Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a...

This paper provides formulae for computing perturbation method approximations of unconditional variances of variables in nonlinear DSGE models. Spurious higher order terms that creep into multi-step ahead forecasts can produce explosive time paths frustrating traditional approaches to estimating...

This paper details some of the results of a student/teacher collaboration to develop computer algebra materials for use by students in an intermediate macroeconomics course. Many years ago the teacher required students solve macro models using a pencil and paper. For the most part these models...

We provide an overview of automatic differentiation (AD), a technique for the efficient computation of derivatives of functions defined in some programming language. We give a short explanation of how AD works, indicate the anticipated cost of derivatives computed using AD, and survey what AD...

When crossing the boundary of stability of a given dynamical system only indicates a bifurcation point and the type of the bifurcating solutions. But it doesn't tell us how and how many new solutions bifurcate or disappear in a bifurcation point. To answer this question one has to take into...

We investigate the possibility of synchronized and staggered equilibria in a version of the Dotsey-King-Wolman state-dependent pricing model. Our paper contributes to a large literature that considers synchronization of price changes (see, for example, Ball and Cecchetti [1988], Ball and Romer...

We study identification in a class of three-equation monetary models. We argue that these models are typically not identified. For any given exactly identified model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to...

Under the assumption of bounded rationality, economic agents learn from their past mistaken predictions by combining new and old information to form new beliefs. The purpose of this paper is to examine how the policy-maker, by affecting private agents' learning process, determines the speed at...

In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a ''stylized'' market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying security. The price of the security is determined...