In most existing DSGE models, parameters are supposed constant and exogenous shocks have zero mean. This makes difficult to treat structural change and anticipated effects of future reforms. Introducing dummy variables in the DSGE model can only handle unexpected changes. This papers deals with...

This paper investigates the question of whether a transition to a low-inflation environment, induced by a shift in monetary policy, results in a decline in exchange rate pass-through to consumer prices. Our study distinguishes itself from previous empirical work in that we pay particular...

Following a conjecture of Kozicki and Tinsley we generalises the habit formation model of consumption to allow for both a multiplicative utility function and a habit\aspiration function which is a geometrically weighted average of past consumption. The geometric form of the aspiration function...

Recent work in I.O. has emphasized the importance of firm- and plant-level heterogeneity in total factor productivity. Jensen and McGuckin (1996) argue that the major empirical regularity in studies of firm or establishment level productivity is heterogeneity within sectors and across plant...

In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

While there is an extensive literature on identifying the asymptotic properties of adaptive learning algorithms, little is explicitly mentioned on how to actually implement these algorithms on the computer to analyze the quantitative effects of learning in dynamic macroeconomic models. The aim...

In the past decades, the amount of worldwide security transactions that was processed by electronic trading platforms increased significantly. In this paper we develop a theoretical framework for the pricing of limit orders of the Electronic Security Trading System Xetra operated by the German...

Several authors have presented reduced-form evidence suggesting that the degree of exchange-rate pass-through to the consumer price index has declined in Canada since the 1970s and is currently close to zero. Authors such as Taylor (2000) suggest that this is due to a change in the conduct of...

In this paper we provide explicit characterization of the escape dynamics for the Phellps problem of government controlling inflation with adaptive learning of the approximate Phillips curve, alternative to the one considered by Cho, Williams and Sargent (2002). Our approach is based on...

We consider a kinetic equation approach to dynamical systems with finite memory, based upon a probabilistic approach given in Dorofeenko and Shorish (2004). This approach uses a master equation methodology to analytically model the dynamics of distributed systems with many heterogeneous agents,...