We study coalition formation processes of Konishi and Ray (2003) [27]. It is shown that an absorbing and deterministic process of coalition formation that also forms an equilibrium – satisfies a coalitional one-deviation property – does exist if one allows the process to be history dependent. All such dynamic equilibrium processes of coalition formation are characterized. Absorbing outcomes of ...

This paper aims at explaining the dynamics of labor markets in Spain, especially the high persistence of unemployment and the Beveridge curve. We build a stochastic dynamic general equilibrium matching model, which assumes failures in the matching between vacancies and unemployed. We calibrate the model for the Spanish economy and simulate it considering two sources of exogenous shocks: a techn...

This paper applies the hybrid dynamic general-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series. It presents the first Canadian evidence that a hybrid DGE-VAR model may have better out-of-sample forecasting accuracy than a simple, structure-free VAR model. The evidence suggests that estimated DGE models have the potential to add good forecast...

This paper reports data for coordination game experiments with random matching. The experimental design is based on changes in an effort-cost parameter, which do not alter the set of Nash equilibria, nor do they alter the predictions of dynamic adjustment theories based on imitation or best responses to others’ decisions. As would be expected, however, increases in effort cost result in reduced...

In this paper, we address the issue of determining the optimal contribution rate of a stochastic defined benefit pension fund. The affiliate’s mortality is modelled by a jump process and the benefits paid at retirement are function of the evolution of stochastic salaries. Assets of the fund are invested in cash, stocks and a rolling bond. Interest rates are driven by a Vasicek model. The object...

This paper argues that self-fulfilling beliefs in credit conditions can generate endogenously persistent business cycle dynamics. We develop a tractable dynamic general equilibrium model with idiosyncratic firm productivity shocks. Capital from less productive firms is lent to more productive ones in the form of credit secured by collateral and also as unsecured credit based on reputation. A dy...

Our objective in this article is to study analytically the effect of borrowing constraints on asset returns in an economy where agents are heterogenous with respect to their risk aversion. We use asymptotic analysis to characterize the equilibrium in a general equilibrium exchange economy with an arbitrary number of agents who differ in their risk aversion and face limits on borrowing. We find ...

We consider an equilibrium model à la Kyle-Back for a defaultable claim issued by a given firm. In such a market the insider observes continuously in time the value of firm, which is unobservable by the market makers. Using the construction of a dynamic Bessel bridge of dimension 3 in [5], we provide the equilibrium price and the optimal insider’s strategy. As in [3], the information released b...

the paper examines for the first time the foreign exchange intervention policy in foreign exchange market of iran. and in this framework, the study designs and simulates the foreign exchange intervention model in iran. in the first section, the paper shows that the injection of oil revenues directly to economy and also the absence of potent structure of output are inclusively caused the central...

Extensive empirical research has shown that in many markets institutional investors have a significant impact on prices and mitigate its adverse effects through their trading strategies. This paper develops a dynamic model of such thin markets, in which the market structure is one of bilateral oligopoly. The paper demonstrates that market thinness qualitatively changes equilibrium properties of...