We describe an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectations models. The paper also explains methods for using such an approximate solution to generate forecasts, simulated time paths for the model, and evaluations of...

This paper solves an incomplete market model with infinite number of agents and exogenous borrowing constraints described in den Haan, Judd and Juillard (2004). We apply the idea of “barrier methods” to convert optimization problem with borrowing constraints as inequalities into a problem...

This paper studies optimal tax policy design problem by employing a two-country dynamic general equilibrium model with incomplete asset markets. We investigate the possibility of welfare-improving active, contingent tax policies (tax rates respond to changes in productivity) on consumption, and...

We examine the de facto exchange rate arrangements in East Asia by applying the methods suggested by Calvo and Reinhart (2002) and Kim (2004). Estimation results suggest that three East Asian countries in our sample adopted a hard peg or a peg with capital account restrictions in the post-crisis...

This paper documents evidence of business cycle synchronization in selected Asia Pacific countries in the 1990s. We explain business cycle synchronization by the channel of international capital flows. Using the VAR method, we find that most Asian countries experience boom-bust cycles following...