Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S (2008)
Albrecht Ritschl, Ulrich Woitek, Antonio Ciccone, Jordi Gal, Albert Marcet, Harald Uhlig
and participants in various seminars and conferences for helpful comments. This paper recasts Temin's (1976) question of whether monetary forces caused the Great Depression in a recursive time...
In Search of a Theory of Debt Management (2008)
Faraglia, Elisa, Marcet, Albert, Scott, Andrew
A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that...
In Search of a theory of debt management (2008)
Marcet, Albert, Faraglia, Elisa, Scott, Andrew
A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that...
Pareto-improving optimal capital and labor taxes (2008)
Marcet, Albert, Greulich, Katharina
We show a standard model where the optimal tax reform is to cut labor taxes and leave capital taxes very high in the short and medium run. Only in the very long run would capital taxes be zero. Our...
Pareto-Improving Optimal Capital and Labor Taxes (2008)
Marcet, Albert, Greulich, Katharina
We show a standard model where the optimal tax reform is to cut labor taxes and leave capital taxes very high in the short and medium run. Only in the very long run would capital taxes be zero. Our...
Stock market volatility and learning (2008)
Marcet, Albert, Adam, Klaus, Nicolini, Juan Pablo
Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean...
Stock Market Volatility and Learning (2008)
Marcet, Albert, Adam, Klaus, Nicolini, Juan Pablo
Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean...
A Modest Proposal for Structuring Public Debt (2007)
Alessandra Mongiardino, Albert Marcet, Patrick Minford, Ro Missale, Spencer Dale, ...
This paper proposes structuring public debt using considerations of robustness rather than strict optimality. Our proposal minimizes, over the infinite future, the conditional uncertainty surrounding...
2 Optimal Taxation without State-Contingent Debt (2007)
Albert Marcet, Thomas J. Sargent, Kenneth Judd, Martin Schneider, Nancy Stokey
To recover a version of Barro's (1979) `random walk ' tax smoothing outcome, we modify Lucas and Stokey's (1983) economy to permit only risk-free debt. This imparts near unit root like...
Fiscal insurance and debt management in OECD economies (2007)
Marcet, Albert, Faraglia, Elisa, Scott, Andrew
Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well...
Debt and deficit fluctuations and the structure of bond markets (2007)
We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the...
Money and Prices in Models of Bounded Rationality in High Inflation Economies (2005)
Marcet, Albert, Nicolini, Juan Pablo
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning can do better than a model of rational expectations, we focus our study on countries...
MONEY AND PRICES IN MODELS OF BOUNDED RATIONALITY IN HIGH INFLATION ECONOMIES 1 (2005)
Albert Marcet, Juan Pablo Nicolini, Albert Marcet, Juan Pablo Nicolini
In 2005 all ECB publications will feature a motif taken from the €50 banknote.
Christopher D. Carroll, Wouter Den Haan, Michael Haliassos, Albert Marcet, Dimitri Mavridis, Michael Reiter, ...
This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic...
Expectations formation and the 1990s ERM crisis (2004)
Beeby, M., Hall, S., Henry, S., Marcet, Albert
La crisis del Sistema Monetario Europeo aparentemente fue debida a una serie de "shocks" de oferta negativos seguidos de devaluaciones. Este hecho estilizado no parece congruente con los modelos de...
Esther Dußo, Sergi Jiménez, Adriana Kugler, Albert Marcet, James P. Smith, ...
The response of household borrowing to changes in the interest rate is a crucial parameter to understand whether or not monetary policy can promote household investment in housing, and what are the...
Incomplete Markets, Labor Supply and Capital Accumulation (2002)
Marcet, Albert, Obiols Homs, Francesc, Weil, Philippe
In this paper we explore the accumulation of capital in the presence of limited insurance against idiosyncratic shocks, borrowing constraints and endogenous labor supply. As in the exogenous labor...
The HP-Filter in Cross-country Comparisons (2001)
Marcet, Albert, Ravn, Morten O.
Many empirical studies of business cycles have followed the practise of applying the Hodrick-Prescott filter for cross-country comparisons. The standard procedure is to set the weight \lambda, which...
Debt and Deficit Fluctuations and the Structure of Bond Markets (2001)
This paper tests for the market environment within which US fiscal policy operates, that is we test for the incompleteness of the US government bond market. We document the stochastic properties of...
Optimal Taxation without State-Contingent Debt (2001)
Rao Aiyagari, Albert Marcet, Thomas J. Sargent, Juha Seppälä
In Lucas and Stokey's (1983) economy, tax rates inherit the serial correlation structure of government expenditures, belying Barro's (1979) result that taxes should be a random walk for any...
