Computing in Economics and Finance 2005

From Society for Computational Economics
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191: Vacancy Persistence

Shigeru Fujita

190: Stochastic and deterministic unit root models: problem of dominance

Svetlana Makarova and Wojciech Charemza

189: Payday Loans, Consumption Shocks, and Discounting

Jeremy Tobacman and Paige Skiba

188: A Continuous-Time Version of the Principal-Agent

Yuliy Sannikov

187: Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme

Oleksandr Zhylyevskyy

186: Spurious regression under broken trend stationarity

Daniel Ventosa-Santaulària and Antonio Noriega

185: Technological Complexity, R&D and Education: Some Pleasant Arithmetic

Peter Thompson and Mihaela Pintea

184: Income Inequality, Monetary Policy, and the Business Cycle

Stuart Fowler

183: A QUANTITATIVE COMPARISON OF STICKY-PRICE AND STICKY-INFORMATION MODELS OF PRICE SETTING

Michael Kiley

182: Corporate Leverage and Financial Fragility in General Equilibrium

Andrew Levin and Fabio M. Natalucci

181: Incentives to Cooperate in Network Formation

Haydée Lugo

178: Unexpected Inflation, Firm Characteristics and Equity Returns in a New-Keynesian Model

Chao Wei

177: Estimating the Revealed Inflation Target: An Application to U.S. Monetary Policy

Daniel Leigh

176: Learning about which measure of inflation to target

Luis-Felipe Zanna and Marco Airaudo

175: Evaluating Models of Sticky Prices

Jonas Fisher and Martin Eichenbaum

172: Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model

Andreas Beyer and Roger Farmer

171: Wealth-Robust Intertemporal Incentive Contracts

Mark Loewenstein, Jerome Detemple and Suresh Govindaraj

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

Sunghyun Kim and Jinill Kim

168: Intertemporal Asset Allocation with Inflation-Indexed Bonds

Carl Chiarella and C. Hsiao

166: Time Consistency and Targeting Rules in Singular Rational Expectations Models

Richard Pierse and Andrew Blake

165: Price expectations in the laboratory in positive and negative feedback systems

Joep Sonnemans, Peter Heemeijer and Cars Hommes

163: Multi-period CAPM with Heterogeneous Agents

Hendri Adriaens and Bertrand Melenberg

162: Escape Dynamics: A Continuous Time Approximation

Dmitri Kolyuzhnov and Anna Bogomolova

161: Limited Dependet Panel Data: a Bayesian Approach

Giuseppe Bruno

158: The internal efficiency of Index Option Markets

Marianna Brunetti and Costanza Torricelli

157: An Agent-Based Keynesian Laboratory

Charlotte Bruun

156: Money, Inventories and Underemployment in Deflationary Recessions

Gerd Weinrich and Luca Colombo

154: Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models

Hiroyuki Kawakatsu

150: A SNCP Method for Solving Equilibrium Problems with Equilibrium Constraints

Che-Lin Su

149: An Overview of Automatic Differentiation

Jean Utke and Paul D Hovland

148: Conditional Welfare Comparisons of Monetary Policy Rules

Andrew Levin and Jinill Kim

147: Optimal Nonlinear Policy: Signal Extraction with a Non-Normal Prior

Eric Swanson

146: Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy

Eric Swanson, Gary Anderson and Andrew Levin

145: Monetary Concequences of Alternative Fiscal Policy Rules

Jukka Railavo

144: Changing Effects of Monetary Policy in the U.S. –Evidence from a Time-Varying Coefficient VAR

Christian Melzer and Thorsten Neumann

143: Investment-Specific and Multifactor Productivity in Multi-Sector Open Economies:Data and Analysis

Luca Guerrieri and Dale Henderson

142: THE AGGREGATE OF ELASTICITIES OR THE ELASTICITY OF THE AGGREGATES: U.S. TRADE IN SERVICES

Jaime Marquez

141: Approximate Aggregation

Eric Young

140: Extreme Value Theory and Fat Tails in Equity Markets

Ritirupa Samanta and Blake Lebaron

139: A Computer Algebra Primer and Homework Exercises for use in an Intermediate Macroeconomics Course—A Student/Teacher Collaboration

Ryder Delaloye, Luke Olson and Max Jerrell

138: Central Bank Estimates of the Unemployment Natural Rate

Peter Tinsley and Sharon Kozicki

135: Capital Mobility and spillovers within a modular approach to multiregion modeling

Marian Leimbach and Ottmar Edenhofer

134: Time Consistent Policy in Markov Switching Models

Fabrizio Zampolli and Andrew Blake

133: Capital Injection to Save Bank Crisis

Isamu Okada and Ichiro Takahashi

132: Inequality and Growth: A Semiparametric Investigation

Dustin Chambers

130: Stochastic Volatility with ARMA Extension Applied to Portfolio Choice

Arnisa Abazi

128: Expansionary Fiscal Shocks and the Trade Deficit

Christopher Erceg and Luca Guerrieri

127: Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?

Carlos Capistrán-Carmona

126: Learning-by-doing or Habit Formation?

Takashi Kano and Hafedh Bouakez

124: Two-class structure of the personal income distribution in the USA in 1983-2001

A. C. Silva and Victor Yakovenko