2014-11-01T06:32:24Z
http://oai.repec.openlib.org/oai.php
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1048-10612010-06-29RePEc:eee:dyncon
article
Sustained development of a society with a renewable resource
A maximin program is applied to a policy of sustaining a simple society whose population is dependent on a resource subject to logistic growth. Regular and non-regular paths are characterized. There are continua of both regular and non-regular solutions, the type depending on the initial conditions. A non-regular path involves an intermediate part in which the sustainment constraint is not effective. All solutions are time consistent and Pareto optimal. Because a problem may not be regular, it is not valid to assume that sustainment implies constant utility.
Sustainability Intergenerational equity Maximin Regular path Population
6
2010
34
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1048
1061
http://www.sciencedirect.com/science/article/B6V85-4Y95TWS-5/2/ccae18e440d88ac70e48e3870a9d9a93
Cairns, Robert D.
Tian, Huilan
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1214-12322010-06-29RePEc:eee:dyncon
article
Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of neutral and investment-specific technology shocks in explaining aggregate fluctuations. To achieve this, we estimate the model's posterior density using Bayesian methods. Within this framework we first extend (Ireland, 2001b) and (Ireland, 2004a) hybrid estimation approach to allow for a vector autoregressive moving average (VARMA) process to describe the movements and co-movements of the model's errors not explained by the basic RBC model. Our main findings for the model with neutral technical change are: (i) the VARMA specification of the errors significantly improves the hybrid model's fit to the historical data relative to the VAR and AR alternatives; and (ii) despite setting the RBC model a more difficult task under the VARMA specification, neutral technology shocks are still capable of explaining a significant share of the observed variation in output and its components over shorter- and longer-forecast horizons as well as hours at shorter horizons. When the hybrid model is extended to incorporate investment shocks, we find that: (iii) the VAR specification is preferred to the alternatives; and (iv) the model's ability to explain fluctuations improves considerably.
Real business cycle Bayesian estimation Technology shocks Measurement errors
7
2010
34
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1214
1232
http://www.sciencedirect.com/science/article/B6V85-4YB78SF-1/2/264a470bcdf2ab7a9f61ba0ec06574f3
Malley, Jim
Woitek, Ulrich
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1325-13422010-06-29RePEc:eee:dyncon
article
Country portfolio dynamics
This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. The method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple, easily interpretable closed-form solutions for the dynamics of equilibrium portfolios.
Country portfolios Solution methods
7
2010
34
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1325
1342
http://www.sciencedirect.com/science/article/B6V85-4YP0MSS-1/2/20f5f083e7a3e499a7ef1ffb12d8811e
Devereux, Michael B.
Sutherland, Alan
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1456-14702010-06-29RePEc:eee:dyncon
article
A game options approach to the investment problem with convertible debt financing
We consider a firm that operates a single plant and has an expansion option to invest in a new plant with convertible debt financing. This conversion feature introduces another complication not only because of the added conversion timing problem (by the bond holder) but also because the equity holder needs to take future conversion into account when evaluating her expansion/financing decision. We have two main objectives here. We use game options techniques to analyze optimal strategies involved in this convertible debt financed expansion problem. The first goal is to provide a comprehensive framework and procedure for solving the problem in a mathematically tractable way. Secondly, we illustrate our solution method through a concrete example with economic analysis. This includes a comparison with straight bond financing and comparative statics with respect to price volatility and conversion ratio. In this regard, we attempt to clarify how the conversion feature affects the equity holder's investment decisions. Throughout the paper, we study expansion options by viewing a firm's existing operation, bankruptcy threat, conversion decisions and financing decisions all together.
Convertible bond Investment decision Optimal stopping Game options
8
2010
34
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1456
1470
http://www.sciencedirect.com/science/article/B6V85-4YS4W6D-1/2/2549d11447e81adf9b05c5cb96214f1a
Egami, Masahiko
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1392-14022010-06-29RePEc:eee:dyncon
article
A dynamic model of shirking and unemployment: Private saving, public debt, and optimal taxation
This paper introduces private saving and public debt into the shirking-unemployment model of Shapiro and Stiglitz (1984), while relaxing their exclusive focus on steady states. After generalizing their no-shirking constraint to accommodate asset accumulation, and demonstrating that the resulting economy's equilibrium is saddle-path stable, we use our dynamic model to obtain significant departures from the Shapiro-Stiglitz prescriptions for optimal policy. Most notably, wage income should be taxed (not subsidized) in the long run if the labor market is sufficiently distorted. Furthermore, interest income should be (exhaustively) taxed only during an initial interval of time, as in Chamley's (1986) full-employment model.
Shirking Unemployment Saving Public debt Optimal taxation
8
2010
34
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1392
1402
http://www.sciencedirect.com/science/article/B6V85-4YP8THN-1/2/958128a27e018e67b60d111392d8392a
Brecher, Richard A.
Chen, Zhiqi
Choudhri, Ehsan U.
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1248-12592010-06-29RePEc:eee:dyncon
article
Steady-state invariance in high-order Runge-Kutta discretization of optimal growth models
This work deals with infinite horizon optimal growth models and uses the results in the Mercenier and Michel (1994a) paper as a starting point. Mercenier and Michel (1994a) provide a one-stage Runge-Kutta discretization of the above-mentioned models which preserves the steady state of the theoretical solution. They call this feature the "steady-state invariance property". We generalize the result of their study by considering discrete models arising from the adoption of s-stage Runge-Kutta schemes. We show that the steady-state invariance property requires two different Runge-Kutta schemes for approximating the state variables and the exponential term in the objective function. This kind of discretization is well-known in literature as a partitioned symplectic Runge-Kutta scheme. Its main consequence is that it is possible to rely on the well-stated theory of order for considering more accurate methods which generalize the first order Mercenier and Michel algorithm. Numerical examples show the efficiency and accuracy of the proposed methods up to the fourth order, when applied to test models.
Optimal growth models Steady-state invariance Partitioned symplectic Runge-Kutta methods
7
2010
34
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1248
1259
http://www.sciencedirect.com/science/article/B6V85-4YMY6WF-1/2/70ba00ce41bc65d0b019c42b817db6cd
Ragni, Stefania
Diele, Fasma
Marangi, Carmela
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1369-13792010-06-29RePEc:eee:dyncon
article
Firm heterogeneity, trade, and wage inequality
This paper considers a world of symmetric countries with two factors of production and two sectors. Outputs of the two sectors are imperfect substitutes and the sectors differ in relative factor intensity. Each sector contains a continuum of heterogeneous firms that produce differentiated goods within their sector. Trade is costly and there are both variable and fixed costs of exporting. The paper shows that under some plausible conditions supported by the data, trade between similar countries can increase the demand for skilled labor, which in turn increases the wage inequality between skilled and unskilled labor. The quantitative analysis suggests that such trade effects have played an important role in the increase in the US skill premium.
Firm heterogeneity Trade Skill premium
8
2010
34
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1369
1379
http://www.sciencedirect.com/science/article/B6V85-4YMPX35-1/2/ff7bb76fa34cb15cc223b7ccd089efa1
Unel, Bulent
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1062-10762010-06-29RePEc:eee:dyncon
article
Is corporate control effective when managers face investment timing decisions in incomplete markets?
This paper presents a model of investment timing by risk averse managers facing incomplete markets and corporate control. Managers are exposed to idiosyncratic risks due to the dependence of their compensation on investment payoffs which are not spanned by other assets. We show that risk averse managers invest earlier than well-diversified shareholders would prefer, leading to significant agency costs. This effect can be mitigated if the manager is subject to corporate control. Our main finding is that the interaction of idiosyncratic risk and control results in two regimes. When the market is sufficiently close to being complete, control has a strong disciplinary effect and agency costs can be virtually eliminated. However, when idiosyncratic risk is too large, shareholders suffer agency costs and control is ineffective. An implication is that we would expect to see different investment behavior across industries or specific investments as the degree of idiosyncratic risk varied. It would also suggest that both the standard complete-markets real options model and the npv framework can proxy in describing investment timing.
Real options Investment timing Incomplete markets Corporate control
6
2010
34
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1062
1076
http://www.sciencedirect.com/science/article/B6V85-4YHNYS0-1/2/91bfdbcbfa5719333fb22b35351c0786
Henderson, Vicky
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1153-11702010-06-29RePEc:eee:dyncon
article
Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach
The present study addresses the learning mechanism of boundedly rational agents in the dynamic and noisy environment of financial markets. The main objective is the development of a system that "decodes" the knowledge-acquisition strategy and the decision-making process of technical analysts called "chartists". It advances the literature on heterogeneous learning in speculative markets by introducing a trading system wherein market environment and agent beliefs are represented by fuzzy inference rules. The resulting functionality leads to the derivation of the parameters of the fuzzy rules by means of adaptive training. In technical terms, it expands the literature that has utilized Actor-Critic reinforcement learning and fuzzy systems in agent-based applications, by presenting an adaptive fuzzy reinforcement learning approach that provides with accurate and prompt identification of market turning points and thus higher predictability. The purpose of this paper is to illustrate this concretely through a comparative investigation against other well-established models. The results indicate that with the inclusion of transaction costs, the profitability of the novel system in case of NASDAQ Composite, FTSE100 and NIKKEI255 indices is consistently superior to that of a Recurrent Neural Network, a Markov-switching model and a Buy and Hold strategy. Overall, the proposed system via the reinforcement learning mechanism, the fuzzy rule-based state space modeling and the adaptive action selection policy, leads to superior predictions upon the direction-of-change of the market.
Agent-based modeling Technical trading Reinforcement learning Fuzzy inference Bounded rationality
6
2010
34
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1153
1170
http://www.sciencedirect.com/science/article/B6V85-4YB5M0K-1/2/09f47c920482b94f6031320b5d0c44ea
Bekiros, Stelios D.
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1380-13912010-06-29RePEc:eee:dyncon
article
Self-organized criticality in a dynamic game
We investigate conditions under which self-organized criticality (SOC) arises in a version of a dynamic entry game. In the simplest version of the game, there is a single location--a pool--and one agent is exogenously dropped into the pool every period. Payoffs to entrants are positive as long as the number of agents in the pool is below a critical level. If an agent chooses to exit, he cannot re-enter, resulting in a future payoff of zero. Agents in the pool decide simultaneously each period whether to stay in or not. We characterize the symmetric mixed strategy equilibrium of the resulting dynamic game. We then introduce local interactions between agents that occupy neighboring pools and demonstrate that, under our payoff structure, local interaction effects are necessary and sufficient for SOC and for an associated power law to emerge. Thus, we provide an explicit game-theoretic model of the mechanism through which SOC can arise in a social context with forward looking agents.
Self-organization Criticality Local interaction Power Law Entry Game
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2010
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1380
1391
http://www.sciencedirect.com/science/article/B6V85-4YVJ3S2-2/2/c1811e24cf56eff7c1980ec1ec19f031
Blume, Andreas
Duffy, John
Temzelides, Ted
oai:RePEc:eee:dyncon:v:32:y:2008:i:12:p:3745-37592010-06-29RePEc:eee:dyncon
article
Endogenous debt constraints in a life-cycle model with an application to social security
This paper develops a simple life-cycle model that embeds a theory of debt restrictions based on the existence of inalienable property rights a la Kehoe and Levine [1993. Debt constrained asset markets. Review of Economic Studies 60(4), 865-888; 2001. Liquidity constrained markets versus debt constrained markets. Econometrica 69(3), 575-598]. In our environment, net debtors have the option of defaulting on unsecured debt at the cost of being subjected to wage garnishment and/or having some or all of their future assets seized by creditors. One advantage of our framework is that it encompasses two standard versions of the life-cycle model: one with perfect capital markets and one with a non-negative net-worth restriction. We study the impact of a payroll financed social security system to illustrate the role of endogenous debt constraints and compare our results to a model with exogenous debt constraints. Whereas the aggregate effects are similar under both types of constraints, the distributional consequences are found to be significantly different across debt regimes.
Life-cycle Debt constraints Social security
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2008
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3745
3759
http://www.sciencedirect.com/science/article/B6V85-4S80XCN-1/2/62ce7cceab1d98f0c845b1409ba0e4bb
Andolfatto, David
Gervais, Martin
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1471-14912010-06-29RePEc:eee:dyncon
article
Identifying a permanent markup shock and its implications for macroeconomic dynamics
A permanent (price) markup shock is justified using an industry-based model in which an increase in market concentration raises the desired markup. Moreover, evidence in favor of the non-stationarity of the markup is presented, which in turn implies that per capita hours are also non-stationary. Structural vector autoregressions are then constructed that can identify shocks to the markup, technology and the federal funds rate. The results show that (1) inflation responds immediately to shocks to the markup and technology whereas it displays a hump-shaped response to a monetary policy shock, and that (2) per capita hours decline in response to positive shocks to the markup and technology. These empirical findings have important implications for macroeconomic dynamics, including the issues on inflation inertia and the technology-hours debate. The paper also points out that the dynamics of the economy cannot be correctly explained without consideration of the permanent markup shock. Finally, the approach in this paper suggests several ways to identify a wage markup shock using structural vector autoregressions.
Industrial concentration Markup shock Technology shock
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2010
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1471
1491
http://www.sciencedirect.com/science/article/B6V85-4YVJ3S2-1/2/d24fe373979013dd92a57969a090ae1b
Kim, Bae-Geun
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1140-11522010-06-29RePEc:eee:dyncon
article
On the specification of noise in two agent-based asset pricing models
The paper is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes (2007) and the other by He and Li (2007). At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes fairly close to that of real data at a daily frequency. The note argues that these long memory effects are to be ascribed to the stochastic specification of the price equation, which despite the wide fluctuations in these models fails to normalize the price shocks. Under an appropriate respecification, the long memory completely disappears. It is subsequently shown that an alternative introduction of randomness, which may be called structural stochastic volatility, can restore the original properties and even improves upon them.
Volatility clustering Autocorrelations of returns Structural stochastic volatility Heterogeneous agents
6
2010
34
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1140
1152
http://www.sciencedirect.com/science/article/B6V85-4YB5M0K-3/2/91bb419bf62ed264872692b8d67dfb97
Franke, Reiner
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1359-13682010-06-29RePEc:eee:dyncon
article
A model of debit card as a means of payment
This paper provides an explanation for both the rapid growth in the use of a debit card over time and the cross-sectional difference in the use of a debit card using a search-theoretic model. The trade-off between cash and a debit card as means of payment is incorporated such that a buyer incurs disutility cost proportional to the amount of cash holdings, while a seller accepting a debit card bears a fixed record-keeping cost regardless of transaction amount. As record-keeping cost decreases with the development of information technology over time, disutility cost of cash holdings required for pairwise trade eventually exceeds record-keeping cost so that all the agents with different wealth levels choose to use a debit card as a means of payment. Also, disutility cost of cash holdings required for pairwise trade would be higher for the rich than for the poor, implying the cross-sectional feature of payment pattern that the rich use a debit card more frequently than the poor. There are two distinct mechanisms that improve welfare as record-keeping cost decreases: one is to reduce deadweight loss from holding cash and the other is to reduce its distortionary effect on output produced in pairwise trade.
Cash Debit card Record keeping cost Means of payment
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2010
34
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1359
1368
http://www.sciencedirect.com/science/article/B6V85-4YM7FD3-1/2/30cda61f92a73158c52ef72d3deec0fa
Kim, Young Sik
Lee, Manjong
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1031-10472010-06-29RePEc:eee:dyncon
article
Smooth-adjustment econometrics and inventory-theoretic money management
A growing number of empirical papers use Miller-Orr (S, s) money management as economic motivation for application of non-linear smooth-adjustment models. This paper shows such models are not implied by the Miller-Orr economy. Instead, the Miller-Orr economy implies non-standard smooth-adjustment, as derived in the neglected (and misinterpreted) work of Milbourne et al. (1983). Remarkably, this function includes a varying weight on the lagged dependent variable, capturing static (not dynamic) effects. Interpretations of these apparent dynamics are presented, some of which may be useful in non-monetary (S, s) contexts. Results imply a new agenda for applied smooth-adjustment modeling of money.
Money Miller-Orr Smooth-adjustment Nonlinear Inventory
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2010
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1031
1047
http://www.sciencedirect.com/science/article/B6V85-4Y7P6R7-1/2/f0a18bda0709fd9282dcbd6b326ae1b4
Greene, Clinton A.
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1105-11222010-06-29RePEc:eee:dyncon
article
Financial crises and interacting heterogeneous agents
In this paper we examine various types of financial crises and conjecture their underlying mechanisms using a deterministic heterogeneous agent model (HAM). In a market-maker framework, forward-looking investors update their price expectations according to psychological trading windows and cluster themselves strategically to optimize their expected profits. The switches between trading strategies lead to price dynamics in market that subsequently move price up and down, and in the extreme case, cause financial crises. The model suggests that both fundamentalists and chartists could potentially contribute to the financial crises.
Financial crisis Chaos Multi-phase heterogeneous beliefs Discounted expected profits
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2010
34
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1105
1122
http://www.sciencedirect.com/science/article/B6V85-4Y95TWS-6/2/d85d88645005ee7abb9013dd2d2ff69d
Huang, Weihong
Zheng, Huanhuan
Chia, Wai-Mun
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1123-11392010-06-29RePEc:eee:dyncon
article
Envelope theorems for locally differentiable open-loop Stackelberg equilibria of finite horizon differential games
Envelope theorems are established for locally differentiable Stackelberg equilibria of a general class of finite horizon differential games with an open-loop information structure. It is shown that the follower's envelope results agree in form with those of any player in an open-loop Nash equilibrium, while those of the leader differ. An unanticipated conclusion is that the costate vector of the leader--but not that of the follower--corresponding to the state vector of the differential game may be legitimately interpreted as the shadow value of the state vector for time-inconsistent open-loop Stackelberg equilibria. Surprisingly, the same cannot be said for time-consistent open-loop Stackelberg equilibria.
Stackelberg duopoly Envelope theorems Differential games Open-loop information structure
6
2010
34
6
1123
1139
http://www.sciencedirect.com/science/article/B6V85-4YB5M0K-2/2/cbf1aec0363125a3e4816ad9cc2ce9b5
Van Gorder, Robert A.
Caputo, Michael R.
