This paper demonstrates that the dynamics of a rational learning process with private information differ substantially from those without such information. As has been shown by Jund and Vives (1996), the existence of private information has no effect upon the convergence of the learning process...

We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long...

We study a model where investment decisions are based on investors’ information about the unknown and endogenous return of the investment. The information of investors consists of endogenously determined messages sold by financial analysts who have access to both public and private information...

Recent results on the computational complexity of Brouwer and Kakutani fixed points is reviewed. It is argued that the non-polynomial complexity of fixed-point algorithms makes Walrasian general equilibrium an unrealistic model of real markets. A radically more decentralized and distributed...

As population aging sets in, publicly managed pension systems operating on the basis of pay-as-you-go (PAYG) schemes face difficulties in maintaining contribution/replacement rate-retirement age configurations. The changing age composition of societies during demographic transition gradually...

This paper examines the dynamic implications of the use of an endogenous discount factor in small open economy models. We first present a stochastic dynamic model of a small open economy with an endogenous discount factor. Then, we examine the same model with a fixed discount factor. We...

In this paper we study the finite sample properties of the nonparametric method developed by Stanton and later extended by Boudoukh, et al. for the estimation of the drifts and diffusions of multifactor continuous-time term-structure models. Monte Carlo simulations from a known parametric model...

This study is an examination of the appropriateness of using a competitive learning neural-net algorithm to model labor-force migration. In the past, there have been a number of studies to model labor-force migration using cross-sectional regression analysis. These studies model the propensity...