The effect of the high/low liquidity in the market on the asset price forecasting is studied by deriving a system of ordinary differential equations. The model is an extension of that introduced by Caginalp and Merdan for the system involving a single asset traded by heterogenous groups....

For much of the last four decades, leading analysts have used large Keynesian macroeconomic models to prepare macroeconomic forecasts. More recently, VAR models have become a popular alternative. Despite their usefulness in preparing unconditional forecasts, VAR models are unsuitable for policy...