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1492-15082010-06-29RePEc:eee:dyncon
article
Dynamic predictor selection in a new Keynesian model with heterogeneous expectations
This paper introduces dynamic predictor selection into a New Keynesian model with heterogeneous expectations and examines its implications for monetary policy. We extend Branch and McGough (2009) by incorporating endogenous time-varying predictor proportions along the lines of Brock and Hommes (1997). We find that periodic orbits and complex dynamics may arise even if the model under rational expectations has a unique stationary solution. The qualitative nature of the non-linear dynamics turns on the interaction between hawkishness of the government's policy and the extrapolative behavior of non-rational agents.
Heterogeneous expectations Complex dynamics Determinacy Monetary policy
8
2010
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http://www.sciencedirect.com/science/article/B6V85-4YRXCXD-1/2/cba958a253aee2258c82d62c48e28d82
Branch, William A.
McGough, Bruce
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1171-11862010-06-29RePEc:eee:dyncon
article
Structural shocks and the comovements between output and interest rates
Stylized facts on U.S. output and interest rates have so far proved hard to match with simple DSGE models. I estimate covariances between output, nominal and real interest rate conditional on structural shocks, since such evidence has largely been lacking in previous discussions of the output-interest rate puzzle. Conditional on shocks to technology and monetary policy, the results square with simple models. Moreover, permanent inflation shocks accounted for the counter-cyclical and inversely leading behavior of the real rate during the Great Inflation (1959-1979). Over the Great Moderation (1982-2006), technology shocks were more dominant and the real rate has been pro-cyclical.
Interest rates Business cycles Bandpass filter Structural VAR News shocks
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2010
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1171
1186
http://www.sciencedirect.com/science/article/B6V85-4YG1KTC-2/2/05e16263ed0b8f65c2a8ba51e15f3db5
Mertens, Elmar
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1509-15272010-06-29RePEc:eee:dyncon
article
Labor-market volatility in the search-and-matching model: The role of investment-specific technology shocks
Shocks to investment-specific technology have been identified as a main source of U.S. aggregate output volatility. In this paper, we present a model with frictions in the labor market and explore the contribution of these shocks to the volatility of labor market variables, namely, unemployment, vacancies, tightness and the job-finding rate. Thus, our paper contributes to a recent body of literature assessing the ability of the search-and-matching model to account for the large volatility observed in labor market variables. To this aim, we solve a neoclassical economy with search and matching, where neutral and investment-specific technologies are subject to shocks. The three key features of our model economy are: (i) Firms are large, in the sense that they employ many workers. (ii) Adjusting capital and labor is costly. (iii) Wages are the outcome of an intra-firm Nash-bargaining problem between the firm and its workers. In our calibrated economy, we find that shocks to investment-specific technology explain 40% of the observed volatility in U.S. labor productivity. Moreover, these shocks generate relative volatilities in vacancies and the workers' job finding rate which match those observed in U.S. data. Relative volatilities in unemployment and labor market tightness are 55% and 75% of their empirical values, respectively.
Search and matching Labor market fluctuations Investment-specific technology Adjustment costs Factor adjustment dynamics
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2010
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1509
1527
http://www.sciencedirect.com/science/article/B6V85-4YX7K78-1/2/8b4a36ac008e0596678c2fa0d803be6b
Faccini, Renato
Ortigueira, Salvador
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1305-13242010-06-29RePEc:eee:dyncon
article
Nominal vs real wage rigidities in New Keynesian models with hiring costs: A Bayesian evaluation
The inclusion of labor market frictions in the new Keynesian DSGE model overcomes the main drawbacks of the baseline framework. In this paper we show that this extended model, by assuming real wage rigidities, does not replicate the correct wage dynamics and the negative conditional correlation between technology shocks and employment observed in the data, known as the "productivity-employment puzzle" . We show also that these empirical limitations can be overcome by replacing real wage rigidities with nominal wage rigidities, without sacrificing other appealing features of the model. We adopt a Bayesian perspective to estimate the dynamic properties of the model with real wage rigidities and compare them with those of the model with nominal wage rigidities. We show that the evidence favors this latter construction.
New-Keynesian model Labor market frictions Wage rigidities Technology shocks Bayesian inference
7
2010
34
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1305
1324
http://www.sciencedirect.com/science/article/B6V85-4YK2F01-1/2/0d63ef072bed282ac27c9f6d24ac2a91
Riggi, Marianna
Tancioni, Massimiliano
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1092-11042010-06-29RePEc:eee:dyncon
article
Patents as collateral
This paper studies how the assignment of patents as collateral determines the savings of firms and magnifies the effect of innovative rents on investment in research and development (R&D). We analyse the behaviour of innovative firms that face random and lumpy investment opportunities in R&D. High growth rates of innovations, possibly higher than the real rate of interest, may be achieved despite financial constraints. There is an optimal level of publicly funded policy by the patent and trademark office that minimizes the legal uncertainty surrounding patents as collateral and maximizes the growth rate of innovations.
Collateral Patents Research and development Credit rationing Growth Innovation
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2010
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1104
http://www.sciencedirect.com/science/article/B6V85-4YMB60S-1/2/5e7f1397db49cf4c79e4f4e95a58731e
Amable, Bruno
Chatelain, Jean-Bernard
Ralf, Kirsten
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1260-12762010-06-29RePEc:eee:dyncon
article
Discretization of highly persistent correlated AR(1) shocks
The finite state Markov-chain approximation methods developed by Tauchen (1986) and Tauchen and Hussey (1991) are widely used in economics, finance and econometrics to solve functional equations in which state variables follow autoregressive processes. For highly persistent processes, the methods require a large number of discrete values for the state variables to produce close approximations which leads to an undesirable reduction in computational speed, especially in a multivariate case. This paper proposes an alternative method of discretizing multivariate autoregressive processes. This method can be treated as an extension of Rouwenhorst's (1995) method which, according to our finding, outperforms the existing methods in the scalar case for highly persistent processes. The new method works well as an approximation that is much more robust to the number of discrete values for a wide range of the parameter space.
Finite state Markov-chain approximation Discretization of multivariate autoregressive processes Transition matrix Numerical methods Value function iteration
7
2010
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1260
1276
http://www.sciencedirect.com/science/article/B6V85-4YDKJS5-1/2/7ecd9a20d7f3d5a9342f90edf9824787
Galindev, Ragchaasuren
Lkhagvasuren, Damba
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1277-12942010-06-29RePEc:eee:dyncon
article
Optimal monetary rules under persistent shocks
The tug-o-war for supremacy between inflation targeting and monetary targeting is a classic, yet timely topic, in monetary economics. In this paper, we revisit this issue within the context of a pure-exchange, overlapping generations model in which spatial separation and random relocation create an endogenous demand for money. We study AR(1) shocks to both real output and the real interest rate. Irrespective of the nature of the shocks, the optimal inflation target is always positive. Under monetary targeting, shocks to output necessitate negative money growth rates; for shocks to real interest rates, money growth rates may be either positive or negative depending on the elasticity of consumption substitution. Also, for output shocks, monetary targeting welfare-dominates inflation targeting but the gap between the two vanishes as the shock process approaches a random walk. In sharp contrast, for shocks to the real interest rate, we prove that monetary targeting and inflation targeting are welfare-equivalent only in the limit as the shocks become i.i.d. The upshot is that persistence of the underlying fundamental uncertainty matters: depending on the nature of the shock, policy responses need to be either more or less aggressive as persistence increases.
Real shocks Persistence Overlapping generations Random relocation model Monetary targeting Inflation targeting
7
2010
34
7
1277
1294
http://www.sciencedirect.com/science/article/B6V85-4YN5P8R-1/2/3bd99ee6f9303e1a2960a5cb69cbbc7e
Bhattacharya, Joydeep
Singh, Rajesh
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1343-13582010-06-29RePEc:eee:dyncon
article
Macroeconomic models and the yield curve: An assessment of the fit
Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.
Macromodels Yield curve Persistence
8
2010
34
8
1343
1358
http://www.sciencedirect.com/science/article/B6V85-4Y95TWS-2/2/1caf4c66e594d1873dee2ffb2b478d93
Chadha, Jagjit S.
Holly, Sean
oai:RePEc:eee:dyncon:v:34:y:2010:i:7:p:1202-12132010-06-29RePEc:eee:dyncon
article
Monthly pass-through ratios
This paper estimates monthly pass-through ratios from import prices to consumer prices in real time. Conventional time series methods impose restrictions to generate exogenous shocks on exchange rates or import prices when estimating pass-through coefficients. Instead, our estimation strategy follows an event-study approach based on monthly releases in import prices. Projections from a dynamic common factor model with daily panels before and after monthly releases of import prices define the innovation for import prices. We apply our identification procedure to Swiss prices and find strong evidence that the median of the monthly pass-through ratio is around 0.3. Tests show that standard assumptions of non-real time data and limited information breath are critical for the pass-through estimates.
Common factors Pass-through Real-time data
7
2010
34
7
1202
1213
http://www.sciencedirect.com/science/article/B6V85-4Y9XKVB-1/2/e7358fe5a0f5f5b1471431f5d9556583
Amstad, Marlene
Fischer, Andreas M.
oai:RePEc:eee:dyncon:v:34:y:2010:i:6:p:1015-10302010-06-29RePEc:eee:dyncon
article
Welfare costs of inflation when interest-bearing deposits are disregarded: A calculation of the bias
Most estimates of the welfare costs of inflation are devised considering only noninterest-bearing assets, ignoring that since the 1980s technological innovations and new regulations have increased the liquidity of interest-bearing deposits. We investigate the resulting bias. Sufficient and necessary conditions on its sign are presented, along with closed-form expressions for its magnitude. Two examples dealing with bidimensional bilogarithmic money demands show that disregarding interest-bearing monies may lead to a non-negligible overestimation of the welfare costs of inflation. An intuitive explanation is that such assets may partially make up for the decreased demand of noninterest-bearing assets due to higher inflation.
Welfare Inflation Money demand Divisia index Interest-bearing monies
6
2010
34
6
1015
1030
http://www.sciencedirect.com/science/article/B6V85-4Y65S8W-2/2/b3a47af22096bb54f0671a1886183af7
Cysne, Rubens Penha
Turchick, David
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1403-14202010-06-29RePEc:eee:dyncon
article
On the theory of sterilized foreign exchange intervention
Standard theory finds that, given uncovered interest parity, sterilized foreign exchange intervention should not affect equilibrium prices and quantities. This paper shows that when, as in the data, taxation is not sufficiently flexible in response to spending shocks, uncovered interest parity is replaced by a monotonically increasing relationship between the stock of domestic currency government debt and domestic interest rates. Sterilized intervention then becomes a second independent monetary policy instrument that affects portfolios, interest rates, exchange rates and consumption. It should be most effective in developing countries, where fiscal spending volatility is large and domestic currency government debt is small.
Uncovered interest parity Imperfect asset substitutability Portfolio balance models Sterilized foreign exchange intervention
8
2010
34
8
1403
1420
http://www.sciencedirect.com/science/article/B6V85-4YWB28P-1/2/6c4fc5a900e6928825713ecc6d86b3c7
Kumhof, Michael
oai:RePEc:eee:dyncon:v:34:y:2010:i:8:p:1442-14552010-06-29RePEc:eee:dyncon
article
On the hidden hazards of adaptive behavior
Adaptive behavior has been observed in almost all aspects of real-world. One of the main advantages of acting adaptively is its stabilizing effect on dynamic equilibrium, associated with which are three favorable features: (a) non-destabilizing characteristics, (b) low-speed effectiveness and (c) the convexity of the stabilization regime in terms of the adaptive parameter. It is shown either in theory or by counter-examples that these advantages may not be preserved if the adaptive mechanism is applied to multi-dimensional processes. The necessary and sufficient conditions for the relevant phenomena are provided for two-dimensional dynamic processes with application to duopolistic dynamics. Our findings not only help to clarify hidden misconceptions and prevent potential abuse of adaptive mechanisms, but also illustrate the possible pitfalls arising from generalizing well-known characteristics of low dimensional and/or homogeneous agent models to high-dimensional and heterogenous agent models.
Adaptive strategy Adaptive learning Adaptive adjustment Stability Adaptive behavior Dynamics Heterogenous agent models
8
2010
34
8
1442
1455
http://www.sciencedirect.com/science/article/B6V85-4YVJ3S2-3/2/304b13a92d8437ef757ec5430fde45e1
Huang, Weihong
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:1001-10182013-04-12RePEc:eee:dyncon
article
Asian and Australian options: A common perspective
We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this “Australian approach” leads to a natural dimension reduction for the pricing PDE of Asian options, with or without stochastic volatility, featuring time independent coefficients. Another application lies in the improvement of Monte Carlo schemes, where the “Australian approach” results in a path-independent method. We also show how the Milevsky and Posner (1998) result on the reciprocal Γ-approximation for Asian options can be quickly obtained by using the connection to Australian options. Further, we present an analytical (exact) pricing formula for Australian options and adapt a result of Carr et al. (2008) to show that the price of an Australian call option is increasing in the volatility and by doing this answering a standing question by Moreno and Navas (2008).
Asset pricing; Derivatives; Asian options; Quanto options; Dollar cost averaging (DCA); Numerical methods;
5
2013
37
1001
1018
G12
G13
C63
http://www.sciencedirect.com/science/article/pii/S0165188913000146
Ewald, Christian-Oliver
Menkens, Olaf
Hung Marten Ting, Sai
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:984-10002013-04-12RePEc:eee:dyncon
article
Optimal tax rules and addictive consumption
This paper studies implementation of the social optimum in a model of addictive consumption. We consider corrective taxes that address inefficiencies due to negative externalities, imperfect competition, and self-control problems. Our setup allows us to evaluate how such taxes are affected by (i) market power and (ii) a requirement for implementation to be time consistent. Together, these features can imply significantly lower taxes. We provide a general characterization of the optimal tax rule and illustrate it with two examples.
Dynamic externalities; Internalities; Addiction; Optimal taxation; Time consistent implementation;
5
2013
37
984
1000
H55
D72
D91
E62
http://www.sciencedirect.com/science/article/pii/S0165188913000171
Bossi, Luca
Calcott, Paul
Petkov, Vladimir
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:1019-10392013-04-12RePEc:eee:dyncon
article
A constructive geometrical approach to the uniqueness of Markov stationary equilibrium in stochastic games of intergenerational altruism
We provide sufficient conditions for existence and uniqueness of a monotone, Lipschitz continuous Markov stationary Nash equilibrium (MSNE) and characterize its associated Stationary Markov equilibrium in a class of intergenerational paternalistic altruism models with stochastic production. Our methods are constructive, and emphasize both order-theoretic and geometrical properties of nonlinear fixed point operators, and relate our results to the construction of globally stable numerical schemes that construct approximate Markov equilibrium in our models. Our results provide a new catalog of tools for the rigorous analysis of MSNE on minimal state spaces for OLG economies with stochastic production and limited commitment.
Stochastic games; Constructive methods; Intergenerational altruism;
5
2013
37
1019
1039
C62
C73
D91
http://www.sciencedirect.com/science/article/pii/S0165188913000134
Balbus, Łukasz
Reffett, Kevin
Woźny, Łukasz
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:964-9832013-04-12RePEc:eee:dyncon
article
Optimal lending contracts with long run borrowing constraints
This paper discusses two variations to the optimal lending contract under asymmetric information studied in Clementi and Hopenhayn (2006). One variation assumes that the entrepreneur is less patient than the bank, and the other assumes the bank has limited commitment. The qualitative properties of the two modified contracts are very similar. In particular, both variations lead to borrowing constraints that are always binding such that the firm is financially constrained throughout its life cycle and subject to a positive probability of being liquidated eventually.
Optimal lending contract; Borrowing constraints; Asymmetric information; Limited commitment; Impatient entrepreneur;
5
2013
37
964
983
G3
L2
D21
http://www.sciencedirect.com/science/article/pii/S0165188913000110
Li, Shuyun May
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:951-9632013-04-12RePEc:eee:dyncon
article
Progressive taxation and macroeconomic (In) stability with productive government spending
This paper systematically examines the interrelations between a progressive income tax schedule and macroeconomic (in)stability in an otherwise standard one-sector real business model with productive government spending. We analytically show that the economy exhibits indeterminacy and sunspots if and only if the equilibrium after-tax wage-hours locus is positively sloped and steeper than the household's labor supply curve. Unlike in the framework with useless public expenditures, a less progressive tax policy may operate like an automatic stabilizer that mitigates belief-driven cyclical fluctuations. Moreover, our quantitative analysis shows that this result is able to provide a theoretically plausible explanation for the discernible reduction in US output volatility after the Tax Reform Act of 1986 was implemented.
Progressive income taxation; Equilibrium (in)determinacy; Productive government spending; Business cycles;
5
2013
37
951
963
E32
E62
http://www.sciencedirect.com/science/article/pii/S0165188913000122
Chen, Shu-Hua
Guo, Jang-Ting
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:1040-10652013-04-12RePEc:eee:dyncon
article
Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
This paper studies the effects of multiple investment horizons and investors' bounded rationality on the price dynamics. We consider a market with one risky asset with agents maximizing expected utility of wealth over discrete investment periods. Investors' demand for the risky asset may depend on the historical returns, so that our model encompasses a wide range of behaviorist patterns. Stochastic properties of the returns process are established analytically and illustrated by simulation. The links between dynamic patterns in returns and different types of investment behavior are explored in the heterogeneous agents' framework. We find that conditional volatility of returns cannot be constant in many generic situations, especially if agents with different investment horizons operate on the market. In the latter case, the return process can display conditional heteroscedasticity, even if all investors are so-called “fundamentalists” and their demand for the risky asset is subject to exogenous iid shocks. We show that the heterogeneity of investment horizons can contribute to the explanation of different stylized patterns in stock returns, in particular, mean-reversion and volatility clustering.
Asset pricing; Heterogeneous agents; Multiple investment scales; Volatility clustering;
5
2013
37
1040
1065
G12
G11
D84
http://www.sciencedirect.com/science/article/pii/S0165188913000195
Chauveau, Th.
Subbotin, A.
