Journal of Economic Dynamics and Control

1979 - 2025

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

Alexia Fürnkranz-Prskawetz and Vladimir Veliov

Feasibility and optimality of sustainable growth under materials balance pp. 3778-3790

Ken-Ichi Akao and Shunsuke Managi

Public support to innovation and imitation in a non-scale growth model pp. 3791-3821

Fidel Perez-Sebastian

Export restraints in a model of trade with capital accumulation pp. 3822-3842

Giacomo Calzolari and Luca Lambertini

Finite maturity caps and floors on continuous flows pp. 3843-3859

Mark Shackleton and Rafal Wojakowski

Intensity-based framework and penalty formulation of optimal stopping problems pp. 3860-3880

Min Dai, Yue Kuen Kwok and Hong You

Devaluating projects and the investment-uncertainty relationship pp. 3881-3888

Oscar Gutierrez

A non-parametric test for independence based on symbolic dynamics pp. 3889-3903

Mariano Matilla-García

A monetary business cycle model with unemployment pp. 3904-3940

Michelle Alexopoulos

Factor taxation and labor supply in a dynamic one-sector growth model pp. 3941-3964

Been-Lon Chen

Optimal pest control in agriculture pp. 3965-3985

Thomas Christiaans, Thomas Eichner and Rüdiger Pethig

Balance sheets, exchange rate policy, and welfare pp. 3986-4015

Selim Elekdag and Ivan Tchakarov

Volume 31, issue 11, 2007

Towards endogenous recombinant growth pp. 3459-3477

Yacov Tsur and Amos Zemel

Pricing of path-dependent American options by Monte Carlo simulation pp. 3478-3502

Hajime Fujiwara and Masaaki Kijima

Asset allocation under multivariate regime switching pp. 3503-3544

Massimo Guidolin and Allan Timmermann

Optimal social security in a dynastic model with investment externalities and endogenous fertility pp. 3545-3567

Jie Zhang and Junsen Zhang

Simple market protocols for efficient risk sharing pp. 3568-3590

Marco LiCalzi and Paolo Pellizzari

A computational scheme for the optimal strategy in an incomplete market pp. 3591-3613

Jussi Keppo, Xu Meng and Michael G. Sullivan

Computing continuous-time growth models with boundary conditions via wavelets pp. 3614-3643

Mercedes Esteban-Bravo and Jose Vidal-Sanz

The protection of intellectual property rights and endogenous growth: Is stronger always better? pp. 3644-3670

Yuichi Furukawa

Job matching and propagation pp. 3671-3698

Shigeru Fujita and Garey Ramey

Inflation targeting, learning and Q volatility in small open economies pp. 3699-3722

Guay Lim and Paul McNelis

Do multiple Nash equilibria in Markov strategies mitigate the tragedy of the commons? pp. 3723-3740

Franz Wirl

Volume 31, issue 10, 2007

Non-linear strategies in a linear quadratic differential game pp. 3179-3202

Colin Rowat

Heterogeneity and misspecifications in learning pp. 3203-3227

Michele Berardi

Optimal interest rate rules, asset prices, and credit frictions pp. 3228-3254

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

J. Barkley Rosser

Pricing-to-market, limited participation and exchange rate dynamics pp. 3281-3320

Lise Patureau

Macroeconomic regime switches and speculative attacks pp. 3321-3347

Bartosz Maćkowiak

Income taxes, public investment and welfare in a growing economy pp. 3348-3369

Gustavo Marrero and Alfonso Novales

Initial conditions at Emancipation: The long-run effect on black-white wealth and earnings inequality pp. 3370-3395

T. Kirk White

Power-law behaviour, heterogeneity, and trend chasing pp. 3396-3426

Xuezhong (Tony) 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

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

Melvyn Coles and Adrian Masters

Endogenous aggregate elasticity of substitution pp. 2899-2919

Kaz Miyagiwa and Chris Papageorgiou

The development and structure of financial systems pp. 2920-2956

Shankha Chakraborty and Tridip Ray

Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model pp. 2957-2983

Diego Valderrama

Markups in double auction markets pp. 2984-3005

Wenjie Zhan and Daniel Friedman

Monetary policy, learning and the speed of convergence pp. 3006-3041

Giuseppe Ferrero

How important is discount rate heterogeneity for wealth inequality? pp. 3042-3068

