I argue that the economy of the early Roman Empire was primarily a market economy. The parts of this economy located far from each other were not tied together as tightly as markets often are today, but they still functioned as part of a comprehensive Mediterranean market. This conclusion is...

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

Herding arises when an agent's private informationis swamped by public information in what Jackson and Kalai (1997) call a recurring game. The agent will fail to reveal his own information and will follow the actions of his predecessor and, as a result, useful information is lost, which might...

To interpret estimates of empirical earnings functions, and to resolve sample selection problems such as "tenure bias", the wage determination process must be specified. This paper show that an earnings function can be interpreted as a wage offer in a labour market auction in which the worker...

This paper examines experimental evidence relating to herd behaviour in situations when subjects can learn from each other, and can delay their decision. Subject acted rationally, gaining from observational learning, despite penalties for delay. Cascades were ubiquitous and reverse-cascades...

Using a stochastic sequential game in ergodic equilibrium, this paper models limit order book trading dynamics. It deduces investor surplus and some agents' strategies from depth's stationarity, while bypassing altogether agents' intricate forecasting problems. Market inefficiency adjusts to...

We analyse a cointegrated VAR comprising UK data on consumer prices, unit labour costs, import prices and real consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation of the system to one comprising inflation and relative...

The object of this paper is the analysis of the effects of labour market institutions on the employment dynamics over the cycle. In the first part a theoretical framework is provided with particular emphasis on working time regulations. The conclusions of the model are empirically tested in the...