This paper develops a tractable stochastic overlapping generations model to analyze the equilibrium equity premium and growth rate of the capital stock in the presence of a defined-benefit Social Security system. If the Social Security Trust Fund increases the share of its portfolio held in...

This paper first provides some useful results on a generalized random coefficient autoregressive model and a Markov plus i.i.d. noise model. These results simultaneously imply strict staionarity, existence of higher-order moments, goemetric ergodicity and b-mixing with exponential decay rates,...

SETSTOCH is a tool for linking Algebraic Modeling Languages with Specialized Stochastic Programming Solvers. Its main role is to retrieve from the modeling language a dynamically ordered core model (baseline scenario) that is then sent automatically to the Stochastic Solver. The user is thus...

The purpose of this paper is to study unfunded social security systems in the framework of an economy submitted to demographic and technological shocks. The emergence of transfers between generations rests on a motive of rreal and possible inequalities correction or on a portfolio choice.

This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies...

This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies...

An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative....

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis.

We compare the random preference, Fechner, and constant error (or "tremble") approaches to the stochastic modelling of choice under risk. Various combinations of these approaches are used with expected utility and rank-dependent theory to generate a set of econometric models. These are estimated...