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Journal of Economic Dynamics and Control

1979 - 2016

Current editor(s): J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

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Volume 31, issue 12, 2007

Age-specific dynamic labor demand and human capital investment pp. 3741-3777 Downloads
Alexia Prskawetz and Vladimir M. Veliov
Feasibility and optimality of sustainable growth under materials balance pp. 3778-3790 Downloads
Ken-Ichi Akao and Shunsuke Managi
Public support to innovation and imitation in a non-scale growth model pp. 3791-3821 Downloads
Fidel Perez-Sebastian
Export restraints in a model of trade with capital accumulation pp. 3822-3842 Downloads
Giacomo Calzolari and Luca Lambertini
Finite maturity caps and floors on continuous flows pp. 3843-3859 Downloads
Mark Shackleton and Rafal Wojakowski
Intensity-based framework and penalty formulation of optimal stopping problems pp. 3860-3880 Downloads
Min Dai, Yue Kuen Kwok and Hong You
Devaluating projects and the investment-uncertainty relationship pp. 3881-3888 Downloads
Oscar Gutierrez
A non-parametric test for independence based on symbolic dynamics pp. 3889-3903 Downloads
Mariano Matilla-García
A monetary business cycle model with unemployment pp. 3904-3940 Downloads
Michelle Alexopoulos
Factor taxation and labor supply in a dynamic one-sector growth model pp. 3941-3964 Downloads
Been-Lon Chen
Optimal pest control in agriculture pp. 3965-3985 Downloads
Thomas Christiaans, Thomas Eichner and Rüdiger Pethig
Balance sheets, exchange rate policy, and welfare pp. 3986-4015 Downloads
Selim Elekdag and Ivan Tchakarov

Volume 31, issue 11, 2007

Towards endogenous recombinant growth pp. 3459-3477 Downloads
Yacov Tsur and Amos Zemel
Pricing of path-dependent American options by Monte Carlo simulation pp. 3478-3502 Downloads
Hajime Fujiwara and Masaaki Kijima
Asset allocation under multivariate regime switching pp. 3503-3544 Downloads
Massimo Guidolin and Allan Timmermann
Optimal social security in a dynastic model with investment externalities and endogenous fertility pp. 3545-3567 Downloads
Jie Zhang and Junsen Zhang
Simple market protocols for efficient risk sharing pp. 3568-3590 Downloads
Marco LiCalzi and Paolo Pellizzari
A computational scheme for the optimal strategy in an incomplete market pp. 3591-3613 Downloads
Jussi Keppo, Xu Meng and Michael G. Sullivan
Computing continuous-time growth models with boundary conditions via wavelets pp. 3614-3643 Downloads
Mercedes Esteban-Bravo and Jose Vidal-Sanz
The protection of intellectual property rights and endogenous growth: Is stronger always better? pp. 3644-3670 Downloads
Yuichi Furukawa
Job matching and propagation pp. 3671-3698 Downloads
Shigeru Fujita and Garey Ramey
Inflation targeting, learning and Q volatility in small open economies pp. 3699-3722 Downloads
Guay Lim and Paul McNelis
Do multiple Nash equilibria in Markov strategies mitigate the tragedy of the commons? pp. 3723-3740 Downloads
Franz Wirl

Volume 31, issue 10, 2007

Non-linear strategies in a linear quadratic differential game pp. 3179-3202 Downloads
Colin Rowat
Heterogeneity and misspecifications in learning pp. 3203-3227 Downloads
Michele Berardi
Optimal interest rate rules, asset prices, and credit frictions pp. 3228-3254 Downloads
Ester Faia and Tommaso Monacelli
The rise and fall of catastrophe theory applications in economics: Was the baby thrown out with the bathwater? pp. 3255-3280 Downloads
Barkley Rosser
Pricing-to-market, limited participation and exchange rate dynamics pp. 3281-3320 Downloads
Lise Patureau
Macroeconomic regime switches and speculative attacks pp. 3321-3347 Downloads
Bartosz Maćkowiak
Income taxes, public investment and welfare in a growing economy pp. 3348-3369 Downloads
Gustavo Marrero and Alfonso Novales
Initial conditions at Emancipation: The long-run effect on black-white wealth and earnings inequality pp. 3370-3395 Downloads
T. Kirk White
Power-law behaviour, heterogeneity, and trend chasing pp. 3396-3426 Downloads
Xuezhong He and Youwei Li
Why chains beget chains: An ecological model of firm entry and exit and the evolution of market similarity pp. 3427-3458 Downloads
Scott E. Page and Troy Tassier