Lutz Hendricks

Investment timing and predatory behavior in a duopoly with endogenous exit pp. 3069-3109

Christian Bayer

Drift control of international reserves pp. 3110-3137

Avner Bar-ilan, Nancy Marion and David Perry

Annuitization and asset allocation pp. 3138-3177

Moshe 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

Jurgen Huber

Corruption across countries and regions: Some consequences of local osmosis pp. 2573-2598

Raaj Sah

Methods to estimate dynamic stochastic general equilibrium models pp. 2599-2636

Francisco Ruge-Murcia

Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle pp. 2637-2658

Francis In and Jai Hyung Yoon

Adaptive learning in practice pp. 2659-2697

Eva Carceles-Poveda and Chryssi Giannitsarou

A generalization of the endogenous grid method pp. 2698-2712

Francisco Barillas and Jesus Fernandez-Villaverde

Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy pp. 2713-2743

Pierluigi Balduzzi

What do `residuals' from first-order conditions reveal about DGE models? pp. 2744-2773

Alok Johri and Marc-Andre Letendre

Housing, portfolio choice and the macroeconomy pp. 2774-2801

Pedro Silos

Capital and macroeconomic instability in a discrete-time model with forward-looking interest rate rules pp. 2802-2826

Kevin Huang and Qinglai Meng

Invariance in growth theory and sustainable development pp. 2827-2846

Vincent Martinet and Gilles Rotillon

Drift and breaks in labor productivity pp. 2847-2877

Luca Benati

Volume 31, issue 7, 2007

Hedging diffusion processes by local risk minimization with applications to index tracking pp. 2135-2151

David Colwell, Nadima El-Hassan and Oh Kang Kwon

The effect of uncertainty on investment timing in a real options model pp. 2152-2167

Kit Pong Wong

Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory pp. 2168-2195

Thamayanthi Chellathurai and Thangaraj Draviam

Interest rate rules for fixed exchange rate regimes pp. 2196-2211

Gianluca Benigno, Pierpaolo Benigno and Fabio Ghironi

A dynamic programming approach for pricing options embedded in bonds pp. 2212-2233

Hatem Ben-Ameur, Michele Breton, Lotfi Karoui and Pierre L'Ecuyer

An evolutionary game theory explanation of ARCH effects pp. 2234-2262

William R. Parke and George Waters

The equity premium in Brock's asset pricing model pp. 2263-2292

Levent Akdeniz and W. Davis Dechert

Optimal abatement in dynamic multi-pollutant problems when pollutants can be complements or substitutes pp. 2293-2316

Ulf Moslener and Till Requate

A general framework for evaluating executive stock options pp. 2317-2349

Ronnie Sircar and Wei Xiong

Parameter estimation in commodity markets: A filtering approach pp. 2350-2373

Robert J. Elliott and Cody. B. Hyndman

On sustainable growth and collapse: Optimal and adaptive paths pp. 2374-2397

Herbert Dawid and Richard H. Day

Impulse response confidence intervals for persistent data: What have we learned? pp. 2398-2412

Elena Pesavento and Barbara Rossi

A non-Walrasian labor market in a monetary model of the business cycle pp. 2413-2437

Francesco Zanetti

The emergence of Zipf's Law in a system of cities: An agent-based simulation approach pp. 2438-2460

Yuri Mansury and Laszlo Gulyas

Optimal harvesting under resource stock and price uncertainty pp. 2461-2485

Luis Alvarez and Erkki Koskela

Congestible public goods and local indeterminacy: A two-sector endogenous growth model pp. 2486-2518

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

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

Thomas Lux and Taisei Kaizoji

Fat tails and volatility clustering in experimental asset markets pp. 1844-1874

Michael Kirchler and Jurgen Huber

Price bubbles sans dividend anchors: Evidence from laboratory stock markets pp. 1875-1909

