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 30, issue 12, 2006

Filtering and identification of Heston's stochastic volatility model and its market risk pp. 2363-2388

ShinIchi Aihara and Arunabha Bagchi

Population ageing and pension reform in a small open economy with non-traded goods pp. 2389-2424

Leon J.H. Bettendorf and Ben Heijdra

Habit persistence, money, and overlapping generations pp. 2425-2445

Helle Bunzel

The incidence and persistence of corruption in economic development pp. 2447-2467

Keith Blackburn, Niloy Bose and M. Emranul Haque

The simple analytics of optimal growth with illegal migrants: A clarification pp. 2469-2475

Hon Man Moy and Chong Yip

Comparing solution methods for dynamic equilibrium economies pp. 2477-2508

S. Boragan Aruoba, Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez

Solving DSGE models with perturbation methods and a change of variables pp. 2509-2531

Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez

Another look at sticky prices and output persistence pp. 2533-2552

Pengfei Wang and Yi Wen

Economic dynamics of reservoir sedimentation management: Optimal control with singularly perturbed equations of motion pp. 2553-2575

Ray Huffaker and Rollin Hotchkiss

Linear learning in changing environments pp. 2577-2611

Tilman Klumpp

A qualitative dynamical modelling approach to capital accumulation in unregulated fisheries pp. 2613-2636

Klaus Eisenack, Heinz Welsch and J.P. Kropp

Recursive Nash bargaining over a productive asset pp. 2637-2659

Gerhard Sorger

A clarification of the Goodwin model of the growth cycle pp. 2661-2670

Meghnad Desai, Brian Henry, Alexander Mosley and Malcolm Pemberton

Impatience and equilibrium indeterminacy pp. 2671-2692

Qinglai Meng

Interpolation and backdating with a large information set pp. 2693-2724

Elena Angelini, Jerome Henry and Massimiliano Marcellino

Are hyperinflation paths learnable? pp. 2725-2748

Klaus Adam, George Evans and Seppo Honkapohja

Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth pp. 2749-2774

Fabien Tripier

New product introduction with costly search pp. 2775-2792

Chung-Yi Tse

Financially constrained arbitrage in illiquid markets pp. 2793-2822

Mukarram Attari and Antonio S. Mello

Can money matter for interest rate policy? pp. 2823-2857

Matthias Bruckner and Andreas Schabert

Effects of an anticipated expansion in international public goods on public capital accumulation pp. 2859-2874

Wen-ya Chang, Hsueh-fang Tsai and Ching-chong Lai

A Hotelling model with a ceiling on the stock of pollution pp. 2875-2904

Ujjayant Chakravorty, Bertrand Magne and Michel Moreaux

Volume 30, issue 11, 2006

Political shocks and public debt: The case for a conservative central bank revisited pp. 1857-1883

Roel Beetsma and Lans Bovenberg

Is Schumpeterian `creative destruction' a plausible source of endogenous real business cycle shocks? pp. 1885-1913

Kerk L. Phillips and Jeffrey Wrase

Dynamic efficiency in the two-sector overlapping generations model pp. 1915-1936

Emily Cremers

Tractable hedging: An implementation of robust hedging strategies pp. 1937-1962

Nicole Branger and Antje Mahayni

Entry and exit decisions based on a discount factor approach pp. 1963-1986

Sigbjorn Sodal

Risk sharing through financial markets with endogenous enforcement of trades pp. 1987-2014

Thorsten V. Koppl

State-contingent bank regulation with unobserved actions and unobserved characteristics pp. 2015-2049

David Marshall and Edward Prescott

Fresh start or head start? Uniform bankruptcy exemptions and welfare pp. 2051-2079

Kartik Athreya

Welfare implications of endogenous credit limits with bankruptcy pp. 2081-2115

Xavier Mateos-Planas and Giulio Seccia

Corporate governance over the business cycle pp. 2117-2141

Thomas Philippon

Endogenous market incompleteness with investment risks pp. 2143-2165

Cesaire Meh and Vincenzo Quadrini

Uninsured idiosyncratic production risk with borrowing constraints pp. 2167-2190

Francisco Covas

Stock grants as a commitment device pp. 2191-2216

Gian Luca Clementi, Thomas Cooley and Cheng Wang

Predictability and habit persistence pp. 2217-2260

Fabrice Collard, Patrick Fève and Imen Ghattassi

Migration dynamics, growth and convergence pp. 2261-2279

Gemma Larramona and Marcos Sanso

Default and information pp. 2281-2303

Kay Giesecke

Building up social capital in a changing world pp. 2305-2338

Fernando Vega-Redondo

Venture capital financed investments in intellectual capital pp. 2339-2361

Steffen Jorgensen, Peter Kort and Engelbert Dockner

Volume 30, issue 9-10, 2006

Computing in economics and finance pp. 1441-1444

James Bullard, Cees Diks and Florian Wagener

Optimal taxation in an RBC model: A linear-quadratic approach pp. 1445-1489

Pierpaolo Benigno and Michael Woodford

Robust inflation-forecast-based rules to shield against indeterminacy pp. 1491-1526

