In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected pric...

After the financial crises from 2008-2009, the design of macroprudential policies has arrived in the centre of the macroeconomic discussion. With respect to house price booms, recent research suggest the use of loan-to-value (LTV) policies as a stabilization tool. However, policymakers are rather reluctant and change LTV ratios only in the case of extreme events. This paper builds a Hong Kong s...

This study uses an agent-based test bed (“AMES”) to investigate separation and volatility of locational marginal prices (LMPs) in an ISO-managed restructured wholesale power market operating over an AC transmission grid. Particular attention is focused on the dynamic and cross-sectional response of LMPs to systematic changes in demand-bid price sensitivities and supply-offer price cap levels un...

In this paper the problem of modeling electricity price dynamics in deregulated energy markets is studied. Since the nature of customers' energy consumption, market participants' strategic behavior and the power system reliability indices are stochastic processes, the electricity price model will be stochastic as well. In our analysis the price of electricity is modeled based on the customers' ...

This paper investigates market integration and asymmetric price transmission in the world rice export markets. Using monthly rice prices from Thailand, Vietnam, and United States, we employ the Johansen test and estimate the threshold vector error correction model (TVECM). Our main findings are that export prices in the three countries are cointegrated, with Thailand and the United States the p...

Electricity transmission pricing and transmission grid expansion have received increasing regulatory and analytical attention in recent years. Since electricity transmission is a very special service with unusual characteristics, such as loop flows, the approaches have been largely tailor-made and not simply taken from the general economic literature or from the more specific but still general ...