Computing in Economics and Finance 2004

From Society for Computational Economics
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97: Inflation targeting

Harris Dellas and Fabrice Collard

96: DURABLE CONSUMPTION AS A STATUS GOOD: A STUDY OF NEOCLASSICAL CASES

Walter Fisher

95: Extending the OLAP framework for automated explanatory tasks

Hennie Daniels and Emiel Caron

94: Do hedging instruments stabilize markets?

Florian Wagener, William Brock and Cars Hommes

92: Distribution and Fluctuation of Firm Size in the Long-Run

W. Souma, H. Aoyama and L. Gruene

91: Market Dynamics and Stock Price Volatility

J. Barkley Rosser and Honggang Li

90: Backward dynamics, inverse limits and global sunspots

Alfredo Medio

89: Empirical Calibration of Simulation Models

Thomas Brenner and Claudia Werker

88: Cognitive Learning and the Emergence of Cooperation - An Simulation Approach

Thomas Brenner

87: Working women and their fertility choices

Marji Lines

84: Towards an Evolutionary Interpretation of Aggregate Labor Market Regularities

Roberto Gabriele, Giorgio Fagiolo and Giovanni Dosi

83: Monetary Rules, Indeterminacy, and the Business-Cycle Stylised Facts

Luca Benati

82: Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling

Michiel De Pooter and Rene Segers

81: Efficiency in Public Sector: A Neural Network Approach

Francisco Delgado

79: A DSGE-VAR for the Euro Area

Marco Del Negro and Frank Schorfheide

78: Using systems engineering software to build a model of the monetary circuit

Steve Keen

76: Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates

Iryna Kaminska, Andrea Carriero and Carlo Favero

75: Learning-by-Doing, Hi-Tech Consumption and Productivity Resurgence

Francesco Venturini

74: Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling

Lennart F. Hoogerheide and Johan F. Kaashoek

73: Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming

Carl Chiarella and Chih-Ying Hsiao

71: Computational Economics: Help for the Underestimated Undergraduate

Ruben Mercado and David Kendrick

70: Monetary policy and the expectations hypothesis

David Vestin, Hordahl and P.

69: Model Evolution of Heterogeneous Beliefs in an Network Economy

Jie-Shin Lin

68: Robust investment policies with bound forecasts

Nalan Gulpinar and Berc Rustem

67: Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates

Roberto Billi and Klaus Adam

66: A formal model of modularity

Koen Frenken and Luigi Marengo

65: Exchange Rate Policy and the Zero Bound on Nominal Interest Rates

Volker Wieland and Günter Coenen

64: Monetary policy with endogenous Nairu

Wenlang Zhang and Willi Semmler

62: Exchange rate overshooting and the costs of floating

Nouriel Roubini, Michele Cavallo and Kate Kisselev

61: Advertising Dynamics and Competitive Advantage

Ulrich Doraszelski and Sarit Markovich

60: Uninsurable Investment Risk

Cesaire Meh (co-author Vincenzo Quadrini)

59: Asset Pricing with Delayed Consumption Decisions

Willi Semmler and Lars Grüne

58: Which order is too much? An application to a model with staggered price and wage contratcs

Florian Pelgrin and Michel Juillard

56: Are New Keynesian Phillips Curves Identified ?

Maral Kichian, Jean-Marie Dufour and Lynda Khalaf

55: Fiscal Policy in a Two-Sector Economy with Public Capital and Congestion

Mihaela Pintea

54: Uncovered interest parity tests and exchange rate expectations

Philip Marey

53: Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates

PeterTillmann

52: Does the Term Spread Play a Role in the Fed's Reaction Function? An Empirical Investigation

Jesús Vázquez

51: Does Employment Protection Inhibit Technical Diffusion?

Roberto Samaniego

49: Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies

Efrem Castelnuovo

48: Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management

Dietmar Leisen

47: Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices

Daniela Hristova

46: Approximate Versus Exact Equilibria

Karl Schmedders and Felix Kubler

45: On Asymmetric Business Cycle Effects on Convergence Rates: Some European Evidence

Ramón María-Dolores and Israel Sancho

44: How much can firms know?

Bridget Rosewell and Paul Ormerod

41: Limited dependent panel data models: a comparative analysis of classical and Bayesian inference among econometric packages

Giuseppe Bruno

40: Asymmetric Jump Processes: Option Pricing Implications

Brice Dupoyet

39: Modelling the health related benefits of environmental policies and their feedback effects, a CGE analysis for the EU countries with GEM-E3

Denise Van Regemorter and Inge Mayeres

38: Computing Center Manifolds: A Macroeconomic Example

Alex Haro and Pere Gomis-Poruqeras

36: Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders

Harry Paarsch and Bjarne Brentstrup

35: Strongly rational expectations equilibria with endogenous acquisition of information

Gabriel Desgranges and Maik Heinemann

32: Monetary Policy, Taxes, and the Business Cycle

Michael Pakko, William Gavin and Finn Kydland

31: Why are long rates sensitive to monetary policy?

Ulf Söderström and Tore Ellingsen

30: A Bayesian algorithm for a Markov Switching GARCH model

Dhiman Das

28: Public Opinion Formation in Policy Issues. An evolutionary approach

Francisco Fatas-Villafranca

27: Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series

Costas Vorlow, Antonios Antoniou and Catherine Kyrtsou

26: The Malaysian Balance of Payments:Keynesian Approach Versus Monetary Approach

Jarita Duasa

25: Financing Constraints and Corporate Growth

Winston Moore and Roland Craigwell

24: Technological and Social Costs and Benefits of Patent Systems

Murat Yildizoglu and Thomas Vallée

23: Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity

Aaron Smallwood

22: A Steady State Approach to Trend / Cycle Decomposition

Jeremy Piger and James Morley

20: Why Does Private Consumption Rise After a Government Spending Shock?

Nooman Rebei and Hafedh Bouakez

19: Monetary policy and the transition to rational expectations

Giuseppe Ferrero

18: Targeting Inflation by Forecast Feedback Rules in Small Open Economies

Kai Leitemo

16: Are European business cycles close enough to be just one?

Maximo Camacho and Gabriel Perez-Quiros

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

Frank Westerhoff

13: The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion

J. Huston McCulloch

12: Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors

Jules Sadefo Kamdem

11: Target Zone Interventions and Coordination of Expectations

Stefan Reitz and Frank Westerhoff

10: Markovian Optimal Taxation

Salvador Ortigueira

8: Tied Versus Untied Foreign Aid: Consequences for a Growing Economy

Stephen J Turnovsky and Santanu Chatterjee

6: Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison

Mikael Petitjean and Pierre Giot

3: Can Long-Run Restrictions Identify Technology Shocks?

Christopher Erceg and Luca Guerrieri