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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
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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
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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
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Aggregate Uncertainty, Individual Uncertainty and the Housing Market
Peterson, Brian - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005345687
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The Role of Consumer's Risk Aversion on Price Rigidity
Alves, Sergio A Lago; Bugarin, Mirta N S - Society for Computational Economics - SCE - 2006
This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms have no adjustment costs. With regular broadly accepted assumptions on...
Persistent link: https://www.econbiz.de/10005537399
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The Costs of EMU for Transition Countries
Lopes, Alexandra - Society for Computational Economics - SCE - 2006
Czech Republic, Hungary and Poland will have to join the European and Monetary Union. Surprisingly, there is very little work on the welfare consequences of the loss of monetary policy flexibility for these countries. This paper fills this void by providing a framework to evaluate quantitatively...
Persistent link: https://www.econbiz.de/10005537413
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Monetary Policy and the Distribution of Money and Capital
Molico, Miguel; Zhang, Yahong - Society for Computational Economics - SCE - 2006
Existing search-theoretical model of money have in general abstracted from the existence and accumulation of other assets, in particular, capital. In this paper we present a model where the optimal portfolio allocation decision of agents is explicitly modeled. Trade frictions in a decentralized...
Persistent link: https://www.econbiz.de/10005537421
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Monetary Policy with Model Uncertainty: Distribution Forecast Targeting
Williams, Noah; Svensson, Lars E.O. - Society for Computational Economics - SCE - 2005
We examine optimal and other monetary policies in a linear-quadratic setup with relatively general forms of model uncertainty. The forms of uncertainty our framework encompasses include: simple i.i.d. model deviations; serially correlated model deviations; estimable regime-switching models; more...
Persistent link: https://www.econbiz.de/10005537471
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Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
Dib, Ali; Christensen, Ian - Society for Computational Economics - SCE - 2005
This paper estimates a sticky-price DSGE model with a financial accelerator to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. Structural parameters of two models, one with and one without a financial accelerator, are...
Persistent link: https://www.econbiz.de/10005537513
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Monetary policy and the transition to rational expectations
Ferrero, Giuseppe - Society for Computational Economics - SCE - 2004
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...
Persistent link: https://www.econbiz.de/10005537631