Aggregate fluctuations display both persistence and damped oscillations in response to transitory shocks. The one sector growth model cannot explain these patterns. This major defect of this model results in its total inability to produce endogenous cycling, because its stable eigenvalues are...

This paper explores the consequences of non-additive expected utility on risk-sharing and equilibrium in a general equilibrium set-up. We establish that convexity of an agent's preferences (or strong uncertainty aversion) is equivalent to the convexity of his capacity and concavity of his...

This paper studies the equilibrium dynamics of an overlapping generations model with capital, money and cash-in-advance constraints. At each date the economy can experience two different regimes. In the first one the cash-in-advance constraint is binding and money is a dominated asset. In the...

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for...

Dans ce papier, nous presentons un certain nombre de techniques qui peuvent etre derivees de l'algorithme de Kohonen, telles que la representation des contenus des classes, la visualisation des distances entre les classes, une rapide et robuste classification a deux niveaux emboites bases sur...

We propose in this paper a framework based on a canonical representation of the long run matrix, which can constitute a basis for Granger non-causality testing in a VAR-ECM model using asymptotically Chi-square distributed Wald test statistics, and that unlike Giannini and Mosconi (1992),...

In a previous paper, Abouda and Chateauneuf proved that for RDEU maximizing MM with non-increasing marginal utility, positivity of the bid-ask spread can be identified with a very weak form of risk aversion SMRA. We perform here a more thorough study of SMRA, firstly in a general setting, and...

In this paper, we study the intertemporal equilibria of an infinite-lived representative agent model with public debt. We show that for a given path of government expenditures, there generally exist a continuum of equilibria depending on various debt policies.

We study attitudes towards risk in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected utility by another functional, which is characterised by two functions, a utility function on outcomes in conjunction with a probability-perception function. We use the notion of...

Normative models of behaviour under risk in the framework of expected utility (EU) or under uncertainty in the framework of subjective expected utility (SEU) are very limited. In this survey paper, it is shown that non-expected utility (non-EU) models based on the Choquet integral allow for much...