Computing in Economics and Finance 2005

from Society for Computational Economics
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397: Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution

Sheri Marina Markose and Amadeo Alentorn

396: Designing large value payment systems: an agent based approach

Jing Yang, Sheri Marina Markose and Amadeo Alentorn

394: Numerical investigation on bottom-up fluctuation of investment

Yuya Sasaki and Makoto Nirei

393: On-the-Job Search and Wage Rigidity in a General Equilibrium Model

Robert Hussey

391: A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem

Simon Lysbjerg Hansen

390: Bond Yield Predictability and Estimation of Affine Term Structure Models

Bovorn Vichiansin

389: Noisy Earnings Reports and the Equity Premium

Gorkem Ozer and Paul M. Beaumont

388: The Design of Monetary and Fiscal Policy: A Global Perspective

Stefano Eusepi and Jess Benhabib

387: Shifting Expectations about Technology Growth as a Propagation Mechanism

Masashi Saito

385: Worst-case estimation and asymptotic theory for models with unobservables

Jose Manuel Vidal-Sanz and Mercedes Esteban-Bravo

384: The Long and the Short of It: Long Memory Regressors and Predictive Regressions

Aaron Smallwood; Alex Maynard; Mark Wohar (Alex S. Maynard, Mark Wohar and Aaron Dean Smallwood)

382: INFORMATION IN DATA REVISION PROCESSES: PAYROLL EMPLOYMENT AND REAL-TIME MEASUREMENT OF EMPLOYMENT

Peter Zadrozny and Ellis W. Tallman

381: A decomposition method to deflate the curse of dimensionality for dynamic stochastic models

Mercedes Esteban-Bravo and F. Javier Nogales

380: A Threshold Model of Monetary Policy

Michael D. Bradley & Dennis W. Jansen (Dennis W. Jansen)

379: The Determinants of Market Frictions in the Corporate Market

Egon Zakrajsek, Andrew Theo Levin and Roberto Perli

378: Testing Substitution Bias of the Solow-Residual Measure of Total Factor Productivity Using CES-Class Production Functions

Peter A. Zadrozny and Baoline Chen

377: Do Terms of Trade Shocks Drive Business Cycles? Some Evidence from Structural Estimation

Thomas Lubik and Wing Leong Teo

376: Testing for Structural Breaks in Covariance: Exchange Rate Pass-Through in Canada

Maral Kichian and Lynda Khalaf

375: Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies

Giulio Bottazzi and Mikhail Anufriev

374: The Value of Knowledge Flows: Evidence from Patent Citations Data

Yi Deng

373: The Temptation of Emergence or: Don't Rush into Economic(al) Explanations

Norman Ehrentreich

372: The Impact of Housing Decisons on Business Cycles

Steve Ambler, Emanuela Cardia and Christian Zimmermann

371: Testing Near-Rationality Using Detail Survey Data

Stefan Palmqvist and Michael F. Bryan

370: Price setting in General Equilibrium: Alternative Specifications

Grégory de Walque, Frank Rafael Smets and Raf Wouters

369: Optimal Inflation Persistence: Ramsey Taxation with Capital and Habits

Sanjay K. Chugh

367: Stochastic Volatility in DSGE models

Giorgio Primiceri and Alejandro Justiniano

366: Capital Accumulation in the Presence of Informal Credit Contract: Does Incentive Mechanism Work Better than Credit Rationing Under Asymmetric Information?

Basab Dasgpta

364: Taxes and quotas for a Stock Pollutant with Multiplicative Uncertainty: A Comment

Fidel Gonzalez

363: TIPS: Taking Inflation Premium Seriously

Min Wei, Stefania D'Amico and Don H. Kim

362: Monetary Policy, Determinacy, and Learnability in the Open Economy

Eric Schaling and James Bullard

360: Consumption, Growth and Asset Pricing: A Regime Switching and Robust Control

Selahattin Dibooglu and Turalay Kenc

359: Cross Equation Effects of Misspecification: A partial estimation approach to DSGE Models

Kai Christoffel

358: On the Distributional Effects of Trade Policy: A Macroeconomic Perspective

Luis San Vicente Portes

357: Structural Breaks in Estimated DSGE Models with Indeterminacy

Siddhartha Chib, Michael J. Dueker and Anatoliy Belaygorod

356: Financial Frictions, Distribution Costs, and Current Account Crises

Sylvain Leduc and Diego Valderrama

355: Operational risk management and new computational needs in banks

Duc PHAM-HI

354: Co-evolution of bounded rational agents in adaptive social networks

Haydee Lugo, Dalmagro and F. Jiménez J.

351: Agency Conflicts, Investment, and Asset Pricing

Neng Wang and Rui Albuquerque

349: Debt stabilizing fiscal rules

Philippe Michel, Leopold von Thadden and Jean-Piere Vidal

348: Paper or Plastic? The Effect of Time on Check and Debit Card Use at Grocery Stores

Elizabeth Klee

347: An Integrated Approach For Stock Price Forecasting

Alvaro Veiga and Gustavo Santos Raposo

346: Exponential Multivariate Autoregressive Conditional High Frequency Data Model

Alvaro Veiga and Gustavo Santos Raposo

345: Persistence, Propagation and On-the-Job Search

Michael Krause and Thomas A. Lubik

344: Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter

Matthieu LEMOINE and Odile CHAGNY

343: A Re-Examination of the Determinants of Economic Growth Using Simultaneous Equation Dynamic Panel Data Models

Susanne Broeck and Michael Binder

341: Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations

Wolfgang Lemke

340: Optimal Monetary Policy in a Two Sector with Different Degree of Price and Wage Stickiness

Massimiliano Marzo and Thomas A. Lubik

339: Black-White Labour Market Conditions and Property Crime in the US: A Quantitative Analysis

Marco Cozzi

338: Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches

Mario Gilli and Ilir Roko

337: Are We There Yet? Looking for the New Economy

Simon van Norden