Society for Computational Economics
Computing in Economics and Finance 2005
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2005
- 99 A Welfare Analysis of Progressive Tax and Transfer Policies: Is the Present System Better than the Flat Tax System?
by Shailesh Bhandari & Ph. D. - 98 Measuring the Effects of Employment Protection on Job Flows: Evidence from Seasonal Cycles
by Justin Wolfers - 96 Segregation in Social Networks
by Vriend N.J. & Fagiolo G. & Valente M. - 95 Unit Root Tests With Markov-Switching
by Xiao Qin & Gee Kwang Randolph Tan - 92 Optimal Experimentation a Comparison of the Perturbation and Dynamic Programming Algorithms
by Michael T. Gapen & Thomas F. Cosimano - 91 An Agent-Based Model of Mortality Shocks, Intergenerational Effects, and Urban Crime
by Michael D. Makowsky - 87 Persistence and Nominal Inertia in a Generalized Taylor Economy: How Longer Contracts Dominate Shorter Contracts
by Engin Kara & Huw Dixon - 84 An estimated open-economy model for the EURO area
by Marco Ratto & Werner Roeger - 83 The Valuation of Multiple Asset American Options under Jump Diffusion Processes
by A. Ziogas & G. Cheang & C. Chiarella - 81 Innovation and Idiosyncratic Risk
by Mariana Mazzucato & Massimiliano Tancioni - 80 Monetary Policy under Adaptive Learning
by Vitor Gaspar & Frank Smets - 79 The Effectiveness of Margin Requirements: Agent-Based Modeling Approach
by Yi-Feng Tzeng & Chung-Yi Yang & Chia-Hsuan Yeh - 78 Time Series Properties Under Price Limits
by Chia-Hsuan Yeh - 77 Pricing American Options under Stochastic Volatility
by Andrew Ziogas & Carl Chiarella - 75 Housing Wealth and Mortgage Contracts
by Joseph B. Nichols - 73 Valuing Pilot Project Investments in Incomplete Markets : A Compound Option Approach
by Eymen Errais & Jeffrey Sadowsky - 72 Agent-Based Computational Laboratories for the Experimental Study of Complex Economic Systems
by Leigh Tesfatsion - 71 An Integrated Treatment of Monte Carlo Numerical Integration Techniques
by J.F. Richard & R. Liesenfeld - 70 Quantifying the Inefficiency of the US Social Security System
by J. C. Parra & M. Huggett - 68 The Phillips Curve Under State-Dependent Pricing
by Rudolf, B. & Bakhshi, H. - 66 Identifying the Influences of Nominal and Real Rigidities in Aggregate Price-Setting Behavior
by Andrew Levin & Günter Coenen - 65 Complexity Measures and Macroeconomic Stability of Centralized and Decentralized Exchange: Evidence from Cross-Cultural Anthropological Data
by James Stodder - 64 Computational Efficiency and Macroeconomic Stability under Centralized Exchange: Evidence from Swiss and US Exchange Data
by James Stodder - 63 Teaching to do economics with the computer
by Kurt Schmidheiny & Harris Dellas - 62 Monetary and Fiscal Interactions without Commitment and the Value of Monetary Conservatism
by Roberto Billi & Klaus Adam - 61 Efficient Allocations in a Dynamic Moral Hazard Economy
by Noah Williams - 60 How the Bundesbank really conducted monetary policy
by Christina Gerberding & Franz Seitz & Andreas Worms - 6 Tycoon: an Implementation of a Distributed, Market-based Resource Allocation System
by Kevin Lai & Lars Rasmusson - 59 Curve Forecasting by Functional Autoregression
by A. Onatski & V. Karguine - 57 Adaptive Control for Economic Models Revisited
by David A. Kendrick - 56 Estimating Single Factor Jump Diffusion Interest Rate Models
by Ghulam Sorwar - 54 Uncertainty, Learning, and Optimal Technological Portfolios: A Dynamic General Equilibrium Approach to Climate Change
by Seung-Rae Kim - 53 Identification and Estimation of Discrete Games of Complete Information
by Stephen Ryan & Patrick Bajari & Han Hong - 52 Should we be surprised by the unreliability of real-time output gap estimates? Density estimates for the Euro area
by James Mitchell - 50 An Agent-Based Computational Laboratory for Testing the Economic Reliability of Wholesale Power Market Designs
by Deddy Koesrindartoto & Junjie Sun - 5 The Use of Downside Risk Measures in Portfolio Construction and Evaluation
by Dr. Brian J. Jacobsen - 49 Climate Change and Extreme Events: an Assessment of Economic Implications
by Roberto Roson & Calzadilla Alvaro & Pauli Francesco - 483 The Valuation Of American Exchange Options Under
by Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas - 48 Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time
by Denis Bolduc & Lynda Khalaf & Clément Yélou - 478 Monetary Policy under Uncertainty in Micro-Founded Macroeconometric Models
