This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so far (esp. very popular doubling algorithm) in terms of...

A recent literature have proposed different methods to produce second-order accurate approximation to the solutions to DGSE's from a straightforward second-order approximation of the model. Among others, Judd (2002), Jin and Judd (2002) show how to compute approximation of arbitrary order on...

Using a sticky price-wage model with capital accumulation and adjustment costs, this paper analyses the welfare effects of non-fundamental asset price and investment fluctuations for the representative household. The welfare effect depends strongly on the steady state level around which the...

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...

In most existing DSGE models, parameters are supposed constant and exogenous shocks have zero mean. This makes difficult to treat structural change and anticipated effects of future reforms. Introducing dummy variables in the DSGE model can only handle unexpected changes. This papers deals with...

Several authors have presented reduced-form evidence suggesting that the degree of exchange-rate pass-through to the consumer price index has declined in Canada since the 1970s and is currently close to zero. Authors such as Taylor (2000) suggest that this is due to a change in the conduct of...

Abstract: This paper studies a simple model of output and inflation in the experimental laboratory. While the Rational Expectations Equilibrium (REE)predicts output and inflation to be white noise processes, output and inflation in experimental sessions display stable cyclical patterns. For...

Price forecasting and trading strategies modelling are examined with major international stock indexes under different time horizons. Results demonstrate that an accurate prediction is equally important as a stable saving rate for long-term survivability. The best economic performances are...

This paper studies a game theoretic model where agents choose between two updating rules to predict a future endogenous variable. Agents rationally choose between these predictors based on relative performance. Conditions for evolutionary stability and stability under learning are found for the...

In this paper I introduce human capital accumulation with time-to-build technology into a real business cycle model. The only driving force is an exogenous shock affecting the long-run equilibrium level of productivity. A positive shock is assumed to generate a rise in the long-run equilibrium...