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:1066-10962013-04-12RePEc:eee:dyncon
article
Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences
We solve for the time consistent dynamic asset allocation of an investor with a mean variance objective function in a multiple assets affine setting. We use as a benchmark the pre-commitment strategy widely used in the literature and assess the potential welfare gains from pre-commitment by comparing the time consistent strategy to the pre-commitment, time inconsistent, strategy. The gains from pre-commitment are simply considerable since, in some cases, at the 5 years horizon the yearly certainty equivalent of the pre-commitment strategy is 48% compared with 9% for the time consistent strategy. However, these welfare gains result from huge and unrealistic positions in the risky assets; in some cases, the pre-commitment strategy is more than 60 times the time consistent strategy. We thus looked for alternative time inconsistent strategies that improve relative to the time consistent strategy while still involving reasonable risky asset positions. To identify these strategies, we explore an original aspect of the time consistent mean variance strategy: the presence of intertemporal hedging in such a strategy reflects welfare degradation. Therefore, a natural candidate is the time consistent strategy without the intertemporal hedging component. The second component of the time consistent strategy is the traditional myopic component discounted. We show that this component could be seen as a standard myopic strategy which is marked to market and the discount factor acts as a tailing factor. This marked to market myopic (MMM) strategy is shown to yield reasonable risky assets positions and substantial welfare gains at long horizons relative to the time consistent strategy. We also show that it dominates the standard myopic strategy as well as the equally weighted strategy.
Mean-variance preferences; Dynamic asset allocation; Intertemporal hedging; Predictability; Value and growth investment;
5
2013
37
1066
1096
D11
D12
G11
http://www.sciencedirect.com/science/article/pii/S0165188913000158
Lioui, Abraham
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:911-9282013-04-12RePEc:eee:dyncon
article
Targets for global climate policy: An overview
A survey of the economic impact of climate change and the marginal damage costs shows that carbon dioxide emissions are a negative externality. The estimated Pigou tax and its growth rate are too low to justify the climate policy targets set by political leaders. A lower discount rate or greater concern for the global distribution of income would justify more stringent climate policy, but would imply an overhaul of other public policies. Catastrophic risk justifies more stringent climate policy, but only to a limited extent.
Climate change; Climate policy; First-best;
5
2013
37
911
928
Q54
http://www.sciencedirect.com/science/article/pii/S0165188913000092
Tol, Richard S.J.
oai:RePEc:eee:dyncon:v:37:y:2013:i:5:p:929-9502013-04-12RePEc:eee:dyncon
article
The role of non-convex costs in firms' investment and financial dynamics
This paper shows that non-convex costs of financial adjustment are quantitatively relevant for explaining firm dynamics. First, empirically, financial activity is lumpy, more than investment activity. Second, non-convex costs are necessary, in the context of a dynamic investment and financing model, to rationalize this lumpiness. Two versions of the model, with and without non-convex costs, are compared. Only the non-convex costs version replicates the dynamics in the data, generating financial lumpiness higher than investment lumpiness. Other predictions of the model with respect to investment and finance are discussed.
Financial frictions; External financing costs; Investment; Dynamic trade-off model; Financial lumpiness;
5
2013
37
929
950
E22
E42
E44
G31
G32
G33
http://www.sciencedirect.com/science/article/pii/S0165188913000109
Bazdresch, Santiago
oai:RePEc:eee:dyncon:v:33:y:2009:i:9:p:1631-16382011-03-29RePEc:eee:dyncon
article
Macroeconomic (in)stability under real interest rate targeting
We show that in a one-sector monetary endogenous growth model under real interest rate targeting, the local stability properties of the economy's balanced growth path depend crucially on the exact formulation of the cash-in-advance constraint and the degree of productive externalities. In particular, when a positive fraction (including 100%) of gross investment is subject to the liquidity constraint, the model exhibits indeterminacy and sunspots if and only if the equilibrium wage-hours locus is positively sloped and steeper than the labor supply curve. On the other hand, when real money balances are required only for the household's consumption purchases, the economy always displays saddle-path stability and equilibrium uniqueness, regardless of the strength of productive externalities.
Real interest rate targeting Endogenous growth Cash-in-advance constraint Indeterminacy
9
2009
33
9
1631
1638
http://www.sciencedirect.com/science/article/B6V85-4VW550C-1/2/0f0e7e6e0473d527d2d6e6ce1459e9f1
Chin, Chi-Ting
Guo, Jang-Ting
Lai, Ching-Chong
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:456-4712011-03-29RePEc:eee:dyncon
article
Robust monetary rules under unstructured model uncertainty
This paper revisits a widely adopted approach to robust decision making developed by (Hansen and Sargent, 2003) and (Hansen and Sargent, 2008)--henceforth HS--and applies it to monetary policy design in the face of model uncertainty. We pay particular attention to two issues: first, we distinguish three possible forms of the implied game between malign nature and the policymaker in the HS procedure each leading to a different robust and approximating equilibria. Second, we impose the zero lower bound (ZLB) constraint on the nominal interest rate. We show that the ZLB constraint has serious consequences for a policymaker pursuing HS-type robustness, especially when accompanied by an inability to commit.
Robustness Unstructured uncertainty Commitment Zero lower bound interest rate constraint
3
2010
34
3
456
471
http://www.sciencedirect.com/science/article/B6V85-4XFGJ7N-1/2/73f095ab90362b4e9a696931a20f252c
Levine, Paul
Pearlman, Joseph
oai:RePEc:eee:dyncon:v:34:y:2010:i:2:p:179-1902011-03-29RePEc:eee:dyncon
article
Adaptive learning with a unit root: An application to the current account
This paper develops a simple two-country, two-good model of international trade and borrowing that suppresses all previous sources of current account dynamics. Under rational expectations, international debt follows a random walk. Under adaptive learning, however, the model's unit root is eliminated and international debt is either a stationary or an explosive process, depending on agents' specific learning algorithm. Some stationary learning algorithms result in debt following an AR(1) process with an autoregressive coefficient less than 0.8. Because unit roots are a common and problematic feature of many international business cycle models, our results offer a new approach for generating stationarity.
Current account International debt movements Expectations Adaptive learning
2
2010
34
2
179
190
http://www.sciencedirect.com/science/article/B6V85-4X6FNGV-1/2/d3d57457aa0fc0c95a31112403ec6896
Davies, Ronald B.
Shea, Paul
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:69-782011-03-29RePEc:eee:dyncon
article
Solving the incomplete markets model with aggregate uncertainty using explicit aggregation
We propose a method to solve models with heterogeneous agents and aggregate uncertainty. The law of motion describing aggregate behavior is obtained by explicitly aggregating the individual policy rule. The algorithm is simpler and faster than existing algorithms that rely on parameterization of the cross-sectional distribution and/or a computationally intensive simulation step. Explicit aggregation establishes a link between the individual policy rule and the set of necessary aggregate state variables, an insight that can be helpful in determining what state variables to include in other algorithms as well.
Numerical solutions Projection methods
1
2010
34
1
69
78
http://www.sciencedirect.com/science/article/B6V85-4WYDMW5-3/2/61e5c3a39cfd60e48c9badd0d19ce63b
Den Haan, Wouter J.
Rendahl, Pontus
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:522-5412011-03-29RePEc:eee:dyncon
article
Ability-heterogeneity, entrepreneurship, and economic growth
This paper develops an endogenous growth model of occupational choice with overlapping generations heterogeneous in entrepreneurial ability. While an increase in the number of entrepreneurs creates a growth-enhancing variety effect, the reduced overall quality of entrepreneurial ability retards growth. As a result, the number of entrepreneurs and output growth need not be positively related, in response to changes in the ability distribution. While cheaper financial operation and higher manufacturing productivity are both growth-enhancing, they have different effects on equilibrium factor prices and equilibrium financial markups. Additionally, the long-run growth consequences of subsidies to entrepreneurship and credit-market imperfections are studied.
Occupational choice Entrepreneurial ability Distribution and growth
3
2010
34
3
522
541
http://www.sciencedirect.com/science/article/B6V85-4XHCHWT-3/2/4044301ebf35be162547426e01a35c8a
Jiang, Neville
Wang, Ping
Wu, Haibin
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:36-412011-03-29RePEc:eee:dyncon
article
Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm and non-stochastic simulations
This article describes the approach to computing the version of the stochastic growth model with idiosyncratic and aggregate risk that relies on collapsing the aggregate state space down to a small number of moments used to forecast future prices. One innovation relative to most of the literature is the use of a non-stochastic simulation routine.
Idiosyncratic risk Business cycles Numerical methods
1
2010
34
1
36
41
http://www.sciencedirect.com/science/article/B6V85-4WYDMW5-4/2/602054d13483daea5f5da0ed606e0616
Young, Eric R.
oai:RePEc:eee:dyncon:v:33:y:2009:i:11:p:1929-19442011-03-29RePEc:eee:dyncon
article
Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis
In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.
Heterogeneous expectations Contagion Asian crisis Dynamic models
11
2009
33
11
1929
1944
http://www.sciencedirect.com/science/article/B6V85-4WNB503-1/2/2e137b6b2812665ba6f235582edc0b4b
de Jong, Eelke
Verschoor, Willem F.C.
Zwinkels, Remco C.J.
oai:RePEc:eee:dyncon:v:34:y:2010:i:2:p:191-2062011-03-29RePEc:eee:dyncon
article
Does tax competition really promote growth?
This paper considers the relationship between tax competition and growth in an endogenous growth model where there are stochastic shocks to productivity, and capital taxes fund a public good which may be for final consumption or an infrastructure input. Absent stochastic shocks, decentralized tax setting (two or more jurisdictions) maximizes the rate of growth, as the constant returns to scale present with endogenous growth implies "extreme" tax competition. Stochastic shocks imply that households face a portfolio choice problem, which dampens down tax competition and may raise taxes above the centralized level. Growth can be lower with decentralization. Our results also predict a negative relationship between output volatility and growth with decentralization.
Tax competition Uncertainty Stochastic growth
2
2010
34
2
191
206
http://www.sciencedirect.com/science/article/B6V85-4X7GMB3-1/2/23bbefce6332052aac301f77c7c8752d
Koethenbuerger, Marko
Lockwood, Ben
oai:RePEc:eee:dyncon:v:33:y:2009:i:11:p:1867-18792011-03-29RePEc:eee:dyncon
article
On nonrenewable resource oligopolies: The asymmetric case
We give a full characterization of the open-loop Nash equilibrium of a nonrenewable resource game between two types of firms differing in extraction costs. We show that (i) there almost always exists a phase where both types of firms supply simultaneously, (ii) when the high cost mines are exploited by a number of firms that goes to infinity the equilibrium approaches the cartel-versus-fringe equilibrium with the fringe firms acting as price takers, and (iii) the cheaper resource may not be exhausted first, a violation of the Herfindahl rule, that may be detrimental to social welfare.
Nonrenewable resources Nash equilibrium Cartel versus fringe Open loop
11
2009
33
11
1867
1879
http://www.sciencedirect.com/science/article/B6V85-4WDNKR5-1/2/360feabfcf9a9a71501c196d566f04a2
Benchekroun, Hassan
Halsema, Alex
Withagen, Cees
oai:RePEc:eee:dyncon:v:33:y:2009:i:7:p:1419-14362011-03-29RePEc:eee:dyncon
article
Endogenous growth and adverse selection in entrepreneurship
This paper proposes a model of Schumpeterian endogenous growth incorporating the role of market imperfections that exist due to adverse selection between investors that finance R&D and entrepreneurs that perform R&D. There is a distribution of agents indexed by a skill factor that determines one's average productivity at performing research. An entrepreneur starts-up a research venture by borrowing from an investor that funds R&D so as to invent new goods. Skill is private information, creating an adverse selection problem for the investor who designs a truth-telling mechanism. We show that an increase in the mean skill enhances growth as it leads to greater R&D productivity and investment; while an increase in the dispersion of the skill distribution dampens growth as it makes the adverse selection problem between investors and entrepreneurs more severe. The growth rate would double in the absence of adverse selection. The R&D investment of the average size firm must be subsidized threefold for the negative adverse selection effect to be nullified. We provide U.S. industry-level and European sector-level evidence in favor of the positive scale effect and negative adverse selection effect using the firm size distribution (FSD) to proxy for the entrepreneurial skill distribution.
Asymmetric information Mechanism design Innovation Technological change
7
2009
33
7
1419
1436
http://www.sciencedirect.com/science/article/B6V85-4VNKGR3-1/2/ab25afe6c1ac287349b4380402d13861
Plehn-Dujowich, Jose M.
oai:RePEc:eee:dyncon:v:33:y:2009:i:8:p:1531-15422011-03-29RePEc:eee:dyncon
article
Aging, transitional dynamics, and gains from trade
We formulate a two-country, two-good, two-factor, two-period-lived overlapping generations model to examine how population aging determines the pattern of and gains from trade. Two main results are obtained. First, the aging country endogenously becomes a small country exporting the capital-intensive good, whereas the younger country endogenously dominates the world economy determining the world prices, in the free trade steady state. Second, although uncompensated free trade cannot be Pareto superior to autarky, there exists a compensation scheme applied within each country such that free trade is Pareto superior to autarky.
Aging and trade Gains from trade Overlapping generations model Transitional dynamics Compensation scheme
8
2009
33
8
1531
1542
http://www.sciencedirect.com/science/article/B6V85-4VRX638-1/2/8e4710ccc10cd1cba1671016d97da09f
Naito, Takumi
Zhao, Laixun
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:4-272011-03-29RePEc:eee:dyncon
article
Comparison of solutions to the incomplete markets model with aggregate uncertainty
This paper compares numerical solutions to the model of Krusell and Smith [1998. Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy 106, 867-896] generated by different algorithms. The algorithms have very similar implications for the correlations between different variables. Larger differences are observed for (i) the unconditional means and standard deviations of individual variables, (ii) the behavior of individual agents during particularly bad times, (iii) the volatility of the per capita capital stock, and (iv) the behavior of the higher-order moments of the cross-sectional distribution. For example, the two algorithms that differ the most from each other generate individual consumption series that have an average (maximum) difference of 1.63% (11.4%).
Numerical solutions Approximations
1
2010
34
1
4
27
http://www.sciencedirect.com/science/article/B6V85-4X01P6T-2/2/944569cdddfbca9b2444dde01e71e390
Den Haan, Wouter J.
oai:RePEc:eee:dyncon:v:33:y:2009:i:7:p:1437-14502011-03-29RePEc:eee:dyncon
article
A quantitative exploration of the Golden Age of European growth
Income per capita in some Western European countries more than tripled in the two and a half decades that followed World War II. The literature has identified several factors behind this outstanding growth episode, specifically; structural change, the Marshall Plan combined with the public provision of infrastructure, the surge of intra-European trade, and the reconstruction process that followed the war. This paper is an attempt to formalize and quantify the contribution of each one of these factors to post-war growth. Our results highlight the importance of reconstruction growth and structural change, and point to the limited role of the Marshall Plan, and the late contribution of intra-European trade.
Economic growth European economic history 1913- CGE models
7
2009
33
7
1437
1450
http://www.sciencedirect.com/science/article/B6V85-4VP665P-2/2/67c83d232e8275ebc7575840d7fa40b5
Alvarez-Cuadrado, Francisco
Pintea, Mihaela I.
oai:RePEc:eee:dyncon:v:33:y:2009:i:11:p:1858-18662011-03-29RePEc:eee:dyncon
article
Pooling forecasts in linear rational expectations models
Estimating linear rational expectations models in a limited-information setting requires replacing the expectations of future, endogenous variables either with instrumented, actual values or with forecast survey data. Applying the method of Gottfries and Persson [Empirical examinations of the information sets of economic agents. Quarterly Journal of Economics 103, 251-259], I show how to augment these methods with actual, future values of the endogenous variables to improve statistical efficiency. The method is illustrated with an application to the US hybrid new Keynesian Phillips curve, where traditional, lagged instruments and the median forecast from the Survey of Professional Forecasters both appear to miss significant information used by price-setters, so that forecast pooling with actual values improves the statistical fit to inflation.
Forecast pooling Recursive projection New Keynesian Phillips curve
11
2009
33
11
1858
1866
http://www.sciencedirect.com/science/article/B6V85-4W8VVYD-2/2/c4e35256dfc6c71ae26ea44f79b14de8
Smith, Gregor W.
oai:RePEc:eee:dyncon:v:33:y:2009:i:7:p:1398-14182011-03-29RePEc:eee:dyncon
article
Estimated U.S. manufacturing production capital and technology based on an estimated dynamic structural economic model
Production capital and total factor productivity or technology are fundamental to understanding output and productivity growth, but are unobserved except at disaggregated levels and must be estimated before being used in empirical analysis. In this paper, we develop estimates of production capital and technology for U.S. total manufacturing based on an estimated dynamic structural economic model. First, using annual U.S. total manufacturing data for 1947-1997, we estimate by maximum likelihood a dynamic structural economic model of a representative production firm. In the estimation, capital and technology are completely unobserved or latent variables. Then, we apply the Kalman filter to the estimated model and the data to compute estimates of model-based capital and technology for the sample. Finally, we describe and evaluate similarities and differences between the model-based and standard estimates of capital and technology reported by the Bureau of Labor Statistics.
Kalman filter estimation of latent variables
7
2009
33
7
1398
1418
http://www.sciencedirect.com/science/article/B6V85-4VJ4WJJ-1/2/9da7fdc2df3fec7c680a43654bfb67d8
Chen, Baoline
Zadrozny, Peter A.
oai:RePEc:eee:dyncon:v:33:y:2009:i:11:p:1837-18572011-03-29RePEc:eee:dyncon
article
Implied recovery
In the absence of forward-looking models for recovery rates, market participants tend to use exogenously assumed constant recovery rates in pricing models. We develop a flexible jump-to-default model that uses observables: the stock price and stock volatility in conjunction with credit spreads to identify implied, endogenous, dynamic functions of the recovery rate and default probability. The model in this paper is parsimonious and requires the calibration of only three parameters, enabling the identification of the risk-neutral term structures of forward default probabilities and recovery rates. Empirical application of the model shows that it is consistent with stylized features of recovery rates in the literature. The model is flexible, i.e. it may be used with different state variables, alternate recovery functional forms, and calibrated to multiple debt tranches of the same issuer. The model is robust, i.e. evidences parameter stability over time, is stable to changes in inputs, and provides similar recovery term structures for different functional specifications. Given that the model is easy to understand and calibrate, it may be used to further the development of credit derivatives indexed to recovery rates, such as recovery swaps and digital default swaps, as well as provide recovery rate inputs for the implementation of Basel II.
