Journal of Economic Dynamics and Control

1979 - 2008

Edited by J. Bullard, C. Chiarella, C. H. Hommes, P. N. Ireland, T. Cogley and M. Juillard

from Elsevier
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Volume 32, issue 10, 2008

Risk sharing and counter-cyclical variation in market correlations pp. 3084-3112

A. Cevdet Aydemir

Generalized method of moments and inverse control pp. 3113-3147

Gregory E. Givens and Michael K. Salemi

Learning, monetary policy rules, and macroeconomic stability pp. 3148-3165

Fabio Milani

Optimal interest rate stabilization in a basic sticky-price model pp. 3166-3191

Matthias Paustian and Christian Stoltenberg

A patent race in a real options setting: Investment strategy, valuation, CAPM beta, and return volatility pp. 3192-3217

Rujing Meng

Robust monetary policy in a small open economy pp. 3218-3252

Kai Leitemo and Ulf Söderström

Asset pricing with loss aversion pp. 3253-3274

Lars Grüne and Willi Semmler

Q-learning agents in a Cournot oligopoly model pp. 3275-3293

Ludo Waltman and Uzay Kaymak

Labor and investment frictions in a real business cycle model pp. 3294-3314

Francesco Zanetti

Linear-quadratic approximation, external habit and targeting rules pp. 3315-3349

Paul Levine, Joseph Pearlman and Richard Pierse

On-the-job human capital investment and intertemporal substitution: New evidence on intertemporal substitution elasticity pp. 3350-3375

Lee, Chul-In

Econometric analysis of structural systems with permanent and transitory shocks pp. 3376-3395

A.R. Pagan and M. Hashem Pesaran

Volume 32, issue 9, 2008

Diffusion-induced instability and pattern formation in infinite horizon recursive optimal control pp. 2745-2787

William Brock and Anastasios Xepapadeas

A dynamic factor approach to nonlinear stability analysis pp. 2788-2808

Mototsugu Shintani

Staggered updating in an artificial financial market pp. 2809-2825

Christophre Georges

Learning-or-doing in a cash-in-advance economy with costly credit pp. 2826-2853

Jana Hromcová

Interactions between monetary and fiscal policy under flexible exchange rates pp. 2854-2882

Campbell Leith and Wren-Lewis, Simon

Can consumption spillovers be a source of equilibrium indeterminacy? pp. 2883-2902

Alonso-Carrera, Jaime, Jordi Caballé and Xavier Raurich

Pricing derivatives with barriers in a stochastic interest rate environment pp. 2903-2938

Carole Bernard, Olivier Le Courtois and Quittard-Pinon, François

Strategic asset allocation with liabilities: Beyond stocks and bonds pp. 2939-2970

Roy P.M.M. Hoevenaars, Roderick D.J. Molenaar, Peter C. Schotman and Tom B.M. Steenkamp

Business risk, credit constraints, and corporate taxation pp. 2971-3008

Césaire A. Meh

Interpreting aggregate fluctuations looking at sectors pp. 3009-3031

Antonio Acconcia and Saverio Simonelli

The optimal economic lifetime of vintage capital in the presence of operating costs, technological progress, and learning pp. 3032-3053

Goetz, Renan-Ulrich, Natali Hritonenko and Yuri Yatsenko

Volume 32, issue 8, 2008

A dynamic new Keynesian life-cycle model: Societal aging, demographics, and monetary policy pp. 2398-2427

Ippei Fujiwara and Yuki Teranishi

On the application and use of DSGE models pp. 2428-2452

Alvarez-Lois, Pedro, Richard Harrison, Laura Piscitelli and Alasdair Scott

Taking DSGE models to the policy environment by Alvarez-Lois, Harrison, Piscitelli and Scott pp. 2453-2459

Lucrezia Reichlin

Improving monetary policy models pp. 2460-2475

Christopher A. Sims

Shocks, structures or monetary policies? The Euro Area and US after 2001 pp. 2476-2506

Lawrence Christiano, Roberto Motto and Massimo Rostagno

[`]A dynamic new Keynesian life-cycle model: Societal aging, demographics, and monetary policy' by Ippei Fujiwara and Yuki Teranishi. A comment pp. 2507-2511