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

Andrea Consiglio and Annalisa Russino

Behavioral heterogeneity in stock prices pp. 1938-1970

H. Peter Boswijk, Cars Hommes and Sebastiano Manzan

Call market book information and efficiency pp. 1971-2000

Jasmina Arifovic and John Ledyard

A smart market for passenger road transport (SMPRT) congestion: An application of computational mechanism design pp. 2001-2032

Sheri Markose, Amadeo Alentorn, Deddy Koesrindartoto, Peter Allen, Phil Blythe and Sergio Grosso

Network models and financial stability pp. 2033-2060

Erlend Nier, Jing Yang, Tanju Yorulmazer and Amadeo Alentorn

Credit chains and bankruptcy propagation in production networks pp. 2061-2084

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

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

Herbert Dawid

Volume 31, issue 5, 2007

Optimal long-run fiscal policy: Constraints, preferences and the resolution of uncertainty pp. 1451-1472

Alan Auerbach and Kevin Hassett

Timing of investment under technological and revenue-related uncertainties pp. 1473-1497

Pauli Murto

Fiscal policy in unionized labor markets pp. 1498-1534

Silvia Ardagna

Explaining fashion cycles: Imitators chasing innovators in product space pp. 1535-1556

Jonathan P. Caulkins, Richard F. Hartl, Peter Kort and Gustav Feichtinger

Recursive monetary policy games with incomplete information pp. 1557-1583

Christopher Sleet and Sevin Yeltekin

Time-varying equilibrium real rates and monetary policy analysis pp. 1584-1609

Bharat Trehan and Tao Wu

The Gauss-Seidel-quasi-Newton method: A hybrid algorithm for solving dynamic economic models pp. 1610-1632

Alexander Ludwig

Backward dynamics in economics. The inverse limit approach pp. 1633-1671

Alfredo Medio and Brian Raines

Time to complete and research joint ventures: A differential game approach pp. 1672-1696

Jorge Navas and Peter Kort

Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy pp. 1697-1727

Tao Li

The climate change learning curve pp. 1728-1752

Andrew Leach

The competitive market paradox pp. 1753-1780

Steven Gjerstad

Corporate control and real investment in incomplete markets pp. 1781-1800

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

Snorre Lindset and Arne-Christian Lund

Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility pp. 1106-1131

Ken Sennewald

A computational scheme for optimal investment - consumption with proportional transaction costs pp. 1132-1159

Kumar Muthuraman

Bootstrap-based bias correction for dynamic panels pp. 1160-1184

Gerdie Everaert and Lorenzo Pozzi

The asset allocation puzzle is still a puzzle pp. 1185-1216

Abraham Lioui

Pricing home mortgages and bank collateral: A rational expectations approach pp. 1217-1244

M. Shahid Ebrahim and Ike Mathur

Econometric issues in the analysis of contagion pp. 1245-1277

Mohammad Pesaran and Andreas Pick

Monetary policy under misspecified expectations pp. 1278-1299

Mingjun Zhao

A simple asset pricing model with social interactions and heterogeneous beliefs pp. 1300-1325

Sheng-Kai Chang

The persistence of inflation in the United States pp. 1326-1358

Frederic Pivetta and Ricardo Reis

How much has labour taxation contributed to European structural unemployment? pp. 1359-1375

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

Bennett McCallum

Short-term planning and the life-cycle consumption puzzle pp. 1392-1415

Frank Caliendo and David Aadland

Stochastic optimal policies when the discount rate vanishes pp. 1416-1430

Kazuo Nishimura and John Stachurski

Optimal liquidation strategies and their implications pp. 1431-1450

Christopher Ting, Mitch Warachka and Yonggan Zhao

Volume 31, issue 3, 2007

A conditional distribution model for limited stock index returns pp. 721-741

Ralph Friedmann and Walter G. Sanddorf-Kohle

Mortgage loan portfolio optimization using multi-stage stochastic programming pp. 742-766

Kourosh Marjani Rasmussen and Jens Clausen

VAR-based estimation of Euler equations with an application to New Keynesian pricing pp. 767-796

