The attractiveness of spatial autoregressive models has increased significantly. The awareness of important spatial interactions arose in various fields. In economics, interactions can be due to interdependencies between entities such as states, firms, or consumers. Examples are spatial...

The accuracy of the solution of dynamic general equilibrium models has become a major issue. Recent papers, substituting second order for first order approximations, have shown to obtain significant differences in accuracy. Second order approximations have had some considerable success in...

Recent theoretical work by Cooley and Quadrini (2001) highlight the role of financial frictions in models of firm dynamics. This paper investigates empirically the implications of the Cooley and Quadrini (2001) model for the determinants of firm size dynamics with special emphasis on financial...

Emprical studies of hyperinflations reveal that the rational expectations hypothesis fails to hold. To address this issue, we study a model of hyperinflation and learning in an attempt to better understand the volatility in movements of expectations, money, and prices. The findings surprisingly...

We analyze how strategic asset trading can be used to gain competitive advantage. In the case of electricity markets, companies seek to improve the value of their generating portfolios by acquiring, or selling, power plants. Accordingly, we derive the basic determinants of plant value,...

We provide evidence that higher moments of the relative price distribution improve out-of-sample forecasts of inflation. Further, we show how theoretically consistent higher moments can be calculated by expanding the seminal work by Theil (1967). Results presented here are of direct relevance to...

Alvarez and Jermann (2000) show that the constrained efficient allocations of endowment economies with complete markets and limited commitment can be decentralized with endogenous borrowing limits on the Arrow securities. In a model with capital accumulation, aggregate risk and competitive...

The market value of U.S. corporations was nearly halved following the oil crisis of October 1973. Real energy prices more than doubled by the end of the decade, increasing energy costs and spurring innovation in energy-saving technologies by corporations. This paper uses a neoclassical growth...

The objective of this paper is the evaluation of different Value at Risk (VaR) methodologies. In particular, four VaR methodologies (Normal, GARCH, Historical Simulation and Extreme Values (EV)), are compared for 36 indexes covering stock-exchanges worldwide. This paper proposes for the EV...

Central puzzles in international macroeconomics are why fluctuations of the real exchange rate are so volatile with respect to other macroeconomic variables, and the contradiction of efficient risk-sharing. Several theoretical contributions have evaluated alternative forms of pricing under...