Chiarella, C; He, X; Pellizzari, P(Cambridge University Press, 2012-01)
Inspired by the theoretically oriented dynamic analysis of moving average rules in the model of Chiarella, He, and Hommes (CHH) [Journal of Economic Dynamics and Control 30 (2006), 1729-1753], this paper conducts a dynamic ...
Johnson, M; Keane, M(The University of Chicago, 2013-01)
We develop an equilibrium model of the US labor market, fit to Panel Study of Income Dynamics data from 196896. Our main innovation is a finer differentiation of types of labor than in prior work (i.e., by occupation, ...
A dynamic structural model of labor supply, welfare participation, and food stamp participation is estimated using the 1992, 1993, and 1996 panels of the Survey of Income and Program Participation. Details of various ...
Geweke, J; Runkle, D(Federal Reserve Bank of Minneapolis, 1995-01)
Almost everyone would agree--even we in the Federal Reserve System--that monetary policy can be improved. But improving it requires accurate empirical descriptions of the current policy and the relationship between that ...
Housing prices have plummeted across the United States. This article examines differences in the magnitude of housing price decreases across metropolitan areas. A small number of housing market variables observable before ...
One of the earliest problems considered and analysed by econometricians was that posed by the presence of autocorrelation in regression models In the now classic article by Cochrane and Orcutt a definitive treatment of the ...
The article investigates the impact of mean-reverting forecasts in a model of asset pricing with two groups of investors under market clearing. Fundamentalists believe that asset prices follow an exogenous stochastic ...
Van de Venter, G; Michayluk, D; Davey, G(Elsevier, 2012-01)
Academics are divided as to whether financial risk tolerance is an enduring psychological trait and as a consequence is less likely to change over the life of an individual, or a variable psychological state which varies ...
The decline in industrial disputes over the last two or three decades in Australia and abroad has been noted by labour market researchers and commentators in general. Most if not all of this recent research and commentary ...
This research compares several approaches to inference in the multinomial probit model, based on two Monte Carlo experiments for a seven choice model. The methods compared are the simulated maximum likelihood estimator ...
We consider the American option pricing problem in the case where the underlying asset follows a jump-diffusion process. We apply the method of Jamshidian to transform the problem of solving a homogeneous integro-partial ...
In a simple model of financial market dynamics, we allow the price of a risky security to be set by a market maker depending on the excess demand of heterogeneous interacting traders, fundamentalists and chartists, who ...
In this paper, we model the elderly's choice among health plans using data from a 1988 study of the MinneapolisSt. Paul Medicare health plan market. We show how attitudinal data can be combined with revealed preference ...
The traditional asset-pricing models such as the capital asset pricing model (CAPM) of [42] and [34], the arbitrage pricing theory (APT) of [40], or the intertemporal capital asset pricing model (ICAPM) of [38] have as one ...
This paper considers the traditional cobweb model with heterogenous risk averse producers whose supply functions involve their estimates of the conditional mean and variance of the future price. The producers seek to learn ...
This paper offers an analytical framework for analyzing joint and separate decisions by couples in the context of choice experiments for nonmarket valuation. It reports results from an attribute-based stated preference ...
The characterisation of agents' preferences by decreasing absolute risk aversion (DARA) and constant relative risk aversion (CRRA) are well documented in the literature and also supported in both empirical and experimental ...
Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. ...