Precautionary saving has engendered much interest, both because of the possibility that it can explain why, contrary to the basic Lifecycle/Permanent-Income Hypothesis, consumption roughly tracks income over the lifecycle and because of speculation that precautionary saving might account for a...

Parallel particle filters for evaluation of the likelihood of DSGE models are implemented and evaluated in a distributed memory message-passing context. In our paper special emphasis is put on the details of the interprocessor communication which is necessary for load balancing in the particle...

We determine the optimal degree of price inflation volatility when nominal wages are sticky and the government uses state-contingent inflation to finance government spending. We address this question in a well-understood Ramsey model of fiscal and monetary policy, in which the benevolent planner...

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

The empirical difficulties associated with estimating the effects of changes in interest rates and corporate tax policy on business fixed investment are often blamed on a lack of identification. In this paper, we study the effect of variation in interest rates on investment spending, employing a...

We investigate whether monetary policy defined as an interest rate rule should respond to stock prices fluctuations under the following two criteria: 1) the rule must guarantee a unique equilibrium and 2) the MSV representation of this unique equilibrium must be learnable in the E-stability...

This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...

Over the last two decades the United Kingdom has experienced a dramatic increase in the amount of household debt and in the level of house prices. The question which interests us is the extent to which these developments can be explained through structural changes to the UK economy. These...

This paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the $L_1$ error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for...

Computationally efficient parallel algorithms for downdating the least-squares estimator of the ordinary linear model (OLM) are proposed. The algorithms are block versions of sequential Givens strategies and efficiently exploit the triangular structure of the matrices. The first strategy...