Optimal Taxation without State-Contingent Debt (2000)
Albert Marcet, Thomas J. Sargent, Juha Seppälä, Thank Lars Hansen, V. V. Chari, Darrell Due, ...
In Lucas and Stokey's (1983) economy, tax rates inherit the serial correlation structure of government expenditures, belying Barro's (1979) result that taxes should be a random walk for any...
Optimal Taxation without State-Contingent Debt (2000)
Albert Marcet, Thomas J. Sargent, Juha Seppälä, Kenneth Judd, Martin Schneider, ...
To recover a version of Barro's (1979) `random walk' tax smoothing outcome, we modify Lucas and Stokey's (1983) economy to permit only risk-free debt. This imparts near unit root like...
Testing for Convergence Clubs in Income per-capita: A Predictive Density Approach. (1999)
Fabio Canova, Russell Cooper, Christopher Croux, Albert Marcet
The paper proposes a technique to jointly tests for groupings of unknown size in the cross sectional dimension of a panel and estimates the parametersofeach group, and applies it to identifying...
Parameterized Expectations Approach; Some Practical Issues (1998)
Marcet, Albert, Lorenzoni, Guido
We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has...
MARCET, Albert, MARIMON, Ramon
http://www.iue.it/ECO/WP-Texts/ECO98-37.pdf
MARCET, Albert, MARIMON, Ramon
http://www.iue.it/ECO/WP-Texts/ECO98-37.pdf
MARCET, Albert, MARIMON, Ramon
http://www.iue.it/ECO/WP-Texts/ECO98-37.pdf
Lawrence J. Christian, Lawrence J. Christiano, Wouter Den Haan, Kenneth Judd, ...
the Federal Reserve Bank of Chicago. Jonas D.M. Fisher is
Optimal Taxation without State-Contingent Debt (1996)
Marcet, Albert, Sargent, Thomas J., Seppälä, Juha
To recover a version of Barro's (1979) `random walk' tax smoothing outcome, we modify Lucas and Stokey's (1983) economy to permit only risk--free debt. This imparts near unit root like behavior to...
San Domenico (fi, C° A. Marcet, R. Marimon, Badia Fiesolana, Badia Fiesolana, Albert Marcet, ...
We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. These constraints make the corresponding maximization (sup) problems non recursive. Our...
Recurrent Hyperinflations and Learning (1995)
Marcet, Albert, Nicolini, Juan Pablo
This paper uses a model of boundedly rational learning to account for the observations of recurrent hyperinflations in the last decade. We study a standard monetary model where the fully rational...
The Poor Stay Poor: Non-Convergence across Countries and Regions (1995)
We study the issue of income convergence across countries and regions with a Bayesian estimator which allows us to use information in an efficient and flexible way. We argue that the very slow...
Supply Side Interventions and Redistribution (1995)
Garcia-Milà, Teresa, Marcet, Albert, Ventura, Eva
In this paper we study the welfare impact of alternative tax schemes on labor and capital. We evaluate the e¤ect of lowering capital income taxes on the distribution of wealth in a model with...
Marcet, Albert, Marimón, Ramon
We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. Under these constraints, the corresponding maximization (sup) problems fails to have a...
Marcet, Albert, Singleton, Kenneth J.
We study the quantitative properties of a dynamic general equilibrium model in which agents face both idiosyncratic and aggregate income risk, state-dependent borrowing constraints that bind in some...
Temporal aggregation of economic time series /--by Albert Marcet. (1987)
Thesis (Ph. D.)--University of Minnesota, 1987.
Money and Prices in Models of Bounded Rationality in High Inflation Economies
Albert Marcet, Juan Pablo Nicolini
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does better or worse than a model of rational expectations, and we focus our study on...
GAUSS code for the HP-filter reformulated as a constrained minimization problem
This program computes the alternative version of the HP-filter proposed in 'The HP-filter in Cross-Country Comparisons'. The idea is to formulate the filter as a constrained minimization prblem and...
The Parameterized Expectations Approach: Some Practical Issues
Albert Marcet, Guido Lorenzoni
This code supports the text in Albert Marcet and Guido Lorenzoni, The Parameterized Expectations Approach: Some Practical Issues, in Ramon Marimon and Andrew Scott (eds), Computational Methods for...
Money and Prices in Models of Bounded Rationality in High Inflation Economies
Albert Marcet, Juan Pablo Nicolini
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does better or worse than a model of rational expectations, and we focus our study on...
Optimal Taxation without State-Contingent Debt
S. Rao Aiyagari, Albert Marcet, Thomas J. Sargent, Juha Seppala
In an economy studied by Lucas and Stokey, tax rates inherit the serial correlation structure of government expenditures, belying Barro's earlier result that taxes should be a random walk for any...
