This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so far (esp. very popular doubling algorithm) in terms of...

Qualitative properties of optimal investment strategies for a firm with quadratic costs and non-concave revenues are analysed. Organising information in a bifurcation diagram, it is found that the organising centre of the diagram is a so-called swallow-tail singularity. This implies the...

The paper studies empirically and analytically growth and fluctuation of firm size distribution. An empirical analysis is carried out on several data sets on firm size, with emphasis on one-time distribution as well as growth-rate probability distribution. Two well-known scaling laws, Pareto's...

In this paper we solve a stochastic dynamic programming problem for the solution to a dynamic game in which the players select a mean level of control. The state transition dynamics are a function of the current state of the system and a multiplicative noise factor on the control variables of...

The attempt to match characteristics of asset pricing models such as the risk-free interest rate, equity premium and the Sharpe ratio for models with instantaneous consumption decisions in the context of stochastic growth models has not been very successful. Many recent versions of asset pricing...

We examine several named subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and Sunday Times. The data support conventional wisdom of a wealth distribution with power law-distributed right tail, and they allow us to calibrate a statistical equilibrium...

The purpose of this paper is to examine the optimality of the monetary authorities reaction function in the two-area medium size model MARCOS (US and euro areas). The parameters and the horizons of output gap and inflation expectations of the Taylor rule are computed in order to minimise a loss...

The paper describes and illustrates a method for generalizing the standard computation of period-to-period percentage change of total factor productivity (TFP) to computation of TFP based on a best k-times-differentiable model. A "model" is a k-times-differentiable functional form of a...

The Circuitists are a largely European school of economic thought that argue that a monetary economy is fundamentally different to a barter system, and that therefore money cannot be simply modelled as the n+1th good in a Walrasian general equilibrium system. However, while the School has made...

Our concern in this paper is that the capability of economics undergraduates is substantially underestimated in the design of the present college curriculum and that our students are insufficiently challenged and motivated. Students enter our classrooms with substantial previous knowledge about...