by Noah Williams & Andrew Levin & Alexei Onatski - 476 Optimal Fiscal and Monetary Policy In A Medium Scale Macro Model
by Martin Uribe & Stephanie Schmitt-Grohe - 474 Term Structure Estimation with Survey Data on Interest Rate Forecasts
by Athanasios Orphanides & Don H. Kim - 472 Numerical Analysis of Asymmetric First Price Auctions
by Wayne-Roy Gayle - 471 Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing
by Mohammad R. Rahman & Ruppa K. Thulasiram & Parimala Thulasiraman - 47 Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data
by Kris Jacobs & Stephane Pallage & Michel A. Robe - 469 Automated detection and explanation of exceptional values in a datamining environment
by Hennie Daniels & Emiel Caron - 468 Information Visualization Of An Agent-Based Financial System Model
by Wei Jiang & Richard Webber & Ric D Herbert - 466 Fundamental Uncertainties and Firm-level Stock Volatilities
by Yang Yu - 465 The Curse of Dimensionality in Solving, Estimating and Comparing Non-Linear Rational Expectation Models
by Viktor Winschel - 462 Making a match: combining theory and evidence in policy-oriented macroeconomic modelling
by Alasdair Scott & George Kapetanios & Adrian Pagan - 460 Dynamic Limited Dependent Variable Modeling and US Monetary Policy
by George Monokroussos - 46 Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach
by Arabinda Basistha & Richard Startz - 459 Measuring Inflation Persistence: A Structural Time Series Approach
by Maarten Dossche & Gerdie Everaert - 457 Gains from International Monetary Policy Coordination: Does It Pay to Be Different?
by Evi Pappa & Zheng Liu - 456 Sychronization and Staggering in a Model of State-Dependent Pricing
by Alexander L. Wolman & A. Andrew John - 455 The Mundell-Fleming-Dornbusch Model in a New Bottle
by Anthony Landry - 454 Limited Participation, Income Distribution and Capital Account Liberalization
by Eva de Francisco - 453 Dynamic Politico-economic Equilibrium: Aggregation, First-order Conditions, and Computation
by Per Krusell & Marina Azzimonti & Eva de Francisco - 452 Optimal Interest Rate Rules, Asset Prices and Credit Frictions
by Tommaso Monacelli & Ester Faia - 451 Testing for Stationarity and Cointegration in an Unobserved Components Framework
by James Morley & Tara M. Sinclair - 450 The Effects of EU Shocks on the Macrovariables of the Newly Acceded Countries -A Sign Restriction Approach
by Alina Barnett - 45 A Time-Frequency Analysis of the Coherences of the US Business
by Christian Richter & Andrew Hughes Hallett - 449 Option pricing with sparse grids
by Thomas Mertens - 448 Interbank market under the currency board: Case of Lithuania
by Marius Jurgilas - 446 Solving RE models for dummies
by Patrick Fève & Fabrice Collard - 445 User-Friendly Parallel Computations with Econometric Examples
by Michael Creel - 44 The Microstructure of the Italian Overnight Money Market
by G. Iori & O. Precup - 438 Multi-core CPUs, Clusters and Grid Computing: a Tutorial
by William L. Goffe & Michael Creel - 437 Robustifying Learnability
by Peter von zur Muehlen & Robert J. Tetlow - 434 Margins and Transaction Taxes in an Artificial Speculative Futures Market
by Leanne J. Ussher - 431 DSGE Models in a Data-Rich Environment
by Marc P. Giannoni & Jean Boivin - 430 An Evolutionary Analysis of Investment in Electricity Markets
by Manuel L. Costa & Fernando S. Oliveira - 43 Swing Options: A Mechanism for Pricing Peak IT Demand
by Bernardo A. Huberman & Scott H. Clearwater - 429 A Rational Expectations Model of Optimal Inflation Inertia
by Michael Kumhof & Douglas Laxton - 427 Simple Pricing Rules, the Phillips Curve and the Microfoundations of Inflation Persistence
by Richard Mash - 423 Education and Self-Employment: Relationships between Earnings and Wealth Inequality
by Yaz Terajima - 422 Optimal cheating in monetary policy with individual evolutionary learning
by Jasmina Arifovic & Olena Kostyshyna - 421 Predatory Governance
by Dalida Kadyrzhanova - 42 Financial Computational Intelligence
by Chiu-Che Tseng & Yu-Chieh Lin - 419 International Capital Flows in a World of Greater Financial Integration
by Viktoria Hnatkovska & Martin Evans - 416 Information Flows and Aggregate Persistence
by Oleksiy Kryvtsov - 415 Housing, Personal Bankruptcy, Entrepreneurship
by Yaz Terajima & Cesaire Meh - 414 A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance
