We establish the existence of sequential equilibria in general menu games, known to be sufficient to analyze common agency problems. In particular, we show that our result solves some unpleasant features of early approaches.

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain sufficient and necessary conditions for Bate's x% rule to hold. Then, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lévy...

We extend the Modigliani-Miller Theorem to the composition of the public debt and show that in a deterministic model the structure of a government's assets and liabilities is undetermined. Hence, a floating exchange rate regime can implement any attainable competitive equilibrium. Concerning...

Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-fledged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate...

Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic relationships. The first reduces parameter space by imposing long-term...

In this paper we compute equivalent martingale measures when the asset price return is modeled by a Lévy process. We follow the approach introduced by Gerber and Shiu (1994).

The Friedman rule is a feature of second-best policies in several monetary models. We extend this result by establishing that zero nominal interest rates can be optimal even if the Ramsey planner is not able to select many distorting tax rates. However, we show that the optimality of that policy...

We studied the cyclical and growth properties of Brazilian per capita output from 1850 to 2000. Contrary to the experience of some developed countries, we did not find large changes in the volatility of per capita output. However, we obtained evidence that the oscillations in economic activity...

This article presents a group of exercises of level and growth decomposition of output per worker using cross-country data from 1960 to 2000. It is shown that at least until 1975 factors of production (capital and education) were the main source of output dispersion across economies and that...

In this paper we study the pricing problem of derivatives written in terms of a two dimensional Time-changed Lévy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put-call duality. It...