We consider a simple dynamic model of environmental taxation that exhibits time inconsistency. There are two categories of firms, Believers, who take the tax announcements made by the Regulator to face value, and Non-Believers, who perfectly anticipate the Regulator's decisions, albeit at a...

The aim of this paper is to provide an assessment of alternative frameworks for the valuation of participating contracts with minimum guarantee, in terms of impact on the market consistent price of the contracts and the options embedded therein, and on the capital requirements for the insurer....

We construct a state space model for measuring real economic activity in real time (e.g., minute by minute) using a variety of stock and flow data, observed at mixed frequencies. Our data set comprises macroeconomic and financial variables: GDP, IP, unemployment, stock and bond market data, and...

Grandmont (1985) found that the parameter space of even the simplest, most classical models are stratified into bifurcation regions. Barnett and He (1999,2002) subsequently found transcritical, codimension-two, and Hopf bifurcation boundaries within the parameter space of the policy-relevant...

Economic analysis often leads to multidimensional numerical problems. The {\em Curse of Dimensionality\/} often leads researchers to adopt methods designed for very high-dimension problems, but inefficient for problems of intermediate dimension. However, a little mathematics can greatly help...

This talk will explore the potential advantages and disadvantages of Agent-based Computational Economics (ACE) for the study of economic systems. General points will be concretely illustrated using an ACE model of a two-sector decentralized market economy and an ongoing ACE project on the...

Paper deals with a simulation of job-search models using simulated annealing (SA). It is standard to test Burdett-Mortensen on-the-job search model which gives a unique solution. Unfortunately, its later generalizations especially incorporation of heterogeneous agents has overcome this unique...

A number of respected analysts and economic commentators in Canada have recently been calling for deeper economic integration with the USA. Most proponents of deepening economic integration favour the European progressive approach: a customs union, to be followed by a “single marketâ€...

This paper uses a DSGE model to study the potential benefits and costs of joining a monetary union. We show that the potential benefits arise from two sources. First, it reduces the magnitude of shocks by eliminating shocks to the nominal exchange rate, which have been found to be very...

In this paper, we propose new solutions to the well-known problem of identification of social effects. Manski (1993) showed that endogenous and contextual (or exogenous) social effects cannot, in general, be disentangled in the linear-in-means model. Our main innovation is that we allow...