We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Rejuveniles are "grown-ups who cultivate juvenile tastes in products and entertain-ment". In this note, we study a standard AK growth model of overlapping gener-ations populated by rejuveniles. For our purposes, rejuveniles are old agents whoderive utility from "keeping up" their consumption...

Researchers have incorporated labor or credit market frictions in isolation within simple neoclassical models to open up a role for institutions, inject realism into their models and examine the impact of these distortions on output and employment. We present an overlapping generations model...

How important is financial development for economic development? A costly state verification modelof financial intermediation is presented to address this question. The model is calibrated to match factsabout the U.S. economy, such as intermediation spreads and the firm-size distribution for the...

We study cross-country differences in the aggregate production function whenskilled and unskilled labor are imperfect substitutes. We find that there is a skill biasin cross-country technology differences. Higher-income countries use skilled labormore efficiently than lower-income countries,...

This paper introduces various sources of consumer heterogeneity in one-sector representative consumer (RC) growth models and develops tools to study the evolution of the distribution of consumptions, assets and incomes.[...]

Building a model with three imperfect markets – goods, labor and credit – representing aproduct’s life-cycle, we find that goods market frictions drastically change the qualitative andquantitative dynamics of labor market variables. The calibrated model leads to a significantreduction in...

Unemployment may depend on equilibrium in other markets than the labor markets. Thispaper adresses this old idea by introducing search frictions on several markets: in a model ofcredit and labor market imperfections as in Wasmer and Weil (2004), I further introducesearch on the goods market. The...