Credit default swaps Recovery Default probability Reduced form
11
2009
33
11
1837
1857
http://www.sciencedirect.com/science/article/B6V85-4W8VVYD-1/2/480e4555dc0e9b9ef298e2c0911c7787
Das, Sanjiv R.
Hanouna, Paul
oai:RePEc:eee:dyncon:v:34:y:2010:i:2:p:101-1202011-03-29RePEc:eee:dyncon
article
Optimal stalling when bargaining
This paper analyzes an alternating offer model of bargaining over the sale of an asset in a market, such as that for housing, in which another agent may come and compete for the right to strike a deal. The analysis allows the buyer and seller to have possibly differing views as to how likely such a competition is. Hence the buyer and the seller disagree about their respective bargaining powers. These views adjust to market realizations as the parties learn. It is shown that there exists a unique subgame perfect equilibrium which can be explicitly constructed: hence, conditional on market conditions, equilibrium prices and optimal stall lengths (that is, delay) can be found. Bargaining delay can only occur if there is optimism (not pessimism) and only if the parties are open to learning as time elapses. This delay can occur even for very small levels of optimism and the delay can be for economically significant periods.
Optimism Bargaining delay Asset sales House sales Bargaining power
2
2010
34
2
101
120
http://www.sciencedirect.com/science/article/B6V85-4WD7B2K-1/2/53887f93e92bb8fbebed52c08c3dc3f2
Thanassoulis, John
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:1-32011-03-29RePEc:eee:dyncon
article
Computational suite of models with heterogeneous agents: Incomplete markets and aggregate uncertainty
This paper describes the first model considered in the computational suite project that compares different numerical algorithms. It is an incomplete markets economy with a continuum of agents and an inequality (borrowing) constraint.
Numerical solutions Simulations Approximations
1
2010
34
1
1
3
http://www.sciencedirect.com/science/article/B6V85-4X01P6T-1/2/6c88c795995fed3eba523854830290f4
Den Haan, Wouter J.
Judd, Kenneth L.
Juillard, Michel
oai:RePEc:eee:dyncon:v:34:y:2010:i:5:p:897-9122011-03-29RePEc:eee:dyncon
article
Uncertainty-driven growth
In this paper, I present a model in which firm-level uncertainty raises aggregate productivity growth. The mechanism for this is learning-by-doing in the research sector: firms undertake research to reduce uncertainty, which results in social knowledge accumulation that improves the productivity of future research. The model explains the positive correlation between TFP growth and dispersion in manufacturing industries.
Firm-level uncertainty Knowledge accumulation TFP growth and dispersion Bayesian updating
5
2010
34
5
897
912
http://www.sciencedirect.com/science/article/B6V85-4Y05DF9-1/2/1e491377fc0274d0c3285466e47a76de
Oikawa, Koki
oai:RePEc:eee:dyncon:v:33:y:2009:i:12:p:1991-20002011-03-29RePEc:eee:dyncon
article
Capital-labor substitution and equilibrium indeterminacy
This paper examines the quantitative relationship between the elasticity of capital-labor substitution in production and the conditions needed for equilibrium indeterminacy (and belief-driven fluctuations) in a one-sector growth model. With variable capital utilization, the substitution elasticity has little quantitative impact on the minimum degree of increasing returns needed for indeterminacy. However, when capital utilization is constant, a below-unity substitution elasticity sharply raises the minimum degree of increasing returns because it imposes a higher effective adjustment cost on labor hours. Overall, our results show that empirically-plausible departures from the Cobb-Douglas production specification can make indeterminacy more difficult to achieve.
Capital-labor substitution Equilibrium indeterminacy Capital utilization Real business cycles Sunspots
12
2009
33
12
1991
2000
http://www.sciencedirect.com/science/article/B6V85-4WP47KN-1/2/7664cfb1f18c988304296f3bf2176852
Guo, Jang-Ting
Lansing, Kevin J.
oai:RePEc:eee:dyncon:v:33:y:2009:i:10:p:1824-18362011-03-29RePEc:eee:dyncon
article
Can a stochastic cusp catastrophe model explain stock market crashes?
This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data. We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. Using the data of U.S. stock markets we demonstrate that the crash of October 19, 1987, may be better explained by cusp catastrophe theory, which is not true for the crash of September 11, 2001. With the help of sentiment measures, such as the index put/call options ratio and trading volume (the former models the chartists, the latter the fundamentalists), we have found that the 1987 returns are bimodal, and the cusp catastrophe model fits these data better than alternative models. Therefore we may say that the crash has been led by internal forces. However, the causes for the crash of 2001 are external, which is also evident in much weaker presence of bifurcations in the data. In this case, alternative models explain the crash of stock exchanges better than the cusp catastrophe model.
Stochastic cusp catastrophe Bifurcations Singularity Nonlinear dynamics Stock market crash
10
2009
33
10
1824
1836
http://www.sciencedirect.com/science/article/B6V85-4W8VVYD-3/2/2eea78b69386e10727edc7d8d4ddca49
Barunik, J.
Vosvrda, M.
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:437-4552011-03-29RePEc:eee:dyncon
article
On-the-job search, sticky prices, and persistence
Models of the monetary transmission mechanism often generate empirically implausible business fluctuations. This paper analyzes the role of on-the-job search in the propagation of monetary shocks in a sticky price model with labor market search frictions. Such frictions induce long-term employment relationships, such that the real marginal cost is determined by real wages and the cost of an employment relationship. On-the-job search opens up an extra channel of employment growth that dampens the response of these two components. Because real marginal cost rigidity induces small price adjustments, on-the-job search gives rise to a strong propagation of monetary shocks that increases output persistence.
On-the-job search Cost of an employment relationship Sticky prices Business fluctuations
3
2010
34
3
437
455
http://www.sciencedirect.com/science/article/B6V85-4XDCHJC-1/2/5fd7c33aa55e0aa768f4002fb6ecfe75
Van Zandweghe, Willem
oai:RePEc:eee:dyncon:v:33:y:2009:i:8:p:1617-16292011-03-29RePEc:eee:dyncon
article
Delegation, time inconsistency and sustainable equilibrium
This paper analyzes the effectiveness of delegation in solving the time inconsistency problem of monetary policy using a microfounded general equilibrium model where delegation and reappointment are explicitly included into the government's strategy. The method of Chari and Kehoe [1990. Sustainable plans. Journal of Political Economy 98 (4), 783-802] is applied to characterize the entire set of sustainable outcomes. Countering McCallum's [1995. Two fallacies concerning central-bank independence. American Economic Review 85 (2), 207-211] second fallacy, delegation is able to eliminate the time inconsistency problem, with the commitment policy being sustained under discretion for any intertemporal discount rate.
Central bank Monetary policy Institutional design
8
2009
33
8
1617
1629
http://www.sciencedirect.com/science/article/B6V85-4VTVPSW-1/2/2a930d27022c986721cb7efe91ee400e
Basso, Henrique S.
oai:RePEc:eee:dyncon:v:34:y:2010:i:2:p:231-2452011-03-29RePEc:eee:dyncon
article
On the distributional consequences of epidemics
We develop a tractable general theory for the study of the economic and demographic impact of epidemics, notably its distributional consequences. To this end, we build up a three-period overlapping generations model where altruistic parents choose optimal health expenditures for their children and themselves. The survival probability of adults and children depends on such investments. Agents can be skilled or unskilled. In this paper, epidemics are modeled as one-period exogenous shocks to the adults' survival rates. We first show that such epidemics have permanent effects on the size of population and on the level of output. However, the income distribution is shown to be unaltered in the long-run. Second, we show that this distribution may be significantly altered in the medium-term: in particular, the proportion of the unskilled will necessarily increase at that term if orphans are too penalized in the access to education.
Epidemics Orphans Income distribution Endogenous survival Medium-term dynamics
2
2010
34
2
231
245
http://www.sciencedirect.com/science/article/B6V85-4X7GMB3-3/2/813474d388aa67015a6d312bb61f82bd
Boucekkine, Raouf
Laffargue, Jean-Pierre
oai:RePEc:eee:dyncon:v:34:y:2010:i:2:p:158-1782011-03-29RePEc:eee:dyncon
article
Dynamic investment and capital structure under manager-shareholder conflict
This paper investigates the interactions between the investment and financing decisions of a firm under manager-shareholder conflicts arising from asymmetric information. In particular, we extend the manager-shareholder conflict problem in a real options model by incorporating debt financing. We show that manager-shareholder conflicts over investment policy increase not only the investment and default triggers but also coupon payments, which lead to a decrease in the equity value. Moreover, given the presence of manager-shareholder conflicts, debt financing increases investment and decreases total social welfare. As a result, there is a trade-off between the efficiency of investment and total social welfare with debt financing. These results fit well with the findings of previous empirical work in this area.
Real options Debt financing Agency problem Asymmetric information
2
2010
34
2
158
178
http://www.sciencedirect.com/science/article/B6V85-4X49Y9V-1/2/e682069b17c95754acb4213864612245
Shibata, Takashi
Nishihara, Michi
oai:RePEc:eee:dyncon:v:33:y:2009:i:11:p:1912-19282011-03-29RePEc:eee:dyncon
article
More hedging instruments may destabilize markets
This paper formalizes the idea that more hedging instruments may destabilize markets when traders have heterogeneous expectations and adapt their behavior according to performance-based reinforcement learning. In a simple asset pricing model with heterogeneous beliefs the introduction of additional Arrow securities may destabilize markets, and thus increase price volatility, and at the same time decrease average welfare. We also investigate whether a fully rational agent can employ additional hedging instruments to stabilize markets. It turns out that the answer depends on the composition of the population of non-rational traders and the information gathering costs for rationality.
Financial innovation Asset pricing Hedging Reinforcement learning Bifurcations
11
2009
33
11
1912
1928
http://www.sciencedirect.com/science/article/B6V85-4WJBBPJ-1/2/40e5b1ee44776e3b879835e8696d1739
Brock, W.A.
Hommes, C.H.
Wagener, F.O.O.
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:472-4892011-03-29RePEc:eee:dyncon
article
A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models
This paper describes a set of algorithms for quickly and reliably solving linear rational expectations models. The utility, reliability and speed of these algorithms are a consequence of (1) the algorithm for computing the minimal dimension state space transition matrix for models with arbitrary numbers of lags or leads, (2) the availability of a simple modeling language for characterizing a linear model and (3) the use of the QR Decomposition and Arnoldi type eigenspace calculations. The paper also presents new formulae for computing and manipulating solutions for arbitrary exogenous processes.
Linear rational expectations Blanchard-Kahn Saddle point solution
3
2010
34
3
472
489
http://www.sciencedirect.com/science/article/B6V85-4XJP3VB-1/2/2970fcba269144417b87a6fc4b368cd4
Anderson, Gary S.
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:503-5212011-03-29RePEc:eee:dyncon
article
Markov-perfect capital and labor taxes
This paper analyzes the Markov-perfect equilibrium of an economy were a benevolent government that lacks the ability to commit to future policy choices, uses taxes on capital and labor income to finance the provision of a public good. The main finding is that the government taxes capital and subsidizes labor so that only the dynamic inefficiency of future capital taxes remains. If agents' preference for the public good is sufficiently high, then capital is confiscated. Setting bounds on taxes alleviates the dynamic inefficiency inherent in capital taxation, but some implementations carry a high welfare cost. Allowing for endogenous capital utilization makes the current capital tax distortionary and implies capital and labor tax rates that are relatively close to those measured for the U.S. economy.
Time-consistency Markov-perfect equilibrium Optimal taxation Capital tax
3
2010
34
3
503
521
http://www.sciencedirect.com/science/article/B6V85-4XHCHWT-2/2/f132e8737850625c5ac850743c1a6fee
Martin, Fernando M.
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:59-682011-03-29RePEc:eee:dyncon
article
Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions
This note describes how the incomplete markets model with aggregate uncertainty in Den Haan et al. [Comparison of solutions to the incomplete markets model with aggregate uncertainty. Journal of Economic Dynamics and Control, this issue] is solved using standard quadrature and projection methods. This is made possible by linking the aggregate state variables to a parameterized density that describes the cross-sectional distribution. A simulation procedure is used to find the best shape of the density within the class of approximating densities considered. This note compares several simulation procedures in which there is--as in the model--no cross-sectional sampling variation.
Numerical solutions Projection methods Simulations
1
2010
34
1
59
68
http://www.sciencedirect.com/science/article/B6V85-4X0F3P5-1/2/e9e49738b507ae98d607809c22b17b6a
Algan, Yann
Allais, Olivier
Den Haan, Wouter J.
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:542-5542011-03-29RePEc:eee:dyncon
article
A lattice algorithm for pricing moving average barrier options
This paper presents a lattice algorithm for pricing both European- and American-style moving average barrier options (MABOs). We develop a finite-dimensional partial differential equation (PDE) model for discretely monitored MABOs and solve it numerically by using a forward shooting grid method. The modeling PDE for continuously monitored MABOs has infinite dimensions and cannot be solved directly by any existing numerical method. We find their approximate values indirectly by using an extrapolation technique with the prices of discretely monitored MABOs. Numerical experiments show that our algorithm is very efficient.
Barrier option Moving average Lattice algorithm Forward shooting grid method Extrapolation
3
2010
34
3
542
554
http://www.sciencedirect.com/science/article/B6V85-4XH5MF1-1/2/bab10d21859a7d34354377f78e510e02
Dai, Min
Li, Peifan
Zhang, Jin E.
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:50-582011-03-29RePEc:eee:dyncon
article
Solving the incomplete market model with aggregate uncertainty using a perturbation method
We use a perturbation method to solve the incomplete markets model with aggregate uncertainty described in den Haan et al. [Computational suite of models with heterogeneous agents: incomplete markets and model uncertainty. Journal of Economic Dynamics & Control, this issue]. To apply that method, we use a "barrier method" to replace the original problem with occasionally binding inequality constraints by one with only equality constraints. We replace the structure with a continuum of agents by a setting in which a single infinitesimal agent faces prices generated by a representative-agent economy. We also solve a model variant with a large (but finite) number of agents. Our perturbation-based method is much simpler and faster than other methods.
Heterogeneous agents Occasionally binding inequality constraints Barrier method
1
2010
34
1
50
58
http://www.sciencedirect.com/science/article/B6V85-4WYDMW5-2/2/585b7dd21ea624d99d73b60f8a867a57
Kim, Sunghyun Henry
Kollmann, Robert
Kim, Jinill
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:42-492011-03-29RePEc:eee:dyncon
article
Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm
This paper studies the properties of the solution to the heterogeneous agents model in Den Haan et al. [2009. Computational suite of models with heterogeneous agents: incomplete markets and aggregate uncertainty. Journal of Economic Dynamics and Control, this issue]. To solve for the individual policy rules, we use an Euler-equation method iterating on a grid of pre-specified points. To compute the aggregate law of motion, we use the stochastic-simulation approach of Krusell and Smith [1998. Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy 106, 868-896]. We also compare the stochastic- and non-stochastic-simulation versions of the Krusell-Smith algorithm, and we find that the two versions are similar in terms of their speed and accuracy.
Dynamic stochastic models Heterogeneous agents Aggregate uncertainty Euler-equation methods Simulations Numerical solutions
1
2010
34
1
42
49
http://www.sciencedirect.com/science/article/B6V85-4WYDMW5-1/2/d342f8cb89af29c3432db5cca8df2a88
Maliar, Lilia
Maliar, Serguei
Valli, Fernando
oai:RePEc:eee:dyncon:v:33:y:2009:i:7:p:1469-14892011-03-29RePEc:eee:dyncon
article
Optimal monetary policy in economies with dual labor markets
We present a dynamic stochastic general equilibrium (DSGE) New Keynesian model with indivisible labor and a dual labor market: a Walrasian one where wages are fully flexible and a unionized one characterized by real wage rigidity. We show that the negative effect of a productivity shock on inflation and the positive effect of a cost-push shock are crucially determined by the proportion of firms that belong to the unionized sector. The larger this number, the larger are these effects. Consequently, the larger the union coverage, the larger should be the optimal response of the nominal interest rate to exogenous productivity and cost-push shocks. The optimal inflation and output gap volatility increases as the number of the unionized firms in the economy increases.
Optimal monetary policy Trade-unions Real wage rigidity Taylor rules
7
2009
33
7
1469
1489
http://www.sciencedirect.com/science/article/B6V85-4VR242T-1/2/5bba62e4fe7f9a7326d34e8629a7707f
Mattesini, Fabrizio
Rossi, Lorenza
oai:RePEc:eee:dyncon:v:33:y:2009:i:12:p:1962-19802011-03-29RePEc:eee:dyncon
article
Optimal timing of management turnover under agency problems
We explore the timing of the replacement of a manager as an important incentive mechanism, using a real options approach in a situation where the timing of the decision to replace the manager is related to a major change in a firm's strategies that involves spending large amounts of various sunk adjustment costs. Using a continuous-time agency setting, we show that when renegotiation is not possible, the early replacement of the manager of a lower quality project (prior to the first-best trigger level) occurs only if a moral hazard or an adverse selection problem exists. We also indicate that the possibility of renegotiation drastically changes the results.
Agency CEO turnover Executive compensation Real options Renegotiation
12
2009
33
12
1962
1980
http://www.sciencedirect.com/science/article/B6V85-4WMDHDY-1/2/3dfa23d0b9cf18873e137d4878e07810
Hori, Keiichi
Osano, Hiroshi
oai:RePEc:eee:dyncon:v:33:y:2009:i:7:p:1490-15302011-03-29RePEc:eee:dyncon
article
White discrimination in provision of black education: Plantations and towns
We present a model of public provision of education for blacks in two discriminatory regimes, white plantation controlled, and white yeoman-town controlled. We show that the ability to migrate to a non-discriminating district constrains the ability of both types of regimes to discriminate. The model produces time series of educational outcomes for whites and blacks that mimic the behavior seen in Post Reconstruction South Carolina to the onset of the Civil Rights Act. It also fits the Post World War II black-white income differentials.
