We consider the rooted delay-constrained Steiner tree problem which arises for example in the design of centralized multicasting networks where quality of service constraints are of concern. We present a mixed integer linear programming formulation based on the concept of feasible paths which has already been considered in the literature for the spanning tree variant. Solving its linear relaxat...

a r t i c l e i n f o a b s t r a c t This paper considers a sticky-price model with heterogeneous households and financial frictions. Financial frictions lead to imperfect risk-sharing among households with idiosyn-cratic labor incomes. I study implications of imperfect risk-sharing for optimal monetary policy by documenting its impacts on the monetary transmission mechanism, the inflation– ou...

T single-product firms with different quality levels and fixed limited capacities engage in sequential price competition in an essentially deterministic model where customers have heterogeneous valuations for both products. We develop conditions under which the leader (she) can take strategic advantage of her limited capacity by pricing relatively low, purposefully creating shortages and leavin...

A commonly observed two-stage pricing strategy for a custom-made product involves a prepurchase entry fee for a potential consumer and a purchase price if he decides to buy the product. We solve and compare two settings: In the first, the firm does not commit in advance to the second-stage price and in the second, the firm does. We show that without a commitment mechanism, the two price points ...

This paper studies optimal monetary policy and central bank transparency in an economy where firms set prices under informational frictions. The economy is subject to two types of shocks which determine the efficient level of output and the firms’ desired mark-up. To minimize the welfare-reducing output gap and price dispersion among the firms, the central bank controls the firms’ incentives an...

Considering Russia’s rich and vast oil resources, this country is one of the world’s greatest producers and exporters of this nonrenewable energy resource, and like other petrostates, receives a major part of its national income in this way. The dependence of Russia’s budget on oil has raised the significance of world oil price fluctuations for this country. Since 1970s, the global oil market h...

In various stock markets, there is a system called “circuit breakers” that interrupts dealing of stocks for a certain period when stock price changes greatly. In this paper, we consider the influence of the circuit breakers on a stock market using an agent-based artificial market simulator called “U-Mart”, by controlling the period of interruption and the criterion to invoke the circuit breaker...

This paper investigates-on the basis of the Cont-Bouchaud model-whether a Tobin tax can stabilize foreign exchange markets. Compared to earlier studies, this paper explicitly recognizes that a transaction tax-induced reduction in market depth may increase the price responsiveness of a given order. We find that the imposition of a transaction tax may still achieve a triple dividend: (1) exchange...

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.