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Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models
Mokhtar, Darmoul; Harrathi, Nizar - HAL - 2007
In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1),...
Persistent link: https://www.econbiz.de/10010750845
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Optimal Growth under Flow-Based Collaterals
Onori, Daria - HAL - 2013
Some recent evidence on government finance statistics of European countries suggests that countries with public debt issues also show a low tax revenue-GDP ratio. In this paper we develop a small open economy model of endogenous growth in which the engine of growth is public spending. We assume...
Persistent link: https://www.econbiz.de/10010933922
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External imbalances and collateral constraints in a two-country world
Iliopulos, Eleni - HAL - 2009
In this article, we focus on current account dynamics in large open economies characterized by debt-constrained heterogeneous agents and endogenous monetary policies. We incorporate three key features that have bulked large in the New Open Macroeconomics literature : i) home bias in trade, ii)...
Persistent link: https://www.econbiz.de/10010738501
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Are the antiglobalists right? Gains-from-trade without a walrasian auctioneer
Pardo, Hector Calvo - HAL - 2005
We examine whether the "fear" of globalisation can be rationalised by economic theory. To do so, we depart from the …
Persistent link: https://www.econbiz.de/10010739089
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Effect of Uncertainty about Others' Rationality in Experimental Asset Markets: An Experimental Analysis
Akiyama, Eizo; Hanaki, Nobuyuki; Ishikawa, Ryuichiro - HAL - 2012
the uncertainty of subjects regarding others' rationality. We do so by comparing the price forecasts submitted by subjects … hypothesis that uncertainty about others' rationality plays a major role in causing substantial deviation of forecast prices from …
Persistent link: https://www.econbiz.de/10010933826
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The World According to GARP* : Non-parametric Tests of Demand Theory and Rational Behavior
Diaye, Marc-Arthur; Gardes, François; Starzec, Christophe - HAL - 2008
The purpose of this paper is twofold. We first point out that violation of rationality axioms (SARP, GARP, WARP) do not … non-respect of demand theory axioms but by the changing of preferences over the period. A logistic regression confirms the …
Persistent link: https://www.econbiz.de/10009643767
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The rationality of expectations formation and excess volatility
Davila, Julio - HAL - 2008
I establish, in simple deterministic overlapping generations economies, that if each agent holds rationally formed expectations in the sense that any other expectations justifying his choices imply a smaller likelihood for the history he observes with limited memory, then there are rationally...
Persistent link: https://www.econbiz.de/10010750627
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Learning, Rationality and Identity Building
Cayla, David - HAL - 2008
This paper focuses on the link between the economic conceptions of rationality and learning. Traditionally, most … is not the process of learning, but the result of learning: ‘a fully rational agent'. Heterodox rationality conceptions … such as the Simonian model of bounded rationality seem more compatible with the idea of learning. Bounded rationality …
Persistent link: https://www.econbiz.de/10010751001
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On Apparent Irrational Behaviors : Interacting Structures and the Mind
Gosselin, Pierre; Lotz, Aïleen; Wambst, Marc - HAL - 2013
We develop a general method to solve models of interactions between multiple and possibly strategic agents. Our model explains apparently irrational or biased behaviors in a person. We argue that these actions could result from several rational structures having different goals. Our main example...
Persistent link: https://www.econbiz.de/10010899628
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La croissance économique au passé, au présent, à l'avenir
Bienaymé, Alain - HAL - 2014
After a few centuries of speeding up, the distribution of GNP's growth rates has widely changed all round the world. Growth is slowing down in advanced countries and has accelerated in emerging countries. Moreover growth is questioned as a matter of principle. Considering the vast array of...
Persistent link: https://www.econbiz.de/10010899774