This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and...

This paper introduces a new class of parameter estimators for dynamic models, called simulated non-parametric estimators (SNEs). The SNE minimizes appropriate distances between non-parametric conditional (or joint) densities estimated from sample data and non-parametric conditional (or joint)...

We show that price level stabilization is not optimal in an economy where agents have incomplete knowledge about the policy implemented and try to learn it. A systematically more accommodative policy than what agents expect generates short term gains without triggering an abrupt loss of...

I solve a repeated moral hazard model with a fast and flexible numerical algorithm. Instead of applying the traditional Abreu, Pierce and Stacchetti (1990), I extend the Lagrangean techniques developed in Marcet and Marimon (1998) to the principal-agent framework. A numerical procedure is...

This paper analyzes the incentives to strategically default in a dynamic principal-agent model with hidden savings and one-sided limited commitment. The agent's outside option depends on the hidden savings, therefore the principal cannot observe the agent's incentives to default. The agent has a...

We show that price level stabilization is not optimal in an economy where agents have incomplete knowledge about the policy implemented and try to learn it. A systematically more accommodative policy than what agents expect generates short term gains without triggering an abrupt loss of...

We show that price level stabilization is not optimal in an economy where agents have incomplete knowledge about the policy implemented and try to learn it. A systematically more accommodative policy than what agents expect generates short term gains without triggering an abrupt loss of confi...

While CBOE’s VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk-aversion in fixed-income markets. Indeed,...

This paper shows how to solve dynamic agency models by extending recursive Lagrangean techniques à laMarcet and Marimon (2011) to problems with hidden actions. The method has many advantages with respect to the promised utilities approach (Abreu et al., 1990): it is a significant improvement in...