Volume 31, issue 9, 2007

Re-entitlement effects with duration-dependent unemployment insurance in a stochastic matching equilibrium pp. 2879-2898 Downloads
Melvyn Coles and Adrian Masters
Endogenous aggregate elasticity of substitution pp. 2899-2919 Downloads
Kaz Miyagiwa and Chris Papageorgiou
The development and structure of financial systems pp. 2920-2956 Downloads
Shankha Chakraborty and Tridip Ray
Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model pp. 2957-2983 Downloads
Diego Valderrama
Markups in double auction markets pp. 2984-3005 Downloads
Wenjie Zhan and Daniel Friedman
Monetary policy, learning and the speed of convergence pp. 3006-3041 Downloads
Giuseppe Ferrero
How important is discount rate heterogeneity for wealth inequality? pp. 3042-3068 Downloads
Lutz Hendricks
Investment timing and predatory behavior in a duopoly with endogenous exit pp. 3069-3109 Downloads
Christian Bayer
Drift control of international reserves pp. 3110-3137 Downloads
Avner Bar-ilan, Nancy Marion and David Perry
Annuitization and asset allocation pp. 3138-3177 Downloads
Moshe A. Milevsky and Virginia R. Young

Volume 31, issue 8, 2007

`J'-shaped returns to timing advantage in access to information - Experimental evidence and a tentative explanation pp. 2536-2572 Downloads
Jurgen Huber
Corruption across countries and regions: Some consequences of local osmosis pp. 2573-2598 Downloads
Raaj Sah
Methods to estimate dynamic stochastic general equilibrium models pp. 2599-2636 Downloads
Francisco Ruge-Murcia
Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle pp. 2637-2658 Downloads
Francis In and Jai Hyung Yoon
Adaptive learning in practice pp. 2659-2697 Downloads
Eva Carceles-Poveda and Chryssi Giannitsarou
A generalization of the endogenous grid method pp. 2698-2712 Downloads
Francisco Barillas and Jesus Fernandez-Villaverde
Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy pp. 2713-2743 Downloads
Pierluigi Balduzzi
What do `residuals' from first-order conditions reveal about DGE models? pp. 2744-2773 Downloads
Alok Johri and Marc-Andre Letendre
Housing, portfolio choice and the macroeconomy pp. 2774-2801 Downloads
Pedro Silos
Capital and macroeconomic instability in a discrete-time model with forward-looking interest rate rules pp. 2802-2826 Downloads
Kevin Huang and Qinglai Meng
Invariance in growth theory and sustainable development pp. 2827-2846 Downloads
Vincent Martinet and Gilles Rotillon
Drift and breaks in labor productivity pp. 2847-2877 Downloads
Luca Benati

