In this paper, we develop an analytical framework for the estimation of potential output and output gaps for the euro area combining multivariate filtering techniques with the production function approach. The advantage of this methodology lies in the fact that it combines a model based approach...

This paper develops a real business cycle model characterized by a large number of agents facing idiosyncratic employment shocks and borrowing constraints. In particular, I use numerical methods to study the statistical properties of aggregate variables in equilibrium under both complete and...

There is now considerable evidence that business cycle variation in output and employment in the U.S. differs in expansions and contractions. We present nonparametric evidence that asymmetries are strongest in durable goods manufacturing. In a Markov switching framework, we find two leading...

This paper investigates whether insiders use private information in their decision to exercise executive stock options. Consistent with existing research, exercises overall do not yield subsequent abnormal returns. Categorising exercises by the proportion of stock sold at exercise yields a...

This paper uses an evolutionary approach incorporating the idea of natural selection to examine market behavior in a one-sided buyer auction market. Even with no traders' rationality (such as rational expectations and adaptive learning) and with each trader's behavior preprogrammed with its own...

This paper explores the phenomenon of lasting deviations of the exchange rate from its fundamental value in the foreign exchange market. Motivated by empirical observations a chartists-fundamentalists model is developed in which boundedly rational agents repeatedly choose between technical and...

Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...

In this paper, we investigate the out-of-sample forecasting ability of a genetic program to approach the dynamic evolution of the Yen/US$ and Pound Sterling/US$ exchange rates, and verify whether the method can beat the random walk model. Later on, we use the predicted values to generate a...