Abstract In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results of this paper on time consistency;...

This paper explores the relationship between environmental protection and international capital movements, when tax policy is endogenous (through voting). A two-period general equilibrium model of a small open economy is specified to compare the effects of two different constitutions (commitment...

We model denial of death and its effect on economic behavior. Attempts to reduce death anxiety and the possibility of denial of mortality-relevant information interact with intertemporal choices and may lead to time-inconsistent behavior and other “behavioral” phenomena. In the model,...

Summary This paper analyzes the dynamic effects of oil price increases in a small two-country monetary union with asymmetric wage adjustment equations. Common oil price shocks lead during the adjustment process to temporary divergences in output and inflation and also to reversals in the...

Abstract We develop a graphical 3-equation New Keynesian model for macroeconomic analysis to replace the traditional IS-LM-AS model. The new graphical IS-PC-MR model is a simple version of the one commonly used by central banks and captures the forward-looking thinking engaged in by the policy...

Abstract The present paper analyzes an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market. We solve the optimization problem under partial information by making the market...

This article presents the relationship between a firm's advertisement spending and sales in a duopoly when information about the competitors' advertisement spending is unavailable. The competitive interaction between the firms has been modeled as imperfect information Cournot and Stackelberg...

This article describes how rank aggregation focuses on synthesizing a single ranked list based on rankings supplied by multiple judges. Such aggregations are widely applied in the areas of information retrieval, web search, and data mining. The problem of rank aggregation has been shown to be...

Abstract We design a discrete time arbitrage-free model under incomplete information for application to credit risk models in the spirit of Duffie and Lando (2001). We assume a fundamental value process evolving according to a complete market model and a sequence of imperfect signals conveying...

Abstract This paper provides a non-technical introduction to a procedure to find Perfect Bayesian equilibria (PBEs) in incomplete information games. Despite the rapidly expanding literature on industrial organization that uses PBE as its main solution concept, most undergraduate and graduate...