Antti Ripatti

Natural rate measures in an estimated DSGE model of the U.S. economy pp. 2512-2535

Rochelle M. Edge, Michael T. Kiley and Laforte, Jean-Philippe

Special issue comment on optimal price setting and inflation inertia in a rational expectations model pp. 2536-2542

Jeffrey C. Fuhrer

Tax reform and labour-market performance in the euro area: A simulation-based analysis using the New Area-Wide Model pp. 2543-2583

Günter Coenen, Peter McAdam and Roland Straub

Optimal price setting and inflation inertia in a rational expectations model pp. 2584-2621

Michael Juillard, Ondra Kamenik, Michael Kumhof and Douglas Laxton

Trade adjustment and the composition of trade pp. 2622-2650

Christopher J. Erceg, Luca Guerrieri and Christopher Gust

Would protectionism defuse global imbalances and spur economic activity? A scenario analysis pp. 2651-2689

Hamid Faruqee, Douglas Laxton, Dirk Muir and Paolo Pesenti

Evaluating an estimated new Keynesian small open economy model pp. 2690-2721

Malin Adolfson, Stefan Laséen, Jesper Lindé and Mattias Villani

Volume 32, issue 7, 2008

Gains from international monetary policy coordination: Does it pay to be different? pp. 2085-2117

Zheng Liu and Evi Pappa

Production management, output volatility, and good luck pp. 2118-2136

David G. Bivin

Note on positive lower bound of capital in the stochastic growth model pp. 2137-2147

Partha Chatterjee and Malik Shukayev

Endogenous participation risk in speculative markets pp. 2148-2164

Edouard Challe

Do European business cycles look like one? pp. 2165-2190

Maximo Camacho, Perez-Quiros, Gabriel and Lorena Saiz

Finite project life and uncertainty effects on investment pp. 2191-2213

Sebastian Gryglewicz, Kuno J.M. Huisman and Peter M. Kort

Management of a capital stock by Strotz's naive planner pp. 2214-2239

Christopher J. Tyson

Intergenerational risk shifting through social security and bailout politics pp. 2240-2268

Luca Bossi

Optimal multiple stopping models of reload options and shout options pp. 2269-2290

Min Dai and Yue Kuen Kwok

The market for crash risk pp. 2291-2321

David S. Bates

The influence of seller learning and time constraints on sequential bargaining in an artificial perishable goods market pp. 2322-2348

Sonia Moulet and Juliette Rouchier

Aggregate stock market behavior and investors' low risk aversion pp. 2349-2369

George Li

A new marked point process model for the federal funds rate target: Methodology and forecast evaluation pp. 2370-2396

Joachim Grammig and Kerstin Kehrle

Volume 32, issue 6, 2008

Misperception-driven chaos: Theory and policy implications pp. 1732-1753

Masanori Yokoo and Junichiro Ishida

A generalized complementarity approach to solving real option problems pp. 1754-1779

Takeshi Nagae and Takashi Akamatsu

The role of net foreign assets in a New Keynesian small open economy model pp. 1780-1811

Fabio Ghironi

Inequality and growth: Some welfare calculations pp. 1812-1829

Juan Cordoba and Geneviève Verdier

A two-level dynamic game of carbon emission trading between Russia, China, and Annex B countries pp. 1830-1856

A. Bernard, A. Haurie, M. Vielle and L. Viguier

Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem pp. 1857-1894

Thomas F. Cosimano

Donor policy rules and aid effectiveness pp. 1895-1920

Carl-Johan Dalgaard

Search and active learning with correlated information: Empirical evidence from mid-Atlantic clam fishermen pp. 1921-1948

Philippe Marcoul and Quinn Weninger

An efficient branch-and-bound strategy for subset vector autoregressive model selection pp. 1949-1963

Cristian Gatu, Erricos John Kontoghiorghes, Manfred Gilli and Peter Winker

Learning and optimal monetary policy pp. 1964-1994

Richard Dennis and Federico Ravenna

The transfer paradox in a one-sector overlapping generations model pp. 1995-2012

Emily T. Cremers and Partha Sen

Estimating the Federal Reserve's implicit inflation target: A state space approach pp. 2013-2030

