In an open economy, outside money in positive supply does not eliminate the real indeterminacy which arises under uncertainty and incomplete asset markets. If money supply is subject to shocks or is not perfectly credible in all countries, the level of a fixed exchange rate matters. Analogous...

We use a two-good dynamic intertemporal general equilibrium model to formalize the economic intuition of Krugman about the explanation of the J-curve phenomenon in terms of habit persistence in consumption and sluggishness in capital adjustment. The results differ markedly according to the...

In economies of overlapping generations, competitive equilibrium allocations and interest rates may be indeterminate. In a world economy with multiple countries, a competitive equilibrium need not satisfy the condition that the balance of payments be in equilibrium. In a stationary economy with...

In an open economy, outside money in positive supply does not eliminate the real indeterminacy which arises under uncertainty and incomplete asset markets. If money supply is subject to shocks or is not perfectly credible in all countries, the level of a fixed exchange rate matters. Analogous...

In economies of overlapping genenrations, competitive equilibrium allocations and interest rates may be indeterminate. In a world economy with multiple countries, a competitive equilibrium need not satisfy the condition that the balance of payments be in equilibrium. In a stationaryeconomy with...

Many indicators (OECD 1994) show tha the Italian labour market is characterised by a strong pro-workers and pro-unions legislation. This is usually interpreted as a high degree of rigidity. It is known that , in response to shocks, firms in rigid labour markets tend to trade workers adjustment...

This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...

I consider multivariate (vector) time series models in which the error covariance matrix may be time-varying. I derive a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time. I design a new family of Lagrange-multiplier tests...

Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This paper illustrates the importance of considering the commodity inventory effect (effect by which the commodity price volatility increases more after a positive shock than after a negative...

This paper illustrates some computationally efficient estimation procedures for the estimation of vast dimensional realized covariance models. In particular, we derive a Composite Maximum Likelihood (CML) estimator for the parameters of a Conditionally Autoregressive Wishart (CAW) model...