Narrow search
Showing 1 - 10 of 92
Cover Image
Exchange Rate Overshooting and the Forward Premium Puzzle
Coakley, Jerry; Fuertes, Ana-Maria - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706629
Cover Image
A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance
Pritsker, Matt - Society for Computational Economics - SCE - 2005
I present a fully-rational symmetric-information model of an IPO, as well as a dynamic imperfectly competitive model of the aftermarket trading that follows. The model helps explain why IPO share allocations favor large institutional investors. It also helps to explain IPO underpricing, and...
Persistent link: https://www.econbiz.de/10005345038
Cover Image
Aggregate Uncertainty, Individual Uncertainty and the Housing Market
Peterson, Brian - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005345687
Cover Image
Designing large value payment systems: an agent based approach
Yang, Jing; Markose, Sheri; Alentorn, Amadeo - Society for Computational Economics - SCE - 2005
settlement risk in RTGS comes with excessive demands for liquidity on banks. This could lead them to adopt various delaying … tactics to minimise liquidity needs with free-riding and other ‘bad’ equilibria as potential outcomes. The introduction of … hybrid systems with real-time netting is viewed as a means by which liquidity costs can be reduced while settlement risk is …
Persistent link: https://www.econbiz.de/10005132671
Cover Image
Heterogeneity and feedback in an agent based market model.
Ghoulmié; F. - Society for Computational Economics - SCE - 2004
We argue that two main ingredients in agent-based models (and in real speculative markets) which lead to realistic behavior of prices and trading volume are : heterogeneity (given the same source of information, market participants do not behave identically) and feedback (the individual demand...
Persistent link: https://www.econbiz.de/10005345260
Cover Image
Caution or Activism? Monetary Policy Strategies in an Open Economy
Ellison, Martin; Sarno, Lucio; Vilmunen, Jouko - Society for Computational Economics - SCE - 2006
We examine optimal policy in an open-economy model with uncertainty and learning, where monetary policy actions affect the economy through the real exchange rate channel. Our results show that the degree of caution or activism in optimal policy depends on whether central banks are in coordinated...
Persistent link: https://www.econbiz.de/10005342876
Cover Image
Monetary Policy with Heterogeneous Agents and Credit Constraints
Algan, Yann; Ragot, Xavier - Society for Computational Economics - SCE - 2006
This paper exhibits and quantifies a new theoretical channel of the non-neutrality of inflation transiting through capital market imperfections. Unconstrained households change their financial position in front of a change in the inflation rate, whereas constrained households can not. Thus...
Persistent link: https://www.econbiz.de/10005342906
Cover Image
An Estimated Dynamic Stochastic General Equilibrium Model of Taiwanese Economy
Teo, Wing Leong - Society for Computational Economics - SCE - 2006
In this paper, I estimate an open economy DSGE model for the Taiwanese economy. The model features multiple sources of real and nominal rigidities, including price and wage stickiness, investment and bond adjustment costs, as well as incomplete pass-through of exchange rates. Contrary to the...
Persistent link: https://www.econbiz.de/10005342909
Cover Image
The effects of monetary policy shocks on flow of funds: the case of Italy
Bonci, Riccardo; Columba, Francesco - Society for Computational Economics - SCE - 2006
We study in a VAR model the effects of monetary policy shocks with new Italian flow of funds data for 1980-2002. First, our results are consistent with the literature, without being affected by commonly found puzzles. Second, new features of the transmission of monetary policy shocks to the...
Persistent link: https://www.econbiz.de/10005342911
Cover Image
Monetary Policy and the Term Structure of Interest Rates
Ravenna, Federico; Seppala, Juha - Society for Computational Economics - SCE - 2006
We study how well a New Keynesian business cycle model can explain the observed behavior of nominal interest rates. We focus on two puzzles raised in previous literature. First, Donaldson, Johnsen, and Mehra (1990) show that while in the U.S. nominal term structure the interest rates are...
Persistent link: https://www.econbiz.de/10005342933