In this paper, to cope with the stochastic dynamic (or multi-period) problem, two new quadratic assignment-based mathematical models corresponding to the dynamic and static approaches are developed. The product demands are presumed to be dependent uncertain variables with normal distribution having known expectation, variance, and covariance that change from one period to the next one, randomly...

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve, as measures of real-time model uncertainty and examine the robustness of commonly applied, simple monetary policy rules. Model uncertainty turns out to be a substantial problem: key model properties di¤er in important ways across model vintages as do the optimized parameterizations of candidate rules. Among the ru...

This study shows that in a standard one-sector neoclassical growth model, in which money is introduced with a cash-in-advance constraint, zero nominal interest rates are optimal. Milton Friedman argued in 1969 that zero nominal rates are necessary for efficient resource allocation. This study shows that they are not only necessary but sufficient. The study also characterizes the monetary polici...

This paper investigates the U.S. housing price dynamics from the perspective of speculative trading, in addition to the macro-finance factors such as the stock market, household disposable income and nominal interest rate. It is found that among the speculative investors, fundamental traders drive house price away from the fundamental value. Their trading is weakened in the regime of high nomin...

In this paper, we investigate the properties of alternative monetary policy rules using four structural macroeconometric models: the Fuhrer-Moore model, Taylor’s Multi-Country Model, the MSR model of Orphanides and Wieland, and the FRB staff model. All four models incorporate the assumptions of rational expectations, short-run nominal inertia, and long-run monetary neutrality, but differ in man...

In this study, we develop a monetary Schumpeterian growth model with endogenous market structure (EMS) to explore the e¤ects of monetary policy on the number of …rms, …rm size, economic growth and social welfare. EMS leads to richer implications and di¤erent results from previous studies in which market structure is exogenous. In the short run, a higher nominal interest rate leads to lower grow...