This paper derives a second-order approximation to the solution of rational expectations, dynamic, general equilibrium models. To illustrate its applicability, the method is used to solve the dynamics of a simple neoclassical model. The paper closes with a brief description of a set of MATLAB...

We characterize a precise comparative static on welfare and the amount of public information in an economy under uncertainty. Results dating to Hirshleifer (1971) have suggested that information can have negative value in such a setting, but counterexamples using competitive equilibrium outcomes...

The buyer solicits bids from suppliers with different cost distributions defined by their capacities. The expected market share of each supplier is the ratio of its capacity to the industry capacity. The buyer's optimal reserve price declines with increases in the concentration of the industry....

This paper studies optimal fiscal and monetary policy

We present the results of an experiment on learning in a continuous-time low-information setting. For a Cournot oligopoly with differentiated products, a dominance solvable game, we find little evidence of convergence to the Nash equilibrium. In an asynchronous setting, play tends toward the...

A growing empirical and theoretical literature argues in favor of specifying monetary policy in the form of Taylor-type interest rate feedback rules. That is, rules whereby the nominal interest rate is set as an increasing function of inflation with a slope greater than one around an intended...

After a contractionary monetary policy shock, aggregate output decreases over time with a trough after a year and a half, while the real interest rate increases immediately, and remains high for about three quarters. A central step in the explanation is obtaining a persistent increase in the...

One of the more common methods used to model international real business cycles is through the use of a dynamic stochastic general equilibrium (DSGE) model. Guo and Sturzenegger (1998) argue that an increasing returns to scale production technology can improve the performance of such a model....

The objective of this paper is to provide an optimizing model of wage and price setting consistent with U.S. data. The paper first investigates the predictions of an optimizing labor supply model for the aggregate nominal wage, taking as given the evolution of prices and quantities. In this part...

The paper analyzes the intensity of choice in an agent based financial optimization problem. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. We specify a model for the allocation of new funds, switching between funds, and withdrawals and...