by Matt Pritsker - 412 A Computational Approach to Proving Uniqueness in Dynamic Games
by Karl Schmedders & Ken Judd - 411 Computation of Moral-Hazard Problems
by Kenneth L. Judd & Che-Lin Su - 410 Estimating Strategic Complementarities in Credit Union’s Outsourcing Decisions
by Andrew Cohen & Ron Borzekowski - 41 Offer Games and Non-Market-Clearing Nash Equilibria: a Biform Game Analysis and Agent-Based Simulation Study
by Roger A. McCain - 409 High Frequency Multiplicative Component Garch
by Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle - 408 Portfolio Choice and Permanent Income
by Stanley Zin & Thomas Tallarini - 407 The Behavior of Banks under the Deposit Insurance and Capital Requirements
by Xiaozhong Liang - 405 On the Benefits of Exchange Rate Flexibility under Endogenous Tradedness of Goods
by Kanda Naknoi & Michael Kumhof & Douglas Laxton - 404 Estimating the Deep Parameters of RBC Model with Learning
by Stefano Eusepi & Stefania D'Amico - 402 Uncertainty about the Persistence of Periods with Large Price Shocks and the Optimal Reaction of the Monetary Authority
by Gonzalez F. & Rodriguez A. & Gonzalez-Garcia J.R. - 401 Tax Policies, Vintage Capital, and Entry and Exit of Plants
by Dennis W. Jansen & Shao-Jung Chang - 400 Robust Monetary Policy with Imperfect Knowledge
by John C Williams & Athanasios Orphanides - 40 Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
by Marno Verbeek & Jeroen VK Rombouts - 4 Finding an Example of an Optimising Agent with Cyclical Behaviour
by Peter J. Stemp - 397 Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution
by Sheri Markose & Amadeo Alentorn - 396 Designing large value payment systems: an agent based approach
by Jing Yang & Sheri Markose & Amadeo Alentorn - 394 Numerical investigation on bottom-up fluctuation of investment
by Yuya Sasaki & Makoto Nirei - 393 On-the-Job Search and Wage Rigidity in a General Equilibrium Model
by Robert M. Hussey - 391 A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem
by Simon Lysbjerg Hansen - 390 Bond Yield Predictability and Estimation of Affine Term Structure Models
by Bovorn Vichiansin - 39 Elasticity of Substitution and the Persistence of the Deviation of the Real Exchange Rates
by Stephen J. Turnovsky & A.K.M. Mahbub Morshed - 389 Noisy Earnings Reports and the Equity Premium
by Gorkem Ozer & Paul Beaumont - 388 The Design of Monetary and Fiscal Policy: A Global Perspective
by Stefano Eusepi & Jess Benhabib - 387 Shifting Expectations about Technology Growth as a Propagation Mechanism
by Masashi Saito - 385 Worst-case estimation and asymptotic theory for models with unobservables
by Jose M. Vidal-Sanz & Mercedes Esteban-Bravo - 384 The Long and the Short of It: Long Memory Regressors and Predictive Regressions
by Aaron Smallwood; Alex Maynard; Mark Wohar - 382 Information In Data Revision Processes: Payroll Employment And Real-Time Measurement Of Employment
by Peter Zadrozny & Ellis Tallman - 381 A decomposition method to deflate the curse of dimensionality for dynamic stochastic models
by Mercedes Esteban-Bravo & F. Javier Nogales - 380 A Threshold Model of Monetary Policy
by Michael D. Bradley & Dennis W. Jansen - 38 Optimal Capital Structure and the Term Structure of Interest Rates
by Xin Wang & Chris Downing - 379 The Determinants of Market Frictions in the Corporate Market
by Egon Zakrajsek & Andrew Levin & Roberto Perli - 378 Testing Substitution Bias of the Solow-Residual Measure of Total Factor Productivity Using CES-Class Production Functions
by Peter A. Zadrozny & Baoline Chen - 377 Do Terms of Trade Shocks Drive Business Cycles? Some Evidence from Structural Estimation
by Thomas Lubik & Wing Leong Teo - 376 Testing for Structural Breaks in Covariance: Exchange Rate Pass-Through in Canada
by Maral Kichian & Lynda Khalaf - 375 Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies
by Giulio Bottazzi & Mikhail Anufriev - 374 The Value of Knowledge Flows: Evidence from Patent Citations Data
by Yi Deng - 373 The Temptation of Emergence or: Don't Rush into Economic(al) Explanations
by Norman Ehrentreich - 372 The Impact of Housing Decisons on Business Cycles
by Steve Ambler & Emanuela Cardia & Christian Zimmermann - 371 Testing Near-Rationality Using Detail Survey Data
by Stefan Palmqvist & Michael F. Bryan - 370 Price setting in General Equilibrium: Alternative Specifications
by de Walque, G. & Smets, F. & Wouters, R. - 37 Commercial Mortgage Backed Securities: How Much Subordination is Enough?
