Computing in Economics and Finance 2005

From Society for Computational Economics
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336: Solving for the Global Nonlinear Saddlepath: Reverse Shooting vs. Approximation Methods

Manoj Atolia and Edward F. Buffie

334: Agent-based simulation of power exchange with heterogeneous production companies

Silvano Cincotti and Eric Guerci

333: Volatility and realized quadratic variation of differenced returns

Esben Hoeg

329: Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence

Mark Wohar and David E. Rapach

328: Endogenous Tax Evasion and Reserve Requirements: A Comparative Study in the Context of European Economies

Rangan Gupta

324: Optimal Unemployment Insurance in a Search Model with Variable Human Capital

Andreas Pollak

323: Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements

Refet Gürkaynak and Brian Sack

322: FIRMS’ NETWORK FORMATION THROUGH THE TRANSMISSION OF HETEROGENEOUS KNOWLEDGE

Rainer Andergassen and Franco Nardini

321: A Limited Information Approach to the Simultaneous Estimation of Wage and Price Dynamics

Argia Sbordone

320: A dynamic model of a monetary production economy under the disequilibrium economics approach

Marco Raberto and Andrea Teglio

319: Bootstrap inference on a nonlinear time series model of advertising effects

Miguel A. Arranz

318: An Estimated DSGE Model for The German Economy

Ernest Pytlarczyk

317: Estimating an Open Economy SDGE Model for the Euro Area

Andreas Beyer and Ricardo Mestre

314: Monetary Policy in an Estimated DSGE Model with a Financial Accelerator

Ali Dib and Ian Christensen

313: Monetary Policy Shifts, Indeterminacy and Inflation Dynamics

Paolo Surico

309: Did the Tail Wag the Dog? Fiscal Policy and the Federal Reserve during the Great Inflation

Thomas Lubik

307: Assessing the Value of On-line Information Using a Two-sided Equilibrium Search Model in the Real Estate Market

Paul Carrillo

306: Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area

Virginia Queijo

304: Accounting for Changes in the Homeownership Rate

Matthew Chambers and Carlos Garriga

299: The Emergence of Local Norms in Networks

Mary Burke and Gary Fournier

298: A Two Sector Small Open Economy Model. Which Inflation to Target?

Nooman Rebei and Eva Ortega

296: Investigating the effect of changes in Signals, Noise and Agent Types in Cascade Models

Debra Smarkusky and Margo Bergman

295: Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision

David Goldbaum and Bruce Mizrach

293: The Fed and the Stock Market

Paolo Surico, Antonello D'Agostino and Luca Sala

291: Investment-Specific Technical Change and the Production of Ideas

Roberto Samaniego

290: Financial markets with heterogeneous agents as nonlinear news filters

Cees Diks

289: Specification and the Technology-Hours Debate: What Can We learn from Bayesian VARSs?

Florian Pelgrin and Paul Corrigan

287: Production, Capital Stock and Price Dynamics in Simple Model of Closed Economy

Kodera J. and Miloslav Vošvrda

286: LESSONS ABOUT GROWTH, CONVERGENCE AND TRADE FROM ANALYTICAL AND NUMERICAL SOLUTIONS OF A 2x2 OVERLAPPING GENERATIONS MODEL FOR A GROWING-POPULATION ECONOMY

Serdar Sayan and Mohamed Jelassi

285: Multiscale Representation of Agents Heterogeneous Beliefs in Analysis of CAC40 Prices with Frequency Decomposition

Serge Hayward

284: An Analysis on Simulation Models of Competing Parties

Jie-Shin Lin

283: SOCIODYNAMICA: An agent based computer simulation studying the interacting web of biological, social and economic behaviors

Klaus Jaffe

282: Time Consistent Control in Non-Linear Models

Steven Ambler and Florian Pelgrin

279: Test for serial independence based on quadratic forms

Cees Diks & Valentyn Panchenko

277: Social Networks in Labor Markets: The Effects of Symmetry, Randomness and Exclusion on Output and Inequality

Andrea Lavezzi and Nicola Meccheri

275: On the Effects of Redistribution on Growth and Entrepreneurial Risk-Taking

Maik Heinemann and Christiane Clemens

274: Real-time data for Norway: Output gap revisions and challenges for monetary policy

Tom Bernhardsen and Øyvind Eitrheim

273: Stock returns and economic activity; evidence from wavelet analysis

Marco Gallegati

272: The accuracy of welfare computations

Michel Juillard

271: Computing optimal policy functions in a timeless perspective: An application

Florian Pelgrin and Michel Juillard

270: Forecasting Aggregates by Disaggregates

Kirstin Hubrich and David Hendry

268: The Role of Group Size and Competition in Minimum Effort Coordination Games. An Agent Based Approach

Thomas Riechmann

267: Mean Variance Optimization of Forward Looking Systems and Worst-case Analysis

Volker Wieland, Berc Rustem and Stanislav Zakovic

266: Employment, New Equipment, Skill, and Growth

Mohamed Bouzahzah and Hamid Esmaeili

264: HRM and Value Creation

Michel PHILIP & Patrick Micheletti

263: Expectation Formation and Endogenous Fluctuations in Aggregate Demand

Maciej Dudek

262: Learning in a Misspecified VAR Model

Eran Guse

260: Estimating Sticky Information Phillips Curve: International Evidence from the Consensus Survey of Forecasters

Jiri Slacalek, Jörg Döpke and Ulrich Fritsche

259: Investment Decisions Under Model Uncertainty: An Application Using Exchanger Rate and Interest Rate Forecasts

Kevin Lee and Anthony Garratt

258: Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach

Alain Hecq