Computing in Economics and Finance 2003

From Society for Computational Economics
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312: Intrinsic Heterogeneity in Expectation Formation

George Evans and William Branch

310: Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

Lucio Sarno and Mark Wohar

308: A Non-Linear Model of Economic Production Processes

A.Ponzi and A.Yasutomi

307: ROBUST BOOTSTRAP INFERENCE ON LONG RUN DEPENDENCE USING PANELS

Ana-Maria Fuertes

306: Real options: Institutional implications for vertical integration of supply chains in competitive environments

Oliver Musshoff and Alfons Balmann

305: Is the myopic investor right? Numerical evidence for systematic overestimation of investment reluctance for real options

Oliver Musshoff, Martin Odening, Alfons Balmann and Norbert Hirschauer

303: Inflation Dynamics in Seven Industrialised Open Economies

Ryan Banerjee and Nicoletta Batini

301: Feedback Rules and Time Consistent Policymaking in an Open Economy

Tatiana Kirsanova and Andrew Blake

300: Volatility and Policy Regimes: the UK joining the Euro

Sean Holly and Luisa Corrado

299: Forward-Looking Rules in a 2-country Context

Nicoletta Batini and Paul Levine

298: Is Inflation Persistence Intrinsic in Industrial Economies?

Andrew Levin and Jeremy Piger

297: Learning to Forecast and Cyclical Behavior of Output and Inflation

Klaus Adam

296: Monetary policy, investment and non-fundamental shocks

Fernando Alexandre

295: The Believability of Central Bank Forecasts

James Yetman

294: Shocking Escapes

Bruce McGough

292: Delegation of Monetary Policy: More than a Relocation of the Time-Inconsistency Problem

Zeno Rotondi and Edward Driffill

291: Robust Monetary Policy with Competing Reference Models

John Williams and Andrew Levin

290: Equity Prices and Monetary Policy: An Overview with an Exploratory Model

Pedro Bação and Fernando Alexandre

289: Habit Formation, Catching up with the Joneses, and Non-Scale Growth

Francisco Alvarez-Cuadrado and Goncalo Monteiro

287: Instability of Sunspot Equilibria in RBC Models Under Adaptive Learning

Wei Xiao and John Duffy

286: What is the contribution of a k order approximation

Michel Juillard

285: User Cost of Capital and Cost Function: Does the Margin in the Modelling Yields Robust Results?

Sourour Baccar

284: Hedge Fund Classification using K-means Clustering Method

Nandita Das

283: On a CAPM monitoring based on the EWMA process control

Bakhodir Ergashev

281: Goodness-of-fit of the Heston model

Nathan L. Joseph, Gilles Daniel and David S. Bree

280: Adaptive Learning, Model Uncertainty and Monetary Policy Inertia in a Large Information Environment

Fabio Milani

279: Efficiently Computing High Order Multivariate Perturbation Series for Economic Models: Univariate Directional Differentiation, Parallelization and Other Strategies

Gary Anderson

278: Structural Factor-Augmented VAR (SFAVAR)

Fabio Milani and Francesco Belviso

277: The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply

Marcelo Bianconi and Stephen J Turnovsky

276: Variety of Agent-based Models for Computer Simulation of FX Rate

L. Lukas

274: Wavelet Estimation of Integrated Volatility

Asger Lunde and Esben Hoeg

273: The Beveridge Curve, Job Creation, and the Propagation of Shocks

Shigeru Fujita

271: When a Fad Ends: An Agent-Based Model of Imitative Behavior

Margo Bergman

270: Along the New Keynesian Phillips Curve with Nominal and Real Rigidities

George A. Slotsve and James Nason

268: Mapping Sectoral Patterns of Technological Accumulation into the Geography of Corporate Locations. A Simple Model and Some Promising Evidence

Giulio Bottazzi, Giorgio Fagiolo and Giovanni Dosi

267: Are Rational Expectations Equilibria with Private Information Eductively Stable?

Maik Heinemann

266: Consumer Behaviour, Interpersonal Interaction and Fashions

Thomas Brenner

264: Strategic Interactions between Fiscal and Monetary Policies in a Monetary Union

Doris A. Behrens and Reinhard Neck

263: Optimal Monetary Policy with Imperfect Common Knowledge

Klaus Adam

262: Small Noise Asymptotics for a Stochastic Growth Model

Noah Williams

260: Factor based leading indicators for euro area business cycle: A comparative assessment

Elena Angelini, Henry and Ricardo Mestre

259: Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation

Sunghyun Kim and Jinill Kim

258: Robust Monetary Policy Rules in the Area Wide Model

Peter McAdam, Alistair Dieppe and Jerome Henry

257: Commonality, Information and Cross-Sectional Return / Volume Interactions

Xiaojun He and Chunnan Chen

256: Output gaps:theory versus practice

Raf Wouters and Frank Smets

255: Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data

Serena Ng and Jean Boivin

252: Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices

S. Manzan, H. Peter Boswijk and Cars Hommes

251: Asymptotic Principal Components Estimation of Large Factor Models

Victor Solo and Chris Heaton

250: Using Markov Chain Monte Carlo and Particle Filters to Compute Invariant Distributions for Nonlinear Rational Expectations Models

Gary Anderson

249: Big Government as an Accidental Controller in Minsky's Financial

Steve Keen