Volume 31, issue 7, 2007

Hedging diffusion processes by local risk minimization with applications to index tracking pp. 2135-2151 Downloads
David Colwell, Nadima El-Hassan and Oh Kang Kwon
The effect of uncertainty on investment timing in a real options model pp. 2152-2167 Downloads
Kit Pong Wong
Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory pp. 2168-2195 Downloads
Thamayanthi Chellathurai and Thangaraj Draviam
Interest rate rules for fixed exchange rate regimes pp. 2196-2211 Downloads
Gianluca Benigno, Pierpaolo Benigno and Fabio Ghironi
A dynamic programming approach for pricing options embedded in bonds pp. 2212-2233 Downloads
Hatem Ben-Ameur, Michele Breton, Lotfi Karoui and L'Ecuyer, Pierre
An evolutionary game theory explanation of ARCH effects pp. 2234-2262 Downloads
William R. Parke and George Waters
The equity premium in Brock's asset pricing model pp. 2263-2292 Downloads
Levent Akdeniz and W. Davis Dechert
Optimal abatement in dynamic multi-pollutant problems when pollutants can be complements or substitutes pp. 2293-2316 Downloads
Ulf Moslener and Till Requate
A general framework for evaluating executive stock options pp. 2317-2349 Downloads
Ronnie Sircar and Wei Xiong
Parameter estimation in commodity markets: A filtering approach pp. 2350-2373 Downloads
Robert J. Elliott and Cody. B. Hyndman
On sustainable growth and collapse: Optimal and adaptive paths pp. 2374-2397 Downloads
Herbert Dawid and Richard H. Day
Impulse response confidence intervals for persistent data: What have we learned? pp. 2398-2412 Downloads
Elena Pesavento and Barbara Rossi
A non-Walrasian labor market in a monetary model of the business cycle pp. 2413-2437 Downloads
Francesco Zanetti
The emergence of Zipf's Law in a system of cities: An agent-based simulation approach pp. 2438-2460 Downloads
Yuri Mansury and Laszlo Gulyas
Optimal harvesting under resource stock and price uncertainty pp. 2461-2485 Downloads
Luis Alvarez and Erkki Koskela
Congestible public goods and local indeterminacy: A two-sector endogenous growth model pp. 2486-2518 Downloads
Been-Lon Chen and Shun-Fa Lee

Volume 31, issue 6, 2007

Advances in experimental and agent-based modelling: Asset markets, economic networks, computational mechanism design and evolutionary game dynamics pp. 1801-1807 Downloads
Sheri Markose, Jasmina Arifovic and Shyam Sunder
Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching pp. 1808-1843 Downloads
Thomas Lux and Taisei Kaizoji
Fat tails and volatility clustering in experimental asset markets pp. 1844-1874 Downloads
Michael Kirchler and Jurgen Huber
Price bubbles sans dividend anchors: Evidence from laboratory stock markets pp. 1875-1909 Downloads
Shinichi Hirota and Shyam Sunder
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders pp. 1910-1937 Downloads
Andrea Consiglio and Annalisa Russino
Behavioral heterogeneity in stock prices pp. 1938-1970 Downloads
H. Peter Boswijk, Cars Hommes and Sebastiano Manzan
Call market book information and efficiency pp. 1971-2000 Downloads
Jasmina Arifovic and John Ledyard
A smart market for passenger road transport (SMPRT) congestion: An application of computational mechanism design pp. 2001-2032 Downloads
Sheri Markose, Amadeo Alentorn, Deddy Koesrindartoto, Peter Allen, Phil Blythe and Sergio Grosso
Network models and financial stability pp. 2033-2060 Downloads
Erlend Nier, Jing Yang, Tanju Yorulmazer and Amadeo Alentorn
Credit chains and bankruptcy propagation in production networks pp. 2061-2084 Downloads
Stefano Battiston, Domenico Delli Gatti, Mauro Gallegati, Bruce Greenwald and Joseph Stiglitz
Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization in social networks pp. 2085-2107 Downloads
Alan Kirman, Sheri Markose, Simone Giansante and Paolo Pin
Evolutionary game dynamics and the analysis of agent-based imitation models: The long run, the medium run and the importance of global analysis pp. 2108-2133 Downloads
Herbert Dawid