Learning and Stock Market Volatility
Klaus Adam, Albert Marcet, Juan Pablo Nicolini
Introducing learning into a standard asset pricing model improves considerably its empirical performance. In a model of learning where today's stock price is determined by the expectation of...
Stock Market Volatility and Learning
Adam, Klaus, Marcet, Albert, Nicolini, Juan Pablo
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning...
Fiscal Insurance and Debt Management in OECD Economies
Elisa Faraglia, Albert Marcet, Andrew Scott
Assuming the role of debt management is to provide hedging against fiscal shocks we consider: ("i") what indicators can be used to assess the performance of debt management? ("ii") how well...
Fiscal Insurance and Debt Management in OECD Economies
Albert Marcet, Elisa Faraglia, Andrew Scott
Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well...
Debt and Deficit Fluctuations and the Structure of Bond Markets
We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the...
Optimal Capital Tax and Debt Policy Under Incomplete Asset Markets
Andrew J Scott, Arpad Abraham, Albert Marcet
Two results characterize previous studies of optimal capital income taxation: (i) In order to avoid distorting capital accumulation incentives the ex ante capital tax rate should be set to zero in...
THE FISCAL COSTS OF DEBT LIMITS
An increasing number of countries are investigating the desirability of placing fiscal policy under certain rules or constraints. The IMF has applauded and encouraged the idea of such fiscal...
Money and prices in models of bounded rationality
Albert Marcet, Juan Pablo Nicolini
In this paper the authors explore the ability of simple monetary models with bounded rationality to account for the joint distribution of money and prices. They impose restrictions on the size of the...
Marcet, Albert, Singleton, Kenneth J
We study the quantitative properties of a dynamic general equilibrium model. Agents face both idiosyncratic and aggregate income risk, state-dependent borrowing constraints that bind occasionally,...
Stock market volatility and learning.
Klaus Adam, Albert Marcet, Juan Pablo Nicolini
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning...
Fiscal Insurance and Debt Management in OECD Economies
Faraglia, Elisa, Marcet, Albert, Scott, Andrew
Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well...
Pareto-Improving Optimal Capital and Labor Taxes
Albert Marcet, Katharina Greulich
We show a standard model where the optimal tax reform is to cut labor taxes and leave capital taxes very high in the short and medium run. Only in the very long run would capital taxes be zero. Our...
Stock Market Volatility and Learning
Albert Marcet, Klaus Adam, Juan Pablo Nicolini
Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean...
Money and prices in models of bounded rationality in high inflation economies
Albert Marcet, Juan Pablo Nicolini
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does better or worse than a model of rational expectations, and we focus our study on...
Den Haan, Wouter J, Marcet, Albert
Since the actual solution to intertemporal rational expectations models is usually not known, it is useful to have criteria for judging the accuracy of a given numerical solution. In this paper, the...
Recurrent Hyperinflations and Learning
Albert Marcet, Juan P. Nicolini
We use a model of boundedly rational learning to account for the observations of recurrent hyperinflations in the 1980's. In a standard monetary model we replace the assumption of full rational...
Solving the Stochastic Growth Model by Parameterizing Expectations.
Den Haan, Wouter J, Marcet, Albert
This article describes a method for solving the one-good stochastic growth model by parameterizing the expectations part of the stochastic Euler equation. The conditional expectation is specified as...
Albert Marcet, David A. Marshall
Rational expectations (Economic theory) ; Econometric models
Communication, commitment, and growth
We study the effect on the growth of an economy of alternative financing opportunities in a stochastic growth model with incentive constraints. Efficient accumulation mechanisms are designed and...
Albert Marcet, David A. Marshall
This paper develops the Parameterized Expectations Approach (PEA) for solving nonlinear dynamic stochastic models with rational expectations. The method can be applied to a variety of models,...
Polarization under incomplete markets and endogenous labor productivity
Albert Marcet, Francesc Obiols-Homs
We explore the accumulation of assets in the presence of limited insurance against idiosyncratic shocks, borrowing constraints and endogenous labor productivity due to the so-called "nutrition...
Debt Management Under Complete Markets
Elisa Faraglia, Albert Marcet, Andrew Scott
In an influential paper Angeletos (2002) argues that, even in the absence of state contingent debt, governments can achieve a complete market outcome through issuing bonds of different maturities....
FORTRAN code for Simulation Parameterized Expecations Algorithm
This program is very similar to the program used in the Den Haan and Marcet (1990) JBES article.
