• Endogenous Network Dynamics 

  Wooders, Myrna H.; Page, Frank H. Jr. (Center for Applied Economics and Policy Research, 2009-02-24)

  Modeling club structures as bipartite directed networks, we formulate the problem of club formation as a noncooperative game of network formation and identify conditions on network formation rules and players' network ...
• Demographic Uncertainty and Welfare in a Life-cycle Model under Alternative Public Pension Systems 

  Rahman, M Saifur (Center for Applied Economics and Policy Research, 2008-09-19)

  In this paper, I analyze consumption, aggregate savings, output and welfare implications of five different social security arrangements whenever there is demographic uncertainty. Following Bohn (2002), I analyze the effect ...
• Should Dynamic Scoring be done with Heterogeneous Agent-Based Models? Challenging the Conventional Wisdom 

  Rahman, M Saifur (Center for Applied Economics and Policy Research, 2008-09-19)

  Traditionally, Dynamic Scoring calculations experiments are carried out using representative agent based macroeconomic models. Existing literature does not provide any objection to this approach. In this paper, I develop ...
• Estimation Risk Effects on Backtesting for Parametric Value-at-Risk Models 

  Escanciano, Juan Carlos; Olmo, Jose (Center for Applied Economics and Policy Research, 2008-09-04)

  One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Thereby the correct specification of parametric ...
• Specification Tests of Parametric Dynamic Conditional Quantiles 

  Escanciano, Juan Carlos; Velasco, Carlos (Center for Applied Economics and Policy Research, 2008-08-15)

  This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum ...
• Strategic Disclosure of Valuable Information within Competitive Environments 

  Yoon, Young-Ro (Center for Applied Economics and Policy Research, 2008-08-25)

  Can valuable information be disclosed intentionally by the informed agent even within a competitive environment? In this article, we bring our interest into the asymmetry in reward and penalty in the payoff structure and ...
• Initial Expectations in New Keynesian Models with Learning 

  Murray, James (Center for Applied Economics and Policy Research, 2008-06-13)

  This paper examines how the estimation results for a standard New Keynesian model with constant gain least squares learning is sensitive to the stance taken on agents beliefs at the beginning of the sample. The New Keynesian ...
• Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions 

  Park, Seok Gil (Center for Applied Economics and Policy Research, 2008-06-12)

  Sterilized foreign exchange market interventions have been suspected of being inefficient by many empirical studies, but they are plagued by endogeneity problems. To solve the problems, this paper identifies a system that ...
• Empirical Significance of Learning in a New Keynesian Model with Firm-Specific Capital 

  Murray, James (Center for Applied Economics and Policy Research, 2008-06-13)

  This paper examines the empirical significance of learning, a type of adaptive, boundedly rational expectations, in the U.S. economy within the framework of the New Keynesian model. Two popular specifications of the model ...
• Fiscal Foresight: Analytics and Econometrics 

  Leeper, Eric M.; Walker, Todd B.; Yang, Shu-Chun Susan (Center for Applied Economics and Policy Research, 2008-05-12)

  Fiscal foresight---the phenomenon that legislative and implementation lags ensure that private agents receive clear signals about the tax rates they face in the future---is intrinsic to the tax policy process. This paper ...
• Calculating Welfare Costs of Inflation in a Search Model with Preference Heterogeneity: A Calibration Exercise 

  de Araujo, Pedro (Center for Applied Economics and Policy Research, 2008-04-30)

  Using U.S. cross-sectional data, this paper calculates the welfare cost of a 10% inflation for different individuals and finds that the difference in cost between the poorest 10%, measured by their expenditure share on ...
• Regime Switching, Learning, and the Great Moderation 

  Murray, James (Center for Applied Economics and Policy Research, 2008-04-30)

  This paper examines the "bad luck" explanation for changing volatility in U.S. inflation and output when agents do not have rational expectations, but instead form expectations through least squares learning with an ...
• Empirical Significance of Learning in a New Keynesian Model with Firm-Specific Capital 

  Murray, James (Center for Applied Economics and Policy Research, 2007-11-21)

  This paper examines the empirical significance of learning, a type of adaptive, boundedly rational expectations, in the U.S. economy within the framework of the New Keynesian model. Two popular specifications of the model ...
• Simulating Sequential Search Models with Genetic Algorithms: Analysis of Price Ceilings, Taxes, Advertising and Welfare 

  McCarthy, Ian (Center for Applied Economics and Policy Research, 2008-04-30)

  This paper studies advertising, price ceilings and taxes in a sequential search model with bilateral heterogeneities in production and search costs. We estimate equilibria using a genetic algorithm (GA) applied to over 100 ...
• Performance Measurement under Rational International Overpromising Regimes 

  von Furstenberg, George (Center for Applied Economics and Policy Research, 2008-04-03)

  Overpromising remains ingrained in international agreements, clouding their expected aggregate outcomes and how to assess the Parties’ performance. This paper provides a theory-based explanation and evaluation of this ...
• Oil Price Shocks and Exchange Rate Management: The Implications of Consumer Durables for the Small Open Economy 

  Plante, Michael (Center for Applied Economics and Policy Research, 2008-04-17)

  This paper examines exchange rate management issues when a small open economy is hit by an exogenous oil price shock. In this model consumer durables play an important role in the demand for oil and oil based products as ...
• Oil Price Shocks and Exchange Rate Management: The Implications of Consumer Durables for the Small Open Economy 

  Plante, Michael (Center for Applied Economics and Policy Research, 2008-04-10)

  This paper examines exchange rate management issues when a small open economy is hit by an exogenous oil price shock. In this model consumer durables play an important role in the demand for oil and oil based products as ...
• The Macroeconomics of Health Savings Accounts 

  Jung, Juergen; Tran, Chung (Center for Applied Economics and Policy Research, 2008-04-11)

  We analyze whether a consumer driven health care plan like the newly established Health Savings Accounts (HSAs) can reduce health care expenditures in the United States and increase the fraction of the population with ...
• Search Costs and Medicare Plan Choice 

  McCarthy, Ian; Tchernis, Rusty (Center for Applied Economics and Policy Research, 2008-04-03)

  There is increasing evidence suggesting that Medicare beneficiaries do not make fully informed decisions when choosing among alternative Medicare health plans. To the extent that deciphering the intricacies of alternative ...
• Advertising Intensity and Welfare in an Equilibrium Search Model 

  McCarthy, Ian (Center for Applied Economics and Policy Research, 2008-01-24)

  We analyze an equilibrium search model in a duopoly setting with bilateral heterogeneities in production and search costs in which firms can advertise by announcing price and location. We study existence, stability, and ...

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