Macroeconomic and aggregate financial series share an unconventional type of nonlinear dynamics. Existing techniques (like co-integration) model these dynamics incompletely, hence generating seemingly paradoxical results. To avoid this, we provide a methodology to disentangle the long-run...

We develop a tractable RBC model of the stock market with heterogenous firms. Shares value rests on the rent extracted from proprietary technology à la Dixit-Stiglitz. We prove the existence and uniqueness of the fundamental equilibrium. Closed form solutions are provided for the market...

We detect a new stylized fact that is common to the dynamics of all macroeconomic series, including financial aggregates. Their Auto-Correlation Functions (ACFs) share a common four-parameter functional form that arises from the dynamics of a general equilibrium model with heterogeneous firms....

We provide a methodology to disentangle the long-run relation between variables from their own dynamics. Macroeconomic and aggregate financial series have a high degree of inertia. If this persistence is not properly accounted for, spurious correlations will give rise to paradoxes. Our procedure...

We establish the nature of the dynamics of the exchange rate in a two country model with heterogenous firms a la Abadir and Talmain (2002).

We introduce firm heterogeneity into the standard monopolistically-competitive Real Business Cycle (RBC) model. The fundamental equilibrium path is derived and the time series properties of aggregate GDP are studied analytically. Although firms' productivities are subject to temporary shocks,...

Suppose we have observations ranging over t=0,1,…T on real net investment, {I_{n,t}}₀^{T}, and on real gross investment, {I_{g,t}}₀^{T}. We derive a method of calculating the depreciation rate for each of the periods {δ_{t}}₁^{T}, and estimating `the' implied net capital stock...

We derive a method to link exactly the autocovariance functions of two arbitrary instantaneous transformations of a time series. This is useful, for example, when one wishes to describe the time-series effect of applying a nonlinear transformation to a series whose properties are known. As an...