Daniel Leigh

Endogenous fiscal policy and capital market transmissions in the presence of demographic shocks pp. 2031-2060

Mehmet Serkan Tosun

Volume 32, issue 5, 2008

Imperfect competition, general equilibrium and unemployment pp. 1381-1398

Hans Gersbach and Achim Schniewind

Distributional dynamics in a neoclassical growth model: The role of elastic labor supply pp. 1399-1431

Stephen J. Turnovsky and Garci­a-Peñalosa, Cecilia

Informational differences and learning in an asset market with boundedly rational agents pp. 1432-1465

Cees Diks and Pietro Dindo

The new Keynesian monetary model: Does it show the comovement between GDP and inflation in the U.S.? pp. 1466-1488

Mari­a-Dolores, Ramón and Jesús Vázquez

Investment, interest rate policy, and equilibrium stability pp. 1489-1516

Takushi Kurozumi and Willem Van Zandweghe

Learning in a misspecified multivariate self-referential linear stochastic model pp. 1517-1542

Eran Guse

Computing business-as-usual with a representative agent and a pollution externality pp. 1543-1568

Leslie Shiell and Nikita Lyssenko

A numerical analysis of the evolutionary stability of learning rules pp. 1569-1599

Jens Josephson

Optimal monetary policy rules with labor market frictions pp. 1600-1621

Ester Faia

Implications of the Sharpe ratio as a performance measure in multi-period settings pp. 1622-1649

Jaksa Cvitanic, Ali Lazrak and Tan Wang

Alternative government financing and aggregate fluctuations driven by self-fulfilling expectations pp. 1650-1679

Yoichi Gokan

Optimal insurance under costly falsification and costly, inexact verification pp. 1680-1700

Arthur Hau

Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification pp. 1701-1720

Jacco J.J. Thijssen

Volume 32, issue 4, 2008

Limited participation and exchange rate dynamics: Does theory meet the data? pp. 1041-1087

Frédéric Karamé, Lise Patureau and Thepthida Sopraseuth

Evolutionary portfolio selection with liquidity shocks pp. 1088-1119

Enrico De Giorgi

Business cycles, unemployment insurance, and the calibration of matching models pp. 1120-1155

James S. Costain and Michael Reiter

Can environmental taxation stimulate growth? The role of indeterminacy in endogenous growth models with environmental externalities pp. 1156-1180

Itaya, Jun-ichi

A dynamic model of food and clean energy pp. 1181-1203

Ujjayant Chakravorty, Bertrand Magné and Michel Moreaux

Global stability of unique Nash equilibrium in Cournot oligopoly and rent-seeking game pp. 1204-1211

Koji Okuguchi and Takeshi Yamazaki

Price stabilization using buffer stocks pp. 1212-1235

George Athanasiou, Iasson Karafyllis and Stelios Kotsios

Investigating time-variation in the marginal predictive power of the yield spread pp. 1236-1272

Luca Benati and Charles Goodhart

Optimal choice of monetary policy instruments in an economy with real and liquidity shocks pp. 1273-1311

Joydeep Bhattacharya and Rajesh Singh

Feedback Nash equilibria for non-linear differential games in pollution control pp. 1312-1331

G. Kossioris, M. Plexousakis, A. Xepapadeas, A. de Zeeuw and Mäler, K.-G.

The long-run benefits of chaos to oligopolistic firms pp. 1332-1355

Weihong Huang

Corrigendum to "Congestible public goods and local indeterminacy: A two-sector endogenous growth model": [Journal of Economic Dynamics & Control 31 (7) (2007) 2486-2518] pp. 1356-1356

Been-Lon Chen and Lee, Shun-Fa

Volume 32, issue 3, 2008

A foundation for the solution of consumption-saving behavior with a borrowing constraint and unbounded marginal utility pp. 695-708

Eugenio S.A. Bobenrieth H., Juan R.A. Bobenrieth H. and Brian D. Wright

On deposit volumes and the valuation of non-maturing liabilities pp. 709-756

Kaj Nyström

Social security and self control preferences pp. 757-778

Cagri Seda Kumru and Athanasios C. Thanopoulos

Active portfolio management with benchmarking: Adding a value-at-risk constraint pp. 779-820

