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Multiple Regimes in U.S. Monetary Policy? A Nonparametric Approach
Duffy, John; Engle-Warnick, Jim - Society for Computational Economics - SCE - 2001
We use nonparametric, local regression and regression tree analysis to assess whether there exist multiple regimes in U.S. monetary policy over the period 1955:3-2000:2. We model U.S. monetary policy using a Taylor rule specification for the nominal interest rate target. By contrast with...
Persistent link: https://www.econbiz.de/10005345600
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Traders’ long-run wealth in an artificial financial market
Raberto, Marco; Cincott, Silvano; Focardi, Sergio M.; … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537701
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Capital Injection to Save Bank Crisis
OKADA, Isamu; TAKAHASHI, Ichiro - Society for Computational Economics - SCE - 2005
This paper examines causes of banking crises. In particular, we try to explain why banks expand credits rapidly before the crises. We also seek for appropriate recapitalization policy to cope with a systemic banking crisis. To serve these purposes, we construct an agent-based simulation model...
Persistent link: https://www.econbiz.de/10005343012
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E-consumers' search and emerging structure of B-to-C coalitions
Laye, Jacques; Lina, Charis; Tanguy, Herve - Society for Computational Economics - SCE - 2006
We have developed an agent-based computational model, extension of an analytical model1 that studies the structure of coalitions of B-to-C web sites, when Internet buyers incur search costs for finding the good that matches their preferences, and coalitions of sites reduce this cost through...
Persistent link: https://www.econbiz.de/10005342857
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A Reliable Technique for Accurately Computing Unconditional Variances
Anderson, Gary S. - Society for Computational Economics - SCE - 2006
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...
Persistent link: https://www.econbiz.de/10005342860
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The Optimal Long-Run Inflation Rate for the U.S. Economy
Billi, Roberto M. - Society for Computational Economics - SCE - 2006
This paper characterizes the optimal long-run rate of inflation, consistent with an occasionally binding zero lower bound on nominal interest rates, in a stochastic New Keynesian sticky-price model calibrated to the U.S. economy. This may serve to inform discussions on the design of an...
Persistent link: https://www.econbiz.de/10005342865
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ML Estimators for SEM-GARCH Models: Relative Performance of Different Computational Algorithms
Kabili, Andi; Krishnakumar, Jaya - Society for Computational Economics - SCE - 2006
Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a major hurdle, especially when these specifications are introduced in structural models. One such extension namely the simultaneous equations model (SEM) with GARCH errors was...
Persistent link: https://www.econbiz.de/10005342868
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Computing the Distributions of Economic Models via Simulation
Stachurski, John - Society for Computational Economics - SCE - 2006
This paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the $L_1$ error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for...
Persistent link: https://www.econbiz.de/10005342929
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Computation of heterogenous agent models: Krusell/Smith vs. backwardinduction
Reiter, Michael - Society for Computational Economics - SCE - 2006
respects to increase accuracy and efficiency (faster solution of the household problem, better ways to compute the distribution … details of the algorithms (solution of the household problem, statistics used to characterize the cross-sectional distribution … distribution, and it is constructed using information on the household consumption function. It allows to increase the accuracy in …
Persistent link: https://www.econbiz.de/10005342937
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Learning Parameters in Non Linear Ecological Models
Dechert, W. Davis; O'Donnell, Sharon I.; Brock, William A. - Society for Computational Economics - SCE - 2006
This paper builds on our previous work that used a non linear stochastic dynamic programming problem to solve for the optimal level of phosphorus discharged into a watershed. Typically, there is a trade off between profits from agriculture and environmental damage due to excessive levels of...
Persistent link: https://www.econbiz.de/10005342958