly S\&P500 data from 1871 until 2001. We find that up to 1990 there is significant evidence of nonlinear mean reversion. In particular, stock prices are characterized by a persistent process close to the fundamental value. However, when...

This paper studies the impact of monetary policy transparency on economic stability, when economic agents are boundedly rational. I first consider a simple class of microfunded general equilibrium models with nominal rigidities and learning. Under a transparent monetary regime, market...