In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...

This paper considers a simple Continuous Beliefs System (CBS) to investigate the effects on price dynamics of several behavioral assumptions: (i) herd behaviour; (ii) a-synchronous updating of beliefs; and (iii) heterogeneity in time horizons (memory) among agents. The recently introduced...

We present a simple macroeconomic model with open market operations that allows examining the effects of quantitative and credit easing. The central bank controls the policy rate, i.e. the price of money in open market operations, as well as the amount and the type of assets that are accepted as...

We analyze optimal monetary policy in a sticky price

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

See 'Political Connections And Preferential Access To Finance: The Role Of Campaign Contributions' in <A HREF="http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-4P3DY39-4&_user=499884&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_searchStrId=1004038141&_rerunOrigin=scholar.google&_acct=C000024499&_version=1&_urlVersion=0&_userid=499884&md5=d48c00bd293b73b16a75eb763ff75630"><I>Journal of Financial Economics</I>, 2008, 88(3), 554-580</A>.

We introduce a form of pre-play communication that we call "preopening". During the preopening, players announce their tentative actions to be played in the underlying game. Announcements are made using a posting system which is subject to stochastic failures. Posted actions are publicly...

This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard "variance ratio'' approach,...