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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 Downloads
Sheri Markose and Amadeo Alentorn
396: Designing large value payment systems: an agent based approach
Jing Yang, Sheri 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 Downloads
Simon 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 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 Downloads
Masashi Saito
385: Worst-case estimation and asymptotic theory for models with unobservables Downloads
Jose Vidal-Sanz and Mercedes Esteban-Bravo
384: The Long and the Short of It: Long Memory Regressors and Predictive Regressions Downloads
Aaron Smallwood; Alex Maynard; Mark Wohar
Peter Zadrozny and Ellis 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
379: The Determinants of Market Frictions in the Corporate Market
Egon Zakrajšek, Andrew Levin and Roberto Perli
378: Testing Substitution Bias of the Solow-Residual Measure of Total Factor Productivity Using CES-Class Production Functions Downloads
Peter Zadrozny and Baoline Chen
377: Do Terms of Trade Shocks Drive Business Cycles? Some Evidence from Structural Estimation Downloads
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 Downloads
Giulio Bottazzi and Mikhail Anufriev
374: The Value of Knowledge Flows: Evidence from Patent Citations Data Downloads
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
Steven Ambler, Emanuela Cardia and Christian Zimmermann
371: Testing Near-Rationality Using Detail Survey Data Downloads
Stefan Palmqvist and Michael F. Bryan
370: Price setting in General Equilibrium: Alternative Specifications
Grégory de Walque, Frank Smets and Raf Wouters
369: Optimal Inflation Persistence: Ramsey Taxation with Capital and Habits Downloads
Sanjay 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? Downloads
Basab Dasgupta
364: Taxes and quotas for a Stock Pollutant with Multiplicative Uncertainty: A Comment
Fidel Gonzalez
363: TIPS: Taking Inflation Premium Seriously Downloads
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 Downloads
Luis San Vicente Portes
357: Structural Breaks in Estimated DSGE Models with Indeterminacy
Siddhartha Chib, Michael 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 Downloads
Duc Pham-Hi
354: Co-evolution of bounded rational agents in adaptive social networks
Haydée Lugo, Dalmagro and F. Jiménez J.
351: Agency Conflicts, Investment, and Asset Pricing Downloads
Neng Wang and Rui Albuquerque
349: Debt stabilizing fiscal rules Downloads
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 Lubik
344: Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter Downloads
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 Lubik
339: Black-White Labour Market Conditions and Property Crime in the US: A Quantitative Analysis Downloads
Marco Cozzi
338: Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches
Manfred Gilli and Ilir Roko
337: Are We There Yet? Looking for the New Economy
Simon van Norden
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