Volume 31, issue 5, 2007

Optimal long-run fiscal policy: Constraints, preferences and the resolution of uncertainty pp. 1451-1472 Downloads
Alan Auerbach and Kevin Hassett
Timing of investment under technological and revenue-related uncertainties pp. 1473-1497 Downloads
Pauli Murto
Fiscal policy in unionized labor markets pp. 1498-1534 Downloads
Silvia Ardagna
Explaining fashion cycles: Imitators chasing innovators in product space pp. 1535-1556 Downloads
Jonathan P. Caulkins, Richard F. Hartl, Peter Kort and Gustav Feichtinger
Recursive monetary policy games with incomplete information pp. 1557-1583 Downloads
Christopher Sleet and Sevin Yeltekin
Time-varying equilibrium real rates and monetary policy analysis pp. 1584-1609 Downloads
Bharat Trehan and Tao Wu
The Gauss-Seidel-quasi-Newton method: A hybrid algorithm for solving dynamic economic models pp. 1610-1632 Downloads
Alexander Ludwig
Backward dynamics in economics. The inverse limit approach pp. 1633-1671 Downloads
Alfredo Medio and Brian Raines
Time to complete and research joint ventures: A differential game approach pp. 1672-1696 Downloads
Jorge Navas and Peter Kort
Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy pp. 1697-1727 Downloads
Tao Li
The climate change learning curve pp. 1728-1752 Downloads
Andrew Leach
The competitive market paradox pp. 1753-1780 Downloads
Steven Gjerstad
Corporate control and real investment in incomplete markets pp. 1781-1800 Downloads
Julien Hugonnier and Erwan Morellec

Volume 31, issue 4, 2007

A Monte Carlo approach for the American put under stochastic interest rates pp. 1081-1105 Downloads
Snorre Lindset and Arne-Christian Lund
Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility pp. 1106-1131 Downloads
Ken Sennewald
A computational scheme for optimal investment - consumption with proportional transaction costs pp. 1132-1159 Downloads
Kumar Muthuraman
Bootstrap-based bias correction for dynamic panels pp. 1160-1184 Downloads
Gerdie Everaert and Lorenzo Pozzi
The asset allocation puzzle is still a puzzle pp. 1185-1216 Downloads
Abraham Lioui
Pricing home mortgages and bank collateral: A rational expectations approach pp. 1217-1244 Downloads
M. Shahid Ebrahim and Ike Mathur
Econometric issues in the analysis of contagion pp. 1245-1277 Downloads
M Pesaran and Andreas Pick
Monetary policy under misspecified expectations pp. 1278-1299 Downloads
Mingjun Zhao
A simple asset pricing model with social interactions and heterogeneous beliefs pp. 1300-1325 Downloads
Sheng-Kai Chang
The persistence of inflation in the United States pp. 1326-1358 Downloads
Frederic Pivetta and Ricardo Reis
How much has labour taxation contributed to European structural unemployment? pp. 1359-1375 Downloads
Christophe Planas, Werner Roeger and Alessandro Rossi
E-stability vis-a-vis determinacy results for a broad class of linear rational expectations models pp. 1376-1391 Downloads
Bennett McCallum
Short-term planning and the life-cycle consumption puzzle pp. 1392-1415 Downloads
Frank Caliendo and David Aadland
Stochastic optimal policies when the discount rate vanishes pp. 1416-1430 Downloads
Kazuo Nishimura and John Stachurski
Optimal liquidation strategies and their implications pp. 1431-1450 Downloads
Christopher Ting, Mitch Warachka and Yonggan Zhao

Volume 31, issue 3, 2007

A conditional distribution model for limited stock index returns pp. 721-741 Downloads
Ralph Friedmann and Walter G. Sanddorf-Kohle
Mortgage loan portfolio optimization using multi-stage stochastic programming pp. 742-766 Downloads
Kourosh Marjani Rasmussen and Jens Clausen
VAR-based estimation of Euler equations with an application to New Keynesian pricing pp. 767-796 Downloads
André Kurmann
Natural rate doubts pp. 797-825 Downloads
Andreas Beyer and Roger Farmer
Analysis of quadrature methods for pricing discrete barrier options pp. 826-860 Downloads
Gianluca Fusai and Maria Cristina Recchioni
Subsidies in an R&D growth model with elastic labor pp. 861-886 Downloads
Jinli Zeng and Jie Zhang
The impact of fat tails on equilibrium rates of return and term premia pp. 887-905 Downloads
Prasad Bidarkota and Brice V. Dupoyet
Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model pp. 906-937 Downloads
Pau Rabanal
Profit-maximizing operation and valuation of hydroelectric plant: A new solution to the Koopmans problem pp. 938-970 Downloads
Anthony Horsley and Andrew Wrobel
Working hours reduction and wage contracting style in a dynamic model with labor adjustment costs pp. 971-993 Downloads
Juin-jen Chang, Chun-chieh Huang and Ching-chong Lai
Investment under uncertainty--Does competition matter? pp. 994-1014 Downloads
Martin Odening, Mu[ss]hoff, Oliver, Norbert Hirschauer and Alfons Balmann
Fiscal policy rules in an overlapping generations model with endogenous labour supply pp. 1015-1036 Downloads
Giovanni Ganelli
International capital markets and redundant securities pp. 1037-1050 Downloads
Issouf Soumare
Electoral uncertainty, fiscal policy and macroeconomic fluctuations pp. 1051-1080 Downloads
Jim Malley, Apostolis Philippopoulos and Ulrich Woitek

