This dissertation explores the applicability of recently developed simulation-based econometric methods to the analysis of spatial price determination and integration of markets. As such a measure of market integration is developed within the context of well-known point-location competitive...

Diffusion modeling of commodity price behavior is important for commodity risk management. This research seeks to improve upon the existing commodity diffusion models by incorporating stochastic volatility and seasonality through the affine diffusion framework. In particular, it evaluates affine...

This dissertation investigates the properties of macroeconomic fluctuations in a small open economy under the presence of sovereign default risk. International borrowing and lending arise from the interaction between a risk averse sovereign representative agent in a small open economy trying to...

A framework for describing nonlinear rational expectation models is developed that synthesizes previously described approaches. Computational issues for solving such models include how the expectation operator is approximated, what family of approximation is used for the solution function, what...

Utilizing daily instantaneous forward rates of nominal and inflation-indexed bonds as well as realizations of stock and bond index returns, I examine the informational content of a broad set of macroeconomic announcements. I find evidence that, with a few exceptions, price variables mainly move...