Discrimination Education Development Income convergence
7
2009
33
7
1490
1530
http://www.sciencedirect.com/science/article/B6V85-4VV2NFC-4/2/13b3ea6cf4d406d2ba3fe4d1c7dd9e44
Canaday, Neil
Tamura, Robert
oai:RePEc:eee:dyncon:v:33:y:2009:i:8:p:1555-15762011-03-29RePEc:eee:dyncon
article
Preferences with frames: A new utility specification that allows for the framing of risks
Experiments on decision-making show that, when people evaluate risk, they often engage in "narrow framing": that is, in contrast to the prediction of traditional utility functions defined over wealth or consumption, they often evaluate risks in isolation, separately from other risks they are already facing. While narrow framing has many potential real-world applications, there are almost no tractable preference specifications that incorporate it into the standard framework used by economists. In this paper, we propose such a specification and demonstrate its tractability in both portfolio choice and equilibrium settings.
Framing Stock market participation Diversification Equity premium
8
2009
33
8
1555
1576
http://www.sciencedirect.com/science/article/B6V85-4VV2NFC-1/2/0bbc52d6767a2a5dd7d22fcf877c17e7
Barberis, Nicholas
Huang, Ming
oai:RePEc:eee:dyncon:v:33:y:2009:i:6:p:1183-12002011-03-29RePEc:eee:dyncon
article
Real wages over the business cycle: OECD evidence from the time and frequency domains
We study differences in the adjustment of aggregate real wages in the manufacturing sector over the business cycle across OECD countries, combining results from different data and dynamic methods. Summary measures of cyclicality show genuine cross-country heterogeneity even after controlling for the impact of data and methods. We find that more open economies and countries with stronger unions tend to have less pro-cyclical (or more counter-cyclical) wages. We also find a positive correlation between the cyclicality of real wages and employment, suggesting that policy complementarities may influence the adjustment of both quantities and prices in the labor market.
Real wages Business cycle Dynamic correlation Labor market institutions
6
2009
33
6
1183
1200
http://www.sciencedirect.com/science/article/B6V85-4V761Y9-1/2/c5b6f897d26f8921d975aafd873429a2
Messina, Julian
Strozzi, Chiara
Turunen, Jarkko
oai:RePEc:eee:dyncon:v:33:y:2009:i:9:p:1719-17382011-03-29RePEc:eee:dyncon
article
Behavioral heterogeneity in dynamic search situations: Theory and experimental evidence
This paper presents models for search behavior and provides experimental evidence that behavioral heterogeneity in search is linked to heterogeneity in individual preferences. Observed search behavior is more consistent with a new model that assumes dynamic updating of utility reference points than with models that are based on expected-utility maximization. Specifically, reference point updating and loss aversion play a role for more than a third of the population. The findings are of practical relevance as well as of interest for researchers who incorporate behavioral heterogeneity into models of dynamic choice behavior in, for example, consumer economics, labor economics, finance, and decision theory.
Dynamic choice Behavioral heterogeneity Reference points Individual differences Loss aversion
9
2009
33
9
1719
1738
http://www.sciencedirect.com/science/article/B6V85-4W1SRKP-1/2/93cd4c3f2cbd46f05005e8735488ec27
Schunk, Daniel
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:490-5022011-03-29RePEc:eee:dyncon
article
An adverse selection model of optimal unemployment insurance
We ask whether offering a menu of unemployment insurance contracts is welfare-improving in a heterogeneous population. We adopt a repeated moral hazard framework as in Shavell and Weiss (1979), supplemented by unobserved heterogeneity about agents' job opportunities. Our main theoretical contribution is a quasi-recursive formulation of our adverse selection problem, including a geometric characterization of the state space. Our main economic result is that optimal contracts for "bad" searchers tend to be upward-sloping due to an adverse selection effect. This is in contrast to the well-known optimal decreasing time profile of benefits in pure moral hazard environments that continue to be optimal for "good" searchers in our model.
Unemployment insurance Recursive contracts Adverse selection Repeated moral hazard
3
2010
34
3
490
502
http://www.sciencedirect.com/science/article/B6V85-4XHCHWT-1/2/f86fc5e8653020c812ebb16ce9780b59
Hagedorn, Marcus
Kaul, Ashok
Mennel, Tim
oai:RePEc:eee:dyncon:v:34:y:2010:i:3:p:417-4362011-03-29RePEc:eee:dyncon
article
Modeling structural breaks in economic relationships using large shocks
This paper introduces a new model of structural breaks in the coefficients of economic relationships which allows them to be driven by large past economic shocks. The breaks generated by these shocks can be taken to reflect stochastic changes in agents' decisions or beliefs triggered by extraordinary economic events. Our model specifies that both the timing and size of breaks are stochastic. The last property of it enables us to investigate qualitative effects that large shocks can have on economic relationships. As an empirical application of our model, the paper investigates the stability the oil-economy relationship since the early sixties. From the six large oil-shocks identified by our data, the paper shows that only the first oil shock at the end of 1973 has caused a major long term adverse effect on economic activity. All the large oil price shocks that have happened since then did not have any significant negative effects on the slope of the oil-economy relationship.
Structural breaks State space model Oil shocks
3
2010
34
3
417
436
http://www.sciencedirect.com/science/article/B6V85-4XF83N9-1/2/e94e059c18e704d8ed06f927d111130b
Kapetanios, G.
Tzavalis, E.
oai:RePEc:eee:dyncon:v:33:y:2009:i:8:p:1577-15922011-03-29RePEc:eee:dyncon
article
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
This paper introduces a new long memory volatility process, denoted by adaptive FIGARCH, or A-FIGARCH , which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow the smooth flexible functional form due to Gallant (1984. The Fourier flexible form. American Journal of Agricultural Economics 66, 204-208). A Monte Carlo study finds that the A-FIGARCH model outperforms the standard FIGARCH model when structural change is present, and performs at least as well in the absence of structural instability. An empirical application to stock market volatility is also included to illustrate the usefulness of the technique.
FIGARCH Long memory Structural change Stock market volatility
8
2009
33
8
1577
1592
http://www.sciencedirect.com/science/article/B6V85-4VV2NFC-5/2/efe25129db96605fa85f0112792ac052
Baillie, Richard T.
Morana, Claudio
oai:RePEc:eee:dyncon:v:33:y:2009:i:9:p:1639-16472011-03-29RePEc:eee:dyncon
article
Life-cycle savings, bequest, and a diminishing impact of scale on growth
The present paper shows that the savings motive critically affects the size and sign of scale effects in standard endogenous growth models. If the bequest motive dominates, the scale effect is positive. If the life-cycle motive dominates, the scale effect is ambiguous and may even be negative.
Overlapping generations Endogenous growth Scale effects
9
2009
33
9
1639
1647
http://www.sciencedirect.com/science/article/B6V85-4VWHVX8-1/2/9a8927b3b4cabeb2b95cf9aa52b67312
Dalgaard, Carl-Johan
Jensen, Martin Kaae
oai:RePEc:eee:dyncon:v:33:y:2009:i:8:p:1543-15542011-03-29RePEc:eee:dyncon
article
Stochastic adaptation in finite games played by heterogeneous populations
We analyze stochastic adaptation in finite n-player games played by heterogeneous populations containing best repliers, better repliers, and imitators. Individuals select strategies by applying a personal learning rule to a sample from a finite history of past play. We give sufficient conditions for convergence to minimal closed sets under better replies and selection of a Pareto dominant such set. Finally, we demonstrate that the stochastically stable states are sensitive to the sample size by showing convergence to the risk-dominant equilibrium for sufficiently small sample size and to the Pareto-dominant equilibrium for sufficiently large sample size in 2x2 coordination games.
Heterogeneous agents Markov chain Stochastic stability Pareto dominance Risk dominance
8
2009
33
8
1543
1554
http://www.sciencedirect.com/science/article/B6V85-4VT14CV-1/2/8b77e83f1c35788ff28345422a1226ef
Josephson, Jens
oai:RePEc:eee:dyncon:v:33:y:2009:i:7:p:1379-13972011-03-29RePEc:eee:dyncon
article
Investor heterogeneity, asset pricing and volatility dynamics
We provide an explicit characterization of the equilibrium when investors have heterogeneous risk preferences. Given market completeness, investors can achieve full risk sharing. Thus, a representative agent can be constructed, though this agent's risk aversion changes over time as the relative wealths of the individual investors change. We show that volatility depends on the covariance of aggregate risk aversion and stock returns. We find that heterogeneity increases volatility, produces volatility clustering (ARCH effects) and "leverage"-like effects. Option prices exhibit implied volatility skews. There is predictability and we assess the magnitude of investors' hedging demands and trading volume. Further, diversity is beneficial to all agents and entails welfare gains that can be substantial.
Asset pricing Preference heterogeneity Volatility
7
2009
33
7
1379
1397
http://www.sciencedirect.com/science/article/B6V85-4VC7DTK-2/2/34aad70622eba664c17d40113543d2af
Weinbaum, David
oai:RePEc:eee:dyncon:v:33:y:2009:i:10:p:1739-17562011-03-29RePEc:eee:dyncon
article
Learning games
This paper presents a model of learning about a game. Players initially have little knowledge about the game. Through playing the same game repeatedly, each player not only learns which action to choose but also constructs a personal view of the game. The model is studied using a hybrid payoff matrix of the prisoner's dilemma and coordination games. Results of computer simulations show that (1) when all the players are slow at learning the game, they have only a partial understanding of the game, but might enjoy higher payoffs than in cases with full or no understanding of the game; (2) when one player is quick in learning the game, that player obtains a higher payoff than the others. However, all can receive lower payoffs than in the case in which all players are slow learners.
Learning Subjective views Computer simulation
10
2009
33
10
1739
1756
http://www.sciencedirect.com/science/article/B6V85-4W1SRKP-2/2/0e351e1c4a4ac019be7e885a048c2780
Hanaki, Nobuyuki
Ishikawa, Ryuichiro
Akiyama, Eizo
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:79-992011-03-29RePEc:eee:dyncon
article
Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
This paper shows that the R2 and the standard error have fatal flaws and are inadequate accuracy tests. Using data from a Krusell-Smith economy, I show that approximations for the law of motion of aggregate capital, for which the true standard deviation of aggregate capital is up to 14% (119%) higher than the implied value and which are thus clearly inaccurate, can have an R2 as high as 0.9999 (0.99). Key in generating a more powerful test is that predictions of the aggregate law of motion are not updated with the aggregated simulated individual data.
Numerical solutions Simulations Approximations
1
2010
34
1
79
99
http://www.sciencedirect.com/science/article/B6V85-4WYDMW5-5/2/c10d77bb52ecee2c4b29d7180d949266
Den Haan, Wouter J.
oai:RePEc:eee:dyncon:v:33:y:2009:i:8:p:1593-16032011-03-29RePEc:eee:dyncon
article
Single-leader-multiple-follower games with boundedly rational agents
This paper studies a class of hierarchical games called single-leader-multiple-follower games (SLMFGs) that have important applications in economics and engineering. We consider such games in the context of boundedly rational agents that are limited in the information and computational power they may possess. Agents in our SLMFG are modeled as adaptive learners that use simple reinforcement learning schemes to learn their optimal behavior. The proposed learning approach is illustrated using a well-studied problem in economics. It is shown that with a patiently learning leader the repeated plays of the game result in approximate equilibrium outcomes.
Leader-follower games Bounded rationality Reinforcement learning
8
2009
33
8
1593
1603
http://www.sciencedirect.com/science/article/B6V85-4VV2NFC-3/2/8fa15c45d6a3e3886a66bb6fa7ba297f
Tharakunnel, Kurian
Bhattacharyya, Siddhartha
oai:RePEc:eee:dyncon:v:33:y:2009:i:4:p:864-8822011-03-29RePEc:eee:dyncon
article
Comparing DSGE-VAR forecasting models: How big are the differences?
I generate priors for a vector autoregression (VAR) from a standard real business cycle (RBC) model, an RBC model with capital-adjustment costs and habit formation, and a sticky-price model with an unaccommodating monetary authority. The response of hours worked to a TFP shock differs sharply across these models. I compare the accuracy of forecasts made from each of the resulting dynamic stochastic general equilibrium vector autoregression (DSGE-VAR) models. Despite having different structural characteristics, the DSGE-VARs are comparable in terms of forecasting performance. As in previous work, DSGE-VARs compare favorably with atheoretical VARs.
Model evaluation Priors from DSGE models Economic fluctuations Hours debate Business cycles
4
2009
33
4
864
882
http://www.sciencedirect.com/science/article/B6V85-4TY9MJW-4/2/915160dda69b7fd6339b7434d25ece9b
Ghent, Andra C.
oai:RePEc:eee:dyncon:v:33:y:2009:i:2:p:477-4902011-03-29RePEc:eee:dyncon
article
Structural changes in the US economy: Is there a role for monetary policy?
This paper investigates the contribution of monetary policy to the changes in output growth and inflation dynamics in the US. We identify a policy shock and a policy rule in a time-varying coefficients VAR using robust sign restrictions. The transmission of policy shocks has been relatively stable. The variance of the policy shock has decreased over time, but policy shocks account for a small fraction of the level and the variations in inflation and output growth volatility and persistence. Finally we find little evidence of a significant increase in the long run response of the interest rate to inflation.
Monetary policy Inflation persistence Transmission of shocks Time-varying coefficients structural VARs
2
2009
33
2
477
490
http://www.sciencedirect.com/science/article/B6V85-4TCHKFX-1/2/245515b8c8731a4099ea84533fe25109
Canova, Fabio
Gambetti, Luca
oai:RePEc:eee:dyncon:v:33:y:2009:i:6:p:1201-12162011-03-29RePEc:eee:dyncon
article
Chaos in the cobweb model with a new learning dynamic
The new learning dynamic of Brown et al. [(1950). Solutions of games by differential equation. In: Kuhn, H.W., Tucker, A.W. (Eds.), Contributions to the Theory of Games I. Annals of Mathematics Studies, vol. 24. Princeton University Press, Princeton] is introduced to macroeconomic dynamics via the cobweb model with rational and naive forecasting strategies. This dynamic has appealing properties such as positive correlation and inventiveness. There is persistent heterogeneity in the forecasts and chaotic behavior with bifurcations between periodic orbits and strange attractors for the same range of parameter values as in previous studies. Unlike Brock and Hommes [(1997). A rational route to randomness. Econometrica (65), 1059-1095], however, there exist intuitively appealing steady states where one strategy dominates, and there are qualitative differences in the resulting dynamics of the two approaches. There are similar bifurcations in a parameter that represents how aggressively agents switch to better performing strategies.
Chaos Cobweb model Learning BNN
6
2009
33
6
1201
1216
http://www.sciencedirect.com/science/article/B6V85-4V70R6N-2/2/43b6f52709e46681b232370e39b9e4ed
Waters, George A.
oai:RePEc:eee:dyncon:v:34:y:2010:i:1:p:28-352011-03-29RePEc:eee:dyncon
article
Solving the incomplete markets model with aggregate uncertainty by backward induction
This paper describes a method to solve models with a continuum of agents, incomplete markets and aggregate uncertainty. I use backward induction on a finite grid of points in the aggregate state space. The aggregate state includes a small number of statistics (moments) of the cross-sectional distribution of capital. For any given set of moments, agents use a specific cross-sectional distribution, called "proxy distribution", to compute the equilibrium. Information from the steady state distribution as well as from simulations can be used to chose a suitable proxy distribution.
Heterogeneous agents Backward induction
1
2010
34
1
28
35
http://www.sciencedirect.com/science/article/B6V85-4WYDMW5-6/2/9b9d617936db9cba636eaca008aeb221
Reiter, Michael
oai:RePEc:eee:dyncon:v:33:y:2009:i:12:p:2015-20292011-03-29RePEc:eee:dyncon
article
Jealousy and underconsumption in a one-sector model with wealth preference
The present paper examines the effects of consumption externalities on economic performance in a one-sector model with wealth preference. The presence of the wealth preference generates a wealth effect in consumption growth, which plays a crucial role for consumption externalities to have impacts on the economy. Our main findings are: (i) regardless of the assumption of inelastic labor supply, the distortionary effect of consumption externalities stays in the long run; (ii) the income tax as well as the consumption tax can modify the efficiency; and (iii) the numerical simulations supplement theoretical findings.
Consumption externalities Wealth preference Wealth effect Optimal tax policy Intertemporal welfare
12
2009
33
12
2015
2029
http://www.sciencedirect.com/science/article/B6V85-4X1J705-1/2/3aafeb7b6ff9301a71d7c146839e0e11
Nakamoto, Yasuhiro
oai:RePEc:eee:dyncon:v:33:y:2009:i:9:p:1682-16982011-03-29RePEc:eee:dyncon
article
Life-cycle portfolio choice: The role of heterogeneous under-diversification
In life-cycle portfolio choice models it is standard to assume that all agents invest in a diversified stock market index. In contrast recent empirical evidence, summarized in Campbell [2006. Household finance. Journal of Finance 61, 1553-1604] suggests that households' financial portfolios are under-diversified and that there is substantial heterogeneity in diversification. In the present paper I examine the effects of heterogeneous under-diversification in a life-cycle portfolio choice model with uninsurable uncertain earnings and fixed per-period participation costs. The analysis of the model shows that realistically calibrated under-diversification gives an important contribution to the explanation of two key facts of households' portfolio allocation: the moderate stock market participation rate and the moderate stock share for participants.
Portfolio choice Life-cycle Under-diversification Retirement wealth
9
2009
33
9
1682
1698
http://www.sciencedirect.com/science/article/B6V85-4W0WJ2J-2/2/2ca74a510acfd4dd712cb88b8de7acd8
Campanale, Claudio
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:810-8202013-03-05RePEc:eee:dyncon
article
The intrinsic comparative dynamics of infinite horizon optimal control problems with a time-varying discount rate and time-distance discounting
The intrinsic comparative dynamics of a ubiquitous class of optimal control problems with a time-varying discount rate and time-distance discounting are derived and shown to be characterized by a positive semidefinite matrix. It is also shown that the said comparative dynamics are invariant to the functional form of the discount rate function and the type of agent. Consequently, if one limits econometric testing to the basic comparative dynamics of the given class of control problems, one cannot determine (i) the functional form of the discount rate function used by an agent, and thus if an agent is a time-consistent or time-inconsistent decision maker, or (ii) if an agent commits to a plan of action or takes into account the changing nature of his preferences when choosing a plan.
