Structural change has been conjectured to lead to an upward bias in the estimated forward expectations coefficient in New-Keynesian Phillips curves. We present a simple New-Keynesian model that enables us to assess this proposition. In particular, we investigate the issue of upward bias in the estimated coefficients of the expectations variable in the New-Keynesian Phillips curve based on a mod...

We show how to implement arbitrage-free models of the short-term interest rate in a discretetime setting that allows a continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-time models. It is usually associated with discrete states, with possible interest rates restricted to a limited number of ...

There is an increasing trend towards global financial consolidation. Empirical evidence has shown that though consolidation can promote market efficiency, it can also increase systemic risk. Therefore, understanding the effects of company mergers on the financial markets is an increasingly pertinent issue. This paper presents a multi-market agent-based model of endogenous merger formation, cons...

We develop methods to compute equilibria in dynamic models with incomplete asset markets and heterogeneous agents. Using spline interpolation methods we approximate recursive trading policies of the agents and the equilibrium pricing functions. We explore various methods for determining the coe$cients of these approximations, including time iteration methods and acceleration techniques. Explori...

Tax-Benefit Systems in Europe and the US: Between Equity and Efficiency Whether observed differences in redistributive policies across countries are the result of differences in social preferences or efficiency constraints is an important question that paves the debate about the optimality of welfare regimes. To shed new light on this question, we estimate labor supply elasticities on microdata...

In perturbation analysis of nonlinear dynamic systems, the presence of a bifurcation implies that the first-order behavior of the economy cannot be characterized solely in terms of the first-order derivatives of the model equations. In this paper, we use two simple examples to illustrate how to detect the existence of a bifurcation. Following the general approach of Judd (1998), we then show ho...

Recent history suggests that many boom-bust cycles are naturally driven by linkages between the credit market and asset prices. Additionally, new structured securities have been developed, e.g., MBS, CDOs, and CDS, which have acted as instruments of risk transfer. We show that there is a certain non-robustness in the pricing of these instruments and we create a model in which their role in the ...

In this global world many firms present a complex shareholding structure with indirect participation, such that it may become difficult to assess a firm’s controllers. Furthermore, if there are numerous dominant shareholders, the control can be shared between them. Determining who has the most influence often is a difficult task. To measure this influence, game theory allows modeling voting gam...

This paper analyses the equilibrium dynamics of exploitation and class in general accumulation economies with population growth, technical change, and bargaining by adopting a novel computational approach. First, the determinants of the emergence and persistence of exploitation and class are investigated, and the role of labour-saving technical change and, even more importantly, power is highli...

We study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by learning-by-doing. We show that this relationship may be positive or negative depending on the impulse source of fluctuations A key role is also played by the Frisch elasticity of labour supply and by institutional features of the labour market. Our general findings are that mon...