We express the idea of classical competition in a statistical equilibrium model, where the tendency for competition to equalize profit rates results in an exponential power (or Subbotin) distribution. The model supports and extends recent evidence on the Laplace distribution of growth rates in...

We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. Lo and behold, the model is quite robust with respect to behavioral heterogeneity, yet structural heterogeneity, in the sense of an underlying network structure that describes...

We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...

This paper studies the welfare effects of severalmonetary policy rules in the presence of anticipated and unanticipated oil price shocks. Our analysis is based on a stylized New Keynesian model of a small open economy. Our main findings are the following: i) Standard interest rate rules amplify...

We propose a dynamic factor model for the analysis of multivariate time series count data. Our model allows for idiosyncratic as well as common serially correlated latent factors in order to account for potentially complex dynamic interdependence between series of counts. The model is estimated...

With reference to the class of asset pricing models with a market maker and mean-variance optimization of speculative agents, the note seeks to clarify the concepts behind the price adjustment rule, which are often treated somewhat carelessly in this literature. Calling attention to the...

The paper is concerned with determinacy in a version of the New-Keynesian model that integrates imperfect competition and nominal price and wage setting on goods and labour markets. The model is reformulated with an explicit period of arbitrary length and shown to remain well-defined as the...

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...

This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate...