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...

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...

Dynamic models with inequality constraints pose a challenging prob- lem for two major reasons: Dynamic Programming techniques often necessitate a non established differentiability of the value function, while Euler equation based techniques have problematic or unknown convergence properties....

We introduce a ''new'' algorithm that can be used to solve stochastic dynamic general equilibrium models. This approach exploits the fact that the equations defining equilibrium can be viewed as set of algebraic equations in the neighborhood of the steady-state. Then a recursive scheme, which...

The lion’s share of hidden Markov models (HMMs) /Markov regime switching models considered in economic research incorporates a comparably small number of states. The popularity of models with mostly two or three states principally results from their good interpretability: often regime...

This paper examines the effect on economic growth and welfare of the access to external financing which results in technological transfers to a developing country from the rest of the world. We consider a two-sector stochastic growth model and compute optimal accumulation mechanisms in the...

Total factor productivity (TFP) computed as Solow-residuals could be subject to input-substitution bias for two reasons. First, the Cobb-Douglas (CD) production function restricts all input substitutions to one. Second, observed inputs generally differ from optimal inputs, so that inputs...

Computing equilibria in dynamic economies is still quite challenging even though the noticeable increase in computing power, storage capacity and new approaches in the literature on computational economics. The solvability of many economic models suffers from the curse of dimensionality, which...