André Kurmann

Natural rate doubts pp. 797-825

Andreas Beyer and Roger Farmer

Analysis of quadrature methods for pricing discrete barrier options pp. 826-860

Gianluca Fusai and Maria Recchioni

Subsidies in an R&D growth model with elastic labor pp. 861-886

Jinli Zeng and Jie Zhang

The impact of fat tails on equilibrium rates of return and term premia pp. 887-905

Prasad Bidarkota and Brice V. Dupoyet

Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model pp. 906-937

Pau Rabanal

Profit-maximizing operation and valuation of hydroelectric plant: A new solution to the Koopmans problem pp. 938-970

Anthony Horsley and Andrew Wrobel

Working hours reduction and wage contracting style in a dynamic model with labor adjustment costs pp. 971-993

Juin-jen Chang, Chun-chieh Huang and Ching-chong Lai

Investment under uncertainty--Does competition matter? pp. 994-1014

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

Giovanni Ganelli

International capital markets and redundant securities pp. 1037-1050

Issouf Soumare

Electoral uncertainty, fiscal policy and macroeconomic fluctuations pp. 1051-1080

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

Turan G. Bali and David Weinbaum

Optimal monetary policy in a micro-founded model with parameter uncertainty pp. 399-431

Takeshi Kimura and Takushi Kurozumi

How big is the debt overhang problem? pp. 433-472

Nathalie Moyen

Global bifurcations, credit rationing and recurrent hyperinflations pp. 473-491

Pedro Gomis-Porqueras and Alex Haro

A theory of optimal deadlines pp. 493-513

Flavio Toxvaerd

Computing second-order-accurate solutions for rational expectation models using linear solution methods pp. 515-530

Giovanni Lombardo and Alan Sutherland

Asymmetric outcome in a symmetric dynamic duopoly pp. 531-555

Sumit Joshi

Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market pp. 557-574

Nikola Gradojevic

The Hicksian trade cycle with floor and ceiling dependent on capital stock pp. 575-592

Tonu Puu

From structural assumptions to a link between assets and interest rates pp. 593-612

Rei[ss], Oliver, John Schoenmakers and Martin Schweizer

Indeterminacy, intergenerational redistribution, endogenous longevity and human capital accumulation pp. 613-633

Giam Pietro Cipriani and Miltiadis Makris

Econometric analysis of financial trade processes by discrete mixture duration models pp. 635-667

Reinhard Hujer and Sandra Vuletic

Local determinacy with non-separable utility pp. 669-682

Patrick Pintus

Decomposing the integrated assessment of climate change pp. 683-702

Christoph Bohringer, Andreas Löschel and Thomas Rutherford

Long-run average welfare in a pollution accumulation model pp. 703-720

Kazuhito Kawaguchi and Hiroaki Morimoto

Volume 31, issue 1, 2007

By force of demand: Explaining international comovements pp. 1-23

Yi Wen

Social Security reform and intertemporal smoothing pp. 25-54

Michael Pries

Dynamic oligopolistic games under uncertainty: A stochastic programming approach pp. 55-80

Talat Genc, Stanley S. Reynolds and Suvrajeet Sen

Restricted perception equilibria and rational expectation equilibrium pp. 81-109

Stéphane Gregoir and Pierre-Olivier Weill

Inflation persistence and robust monetary policy design pp. 111-140

Günter Coenen

Reducing the dimensionality of linear quadratic control problems pp. 141-159

Ronald Balvers and Douglas W. Mitchell

Properties of equilibrium asset prices under alternative learning schemes pp. 161-217

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

Martin Ellison and Neil Rankin

Sticky information and model uncertainty in survey data on inflation expectations pp. 245-276

William Branch

Effects of inflation on wealth distribution: Do stock market participation fees and capital income taxation matter? pp. 277-303

Burkhard Heer and Bernd Sussmuth

The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences pp. 305-324

Paolo Surico

Fiscal policy, monopolistic competition, and finite lives pp. 325-359

Ben Heijdra and Jenny Ligthart