Volume 31, issue 2, 2007

A conditional extreme value volatility estimator based on high-frequency returns pp. 361-397 Downloads
Turan G. Bali and David Weinbaum
Optimal monetary policy in a micro-founded model with parameter uncertainty pp. 399-431 Downloads
Takeshi Kimura and Takushi Kurozumi
How big is the debt overhang problem? pp. 433-472 Downloads
Nathalie Moyen
Global bifurcations, credit rationing and recurrent hyperinflations pp. 473-491 Downloads
Pedro Gomis-Porqueras and Alex Haro
A theory of optimal deadlines pp. 493-513 Downloads
Flavio Toxvaerd
Computing second-order-accurate solutions for rational expectation models using linear solution methods pp. 515-530 Downloads
Giovanni Lombardo and Alan Sutherland
Asymmetric outcome in a symmetric dynamic duopoly pp. 531-555 Downloads
Sumit Joshi
Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market pp. 557-574 Downloads
Nikola Gradojevic
The Hicksian trade cycle with floor and ceiling dependent on capital stock pp. 575-592 Downloads
Tonu Puu
From structural assumptions to a link between assets and interest rates pp. 593-612 Downloads
Rei[ss], Oliver, John Schoenmakers and Martin Schweizer
Indeterminacy, intergenerational redistribution, endogenous longevity and human capital accumulation pp. 613-633 Downloads
Giam Pietro Cipriani and Miltiadis Makris
Econometric analysis of financial trade processes by discrete mixture duration models pp. 635-667 Downloads
Reinhard Hujer and Sandra Vuletic
Local determinacy with non-separable utility pp. 669-682 Downloads
Patrick Pintus
Decomposing the integrated assessment of climate change pp. 683-702 Downloads
Christoph Bohringer, Andreas Löschel and Thomas Rutherford
Long-run average welfare in a pollution accumulation model pp. 703-720 Downloads
Kazuhito Kawaguchi and Hiroaki Morimoto

Volume 31, issue 1, 2007

By force of demand: Explaining international comovements pp. 1-23 Downloads
Yi Wen
Social Security reform and intertemporal smoothing pp. 25-54 Downloads
Michael Pries
Dynamic oligopolistic games under uncertainty: A stochastic programming approach pp. 55-80 Downloads
Talat Genc, Stanley S. Reynolds and Suvrajeet Sen
Restricted perception equilibria and rational expectation equilibrium pp. 81-109 Downloads
Stéphane Gregoir and Pierre-Olivier Weill
Inflation persistence and robust monetary policy design pp. 111-140 Downloads
Günter Coenen
Reducing the dimensionality of linear quadratic control problems pp. 141-159 Downloads
Ronald Balvers and Douglas W. Mitchell
Properties of equilibrium asset prices under alternative learning schemes pp. 161-217 Downloads
Massimo Guidolin and Allan Timmermann
Optimal monetary policy when lump-sum taxes are unavailable: A reconsideration of the outcomes under commitment and discretion pp. 219-243 Downloads
Martin Ellison and Neil Rankin
Sticky information and model uncertainty in survey data on inflation expectations pp. 245-276 Downloads
William Branch
Effects of inflation on wealth distribution: Do stock market participation fees and capital income taxation matter? pp. 277-303 Downloads
Burkhard Heer and Bernd Sussmuth
The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences pp. 305-324 Downloads
Paolo Surico
Fiscal policy, monopolistic competition, and finite lives pp. 325-359 Downloads
Ben Heijdra and Jenny Ligthart
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