Phillips curves are central to discussions of inflation dynamics and monetary policy. New Keynesian Phillips curves describe how past inflation, expected future inflation, and a measure of real marginal cost or an output gap drive the current inflation rate. This paper studies the (potential) weak identification of these curves under generalized methods of moments (GMM) and traces this syndrome...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to be able to generalize the closed-form solution obtained by Richard (1975). We account for aspects of the application of the SLP approach which arise in the context of life-cycle asset allocation, but are a...

We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce satisfactory oneday-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future FF rate is forecast using th...

the relationship between productivity of economic sectors, effective real exchange rate, and purchasing power is a burning economic issue. based on the “balassa – samuelson” theory, higher economic productivity for tradeable goods leads to an increase in effective real exchange rate which is indicative of higher value of domestic money and higher purchasing power of money. the purpose of this s...

in this paper we investigated effect of economic uncertainty on money demand function of iran during(1352-1386). at first by using a general equilibrium theory it is shown that in spite of the existence of economic uncertainties, most of agents who are risk-averse consider these uncertainties when constitute their port folio. they consider money demand is a function of income, interest rate and...

This paper uses a real options approach to examine the impact of ramping rate restrictions imposed on hydro operations to protect aquatic ecosystems. We consider the effect on hydro plant value in order to inform policy decisions. A novelty of the paper is in examining the optimal operation of a prototype hydro power plant with electricity prices modelled as a regime switching process. We show ...

The study of asset price characteristics of stochastic growth models such as the riskfree interest rate, equity premium and the Sharpe ratio has been limited by the lack of global and accurate methods to solve dynamic optimization models. In this paper a stochastic version of a dynamic programming method with adaptive grid scheme is applied to compute the above mentioned asset price characteris...

In this paper, I analyze a dynamic model of a firm’s joint decisions to export and innovate, allowing both decisions to affect the firm’s production in accordance with selfselection and learning-by-exporting theories of firm-level export and production dynamics. I calibrate the model using Chilean manufacturing plant data from 2005 to 2007 and find that self-selection and learning-by-exporting ...

This paper investigates the optimal management of a firm faced with a long-term liability that occurs at a random date. Three issues are analysed: the optimal dividend policy; optimal expenditure on safety to delay the occurrence of the liability; and the optimal liquidation date of the firm. An owner faced with dynamic unlimited liability never liquidates and therefore accumulates capital to t...