by Nancy Wallace & Chris Downing - 369 Optimal Inflation Persistence: Ramsey Taxation with Capital and Habits
by Sanjay K. Chugh - 367 Stochastic Volatility in DSGE models
by Giorgio Primiceri & Alejandro Justiniano - 366 Capital Accumulation in the Presence of Informal Credit Contract: Does Incentive Mechanism Work Better than Credit Rationing Under Asymmetric Information?
by basab dasgupta - 364 Taxes and quotas for a Stock Pollutant with Multiplicative Uncertainty: A Comment
by Fidel Gonzalez - 363 TIPS: Taking Inflation Premium Seriously
by Min Wei & Stefania D'Amico & Don H. Kim - 362 Monetary Policy, Determinacy, and Learnability in the Open Economy
by Eric Schaling & James Bullard - 360 Consumption, Growth and Asset Pricing: A Regime Switching and Robust Control
by Sel Dibooglu & Turalay Kenc - 359 Cross Equation Effects of Misspecification: A partial estimation approach to DSGE Models
by Kai Christoffel - 358 On the Distributional Effects of Trade Policy: A Macroeconomic Perspective
by Luis San Vicente Portes - 357 Structural Breaks in Estimated DSGE Models with Indeterminacy
by Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod - 356 Financial Frictions, Distribution Costs, and Current Account Crises
by Sylvain Leduc & Diego Valderrama - 355 Operational risk management and new computational needs in banks
by Duc PHAM-HI - 354 Co-evolution of bounded rational agents in adaptive social networks
by Lugo, H. & Dalmagro & F. Jiménez J. - 351 Agency Conflicts, Investment, and Asset Pricing
by Neng Wang & Rui Albuquerque - 35 The Futures Pricing Puzzle
by Shafiqur Rahman & M. Shahid Ebrahim - 349 Debt stabilizing fiscal rules
by Philippe Michel & Leopold von Thadden & Jean-Piere Vidal - 348 Paper or Plastic? The Effect of Time on Check and Debit Card Use at Grocery Stores
by Elizabeth Klee - 347 An Integrated Approach For Stock Price Forecasting
by Alvaro Veiga & Gustavo Santos Raposo - 346 Exponential Multivariate Autoregressive Conditional High Frequency Data Model
by Alvaro Veiga & Gustavo Santos Raposo - 345 Persistence, Propagation and On-the-Job Search
by Michael Krause & Thomas A. Lubik - 344 Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter
by Matthieu LEMOINE & Odile CHAGNY - 343 A Re-Examination of the Determinants of Economic Growth Using Simultaneous Equation Dynamic Panel Data Models
by Susanne Broeck & Michael Binder - 341 Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations
by Wolfgang Lemke - 340 Optimal Monetary Policy in a Two Sector with Different Degree of Price and Wage Stickiness
by Massimiliano Marzo & Thomas A. Lubik - 339 Black-White Labour Market Conditions and Property Crime in the US: A Quantitative Analysis
by Marco Cozzi - 338 Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches
by M. Gilli & I. Roko - 337 Are We There Yet? Looking for the New Economy
by Simon van Norden - 336 Solving for the Global Nonlinear Saddlepath: Reverse Shooting vs. Approximation Methods
by Manoj Atolia & Edward F. Buffie - 334 Agent-based simulation of power exchange with heterogeneous production companies
by Silvano Cincotti & Eric Guerci - 333 Volatility and realized quadratic variation of differenced returns
by Esben Hoeg - 33 Model Uncertainty and Endogenous Volatility
by George W. Evans & William A. Branch - 329 Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence
by Mark E. Wohar & David E. Rapach - 328 Endogenous Tax Evasion and Reserve Requirements: A Comparative Study in the Context of European Economies
by Rangan Gupta - 324 Optimal Unemployment Insurance in a Search Model with Variable Human Capital
by Andreas Pollak - 323 Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements
by Refet Gürkaynak & Brian Sack - 322 Firms’ Network Formation Through The Transmission Of Heterogeneous Knowledge
by Rainer Andergassen & Franco Nardini - 321 A Limited Information Approach to the Simultaneous Estimation of Wage and Price Dynamics
by Argia M. Sbordone - 320 A dynamic model of a monetary production economy under the disequilibrium economics approach
