Introducing learning into a standard asset pricing model improves considerably its empirical performance. In a model of learning where today's stock price is determined by the expectation of tomorrow's stock price, the dynamics of expectations and actual price are such that the market has...

We compute the optimal nonlinear interest rate policy under commitment for a forward-looking stochastic model with monopolistic competition and sticky prices when nominal interest rates are bounded below by zero. Calibrating the model to the U.S. economy we find that the empirical magnitude of...

Abstract: This paper studies a simple model of output and inflation in the experimental laboratory. While the Rational Expectations Equilibrium (REE)predicts output and inflation to be white noise processes, output and inflation in experimental sessions display stable cyclical patterns. For...

National saving rate in the U.S. has been declining since the 1960s while the share of consumption in output has been increasing. We explore if a standard growth model can explain the secular trends observed in this time period. Our results indicate that the standard neoclassical growth model is...

The assessment of models of financial market behaviour requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might provide an alternative. In order to apply such...

We propose an agent-based model to investigate the effects of policies against poverty – income support, workfare policies and active labor market programs within different economic and institutional setting

This paper uses an unobserved component model to examine the relative importance of the structural and the persistence approach to unemployment. We derive the NAIRU from a standard imperfect competition model. The price- and wage-setting schedules include a measure for unemployment persistence....

This paper highlights the analysis of the term structure of interest rate within a full DSGE model. Our goal consists in setting up a full model including the feed-back from the economy to the term structure and vice-versa. Contrary to existing models of the term structure (TS, henceforth) (for...