Comparative dynamics; Optimal control; Precommitment solution; Sophisticated solution; Time-distance discounting; Time inconsistency; Time-varying discount rate;
4
2013
37
810
820
http://www.sciencedirect.com/science/article/pii/S0165188912002321
Caputo, Michael R.
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:711-7342013-03-05RePEc:eee:dyncon
article
Deregulation shock in product market and unemployment
In a dynamic general equilibrium model with endogenous markups and labor market frictions, we investigate the effects of increased product market competition. Unlike most macroeconomic models of search, we endogenize the labor supply along the extensive margin. We find numerically that a model with endogenous labor force participation decision produces a decline in the unemployment rate which is almost three times larger than that in a model with fixed labor force. For a calibration capturing alternatively the European and the US labor markets, a deregulation episode, which lowers the markup by 3 percentage points, results in a fall in the unemployment rate by 0.17 and 0.05 percentage point, respectively, while the labor share is almost unaffected in the long-run. The sensitivity analysis reveals that product market deregulation is more effective in countries where product and labor market regulations are high, unemployment benefits are small and labor force is more responsive.
Imperfect competition; Endogenous markup; Search theory; Unemployment; Deregulation;
4
2013
37
711
734
E24
J63
L16
http://www.sciencedirect.com/science/article/pii/S0165188912002187
Bertinelli, Luisito
Cardi, Olivier
Sen, Partha
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:838-8532013-03-05RePEc:eee:dyncon
article
Oligopoly exploitation of a private property productive asset
In this paper, we build a Closed-Loop Nash Equilibrium of a private property productive asset oligopoly. We compare and contrast private with common property in terms of exploitation rates and social welfare, and provide a comparative dynamic analysis with respect to the number of firms in the industry. Contrary to previous studies on oligopolistic exploitation of productive assets, before exploitation begins, the resource is parcelled out: each firm privately owns and manages the assigned parcel over the entire planning horizon. Compared with the common property regime, we find a new set of results, both in the short- and in the long-run. As for social welfare, we provide conditions on the implicit growth rate and the initial asset stock under which the socially optimal allocation of the resource implies a natural monopoly.
Closed-Loop Nash Equilibrium; Productive assets; Private property; Common property; Oligopoly;
4
2013
37
838
853
D43
L13
Q20
C73
http://www.sciencedirect.com/science/article/pii/S0165188912002308
Colombo, Luca
Labrecciosa, Paola
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:854-8742013-03-05RePEc:eee:dyncon
article
Government education expenditures in early and late childhood
Human capital investment in early childhood can lead to large and persistent gains. Beyond this window of opportunity, human capital accumulation is more costly. Despite compelling evidence in support of this notion, government education spending is allocated disproportionately toward late childhood and young adulthood. We consider the consequences of a reallocation using an overlapping generations model with private and public spending on early and late childhood education. Taking as given the higher returns to early childhood investment, we find that the current allocation may nonetheless be appropriate. When we consider a homogeneous population, this can hold for moderate levels of government spending. With heterogeneity, this can hold for middle income workers. Lower income workers, by contrast, may benefit from a reallocation.
Government education expenditures; Human capital; Heterogeneous agents; Life-cycle model;
4
2013
37
854
874
E62
I22
H52
J24
http://www.sciencedirect.com/science/article/pii/S016518891200231X
Abington, Casey
Blankenau, William
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:756-7732013-03-05RePEc:eee:dyncon
article
Monetary regime change and business cycles
This paper proposes a method to structurally estimate a model with a regime shift and evaluates the importance of acknowledging the break in the estimation. We estimate a DSGE model on Swedish data taking into account the regime change in 1993, from exchange rate targeting to inflation targeting. Ignoring the break leads to spurious estimates. Accounting for the break suggests that monetary policy reacted strongly to exchange rate movements in the first regime, and mostly to inflation in the second. The sources of business cycles and their transmission mechanism are significantly affected by the exchange rate regime.
Bayesian estimation; DSGE models; Target zone; Inflation targeting; Regime change;
4
2013
37
756
773
C1
C5
E5
F4
http://www.sciencedirect.com/science/article/pii/S0165188912002412
Cúrdia, Vasco
Finocchiaro, Daria
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:821-8372013-03-05RePEc:eee:dyncon
article
New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach
Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a variety of ways, e.g., symmetry of the objective function and identical data frequencies of control variables. To overcome these problems, an alternative approach based on heuristics is suggested. To this end, we apply a ‘classical’ algorithm (OPTCON) and a heuristic approach (Differential Evolution) to three different econometric models and compare their performance. In this paper we consider scenarios of symmetric and asymmetric quadratic objective functions. Results provide a strong support for the heuristic approach encouraging its further application to optimum control problems.
Differential evolution; Dynamic programming; Nonlinear optimization; Optimal control;
4
2013
37
821
837
C54
C61
E27
E61
E62
http://www.sciencedirect.com/science/article/pii/S0165188912002400
Blueschke, D.
Blueschke-Nikolaeva, V.
Savin, I.
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:875-8962013-03-05RePEc:eee:dyncon
article
Pricing Parisian and Parasian options analytically
In this paper, two analytic solutions for the valuation of European-style Parisian and Parasian options under the Black–Scholes framework are, respectively, presented. A key feature of our solution procedure is the reduction of a three-dimensional problem to a two-dimensional problem through a coordinate transform designed to combine the two time derivatives into one. Compared with some previous analytical solutions, which still require a numerical inversion of Laplace transform, our solutions, written in terms of double integral for the case of Parisian options but multiple integrals for the case of Parasian options, are both of explicit form; numerical evaluation of these integrals is straightforward. Numerical examples are also provided to demonstrate the correctness of our newly derived analytical solutions from the numerical point of view, through comparing the results obtained from our solutions and those obtained from adopting other standard finite difference approaches.
Parisian options; Parasian options; Analytical solution; Laplace transform;
4
2013
37
875
896
G13
C02
http://www.sciencedirect.com/science/article/pii/S0165188912002424
Zhu, Song-Ping
Chen, Wen-Ting
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:774-7932013-03-05RePEc:eee:dyncon
article
A flexible matrix Libor model with smiles
We present a flexible approach for the valuation of interest rate derivatives based on affine processes. We extend the methodology proposed in Keller-Ressel et al. (in press) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible to price swaptions in this multifactor setting with a good degree of analytical tractability. This is done via the Edgeworth expansion approach developed in Collin-Dufresne and Goldstein (2002). A numerical exercise illustrates the flexibility of Wishart Libor model in describing the movements of the implied volatility surface.
Affine processes; Wishart process; Libor market model; Fast Fourier transform; Caps; Floors; Swaptions;
4
2013
37
774
793
G13
C51
http://www.sciencedirect.com/science/article/pii/S0165188912002291
Da Fonseca, José
Gnoatto, Alessandro
Grasselli, Martino
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:735-7552013-03-05RePEc:eee:dyncon
article
Heterogeneous beliefs and housing-market boom-bust cycles
This paper presents a business cycle model capturing the stylized features of housing-market boom-bust cycles in developed countries. The model implies that over-optimism of mortgage borrowers generates housing-market boom-bust cycles, if mortgage borrowers are credit-constrained and savers do not share their optimism. This result holds without price stickiness. If price stickiness is introduced into the model, then the model replicates a low policy interest rate during a housing boom as an endogenous reaction to a low inflation rate, given a Taylor rule. Thus, monetary easing observed during housing booms are consistent with the presence of over-optimism causing boom-bust cycles.
Asset price bubbles; Monetary policy; Financial liberalization; House prices; Credit constraints;
4
2013
37
735
755
E44
E52
http://www.sciencedirect.com/science/article/pii/S0165188912002163
Tomura, Hajime
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:794-8092013-03-05RePEc:eee:dyncon
article
Characterization of a risk sharing contract with one-sided commitment
In this paper I provide a stopping-time-based solution to a long-term contracting problem between a risk-neutral principal and a risk-averse agent. The agent faces a stochastic income stream and cannot commit to the long-term contracting relationship. To compute the optimal contract, I also design an algorithm that is more efficient than value-function iteration.
Limited commitment; Risk sharing; Stopping time; Value-function iteration;
4
2013
37
794
809
C63
D82
D86
http://www.sciencedirect.com/science/article/pii/S0165188912002266
Zhang, Yuzhe
oai:RePEc:eee:dyncon:v:37:y:2013:i:4:p:897-9092013-03-05RePEc:eee:dyncon
article
The marginal welfare cost of capital taxation: Discounting matters
We interpret the marginal welfare cost of capital income taxes as the present discounted value of consumption distortions. Such an asset market interpretation emphasizes the importance of the interest rate used to value future distortions, especially in the presence of uncertainty. We find that the interest rate decreases as the tax rate increases, thus increasing the welfare cost. The variations in the interest rate are caused by amplified responses of consumption to exogenous shocks as a result of capital taxation. The welfare cost may be underestimated if variations in interest rates are ignored, especially when tax rates are high.
Welfare cost; Capital income taxes; Asset market;
4
2013
37
897
909
E22
E62
E44
H25
http://www.sciencedirect.com/science/article/pii/S0165188912002436
Santoro, Marika
Wei, Chao
oai:RePEc:eee:dyncon:v:33:y:2009:i:3:p:568-5822009-09-18RePEc:eee:dyncon
article
Dynamic R&D with spillovers: Competition vs cooperation
We investigate dynamic R&D for process innovation in a Cournot duopoly where firms may either undertake independent ventures or form a cartel for cost-reducing R&D investments. By comparing the profit and welfare performances of the two settings in steady state, we show that private and social incentives towards R&D cooperation coincide for all admissible levels of the technological spillovers characterising innovative activity. We also evaluate the whole history of the dynamic system along the transition to the steady state, showing that the conflict between private and social incentives does not necessarily emerge.
Differential games Process innovation R&D cooperation Spillovers
3
2009
33
3
568
582
http://www.sciencedirect.com/science/article/B6V85-4TCYCD8-1/2/740e238465bd3822a5aa0fba8e574b3a
Cellini, Roberto
Lambertini, Luca
oai:RePEc:eee:dyncon:v:33:y:2009:i:10:p:1761-17782009-09-18RePEc:eee:dyncon
article
R&D policy in a volatile economy
The literature on R&D-based growth establishes that market equilibrium is inefficient and derives optimal R&D policy. Normative analyses of this type use the assumption of steady state, largely motivated by analytical convenience. This paper questions this steady-state approach by introducing endogenous cycles as long-run equilibria. We show that the government fails to maximize welfare if policy which is optimal in steady state is myopically applied in cyclical equilibria. More specifically, we demonstrate that (i) cycles arise in the (very) standard R&D-based model of Grossman and Helpman [1991. Innovation and Growth in the Global Economy. MIT Press, Cambridge, MA (Chapter 3)] once the model is framed in discrete time, (ii) these cycles are inefficient in the sense that they prevent welfare maximization, (iii) optimal steady-state R&D policy fails to eliminate cycles, and can even create inefficient cycles, (iv) the application of R&D subsidies leads to a trade-off between growth and macroeconomic stability, and (v) optimal R&D policy in a fluctuating economy is state-dependent, which generalizes optimal steady-state R&D policy.
R&D Cycles Policy
10
2009
33
10
1761
1778
http://www.sciencedirect.com/science/article/B6V85-4W1SRKP-3/2/169744ee3066fac2e86205fe6e737535
Haruyama, Tetsugen
oai:RePEc:eee:dyncon:v:33:y:2009:i:4:p:777-7972010-09-17RePEc:eee:dyncon
article
Macroeconomic implications of early retirement in the public sector: The case of Brazil
Early retirement Pension reform Public sector retirement Capital accumulation
4
2009
33
4
777
797
http://www.sciencedirect.com/science/article/B6V85-4TN82D1-2/2/f99b53cd5dd1203d5c84b58692111bb2
Glomm, Gerhard
Jung, Juergen
Tran, Chung
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:561-5702013-02-12RePEc:eee:dyncon
article
Autoregression-based estimation of the new Keynesian Phillips curve
We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1–2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process.
Noncausal time series; Non-Gaussian time series; Inflation; Phillips curve;
3
2013
37
561
570
C22
C51
E31
http://www.sciencedirect.com/science/article/pii/S0165188912001923
Lanne, Markku
Luoto, Jani
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:500-5152013-02-12RePEc:eee:dyncon
article
Learning about monetary policy rules when the housing market matters
In this paper we study a general equilibrium model with a housing market, and use stability under adaptive learning as a criterion to evaluate monetary policy rules. An important feature of the model is that there exist credit-constrained borrowers who use their housing assets as collateral to finance purchases. We evaluate both conventional Taylor rules and rules that incorporate other targets such as housing prices. We find that the effect of responding to housing prices, in addition to output and inflation, depends critically on the assumed information structure of the economy.
Adaptive learning; Taylor rule; Housing market; Credit channel; Monetary policy;
3
2013
37
500
515
E3
E4
E5
http://www.sciencedirect.com/science/article/pii/S0165188912002138
Xiao, Wei
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:483-4992013-02-12RePEc:eee:dyncon
article
Fiscal stimulus and labor market policies in Europe
Several contributions have recently assessed the size of fiscal multipliers both in RBC models and in New Keynesian models. This paper computes fiscal multipliers within a labor selection model with turnover costs and Nash bargained wages. We find that demand stimuli yield small multipliers, as they have little impact on hiring and firing decisions. By contrast, hiring subsidies, and short-time work (German “Kurzarbeit”) deliver large multipliers, as they stimulate job creation and employment.
Fiscal multipliers; Fiscal packages; Labor markets; Short-time work; unemployment;
3
2013
37
483
499
E62
H30
J20
H20
http://www.sciencedirect.com/science/article/pii/S0165188912001881
Faia, Ester
Lechthaler, Wolfgang
Merkl, Christian
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:693-7102013-02-12RePEc:eee:dyncon
article
Who becomes an entrepreneur? Labor market prospects and occupational choice
This paper provides new theory and evidence on the relationship between ability and entrepreneurship. I show that there is a U-shaped relationship between the probability of entrepreneurship and both a person's schooling and wage when employed. This pattern can be explained in a model of occupational choice between wage work and entrepreneurship where a firm's productivity is uncertain before entry, potential wages are heterogeneous, and expected productivity is positively related to an entrepreneur's potential wage. Search, or the ability to keep good projects and reject bad ones, attracts low-ability agents into entrepreneurship. The model also explains why low-profit firms do not always exit.
Occupational choice; Entrepreneurship; Firm entry; Selection; Search;
3
2013
37
693
710
E20
J23
L11
L16
http://www.sciencedirect.com/science/article/pii/S0165188912002175
Poschke, Markus
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:666-6792013-02-12RePEc:eee:dyncon
article
Large shareholders, monitoring, and ownership dynamics: Toward pure managerial firms?
We study ownership dynamics when the manager and the large shareholder, both risk neutral, simultaneously choose effort and monitoring level respectively to serve their non-congruent interests.We show that there is a wedge between the valuation of shares by atomistic shareholders and the large shareholder's valuation. At the Markov-perfect equilibrium, the large shareholder divests her shares. If the incongruence of their interests is mild, divestment is drastic: all her shares are sold immediately. If their interests diverge sharply, the divestment is gradual in order to prevent a sharp fall in share price. In the limit the firm becomes purely managerial.
Ownership dynamics; Managerial firms;
3
2013
37
666
679
G3
http://www.sciencedirect.com/science/article/pii/S0165188912002047
Hilli, Amal
Laussel, Didier
Van Long, Ngo
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:611-6322013-02-12RePEc:eee:dyncon
article
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
If a probability distribution is sufficiently close to a normal distribution, its density can be approximated by a Gram/Charlier Series A expansion. In option pricing, this has been used to fit risk-neutral asset price distributions to the implied volatility smile, ensuring an arbitrage-free interpolation of implied volatilities across exercise prices. However, the existing literature is restricted to truncating the series expansion after the fourth moment. This paper presents an option pricing formula in terms of the full (untruncated) series and discusses a fitting algorithm, which ensures that a series truncated at a moment of arbitrary order represents a valid probability density. While it is well known that valid densities resulting from truncated Gram/Charlier Series A expansions do not always have sufficient flexibility to fit all market-observed option prices perfectly, this paper demonstrates that option pricing in a model based on these densities is as tractable as the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A approach to the multiperiod, multivariate case, a model calibrated to standard option prices is developed, in which a large class of exotic payoffs can be priced in closed form. Furthermore, this approach, when applied to a foreign exchange option market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate are constructed in a consistent, arbitrage-free manner.
Hermite expansion; Semi-nonparametric estimation; Risk-neutral density; Option-implied distribution; Exotic option; Currency option;
3
2013
37
611
632
C40
C63
G13
F31
http://www.sciencedirect.com/science/article/pii/S0165188912001996
Schlögl, Erik
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:680-6922013-02-12RePEc:eee:dyncon
article
Heterogeneous expectations in monetary DSGE models
This paper derives a general New Keynesian framework with heterogeneous expectations by explicitly solving the micro-foundations underpinning the model. The resulting reduced form is analytically tractable and encompasses the representative rational agent benchmark as a special case. We specify a setup in which some agents, as a result of cognitive limitations, make mistakes when forecasting future macroeconomic variables and update their beliefs as new information becomes available, while other agents have rational expectations. We then address determinacy issues related to the use of different interest rate rules and derive policy implications for a monetary authority aiming at stabilizing the economy in a dynamic feedback system in which macroeconomic variables and heterogeneous expectations co-evolve over time.
