A manifestation of the Federal Reserve Board's increased transparency has been Chairman Greenspan's method of communication. The purpose of this paper is to establish the positive aspects of his speeches, testimonies and FOMC statements on financial market variables. This analysis is undertaken...

In this paper we analyze dynamic incentives of a firm to invest in production facilities in a less developed country with lower wage costs and lower productivity. Foreign investment induces that, due to technological spillovers, productivity of local firms in the foreign country increases. Firms...

This paper adds oil prices to an estimated DSGE model for the euro area. The price of oil is an important macroeconomic driving factor for most industrialised countries. The euro area is importing most of its oil from abroad; therefore changes in oil prices have effects on domestic income via the...

We present an spectral numerical method for the numerical valuation of bonds with embedded options. We use a CIR model for the short term interest rate. The method is based in a Galerkin formulation of the relevant partial differential equation for the value of the bond discretized by means of...

Markov switching regression processes belong to the class of Hidden Markov models (HMMs). They provide a higher flexibility than, for example, simple (auto)regression. The main reason for their popularity is the convenient interpretability. For sufficiently long time series, the different...

A class of stochastic unit-root bilinear processes, allowing for GARCH-type effects with asymmetries, is studied. The volatility is not bounded away from zero and is minimum for non zero innovations, which are important differences with the standard GARCH. Necessary and sufficient conditions for...

In priciple random portfolios should be uniformly distributed over the feasible region. Common algorithms tend to concentrate portfolios near the boundary. While there is an argument that this may actually be better than a uniform distribution, it is of interest to know what difference the...

This study focuses on the role of the order book on price formation in financial markets. It employs a computational model inspired by Gode and Sunder's Zero Intelligence Framework to investigate the effect of the supply and demand schedules of traders in this context. From this model insight is...

The transition from economic stagnation to sustained growth is often modelled thanks to "population-induced" productivity improvements, which are assumed rather than derived from primary assumptions. In this paper, the effect of population on productivity is derived from optimal behavior. Both...

This paper presents the core of a two-country dynamic general equilibrium model of a transition economy. There are two countries in the model: an advanced economy and an emerging economy, which converges to its more advanced counterpart. The model concentrates on modeling goods and capital flows...