This paper studies a discrete-time utility maximization problem of an infinitely-lived quasi-geometric consumer whose labor income is subject to uninsurable idiosyncratic productivity shocks. We restrict attention to a first-order Markov recursive solution. We show that under the assumption of...

This paper studies the business cycle dynamics of the income and wealth distributions in the context of the neoclassical growth model where agents are heterogeneous in initial wealth and non-acquired skills. Our economy admits a representative consumer which enables us to characterize the...

We examine demand behaviour for intertemporal dependencies, using Spanishpanel data. We present evidence that there is both state dependence and correlatedheterogeneity in demand behaviour. Our specific findings are that food outside thehome, alcohol and tobacco are habit forming whereas...

We construct a general-equilibrium version of Krusell, Ohanian, Ríos-Rulland Violante’s (2000) model with capital-skill complementarity. To account forgrowth patterns observed in the data, we assume several sources of growthsimultaneously, specifically, exogenous growth of skilled and...

In this paper we analyze the effect of female labor force participation on income inequality. We present evidence from Spain by using data from the Family Expenditure Survey for 1980 and 1990. The case of Spain is particulary interesting because inequality decreased over the eighties, while the...

This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model. In particular, it is found that the model tends to...

This paper studies how the EU Eastern enlargement can affect the economies of the old and the new EU members and the non-acceded countries in the context of a multi-country neoclassical growth model where Foreign Direct Investment (FDI) is subject to border costs. We assume that in the moment of...

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by...

We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares methods, we examine a variety of alternatives, including least-squares methods using singular value decomposition and Tikhonov regularization,...

We analyze extensively the characteristics of the solution to an irreversibleinvestment decision when the only source of uncertainty comes from interest rates.They are assumed to be driven by the popular Cox-Ingersoll-Ross (CIR) stochasticprocess. Particular attention is paid to the impact that...