Capital adequacy regulations specify a minimum capital-to-assets ratio for banks in the economy. The effects of these regulations on the level of economic activity have not been thoroughly studied by the banking regulation literature. Specifically, the fact that as proposed by the Basle Accords,...

Computing equilibria in dynamic economies is still quite challenging even though the noticeable increase in computing power, storage capacity and new approaches in the literature on computational economics. The solvability of many economic models suffers from the curse of dimensionality, which...

This paper is my ongoing research on welfare analysis using real business cycle approach. In this paper, I have modeled heterogeneous households with different income potential and paying different tax rates. The model incorporates progressive tax rates and computes its effects on the welfare of...

We use a dynamic general equilibrium model of the world economy to assess the economic implications of higher vulnerability from extreme meteorological events. In particular, we consider the impact of climate change on ENSO/NAO cycles, and the implied variation on regional expected damages, due...

In the U.S., the bulk of CO2 abatement induced by carbon taxes comes from electric power. This paper incorporates technology detail into the electricity sector of a computable general equilibrium model of the U.S. economy to characterize electric power’s technological margins of...

This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known \emph{a priori}, but has to be modeled and estimated. We allow agents...

This paper presents a numerical nonlinear dynamic programming algorithm for solving so-called optimal learning or adaptive control problems. These are decision problems with unknown parameters where the decisionmaker updates beliefs by Bayes rule. The updating equations are nonlinear. As a...

Dynamic games are used to analyze dynamic strategic interactions. While existence of equilibrium can often be proved by conventional methods, uniqueness is much more difficult to establish. If a game reduces to solving a system of polynomial equations, then one could use algorithms for finding...

We solve the optimal saving/portfolio-choice problem in an intertemporal recursive utility framework. Our solution to this problem is sufficiently general to allow (i) risk aversion to vary independently of intertemporal substitution, (ii) many risky assets, (iii) stochastic labor income that...

This paper studies algorithms for equilibrium problems with equilibrium constraints (EPECs). We present a generalization of Scholtes’s regularization scheme for MPECs and extend his convergence results to this new relaxation method. We propose a sequential nonlinear complementarity (SNCP)...