Food commodity price fluctuations have an important impact on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, while there is an urgent need for appropriate policy responses. Perhaps...

This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...

In the vast majority of recursive dynamic CGE models, the savings rate is constant and exogenous. Intertemporal CGE models, by contrast, are solved simultaneously for all periods, and agents optimize intertemporally. But the theoretical consistency of intertemporal optimization is achieved only...

Динамические модели, рассматриваемые в этой работе, охватывают широкий класс моделей, возникающих при исследовании реальных экономических и...

Рассмотрены модификации некоторых моделей макроэкономики на основе введения вместо инерционных звеньев первого порядка инерционных звеньев первого порядка с...

Traditionally, nancial crisis Early Warning Systems (EWSs) rely on macroeconomic leading indicators to forecast the occurrence of such events. This paper extends such discrete-choice EWSs by taking into account the persistence of the crisis phenomenon. The dynamic logit EWS is estimated using an...

This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...

Asset pricing theory has long recognized that financial markets compensate investors who are exposed to some components of uncertainty. This is where macroeconomics comes into play. The economy-wide shocks, the primary concern of macroeconomists, by their nature are not diversifiable. Exposures...

This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different categories of algorithms: (i) the conventional method with exogenous grids...