Nicoletta Batini, Alejandro Justiniano, Paul Levine and Joseph Pearlman

Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics pp. 1527-1567

Fabrizio Zampolli

The stochastic lake game: A numerical solution pp. 1569-1587

W.D. Dechert and Sharon O'Donnell

Industrial subsidies and technology adoption in general equilibrium pp. 1589-1614

Roberto Samaniego

Can social security be welfare improving when there is demographic uncertainty? pp. 1615-1646

Virginia Sanchez-Marcos and Alfonso R. Sanchez-Martin

A new statistic and practical guidelines for nonparametric Granger causality testing pp. 1647-1669

Cees Diks and Valentyn Panchenko

The inflation aversion of the Bundesbank: A state space approach pp. 1671-1686

Vladimir Kuzin

Are European business cycles close enough to be just one? pp. 1687-1706

Maximo Camacho, Gabriel Perez-Quiros and Lorena Saiz

Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis pp. 1707-1727

Jean-Marie Dufour, Lynda Khalaf and Maral Kichian

A dynamic analysis of moving average rules pp. 1729-1753

Carl Chiarella, Xuezhong (Tony) He and Cars Hommes

Asset price and wealth dynamics in a financial market with heterogeneous agents pp. 1755-1786

Carl Chiarella, Roberto Dieci and Laura Gardini

Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders pp. 1787-1835

Mikhail Anufriev, Giulio Bottazzi and Francesca Pancotto

Self-organization and the persistence of noise in financial markets pp. 1837-1855

David Goldbaum

Volume 30, issue 8, 2006

Chaotic dynamics in credit constrained emerging economies pp. 1261-1275

Jordi Caballe, Xavier Jarque and Elisabetta Michetti

Equilibrium impact of value-at-risk regulation pp. 1277-1313

Markus Leippold, Fabio Trojani and Paolo Vanini

Financing government expenditures in an open economy pp. 1315-1337

Jill A. Holman and Kyriakos Neanidis

On the stability of the two-sector neoclassical growth model with externalities pp. 1339-1361

Berthold Herrendorf and Akos Valentinyi

Stochastic intertemporal duality: An application to investment under uncertainty pp. 1363-1387

Frank Krysiak

Cluster analysis of panel data sets using non-standard optimisation of information criteria pp. 1389-1408

George Kapetanios

Durable goods and the forward-looking theory of consumption: Estimates implied by the dynamic effects of money pp. 1409-1430

William Lastrapes and Todd B. Potts

Equity premium with distorted beliefs: A puzzle pp. 1431-1440

Miroslav Misina

Volume 30, issue 7, 2006

Inventories, market structure, and price volatility pp. 1081-1104

Henry Thille

Control of accumulating stock pollution by heterogeneous producers pp. 1105-1130

Angels Xabadia, Renan Goetz and David Zilberman

Dynamic optimisation in the presence of threshold effects when the location of the threshold is uncertain - with an application to a possible disintegration of the Western Antarctic Ice Sheet pp. 1131-1158

Eric Nævdal

The expenditure switching effect, welfare and monetary policy in a small open economy pp. 1159-1182

Alan Sutherland

Sellers' local currency pricing or buyers' local currency pricing: does it matter for international welfare analysis? pp. 1183-1213

Kevin Huang and Zheng Liu

Capital externalities in OLG economies pp. 1215-1231

Guido Cazzavillan and Patrick Pintus

Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt pp. 1233-1260

Elyès Jouini and Clotilde Napp

Volume 30, issue 6, 2006

Dynamics in a non-scale R&D growth model with human capital: Explaining the Japanese and South Korean development experiences pp. 901-930