Heterogeneous expectations; Monetary policy; Determinacy; Evolutionary dynamics;
3
2013
37
680
692
E52
D83
D84
C62
http://www.sciencedirect.com/science/article/pii/S0165188912002151
Massaro, Domenico
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:591-6102013-02-12RePEc:eee:dyncon
article
Investment, matching and persistence in a modified cash-in-advance economy
We simulate and estimate a new Keynesian search and matching model with sticky wages in which capital has to be financed with cash, at least partially. Our objective is to assess the ability of this framework to account for the persistence of output and inflation observed in the data. We find that our setup generates enough output and inflation persistence with standard stickiness parameters. The key factor driving these results is the inclusion of investment in the CIA constraint, rather than any other nominal or real rigidity. The model reproduces labor market dynamics after a positive increase in productivity: hours fall, nominal wages hardly react, and real wages go up with some delay. Regarding money supply shocks, we investigate the conditions under which our model specification generates the liquidity effect, a fact which is absent in most sticky price models.
Persistence; Sticky prices; Staggered bargaining wages; Monetary facts; Labor market facts; Cash-in-advance;
3
2013
37
591
610
E32
E41
E52
http://www.sciencedirect.com/science/article/pii/S0165188912002011
Auray, Stéphane
de Blas, Beatriz
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:543-5602013-02-12RePEc:eee:dyncon
article
Changes in the effects of monetary policy on disaggregate price dynamics
Based on a time-varying factor-augmented vector autoregression, we demonstrate that the propagation mechanism of monetary policy disturbances differs across disaggregate components of personal consumption expenditures. While many disaggregate prices rise temporarily in response to a monetary tightening in the early part of the sample, there is no evidence of a price puzzle at the aggregate level. The share of disaggregate prices that exhibit the price puzzle diminishes from the early 1980s onwards. There also is evidence of a substantial decline in the dispersion of disaggregate price responses over time. This gradual decrease in cross-sectional heterogeneity of disaggregate price responses is associated with a dampening effect on aggregate real economic activity and a stronger effect on the aggregate price level. We illustrate by means of a multi-sector sticky-price model augmented by a cost channel how key structural parameters would have had to change to match this evolution of sectoral price dynamics.
Structural FAVAR; Time variation; Monetary transmission; Disaggregate prices; Heterogeneous pricing decisions;
3
2013
37
543
560
E30
E32
http://www.sciencedirect.com/science/article/pii/S0165188912001935
Baumeister, Christiane
Liu, Philip
Mumtaz, Haroon
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:649-6652013-02-12RePEc:eee:dyncon
article
Escaping expectation traps: How much commitment is required?
We study the degree of precommitment that is required to eliminate multiplicity of policy equilibria, which arise if the policy maker acts under pure discretion. We apply a framework developed by Schaumburg and Tambalotti (2007) and Debertoli and Nunes (2010) to a standard New Keynesian model with government debt. We demonstrate the existence of expectation traps under limited commitment and identify the minimum degree of commitment which is needed to escape from these traps. We find that the degree of precommitment which is sufficient to generate uniqueness of the Pareto-preferred equilibrium requires the policy maker to stay in office for a period of two to five years. This is consistent with monetary policy arrangements in many developed countries.
Limited commitment; Commitment; Discretion; Multiple equilibria; Monetary and fiscal policy interactions;
3
2013
37
649
665
E31
E52
E58
E61
C61
http://www.sciencedirect.com/science/article/pii/S016518891200214X
Himmels, Christoph
Kirsanova, Tatiana
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:633-6482013-02-12RePEc:eee:dyncon
article
Are the representative agent’s beliefs based on efficient econometric models?
No, they are not; at least not in the UK. By examining GDP dynamics we find that, over a time-span of two decades, an easy-to-perform adaptive expectations model systematically outperforms other standard predictors in terms of squared forecasting errors. This should reduce model uncertainty and thereby lead to increased homogeneity in expectations. However, data collected in surveys show that great variety in expectations persists even in this situation. Moreover, Granger tests indicate that the forecasting fitness of the best predictor can be further enhanced by the use of information provided by survey expectations. These results, based on real-time data and robust to both several predictors and nonlinearities, weaken the general validity of approaches assuming predictions based on efficient econometric models.
Survey expectations; Heterogeneous expectations; Forecasting models; Bounded rationality;
3
2013
37
633
648
C53
D83
D84
E27
http://www.sciencedirect.com/science/article/pii/S0165188912002035
Bovi, Maurizio
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:535-5422013-02-12RePEc:eee:dyncon
article
Measuring high-frequency income risk from low-frequency data
We estimate a monthly income process using annual longitudinal household-level income data, in order to understand the nature of income risk faced by households at high frequency, and to provide an input for models that wish to study household decision-making at higher frequency than available data. At both frequencies, idiosyncratic earnings shocks have a highly persistent component. At monthly frequency, transitory shocks account for most of the earnings variance; at annual frequency, the persistent component is dominant. We apply our estimates in the context of a standard incomplete-market model, and show that decision-making frequency per se makes a small difference.
Idiosyncratic income uncertainty; Frequency; Estimation;
3
2013
37
535
542
E21
E24
http://www.sciencedirect.com/science/article/pii/S016518891200200X
Klein, Paul
Telyukova, Irina A.
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:577-5902013-02-12RePEc:eee:dyncon
article
The information content of capacity utilization for detrending total factor productivity
In the production function approach, an accurate output gap assessment requires a careful evaluation of the total factor productivity (TFP) cycle. We build a common cycle model that links TFP to capacity utilization and we show that, in almost all of the pre-enlargement EU countries, using information about capacity utilization reduces both the total estimation error and the revisions in real-time estimates of the concurrent TFP cycle compared to a univariate decomposition. We also argue that relaxing the constant drift hypothesis in favour of a non-linear specification helps to offset a general tendency to underestimate the TFP cycle in the last decade.
Cobb–Douglas production function; Markov-switching and mixture innovation models; Real-time; Revisions;
3
2013
37
577
590
C32
C51
D24
E32
http://www.sciencedirect.com/science/article/pii/S0165188912001893
Planas, C.
Roeger, W.
Rossi, A.
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:571-5762013-02-12RePEc:eee:dyncon
article
A system reduction method to efficiently solve DSGE models
The paper presents a system reduction method (SRM) to improve the computational time to solve a large class of dynamic stochastic general equilibrium (DSGE) models with the methods of Anderson and Moore (1985), Klein (2000), Sims (2002) or Uhlig (1995). I measure the efficiency gains with seven models ranging from 47 to 333 equations. The time reduction for the Anderson–Moore algorithm aim ranges from 10% to 71%; Klein's function solab reduces its time between 51% and 79%; the time reduction for Sims' function gensys increases from 25% to 59%; Uhlig's function solve reduces its time between 31% and 87%. The time reduction can be crucial for Bayesian estimation of medium to large scale models.
Solution of DSGE models; System reduction algorithm; Solution of linear rational expectation models; Bayesian estimation;
3
2013
37
571
576
C63
http://www.sciencedirect.com/science/article/pii/S0165188912001972
Hernandez, Kolver
oai:RePEc:eee:dyncon:v:37:y:2013:i:3:p:516-5342013-02-12RePEc:eee:dyncon
article
Dynamically optimal R&D subsidization
This paper characterizes the optimal time path of R&D and capital subsidization. Starting from the steady state under current R&D subsidization in the US, the R&D subsidy should significantly jump upwards and then slightly decrease over time. There is a small loss in welfare, however, from immediately setting the R&D subsidy to its optimal long run level, compared to a time-varying R&D subsidy. The results do not depend on the financing scheme, namely lump sum taxation or factor income taxation. The optimal capital subsidy is time-varying under factor income taxation, but time-invariant when subsidies are financed by lump sum taxes.
R&D subsidy; Transitional dynamics; Semi-endogenous growth; Welfare;
3
2013
37
516
534
H20
O30
O40
http://www.sciencedirect.com/science/article/pii/S0165188912002059
Grossmann, Volker
Steger, Thomas
Trimborn, Timo
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:415-4312012-12-25RePEc:eee:dyncon
article
On the local stability of the stationary solution to variational problems
1-3
1996
20
415
431
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-Y/2/bf2fee9b26382762e0cf22593cc856df
Rodriguez, Alvaro
oai:RePEc:eee:dyncon:v:21:y:1997:i:4-5:p:873-8942012-12-25RePEc:eee:dyncon
article
Central bank independence and public debt policy
4-5
1997
21
5
873
894
http://www.sciencedirect.com/science/article/B6V85-3SWY0XD-9/2/37905ed0d3bafbdf647c76f885a1a442
Beetsma, Roel M. W. J.
Bovenberg, A. Lans
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1284-13022012-12-25RePEc:eee:dyncon
article
Estimation of an agent-based model of investor sentiment formation in financial markets
We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion formation governed by social interactions. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes, while consideration of the simultaneous weekly changes of the stock index DAX enables us to study the influence of sentiment on returns. Technically, we extend the maximum likelihood framework for parameter estimation in agent-based models introduced by Lux (2009a) by generalizing it to bivariate and tri-variate settings. As it turns out, our results are consistent with strong social interaction in short-run sentiment. While one observes abrupt changes of mood in short-run sentiment, medium-term sentiment is a more slowly moving process in which the influence of social interaction seems to be less pronounced. The tri-variate model entails a significant effect from short-run sentiment on prices in-sample, but its out-of-sample predictive performance does not beat the random walk benchmark.
Opinion formation; Social interaction; Investor sentiment;
8
2012
36
1284
1302
G12
G17
http://www.sciencedirect.com/science/article/pii/S016518891200084X
Lux, Thomas
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:445-4702012-12-25RePEc:eee:dyncon
article
Composition of R&D and technological cycles
1-3
1996
20
445
470
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-11/2/a626a73495dda1d223102fec5ae1a6d3
Bhattacharjya, Ashoke S.
oai:RePEc:eee:dyncon:v:25:y:2001:i:11:p:1751-17732012-12-25RePEc:eee:dyncon
article
Equilibrium with new investment opportunities
11
2001
25
11
1751
1773
http://www.sciencedirect.com/science/article/B6V85-43DKSHS-3/2/70724903202cd18c86d41f6be55374db
Wang, Tan
oai:RePEc:eee:dyncon:v:14:y:1990:i:3-4:p:741-7622012-12-25RePEc:eee:dyncon
article
The solution of the infinite horizon tracking problem for discrete time systems possessing an exogenous component
3-4
1990
14
10
741
762
http://www.sciencedirect.com/science/article/B6V85-45MFRX7-1D/2/0c6ea8dc71b4361116e8132ff335fe5e
Engwerda, Jacob Chr.
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:291-2952012-12-25RePEc:eee:dyncon
article
Decomposition of the international consequences of policies into world and difference effects Application to the fair multi-country model
1-2
1986
10
6
291
295
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-1K/2/91418d21dbcecdca4440924a91b91327
Laffargue, Jean-Pierre
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2007-20342012-12-25RePEc:eee:dyncon
article
Information technologies, embodiment and growth
11-12
2003
27
9
2007
2034
http://www.sciencedirect.com/science/article/B6V85-470M5XH-2/2/8b60e209ebbb50ae047598dba4a4d971
Boucekkine, Raouf
de la Croix, David
oai:RePEc:eee:dyncon:v:22:y:1998:i:7:p:1027-10512012-12-25RePEc:eee:dyncon
article
Dynamic portfolio choice and asset pricing with differential information
7
1998
22
5
1027
1051
http://www.sciencedirect.com/science/article/B6V85-3V5MB4X-3/2/9659351c945f39f839016d86cffc2acc
Zhou, Chunsheng
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:493-5132012-12-25RePEc:eee:dyncon
article
A theory of optimal deadlines
2
2007
31
2
493
513
http://www.sciencedirect.com/science/article/B6V85-4JGJJ0B-3/2/95e2cd242edb8c52344df04b731790c1
Toxvaerd, Flavio
oai:RePEc:eee:dyncon:v:31:y:2007:i:8:p:2802-28262012-12-25RePEc:eee:dyncon
article
Capital and macroeconomic instability in a discrete-time model with forward-looking interest rate rules
8
2007
31
8
2802
2826
http://www.sciencedirect.com/science/article/B6V85-4MD461D-1/2/cb5f8d2f8f519d0fd095993e25c39d83
Huang, Kevin X.D.
Meng, Qinglai
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1263-12882012-12-25RePEc:eee:dyncon
article
Are taxes too low?
6-7
1996
20
1263
1288
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-G/2/e9fe5868715f237d885b1c1f65a36409
Manasse, Paolo
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-3972012-12-25RePEc:eee:dyncon
article
A conditional extreme value volatility estimator based on high-frequency returns
2
2007
31
2
361
397
http://www.sciencedirect.com/science/article/B6V85-4JFGF55-2/2/12b73961beec2b3c6eeab29af013d30e
Bali, Turan G.
Weinbaum, David
oai:RePEc:eee:dyncon:v:22:y:1997:i:1:p:123-1402012-12-25RePEc:eee:dyncon
article
Capacity utilization and market power
1
1997
22
11
123
140
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-7/2/d3e132922f7cc3cb8592adf88bf57f72
Fagnart, Jean-Francois
Licandro, Omar
Sneessens, Henri R.
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1217-12412012-12-25RePEc:eee:dyncon
article
A comparative study of portfolio insurance
7-8
2002
26
7
1217
1241
http://www.sciencedirect.com/science/article/B6V85-459HNNF-8/2/770576076a5e0b64baf6b9e4a4890278
Basak, Suleyman
oai:RePEc:eee:dyncon:v:5:y:1983:i:1:p:173-1852012-12-25RePEc:eee:dyncon
article
Optimal currency diversification for a class of risk-averse international investors
1
1983
5
2
173
185
http://www.sciencedirect.com/science/article/B6V85-4C47HD0-B/2/7303f7c04772c56f5e148938dbb44cb7
de Macedo, Jorge Braga
oai:RePEc:eee:dyncon:v:1:y:1979:i:1:p:101-1092012-12-25RePEc:eee:dyncon
article
The report of the committee on policy optimisation-- UK
1
1979
1
2
101
109
http://www.sciencedirect.com/science/article/B6V85-4DVNG1X-6/2/d7469c1885b4a9de0d06445128c813b7
Johansen, Leif
oai:RePEc:eee:dyncon:v:29:y:2005:i:4:p:595-6002012-12-25RePEc:eee:dyncon
article
Bounded rationality, heterogeneity and market dynamics
4
2005
29
4
595
600
http://www.sciencedirect.com/science/article/B6V85-4CSYP36-2/2/8e7ca0511c60c5a58178513baedd4872
Kirman, Alan
Tuinstra, Jan
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3965-39852012-12-25RePEc:eee:dyncon
article
Optimal pest control in agriculture
12
2007
31
12
3965
3985
http://www.sciencedirect.com/science/article/B6V85-4NBY8JT-1/2/b1c2707b975e4f6e875521132cb444ea
Christiaans, Thomas
Eichner, Thomas
Pethig, Rudiger
oai:RePEc:eee:dyncon:v:19:y:1995:i:8:p:1511-15282012-12-25RePEc:eee:dyncon
article
Social insurance and taxation under sequential majority voting and utilitarian regimes
8
1995
19
11
1511
1528
http://www.sciencedirect.com/science/article/B6V85-3YB56J6-B/2/9e622eced73aab44e956d4d92bf73a01
Rao Aiyagari, S.
Peled, Dan
oai:RePEc:eee:dyncon:v:14:y:1990:i:3-4:p:553-5692012-12-25RePEc:eee:dyncon
article
When does coordination pay?
3-4
1990
14
10
553
569
http://www.sciencedirect.com/science/article/B6V85-45MFRX7-14/2/ecf93775230273d90ce0267c6f448f9e
Miller, Marcus
Salmon, Mark
oai:RePEc:eee:dyncon:v:1:y:1979:i:3:p:271-2822012-12-25RePEc:eee:dyncon
article
Economic policymaking in the United States: New procedures under Humphrey-Hawkins
3
1979
1
271
282
http://www.sciencedirect.com/science/article/B6V85-4DJ3F4H-3/2/e99d5b60baec025dacaae5827d4bba26
Roberts, Steven M.
oai:RePEc:eee:dyncon:v:11:y:1987:i:4:p:499-5112012-12-25RePEc:eee:dyncon
article
Joint production of substitutable, exhaustible resources, or: Is flaring gas rational?
4
1987
11
12
499
511
http://www.sciencedirect.com/science/article/B6V85-4GP1TWJ-3/2/10dc7ccc646c82402a3ffe0ba2882780
Wirl, Franz
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:67-712012-12-25RePEc:eee:dyncon
article
Limit pricing in a mature market A dynamic game approach
1-2
1986
10
6
67
71
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-F/2/308a3dd4f903fc285e2c8c2e543ef943
Shupp, Franklin R.
oai:RePEc:eee:dyncon:v:11:y:1987:i:1:p:93-1162012-12-25RePEc:eee:dyncon
article
Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
1
1987
11
3
93
116
http://www.sciencedirect.com/science/article/B6V85-4C7WMJR-5/2/1c2c4b467f1c82096e3df007e0c560b5
Le Van, Cuong
oai:RePEc:eee:dyncon:v:21:y:1997:i:1:p:115-1432012-12-25RePEc:eee:dyncon
article
Equilibrium dynamics in two-sector models of endogenous growth
1
1997
21
1
115
143
http://www.sciencedirect.com/science/article/B6V85-3T7HKH4-4/2/a7a2c4495d5d5f45ecdeabf3878a4b45
Ladron-de-Guevara, Antonio
Ortigueira, Salvador
Santos, Manuel S.
oai:RePEc:eee:dyncon:v:28:y:2004:i:8:p:1635-16602012-12-25RePEc:eee:dyncon
article
Solving for optimal simple rules in rational expectations models
8
2004
28
6
1635
1660
http://www.sciencedirect.com/science/article/B6V85-48WJSH4-2/2/4da237d79ad0791aeec7a571f01e5678
Dennis, Richard
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1729-17532012-12-25RePEc:eee:dyncon
article
A dynamic analysis of moving average rules
9-10
2006
30
1729
1753
http://www.sciencedirect.com/science/article/B6V85-4K07FJ5-1/2/85078ada312b573dbba261f9b2178a05
Chiarella, Carl
He, Xue-Zhong
Hommes, Cars
oai:RePEc:eee:dyncon:v:30:y:2006:i:2:p:293-3222012-12-25RePEc:eee:dyncon
article
The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach
2
2006
30
2
293
322
http://www.sciencedirect.com/science/article/B6V85-4G1R3JK-1/2/45f75b308a3a9155408314c00f13cdf3
Westerhoff, Frank H.