The Poor Stay Poor: Non-Convergence Across Countries and Regions
We study the issue of income convergence across countries and regions with a Bayesian model which allows us to use information in an efficient and flexible way. We argue that the very slow...
Recurrent Hyperinflations and Learning
Marcet, Albert, Nicolini, Juan Pablo
This paper uses a model of boundedly rational learning to account for the observations of recurrent hyperinflations in the last decade. We study a standard monetary model, where the full rational...
Debt and Deficit Fluctuations and the Structure of Bond Markets
The aim of this Paper is to test for the extent of incompleteness in the market for US Government debt. We show that when a government pursues an optimal tax policy and issues a full set of...
The HP-Filter in Cross-Country Comparisons
Marcet, Albert, Ravn, Morten O.
Many empirical studies have applied the Hodrick-Prescott filter in cross-country comparisons of business cycle fluctuations. The Hodrick-Prescott filter involves the smoothing parameter l, and...
Supply Side Interventions and Redistribution
Teresa Garcia-Milà, Albert Marcet, Eva Ventura
We evaluate the effect on welfare of shifting the burden of capital income taxes to labor taxes in a dynamic equilibrium model with heterogeneous agents and constant tax rates. We calibrate and...
The Poor Stay Poor: Non-Convergence across Countries and Regions
We study the issue of income convergence across countries and regions with a Bayesian estimator which allows us to use information in an efficient and flexible way. We argue that the very slow...
Speed of Convergence of Recursive Least Squares Learning with ARMA Perceptions
Albert Marcet, Thomas J. Sargent
This paper fills a gap in the existing literature on least squares learning in linear rational expectations models by studying a setup in which agents learn by fitting ARMA models to a subset of the...
Optimal Taxation without State-Contingent Debt
Albert Marcet, Thomas J. Sargent, Juha Seppala
To recover a version of Barro's (1979) `random walk' tax smoothing outcome, we modify Lucas and Stokey's (1983) economy to permit only risk--free debt. This imparts near unit root like behavior to...
Recurrent Hyperinflations and Learning
Albert Marcet, Juan P. Nicolini
This paper uses a model of boundedly rational learning to account for the observations of recurrent hyperinflations in the last decade. We study a standard monetary model where the fully rational...
Parameterized Expectations Approach; Some Practical Issues
Albert Marcet, Guido Lorenzoni
We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has...
Albert Marcet, Kenneth J. Singleton
We study the quantitative properties of a dynamic general equilibrium model in which agents face both idiosyncratic and aggregate income risk, state-dependent borrowing constraints that bind in some...
We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. Under these constraints, the corresponding maximization (sup) problems fails to have a...
A new algorithm called the parameterized expectations approach (PEA) for solving dynamic stochastic models under rational expectations is developed and its advantages and disadvantages are discussed....
Debt and Deficit Fluctuations and the Structure of Bond Markets
This paper tests for the market environment within which US fiscal policy operates, that is we test for the incompleteness of the US government bond market. We document the stochastic properties of...
The HP-Filter in Cross-country Comparisons
Many empirical studies of business cycles have followed the practise of applying the Hodrick-Prescott filter for cross-country comparisons. The standard procedure is to set the weight \lambda, which...
Incomplete Markets, Labor Supply and Capital Accumulation
Albert Marcet, Francesc Obiols-Homs, Philippe Weil
In this paper we explore the accumulation of capital in the presence of limited insurance against idiosyncratic shocks, borrowing constraints and endogenous labor supply. As in the exogenous labor...
Money and Prices in Models of Bounded Rationality in High Inflation Economies
Albert Marcet, Juan Pablo Nicolini
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning can do better than a model of rational expectations, we focus our study on countries...
In Search of a Theory of Debt Management
Albert Marcet, Elisa Faraglia, Andrew Scott
A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that...
In Search of a Theory of Debt Management
Faraglia, Elisa, Marcet, Albert, Scott, Andrew
A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that...
Marcet, Albert, Sargent, Thomas J
The authors study the convergence of recursive least-squares learning schemes in economic environments in which there is private information. The presence of private information leads to the presence...
Marcet, Albert, Singleton, Kenneth J.
We study the quantitative properties of a dynamic general equilibrium model. Agents face both idiosyncratic and aggregate income risk, state-dependent borrowing constraints that bindoccasionally, and...
Debt and deficit fluctuations and the structure of bond markets
We analyse the implications of optimal taxation for the stochastic behaviour of debt. We show that when a government pursues an optimal fiscal policy under complete markets, the value of debt has the...
Internal Rationality and Asset Prices
We present a decision theoretic framework with agents that are learning about the behavior of market determined variables. Agents are 'internally rational', i.e., maximize discounted expected utility...