This paper develops a computable dynamic general equilibrium model in which corporate demand for liquidity is endogenously determined. In the model liquidity demand is motivated by moral hazard as in Holmstrom and Tirole (1998). As a result of incorporating agency cost and endogenously...

This paper develops a theory of outside ownership where such an ownership arrangement mitigates an external finance problem. Part of the gains from outside ownership accrue to asset owners which determines the asset value. The theory provides a context to analyze asset ownership and asset values...

Based on Bergara and Licandro´s Model (2001), this paper studies the relationship between the requirements of prudential regulations for risks management and its effects on the loans portfolio. The financial regulation (Basle´s Accords, I and II) becomes sensible to risks (using Value at...

In this paper we provide an explicit characterization of the escape dynamics for the Phellps problem of government controlling inflation with adaptive learning of the approximate Phillips curve, alternative to the one considered by Cho, Williams and Sargent (2002) (CWS in sequel). Our approach...

This article presents a comparative analysis of four macroeconometric models whose proprietors participated in a model comparison conference focused on the new euro area economy. One model, the Area-Wide Model recently developed at the European Central Bank, treats the whole area as a single...

If firm sizes have a small dispersion, microeconomic shocks lead to negligible aggregate fluctuations. This has led economists to appeal to macroeconomic (sectoral or aggregate shocks) shocks to explain aggregate fluctuations. However, the empirical distribution of firms is fat-tailed. This...

Empirical evidences tell us that in the recent years the expansion period is increased with reduction of the contraction period in the U.S. business cycles. Moreover, the business cycles in the United States also show the trend to be moderated with recent economic growth induced and supported by...

This paper proposes a new empirical representation of US inflation expectations in a Stace-Space Markov-Switching framework in order to identify the expectations regimes which are associated with short and long term Phillips curves. Results suggest that the dynamics of in‡ation expectation...

Standard theory of small open economies predicts a smooth path for consumption and investment over time, and procyclical current account balances and employment. This contrasts with the data for emerging countries, where consumption, investment and employment are highly procyclical and volatile,...

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U.S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic trend, common transitory component and idiosyncratic...