In an in‡uential series of contributions, Kraay and Ventura (2000, 2003) o¤er a“new rule” for the current account: in response to a temporary income shock, thechange in the current account is equal to the change in saving times the ratio of netforeign assets to wealth. We analyze the...

This article studies the e¤ect of limited commitment on stock return volatility in a dynamicgeneral equilibrium economy populated by investors with heterogeneous beliefs. Due to het-erogeneity of beliefs investors disagree about the fundamentals, introducing an additional riskfactor denoted...

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

The English auction is susceptible to tacit collusion when post-auction interbidderresale is allowed. We show this by constructing equilibria where, withpositive probability, one bidder wins the auction without any competition anddivides the spoils by optimally reselling the good to the other...

We experimentally explore individual and interactive decision making ina sequential search task and test whether generally accepted principles ofbounded rationality (aspiration formation, satisficing, and aspiration adjustment)adequately explain the observed search behavior. Subjects can, at...

Das vorliegende Papier beschäftigt sich mit der Frage, wie viele ausländische Euro-Münzenpro Tag in ein Euro-Land einströmen. Dafür formulieren wir ein kleines formalmathematischesModell, das wir für den Fall Deutschlands und 1-Euro-Münzen kalibrieren.Die Einführung der Euro-Münzen 2002...

This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...

Traditional monetary theory has largely ignored the role ofbank equity. Bank-centered accounts of how monetarypolicy affects the real economy usually focus on the role ofreserves and reserve requirements in determining the volumeof demand deposits and, in the case of the bank lendingchannel,...