In this paper, we consider two polar dynamical models in which firms use debt (loans) to finance their investment expenditure: a three-dimensional supply-driven model and a sophisticated 20-D Keynesian growth model. In the first, firms' debt accumulations interact with the income distribution...

In this paper, we use the Wang and Zender (98) model of auctions, and derive, using optimal control, the optimal bidding strategy in the Spanish Treasury Bill auctions (STBA). Spain is the only country that uses a hybrid system of discriminatory and uniform price auctions: winning bidders pay...

This paper investigates the accuracy of the log-linear approximation method in welfare calculations, especially in measuring welfare gains of international risk sharing. We derive closed-form solutions for a two-country complete market economy using log-linearization and a nonlinear solution...

This paper examines the pattern of consumption and savings when heterogeneous agents enter into marriage and have the option of dissolving the marriage if there exists no set of consumption allocations that can preserve the union. The research presents an analysis of this scenario using dynamic...

For years, the problems associated with the Lucas critique have loomed over empirical macroeconomics. However, relatively little effort has been devoted to testing the empirical importance of this critique. This paper develops a set of tests for small macroeconometric models, especially those...

The existing literature on income inequality and economic growth can be decomposed broadly into two main strains. One, recently advanced, investigates the impact of the initial inequality on subsequent economic growth. The other, rather older, strain examines the evolution of inequality along...

Many numerical methods to price options have been suggested in the finance literature. This paper aims at reviewing several numerical approaches in order to discuss their practical strenghts and/or weaknesses. The problem under investigation is a multivariate contingent claims model with three...

The ancillary hypothesis of unbounded rationality has dominated economic modelling for several decades. This extreme assumption has been relaxed in a fast growing literature under different headings: new institutional economics, experimental economics (E.E.), or behavioral and evolutionary...

This talk discusses and illustrates a software environment for conducting Bayesian calculations for a variety of models including those for discrete and panel data. The software is self-contained and provides spreadsheet/ graphics facilities for manipulating both input and output data from the...

By design, a wavelet's strength rests in its ability simultaneously to localize a process in time-scale space. The wavelet's ability to localize a time series in time-scale space directly leads to the computational efficiency of the wavelet representation of an N x N matrix operator by allowing...