It has been argued that the Great Inflation of the 1970s has been caused by a Federal Reserve policy that was not aggressive enough in combatting inflation. This led to a scenario where the U.S. economy operated under an indeterminate equilibrium with sunspot shocks becoming a driving force...

A manifestation of the Federal Reserve Board's increased transparency has been Chairman Greenspan's method of communication. The purpose of this paper is to establish the positive aspects of his speeches, testimonies and FOMC statements on financial market variables. This analysis is undertaken...

We simulate a model of an interbank market. Each bank faces fluctuations in deposits and a stochastic investment opportunity each period. Invested funds mature with delay. The risk arises of failure due to insufficient liquidity. An interbank market lets participants pool this risk but also...

In this paper we extend the analysis of the italian segment of the European money market in two ways. First we investigate differences in the activities of banks of different size. Secondly we extend the analysis to the structure of the connections among banks and it's change over time. As...

We simulate interbank lending. Each bank faces fluctuations in deposits and stochastic investment opportunities which mature with delay. This creates the risk of liquidity shortages. An interbank market lets participants pool this risk but also creates the potential for one bank's crisis to...

This paper examines causes of banking crises. In particular, we try to explain why banks expand credits rapidly before the crises. We also seek for appropriate recapitalization policy to cope with a systemic banking crisis. To serve these purposes, we construct an agent-based simulation model...

The LLS stock market model (for a review see the book in Academic Press 2000: "Microscopic Simulation of Financial Markets; From Investor Behavior to Market Phenomena" by Levy, Levy and Solomon, ISBN: 0124458904) is a model of heterogeneous quasi-rational investors operating in a complex...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more underlying assets at a future date. Such kind of options are written in the...