In this paper the asymptotic properties of ARMA processes with complex- conjugate unit roots in the AR lag polynomial are studied. These processes behave quite differently from processes with a single root equal to 1. In particular, the asymptotic properties of a standardized version of the...

This paper examines incentives of poor agents to escape poverty by saving. Owing to limited liability, low wealth creates borrowing constraints, preventing the poor from being able to finance productive projects. Future wealth increases resulting from current saving would relax these borrowing...

The liquidity effect, defined as a decrease in nominal interest rates in response to a monetary expansion, is a major stylized fact of the business cycle. This paper seeks to understand under what conditions such an effect can be explained in a general equilibrium model with sticky prices and...

We analyze the welfare properties of rational expectations equilibria (REE) in economies with asymmetrically informed agents and incomplete markets. We ask whether a planner can improve upon an equilibrium allocation, using an individually rational and incentive compatible mechanism, and subject...

We analyze a model of (repeated) franchise bidding for natural monopoly that relies on contestable licensing -- the right to operate the franchise belongs to the party who owns the appropriate license as long as the license is not successfully contested through a process of competitive bidding...

This paper demonstrates that preference structure may play a pivotal role in generating indeterminacy in stylized models of endogenous growth. By examining two-sector models of endogenous growth with human capital formation, we show that if the utility function of the representative family is...

There is substantial evidence that home-ownership changes behavior and creates local spillovers. But theoretical research on the decision to own or rent a home has ignored such spillovers and does not confront the issue of the determination of the quality and composition of neighborhoods. This...

In interim economies with asymmetric information, we show a robust failure of the core convergence theorem. We begin by showing that the coarse core of Wilson (1978) does not converge to any set of price equilibrium allocations considered in the literature. To prove our main point we construct a...

No abstract.

In this paper the properties of so called subspace methods in the context of cointegrated processes of order one are investigated. It is shown that the algorithms deliver consistent estimates of the transfer function in the case of general VARMA models and under mild conditions on the underlying...