Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data. Furthermore, the extent of such disagreement varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation...

The purpose of this paper is to present a new approach to evaluating structural change of the economy in a multisector general equilibrium framework. The multiple calibration technique is applied to an ex post decomposition analysis of structural change between periods, enabling the distinction...

Apart from the risk premium of equity over bonds, volatility of asset prices and trading volumes are two aspects of the already developed general equilibrium asset pricing theory that fail to show any resemblance with real data. The assumption of agent homogeneity has been relaxed in a number of...

We evaluate the second order solution of a general equilibrium model for a small open economy in the line of the "new open economy macroeconomics". We use this framework to explain some recent regularities observed in economies in which central banks move from using a money aggregate as the...

We reconsider the derivation of the traditional capital asset pricing model (CAPM) in the discrete time setting for a portfolio of one riskless asset and many risky assets. In contrast to the standard setting, it is assumed that agents are heterogeneous in their conditional means and covariances...

In this paper, we develop a Bayesian approach to counterfactual analysis of structural change. Contrary to previous analysis based on classical point estimates, this approach provides a straightforward measure of estimation uncertainty for the counterfactual quantity of interest. We apply the...

This note describes ParallelKnoppix, a bootable CD that allows econometricians with average knowledge of computers to create and begin using a high performance computing cluster for parallel computing in very little time. The computers used may be heterogeneous machines, and clusters of up to...

This paper analyzes if each European country presents business cycles that are similar enough to validate what some authors call the European cycle. Contrary to the majority of papers on business cycles, we concentrate on the appearance of the cycle, not on the synchronization. We provide a...

This paper investigates how bank profitability is affected by the corporate income tax (CIT). For this purpose it uses aggregate data of the banking sector of the main industrialized countries, for the period 1980-2003. The main novelties with respect to the existing literature are two. First,...

Suppose that we observe two independent stationary time series and let us assume that the one is related with the other by means of a semiparametric model. A statistical methodology is outlined here where the information from both time series is combined and used on the comparison of the two...