Computing in Economics and Finance 2006

From Society for Computational Economics
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188: A Viable Solution to a Small Open-Economy Monetary Policy Problem

Jacek Krawczyk and Kunhong Kim

187: The Empirical Relevance of the Lucas Critique

Paolo Surico and Thomas Lubik

186: Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments

Dominique Pujal and Patrick Saint-Pierre

185: Computing the Distributions of Economic Models via Simulation

John Stachurski and University of Melbourne

183: Optimal Monetary Policy under Adaptive Learning

Vitor Gaspar, Frank Smets and David Vestin

182: Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market

Daxue Wang

181: A Dynamic Heterogeneous Beliefs CAPM

Carl Chiarella, Xuezhong (Tony) He, Roberto Dieci and University of Technology Sydney

180: Generalized variance ratio tests in the presence of statistical dependence

Periklis Kougoulis, John C. Nankervis and Jerry Coakley

179: CART analysis of qualitative variables to improve credit rating processes

Giampaolo Gabbi, Massimo Matthias and Marco De Lerma

178: Social interaction, herd behaviour and the formation of agent expectations

Mark Bowden and Stuart McDonald

177: Testing for Recent Trends in US Productivity Growth

Simon van Norden

175: Do european business cycles look like one $\_?$

Maximo Camacho, Gabriel Perez-Quiros, Lorena Saiz and Universidad de Murcia

174: Inequality Constraints in Recursive Economies

Pontus Rendahl

173: Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations

J. Huston McCulloch and Ohio State University

171: On Artificial Structural Unemployment

Maciej Dudek and ówna Handlowa

167: The Firm Size Distribution and Productivity Growth

Yaz Terajima, Danny Leung and Cesaire Meh

166: Inflation Globalization and the Fall of Country Specific Fluctuations

Haroon Mumtaz and Paolo Surico

162: Nominal Rigidities in an Estimated Two Country

Riccardo Cristadoro, Andrea Gerali, Stefano Neri and Massimiliano Pisani

161: Structural Estimation and Evaluation of Calvo-Style Inflation Models

Jean-Marie Dufour, Lynda Khalaf and Maral Kichian

158: The Great Moderation and the ‘Bernanke Conjecture’

Luca Benati and Paolo Surico

157: Monetary Policy under Balance Sheet Uncertainty

Saki Bigio and Marco Vega

155: Agent-based Investigation of Price Inflation In Health Insurance

Carl A. Johnston and Interdisciplinary Center for Economic Science

154: Transition Economy Convergence in a Two-Country Model

Jan Bruha and Jiri Podpiera

153: The Macroeconomics of Latin America

Juan F Rubio-Ramirez and Diego Vilan

152: Real Price and Wage Rigidities in a Model with Matching Frictions

Keith Kuester and Goethe University

151: Spurious regression and econometric trends

Antonio Noriega, University of Guanajuato School of Economics, Daniel Ventosa-Santaulà Ria and University of Guanajuato School of Economics

150: Aiming for the Bull's Eye: Uncertainty and Inertia in Monetary Policy

Maria Demertzis and Nicola Viegi

149: The Costs of EMU for Transition Countries

Alexandra Lopes

148: Optimal Exchange Rate Stabilization in a Dollarized Economy with Inflation Targets

Nicoletta Batini, Joseph Pearlman and Paul Levine

147: An Objective Function for Simulation Based Inference on Exchange Rate Data

Manfred Gilli, Peter Winker and Vahidin Jeleskovic

146: Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model

Kai Christoffel, Keith Kuester and Tobias Linzert

144: Employment stickiness in small manufacturing firms

Philip Vermeulen

142: The estimated general equilibrium effects of fiscal policy: the case of the euro area

Lorenzo Forni and Libero Monteforte

141: Trade and Environmental Policies under Incomplete Information

Sule Aytaskin and Benan Orbay

140: Evolutionary Learning in Principal/Agent Models

Jasmina Arifovic and Alexander Karaivanov

139: Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models

Peter Zadrozny and Baoline Chen

137: Numerical Methods for American Spread Options under Jump Diffusion Processes

Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics, Gerald H. L. Cheang, Carl Chiarella, Gunter Meyer and Andrew Ziogas

136: Monetary Policy and the Distribution of Money and Capital

Miguel Molico and Yahong Zhang

135: The effects of monetary policy shocks on flow of funds: the case of Italy

Riccardo Bonci and Francesco Columba

133: An approximate consumption function

Mario Padula and Università di Salerno

132: Combining microsimulation and CGE models: Effects on equality of VAT reforms

Turid Avitsland and Jorgen Aasness

131: A State-Level Analysis of the Great Moderation

Michael Owyang, Jeremy Piger, Howard J. Wall and Federal Reserve Bank of St. Louis

129: The robust permanent income model revisited

Marco P. Tucci

128: The Role of Consumer's Risk Aversion on Price Rigidity

Sergio Alves and Mirta N S Bugarin

127: Mathematical methods of market risk valuation in application to Russian stock market

Andrey M. Boyarshinov

126: Interest Rates and Investment Redux

Simon Gilchrist, Egon Zakrajsek and Fabio Natalucci

123: Unemployment, Capital and Hours: On the quantitative performance of a DSGE

Philip Jung

120: Exchange Rate Regimes, Determinacy, and Learnability in a Two-Block World Economy

Eric Schaling and Marco Hoeberichts

118: Artificial Neural Network Enhanced Parametric Option Pricing

Panayiotis C. Andreou, Chris Charalambous and Spiros H. Martzoukos

116: Optimal Pension Policy in a Life-Cycle Economy with Demographic Uncertainty

Alexander Ludwig and Michael Reiter