Chris Papageorgiou and Fidel Perez-Sebastian

Approximating volatility diffusions with CEV-ARCH models pp. 931-966

Fabio Fornari and Antonio Mele

The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility pp. 967-991

Harjoat Bhamra and Raman Uppal

An equilibrium model of child maltreatment pp. 993-1025

Hideo Akabayashi

Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle pp. 1027-1043

Paolo Giordani and Paul Söderlind

Welfare, taxes and foreign investment pp. 1045-1061

Ana Reis

Assessing Markov chain approximations: A minimal econometric approach pp. 1063-1079

Pedro Silos

Volume 30, issue 5, 2006

Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process pp. 721-739

Cristian Gatu and Erricos Kontoghiorghes

Credit contagion and aggregate losses pp. 741-767

Kay Giesecke and Stefan Weber

Labor market rigidities and R&D-based growth in the global economy pp. 769-805

Fuat Sener

Labor market trends with balanced growth pp. 807-842

William Blankenau and Steven Cassou

Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans pp. 843-877

Andrew J.G. Cairns, David Blake and Kevin Dowd

Sub-optimality of the Friedman rule in Townsend's turnpike and stochastic relocation models of money: Do finite lives and initial dates matter? pp. 879-897

Joydeep Bhattacharya, Joseph Haslag and Antoine Martin

Corrigendum to "Repeated real options: Optimal investment behaviour and a good rule of thumb" [Journal of Economic Dynamics & Control 29(6) (2005) 1025-1041] pp. 899-899

Nikolaj Malchow-Møller and Bo Thorsen

Volume 30, issue 4, 2006

Credit and risk in rural developing economies pp. 541-568

Theresa Osborne

Optimal time aggregation of infinite horizon control problems pp. 569-593

Nedim M. Alemdar, Sibel Sirakaya and Farhad Husseinov

A test for additive outliers applicable to long-memory time series pp. 595-621

Patrick Chareka, Florance Matarise and Rolf Turner

Testing for sign and amplitude asymmetries using threshold autoregressions pp. 623-654

Jerry Coakley and Ana-Maria Fuertes

On taxation in a two-sector endogenous growth model with endogenous labor supply pp. 655-685

Paul de Hek

Clusters of invention, life cycle of technologies and endogenous growth pp. 687-719

Murat Iyigun

Volume 30, issue 3, 2006

Short-memory and the PPP hypothesis pp. 361-391

Mahmoud El-Gamal and Deockhyun Ryu

Targeting inflation by forecast feedback rules in small open economies pp. 393-413

Kai Leitemo

Computation of reservation prices of options with proportional transaction costs pp. 415-444

Anders Damgaard

Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration pp. 445-456

Luca Fanelli

The dynamics of law clerk matching: An experimental and computational investigation of proposals for reform of the market pp. 457-486

Ernan Haruvy, Alvin Roth and Utku Unver

Interest rate policy, debt, and indeterminacy with distortionary taxation pp. 487-510

Ludger Linnemann

Stochastic taxation and asset pricing in dynamic general equilibrium pp. 511-540

Clemens Sialm

Volume 30, issue 2, 2006

Production experiences and market structure in R&D competition pp. 163-183

Shun-Chiao Chang and Ho-Mou Wu

Optimal nonlinear policy: signal extraction with a non-normal prior pp. 185-203

Eric Swanson

Global patent protection: channels of north and south welfare gain pp. 205-227

Earl Grinols and Hwan Lin

An infinite-horizon maximum principle with bounds on the adjoint variable pp. 229-241

Thomas Weber

Equilibrium consumption and precautionary savings in a stochastically growing economy pp. 243-278

Stephen J Turnovsky and William T. Smith

Markets do not select for a liquidity preference as behavior towards risk pp. 279-292

Thorsten Hens and Klaus Schenk-Hoppé

The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach pp. 293-322

Frank Westerhoff and Roberto Dieci

Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models pp. 323-345

Alexei Onatski

Second-best public debt with human capital externalities pp. 347-360

Jie Zhang

Volume 30, issue 1, 2006

European option pricing and hedging with both fixed and proportional transaction costs pp. 1-25

Valeri I. Zakamouline

Household borrowing constraints, fertility dynamics, and economic growth pp. 27-54

Erasmo Papagni

Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization pp. 55-79

Mariagiovanna Baccara, Anna Battauz and Fulvio Ortu

Optimal commitment policy under noisy information pp. 81-109

Kosuke Aoki

Financial crashes as endogenous jumps: estimation, testing and forecasting pp. 111-141

Marcelo Fernandes

Durability in consumption and the dynamics of the current account pp. 143-162

Mohammed Mohsin