Within a general equilibrium framework à la (Long and Plosser, 1983), we investigate the dynamics emerging from the interactions of households and firms that are adaptive price setters and financially constrained. Adaptive price-setting behavior induces micro-founded out-of-equilibrium dynamics...

This paper presents a 3-region footloose-entrepreneur new economic geography model. Two symmetric regions are part of an economically integrated area (the Union), while the third region represents an outside trade partner. We explore how the spatial allocation of industrial production and...

We propose a behavioural model of technological change with evolutionary switching between costly innovators and free imitators, and study the endogenous interplay of innovation decisions, market price dynamics and technological progress. Innovation and imitation are strategic substitutes and...

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the stochastic volatility innovations can be drawn from any distribution for...

In a general discrete time model of optimal forest management where land may be diverted to alternative use and stocks of standing trees may yield flow benefits, we investigate the economic and ecological conditions under which optimal paths lead to (total) deforestation i.e., complete long term...

The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABMs) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its “phase diagram” in the space of parameters. Our first...

The paper studies the dynamics of housing prices in a pure exchange overlapping generations framework a la Samuelson (1958) and Gale (1973), which is extended to include housing as a utility-yielding durable good and a credit sector. We completely characterize the equilibrium dynamics, which...

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

We extend a continuous-time approximation approach to the analysis of escape dynamics in economic models with constant gain adaptive learning. This approach is based on the application of the results of continuous-time version of large deviations theory to the linear diffusion approximation of...