Motivated by the “shocking” evidence of non-stationary behavior of money market spreads during the crisis, we investigate the economic and statistical features of money market turbulence by means of a Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model. This approach...

This paper examines the robustness characteristics of optimal control policies derived un- der the assumption of rational expectations to alternative models of expectations. We assume that agents have imperfect knowledge about the precise structure of the economy and form expectations using a...

This paper examines the robustness characteristics of optimal control policies derived un- der the assumption of rational expectations to alternative models of expectations. We assume that agents have imperfect knowledge about the precise structure of the economy and form expectations using a...