Gordon J. Alexander and Alexandre M. Baptista

A cobweb model with local externalities pp. 821-847

Ali Choudhary and J. Michael Orszag

Competition and inflation differentials in EMU pp. 848-874

Javier Andrés, Eva Ortega and Javier Vallés

Solving heterogeneous-agent models with parameterized cross-sectional distributions pp. 875-908

Yann Algan, Olivier Allais and Wouter J. Den Haan

Snowball: A dynamic oligopoly model with indirect network effects pp. 909-938

Sarit Markovich

Chaotic equilibria in models with backward dynamics pp. 939-955

Judy A. Kennedy and David R. Stockman

Market clearing and price formation pp. 956-977

S.D. Flåm and O. Godal

Financial frictions, capital reallocation, and aggregate fluctuations pp. 978-999

Jürgen von Hagen and Haiping Zhang

The closed-form solution for a family of four-dimension nonlinear MHDS pp. 1000-1014

José Ramón Ruiz-Tamarit

Volume 32, issue 2, 2008

Infrastructure, alternative government finance and stochastic endogenous growth pp. 321-347

Yoichi Gokan

How to invest optimally in corporate bonds: A reduced-form approach pp. 348-385

Holger Kraft and Mogens Steffensen

Inequality and social security reforms pp. 386-410

Jean-Olivier Hairault and Francois Langot

Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland pp. 411-435

Katrin Assenmacher-Wesche and Stefan Gerlach

The rise in returns to education and the decline in household savings pp. 436-469

Areendam Chanda

Experimentation with accumulation pp. 470-496

Cunha-e-Sa, Maria A. and Vasco Santos

Can technical change exacerbate the effects of labor market sclerosis pp. 497-528

Roberto Samaniego

The informal sector and tax on employment: A dynamic general equilibrium investigation pp. 529-549

Dürdane Şirin Saracoğlu

Taking two steps at a time: On the optimal pattern of policy interest rates pp. 550-570

Gerlach-Kristen, Petra

The stabilizing role of government size pp. 571-593

Javier Andrés, Rafael Domenech and Antonio Fatas

Portfolio selection with uncertain exit time: A robust CVaR approach pp. 594-623

Dashan Huang, Zhu, Shu-Shang, Frank J. Fabozzi and Masao Fukushima

Can heterogeneous preferences stabilize endogenous fluctuations pp. 624-647

Stefano Bosi and Thomas Seegmuller

Using an error-correction model to test whether endogenous long-run growth exists pp. 648-676

Lau, Sau-Him Paul

Volume 32, issue 1, 2008

Introduction to special issue on `Applications of Statistical Physics in Economics and Finance' pp. 1-6

J. Doyne Farmer and Thomas Lux

Classical thermodynamics and economic general equilibrium theory pp. 7-65

Eric Smith and Duncan K. Foley

Thermodynamic limits of macroeconomic or financial models: One- and two-parameter Poisson-Dirichlet models pp. 66-84

Masanao Aoki

Inter-pattern speculation: Beyond minority, majority and $-games pp. 85-100

Damien Challet

Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach pp. 101-136

Simone Alfarano, Thomas Lux and Friedrich Wagner

Stock market crashes as social phase transitions pp. 137-155

Moshe Levy

Continuous cascade models for asset returns pp. 156-199

E. Bacry, A. Kozhemyak and Muzy, Jean-Francois

An empirical behavioral model of liquidity and volatility pp. 200-234

Szabolcs Mike and J. Doyne Farmer

Cluster analysis for portfolio optimization pp. 235-258

Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati and Rosario N. Mantegna

A network analysis of the Italian overnight money market pp. 259-278

Giulia Iori, Giulia De Masi, Ovidiu Vasile Precup, Giampaolo Gabbi and Guido Caldarelli

Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory pp. 279-302

Bernd Rosenow

Quantifying and understanding the economics of large financial movements pp. 303-319

Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou and H. Eugene Stanley