by Marco Raberto & Andrea Teglio - 319 Bootstrap inference on a nonlinear time series model of advertising effects
by Miguel A. Arranz - 318 An Estimated DSGE Model for The German Economy
by Ernest Pytlarczyk - 317 Estimating an Open Economy SDGE Model for the Euro Area
by Andreas Beyer & Ricardo Mestre - 314 Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
by Ali Dib & Ian Christensen - 313 Monetary Policy Shifts, Indeterminacy and Inflation Dynamics
by Paolo Surico - 31 The long-run output-inflation trade-off in the presence of menu costs
by James Yetman & Wai Yip Alex Ho - 309 Did the Tail Wag the Dog? Fiscal Policy and the Federal Reserve during the Great Inflation
by Thomas A. Lubik - 307 Assessing the Value of On-line Information Using a Two-sided Equilibrium Search Model in the Real Estate Market
by Paul E. Carrillo - 306 Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area
by Virginia Queijo - 304 Accounting for Changes in the Homeownership Rate
by Matthew Chambers & Carlos Garriga - 30 Strong contagion with weak spillovers
by Martin Ellison & Liam Graham & Jouko Vilmunen - 3 The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective
by Tao Wu & Glenn Rudebusch - 299 The Emergence of Local Norms in Networks
by Mary Burke & Gary Fournier - 298 A Two Sector Small Open Economy Model. Which Inflation to Target?
by Nooman Rebei & Eva Ortega - 296 Investigating the effect of changes in Signals, Noise and Agent Types in Cascade Models
by Debra Smarkusky & Margo Bergman - 295 Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision
by David Goldbaum & Bruce Mizrach - 293 The Fed and the Stock Market
by Paolo Surico & Antonello D'Agostino & Luca Sala - 291 Investment-Specific Technical Change and the Production of Ideas
by Roberto M Samaniego - 290 Financial markets with heterogeneous agents as nonlinear news filters
by Cees Diks - 29 Dynamic Portfolio Optimization and Economics Uncertainties
by Xiaolou Yang - 289 Specification and the Technology-Hours Debate: What Can We learn from Bayesian VARSs?
by Florian Pelgrin & Paul Corrigan - 287 Production, Capital Stock and Price Dynamics in Simple Model of Closed Economy
by Kodera J. & Vosvrda M. - 286 LESSONS ABOUT GROWTH, CONVERGENCE AND TRADE FROM ANALYTICAL AND NUMERICAL SOLUTIONS OF A 2x2 OVERLAPPING GENERATIONS MODEL FOR A GROWING-POPULATION ECONOMY
by Serdar Sayan & Mehdi Jelassi - 285 Multiscale Representation of Agents Heterogeneous Beliefs in Analysis of CAC40 Prices with Frequency Decomposition
by Serge Hayward - 284 An Analysis on Simulation Models of Competing Parties
by Jie-Shin Lin - 283 SOCIODYNAMICA: An agent based computer simulation studying the interacting web of biological, social and economic behaviors
by Klaus Jaffe - 282 Time Consistent Control in Non-Linear Models
by Steven Ambler & Florian Pelgrin - 28 An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle
by Riccardo Corradini - 279 Test for serial independence based on quadratic forms
by Cees Diks & Valentyn Panchenko - 277 Social Networks in Labor Markets: The Effects of Symmetry, Randomness and Exclusion on Output and Inequality
by Andrea Mario Lavezzi & Nicola Meccheri - 275 On the Effects of Redistribution on Growth and Entrepreneurial Risk-Taking
by Maik Heinemann & Christiane Clemens - 274 Real-time data for Norway: Output gap revisions and challenges for monetary policy
by Tom Bernhardsen & ØYvind Eitrheim - 273 Stock returns and economic activity; evidence from wavelet analysis
by Marco Gallegati - 272 The accuracy of welfare computations
by Michel Juillard - 271 Computing optimal policy functions in a timeless perspective: An application
by Florian Pelgrin & Michel Juillard - 270 Forecasting Aggregates by Disaggregates
by Kirstin Hubrich & David F. Hendry - 268 The Role of Group Size and Competition in Minimum Effort Coordination Games. An Agent Based Approach
by Thomas Riechmann - 267 Mean Variance Optimization of Forward Looking Systems and Worst-case Analysis
by Volker Wieland & Berc Rustem & Stanislav Zakovic