We use a Taylor rule with time-varying policy coefficients in combination with an unobserved components model for the output gap to estimate the uncertainty about future values of the Federal Funds Rate. The model makes it possible to separate ex-ante interest rate uncertainty into three...

Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets where high volatility and nonlinear...

The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series. In fact, the Fractal Market Hypothesis assumes that the returns dynamics are not independent of the investors’ attitudes and represent the...

In this note, we revisit the univariate unobserved-component (UC) model of US GDP by relaxing the traditional random-walk assumption of the permanent component. Since our general UC model is unidentified, we investigate the upper bound of the contribution of the transitory component, and find it...

This article analyses the evolution of foreign capital weigh in 500 biggest companies based on Big Firms Survey carried by official statistical bureau, INDEC. Next other episodes of expansion and contraction of foreign capital are accounted for. Based on that facts, we propose a conceptual...

A HIGHLY IMPROVED VERSION OF THIS PAPER CAN BE FOUND AT http://english.mnb.hu/Kiadvanyok/mnben_mnbfuzetek/mnben_elozo/mnben_WP_2010_8 This paper provides a comprehensive analysis of the relative performance of inflation targeting, price level targeting, and hybrid targeting of them in a simple...

This paper constructs an overlapping generations model with a frictional labor market to explain persistent low education in developing countries. When parents are uneducated, their children often face difficulties in finishing school and therefore are likely to remain uneducated. Moreover, if...

An artificial neural network (hence after, ANN) is an information processing paradigm that is inspired by the way biological nervous systems, such as the brain, process information. In previous two decades, ANN applications in economics and finance; for such tasks as pattern reorganization, and...

Measuring the contribution of services to the Indian economy is a challenging task because it presents problems not encountered in the primary and secondary sectors. The authors discuss problems found particularly in quantifying the contribution of the banking and software sectors and suggest...

We show that in oligopolistic markets the social choice correspondence which selects all socially efficient outcomes is Nash implementable if the number of firms is at least two. Thus, monopoly regulation whenever consumers are favored by the designer or the society is the only framework, among...