Dieci, Roberto
oai:RePEc:eee:dyncon:v:22:y:1998:i:10:p:1575-16032012-12-25RePEc:eee:dyncon
article
Sustained endogenous growth with decreasing returns and heterogeneous capital
10
1998
22
8
1575
1603
http://www.sciencedirect.com/science/article/B6V85-3VW2X45-3/2/ce51435c0c786e477ee9bfc1f61759e0
Kaganovich, Michael
oai:RePEc:eee:dyncon:v:28:y:2004:i:5:p:859-8602012-12-25RePEc:eee:dyncon
article
Financial decision models in a dynamical setting
5
2004
28
2
859
860
http://www.sciencedirect.com/science/article/B6V85-49SFH39-1/2/435f8ec4fd4512b0eac7d40d836d4334
Mitra, Gautam
Zenios, Stavros
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1237-12612012-12-25RePEc:eee:dyncon
article
From decay to growth: A demographic transition to economic growth
6-7
1996
20
1237
1261
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-F/2/726d4c712c1d2241755c685f56a68e6d
Tamura, Robert
oai:RePEc:eee:dyncon:v:11:y:1987:i:3:p:313-3292012-12-25RePEc:eee:dyncon
article
Behavior of the firm in a market for heterogeneous labor
3
1987
11
9
313
329
http://www.sciencedirect.com/science/article/B6V85-4GP1TWK-3/2/f1e60144b4cc5529c63b7fc27f917ac4
Vroman, Susan B.
oai:RePEc:eee:dyncon:v:15:y:1991:i:1:p:197-2132012-12-25RePEc:eee:dyncon
article
Temporary stabilization policy : The case of flexible prices and exchange rates
1
1991
15
197
213
http://www.sciencedirect.com/science/article/B6V85-45N4YNB-C/2/cd74fc68a701a3d966b2c567b156d25e
Calvo, Guillermo A.
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:361-3842012-12-25RePEc:eee:dyncon
article
Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
1-3
1996
20
361
384
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-W/2/65c19c7d6bcb8ff277624ccd11fbdfeb
Bardhan, Indrajit
Chao, Xiuli
oai:RePEc:eee:dyncon:v:28:y:2004:i:5:p:915-9352012-12-25RePEc:eee:dyncon
article
The American put under transactions costs
5
2004
28
2
915
935
http://www.sciencedirect.com/science/article/B6V85-48Y6SGR-1/2/2f08d45a8f4f6d602c24b0a399019247
Perrakis, Stylianos
Lefoll, Jean
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2875-29042012-12-25RePEc:eee:dyncon
article
A Hotelling model with a ceiling on the stock of pollution
12
2006
30
12
2875
2904
http://www.sciencedirect.com/science/article/B6V85-4HTCTB7-1/2/77ef6383c567a4b773dd5ea836c030ae
Chakravorty, Ujjayant
Magne, Bertrand
Moreaux, Michel
oai:RePEc:eee:dyncon:v:28:y:2004:i:6:p:1079-11132012-12-25RePEc:eee:dyncon
article
A geometric approach to multiperiod mean variance optimization of assets and liabilities
6
2004
28
3
1079
1113
http://www.sciencedirect.com/science/article/B6V85-48GP7VJ-2/2/ac8b6e1f8a3754aa9ad2f92eb256abd8
Leippold, Markus
Trojani, Fabio
Vanini, Paolo
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1416-14302012-12-25RePEc:eee:dyncon
article
Stochastic optimal policies when the discount rate vanishes
4
2007
31
4
1416
1430
http://www.sciencedirect.com/science/article/B6V85-4KRY3J4-1/2/fccd8978171d3f3764f6e6e108091916
Nishimura, Kazuo
Stachurski, John
oai:RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1267-13212012-12-25RePEc:eee:dyncon
article
Monte Carlo methods for security pricing
8-9
1997
21
6
1267
1321
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-2/2/1f9ce22ae471f4e3c46476eae20faa13
Boyle, Phelim
Broadie, Mark
Glasserman, Paul
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:433-4722012-12-25RePEc:eee:dyncon
article
How big is the debt overhang problem?
2
2007
31
2
433
472
http://www.sciencedirect.com/science/article/B6V85-4JGJJ0B-6/2/cfeb87b175b7c4fca9402f567df4d9eb
Moyen, Nathalie
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2553-25752012-12-25RePEc:eee:dyncon
article
Economic dynamics of reservoir sedimentation management: Optimal control with singularly perturbed equations of motion
12
2006
30
12
2553
2575
http://www.sciencedirect.com/science/article/B6V85-4HHH4TB-2/2/d3a644a97406e97185c409eaa15ff4a3
Huffaker, Ray
Hotchkiss, Rollin
oai:RePEc:eee:dyncon:v:23:y:1998:i:1:p:159-1652012-12-25RePEc:eee:dyncon
article
Characterizing sustainability: The converse of Hartwick's rule
1
1998
23
9
159
165
http://www.sciencedirect.com/science/article/B6V85-3V7JBM1-9/2/c88b461e7ad725a0f2d5b3fa5107f348
Withagen, Cees
B. Asheim, Geir
oai:RePEc:eee:dyncon:v:13:y:1989:i:3:p:471-4832012-12-25RePEc:eee:dyncon
article
The utility of manufacturing cooperatives
3
1989
13
7
471
483
http://www.sciencedirect.com/science/article/B6V85-46X3RNB-7/2/39b68492be04bda7166f25e5227e84e1
Tapiero, Charles S.
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1473-14972012-12-25RePEc:eee:dyncon
article
Timing of investment under technological and revenue-related uncertainties
5
2007
31
5
1473
1497
http://www.sciencedirect.com/science/article/B6V85-4KM46NG-1/2/fadcde658a634891a63d1afcee354112
Murto, Pauli
oai:RePEc:eee:dyncon:v:28:y:2004:i:6:p:1013-10332012-12-25RePEc:eee:dyncon
article
A generalized impulse control model of cash management
6
2004
28
3
1013
1033
http://www.sciencedirect.com/science/article/B6V85-48FK73N-1/2/404f6c30e5982bc24e1ad76854e63e17
Bar-Ilan, Avner
Perry, David
Stadje, Wolfgang
oai:RePEc:eee:dyncon:v:32:y:2008:i:11:p:3441-34582012-12-25RePEc:eee:dyncon
article
An analysis of fiscal policy with endogenous investment-specific technological change
The effects of distortional fiscal policies are studied within a model in which there is endogenous investment-specific technological change. Labor is used in the production of output and also for research purposes. Labor or capital taxes then distort the trade-off between developing new technologies, and investing in existing types of capital. It is shown that if there is an externality in the research activity, then it may be socially optimal to impose both a capital tax, and an investment tax credit. The growth rate is shown to be increasing in the rate of capital taxation and decreasing in the rate of labor taxation, although the effect of taxation on the growth rate is modest. This supports the observation that there is relatively little relationship between growth rates of economies, and their rates of taxation.
Investment-specific technological change Investment tax credit Optimal taxation Capital taxation Endogenous growth Externalities
11
2008
32
11
3441
3458
http://www.sciencedirect.com/science/article/B6V85-4S21THB-1/2/ca6492b2cdc88b6b7a8e7d53e8327862
Huffman, Gregory W.
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1498-15192012-12-25RePEc:eee:dyncon
article
The suspension of the gold standard as sustainable monetary policy
This paper models the gold standard as a state contingent commitment technology that is only feasible during peace. Monetary policy during war, when the gold convertibility rule is suspended, can still be credible, if the policymaker's plan is to resume the gold standard in the future. The DSGE model developed in this paper suggests that the resumption of the gold standard was a sustainable plan, which replaced the gold standard as a commitment technology and made monetary policy time consistent. Trigger strategies support the equilibrium: private agents retaliate if a policymaker defaults on its plan to resume the gold standard.
Time consistency; Monetary policy; Monetary regimes; Gold standard;
10
2012
36
1498
1519
C61
E31
E4
E5
N13
http://www.sciencedirect.com/science/article/pii/S0165188912000978
Newby, Elisa
oai:RePEc:eee:dyncon:v:11:y:1987:i:1:p:65-782012-12-25RePEc:eee:dyncon
article
Efficient equilibria in a differential game of capitalism
1
1987
11
3
65
78
http://www.sciencedirect.com/science/article/B6V85-4C7WMJR-3/2/64298080cfeb3d0eddfe306b6add2e68
Haurie, Alain
Pohjola, Matti
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:33-362012-12-25RePEc:eee:dyncon
article
On the computation of equilibria in discounted stochastic dynamic games
1-2
1986
10
6
33
36
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-6/2/0defcd381d226e0b4ca8edc78fe2edaf
Breton, Michele
Haurie, Alain
Filar, Jerzy A.
oai:RePEc:eee:dyncon:v:22:y:1998:i:5:p:679-7022012-12-25RePEc:eee:dyncon
article
Nominal rigidity and monetary uncertainty in a small open economy
5
1998
22
5
679
702
http://www.sciencedirect.com/science/article/B6V85-3SX8BH0-3/2/080e42ae56ede59dcea867216a756d54
Rankin, Neil
oai:RePEc:eee:dyncon:v:8:y:1984:i:1:p:33-642012-12-25RePEc:eee:dyncon
article
Optimally derived fixed rules and indicators
1
1984
8
10
33
64
http://www.sciencedirect.com/science/article/B6V85-4C9BX45-14/2/782868eacf7b3280b2b97e25c4c2ecad
Karakitsos, E.
Rustem, B.
oai:RePEc:eee:dyncon:v:23:y:1999:i:5-6:p:873-9082012-12-25RePEc:eee:dyncon
article
On the role of government in a stochastically growing open economy
5-6
1999
23
4
873
908
http://www.sciencedirect.com/science/article/B6V85-3WF82KY-B/2/9d3c84b6940df69b2b91fb9198c69a57
Turnovsky, Stephen J.
oai:RePEc:eee:dyncon:v:17:y:1993:i:5-6:p:759-7692012-12-25RePEc:eee:dyncon
article
Devil's staircase and chaos from macroeconomic mode interaction
5-6
1993
17
759
769
http://www.sciencedirect.com/science/article/B6V85-45JK57J-1T/2/f20ae858b81496213b68cecbbb12ced3
Larsen, Erik Reimer
Morecroft, John D. W.
Thomsen, Jesper Skovhus
Mosekilde, Erik
oai:RePEc:eee:dyncon:v:1:y:1979:i:1:p:39-582012-12-25RePEc:eee:dyncon
article
Stabilization policies for united states feed grain and livestock markets
1
1979
1
2
39
58
http://www.sciencedirect.com/science/article/B6V85-4DVNG1X-3/2/22049e01cfb9905deba78e802b78cdc8
Arzac, Enrique R.
Wilkinson, Maurice
oai:RePEc:eee:dyncon:v:1:y:1979:i:1:p:1-22012-12-25RePEc:eee:dyncon
article
Introduction to the Journal of economic dynamics and control
1
1979
1
2
1
2
http://www.sciencedirect.com/science/article/B6V85-4DVNG1X-1/2/d5a86972563268d945aab4c013c6a7bf
Kendrick, David
Tse, Edison
oai:RePEc:eee:dyncon:v:14:y:1990:i:2:p:465-4902012-12-25RePEc:eee:dyncon
article
Qualitative reasoning in economics
2
1990
14
5
465
490
http://www.sciencedirect.com/science/article/B6V85-45KNJWV-H/2/c22abe229a9bcf77c66c38e2c7112de3
Farley, Arthur M.
Lin, Kuan-Pin
oai:RePEc:eee:dyncon:v:28:y:2004:i:11:p:2195-22142012-12-25RePEc:eee:dyncon
article
Strategic asset allocation in a continuous-time VAR model
11
2004
28
10
2195
2214
http://www.sciencedirect.com/science/article/B6V85-4BN0JCF-4/2/98d9879dcb370521df79d28ce12a1a8d
Campbell, John Y.
Chacko, George
Rodriguez, Jorge
Viceira, Luis M.
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1132-11592012-12-25RePEc:eee:dyncon
article
A computational scheme for optimal investment - consumption with proportional transaction costs
4
2007
31
4
1132
1159
http://www.sciencedirect.com/science/article/B6V85-4K9C54Y-1/2/4e2f418ee669abb476ea4285a355d03e
Muthuraman, Kumar
oai:RePEc:eee:dyncon:v:31:y:2007:i:9:p:3110-31372012-12-25RePEc:eee:dyncon
article
Drift control of international reserves
9
2007
31
9
3110
3137
http://www.sciencedirect.com/science/article/B6V85-4MM25S3-1/2/7999f766711893b393769b61849a8a7b
Bar-Ilan, Avner
Marion, Nancy P.
Perry, David
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:645-6502012-12-25RePEc:eee:dyncon
article
Portable random number generators
4
2003
27
2
645
650
http://www.sciencedirect.com/science/article/B6V85-4724Y30-7/2/67487d31bac616d8ffb9d026485fdc80
Dwyer, Gerald Jr.
Williams, K. B.
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1051-10712012-12-25RePEc:eee:dyncon
article
Hybrid algorithms with automatic switching for solving nonlinear equation systems
6-7
1996
20
1051
1071
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-5/2/0039b37490a19dcac54b33160ded50ae
Hallett, A. Hughes
Ma, Y.
Yin, Y. P.
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:235-2582012-12-25RePEc:eee:dyncon
article
Cluster analysis for portfolio optimization
1
2008
32
1
235
258
http://www.sciencedirect.com/science/article/B6V85-4ND709J-3/2/563ce1d2a6be22fdfdd24a8f1462453c
Tola, Vincenzo
Lillo, Fabrizio
Gallegati, Mauro
Mantegna, Rosario N.
oai:RePEc:eee:dyncon:v:24:y:2000:i:2:p:227-2462012-12-25RePEc:eee:dyncon
article
Public services, increasing returns, and equilibrium dynamics
2
2000
24
2
227
246
http://www.sciencedirect.com/science/article/B6V85-3YJY5V9-4/2/1e913ad1019a10876f5b6af7f5ce6714
Zhang, Junxi
oai:RePEc:eee:dyncon:v:23:y:1998:i:3:p:459-4622012-12-25RePEc:eee:dyncon
article
Balanced-growth-consistent recursive utility and heterogeneous agents
3
1998
23
11
459
462
http://www.sciencedirect.com/science/article/B6V85-3V8C8B6-5/2/688b8d0c137ff09c4d499c1bb9ffe11e
Ben-Gad, Michael
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:425-4442012-12-25RePEc:eee:dyncon
article
Common trends, the government's budget constraint, and revenue smoothing
2-3
1988
12
425
444
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-N/2/6c0709e261a88f233fc9fd681c92a2d0
Trehan, Bharat
Walsh, Carl E.
oai:RePEc:eee:dyncon:v:30:y:2006:i:5:p:741-7672012-12-25RePEc:eee:dyncon
article
Credit contagion and aggregate losses
5
2006
30
5
741
767
http://www.sciencedirect.com/science/article/B6V85-4GFV5DB-1/2/389a04d48c4e4a51858f0941fe92adcd
Giesecke, Kay
Weber, Stefan
oai:RePEc:eee:dyncon:v:19:y:1995:i:1-2:p:91-1242012-12-25RePEc:eee:dyncon
article
On the cyclical allocation of risk
1-2
1995
19
91
124
http://www.sciencedirect.com/science/article/B6V85-3YB56MM-1T/2/f2fac28f6f3b9c8c65ffa50bf8f9eb23
Gomme, Paul
Greenwood, Jeremy
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1142-11612012-12-25RePEc:eee:dyncon
article
Excess covariance and dynamic instability in a multi-asset model
The presence of excess covariance in financial price returns is an accepted empirical fact: the price dynamics of financial assets tend to be more correlated than their fundamentals would justify. We advance an explanation of this fact based on an intertemporal equilibrium multi-assets model of financial markets with an explicit and endogenous price dynamics. The market is driven by an exogenous stochastic process of dividend yields paid by the assets that we identify as market fundamentals. The model is rather flexible and allows for the coexistence of different trading strategies. The evolution of assets price and traders' wealth is described by a high-dimensional stochastic dynamical system. We identify the equilibria of the model consistent with a baseline assumption of procedural rationality. We show that these equilibria are characterized by excess covariance in prices with respect to the dividend process. Moreover, we show that in equilibrium there is a positive expected marginal profit in choosing more risky portfolios. As a consequence, the evolutionary pressure generates a trend towards more remunerative strategies, which, in turn, increase the variance of prices and the dynamic instability of the system.
Excess covariance; Capital asset pricing model; Efficient market hypothesis; Heterogeneous agents; Procedurally consistent equilibrium;
8
2012
36
1142
1161
D81
G11
G12
http://www.sciencedirect.com/science/article/pii/S0165188912000875
Anufriev, Mikhail
Bottazzi, Giulio
Marsili, Matteo
Pin, Paolo
oai:RePEc:eee:dyncon:v:29:y:2005:i:9:p:1597-16092012-12-25RePEc:eee:dyncon
article
Optimal growth with pollution: how to use pollution permits?
9
2005
29
9
1597
1609
http://www.sciencedirect.com/science/article/B6V85-4DW386K-2/2/987786d38f65d9824def77415102380e
Jouvet, Pierre-Andre
Michel, Philippe
Rotillon, Gilles
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3591-36132012-12-25RePEc:eee:dyncon
article
A computational scheme for the optimal strategy in an incomplete market
11
2007
31
11
3591
3613
http://www.sciencedirect.com/science/article/B6V85-4N3GNK0-3/2/5054b2554e8bd45f220712a6555a9b88
Keppo, Jussi
Meng, Xu
Sullivan, Michael G.
oai:RePEc:eee:dyncon:v:22:y:1998:i:3:p:401-4362012-12-25RePEc:eee:dyncon
article
Optimal consumption choices for a 'large' investor
3
1998
22
3
401
436
http://www.sciencedirect.com/science/article/B6V85-3SX82KJ-5/2/5e5b3dd4886b834faf8dae8a709bca8c
Cuoco, Domenico
Cvitanic, Jaksa
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1498-15342012-12-25RePEc:eee:dyncon
article
Fiscal policy in unionized labor markets
5
2007
31
5
1498
1534
http://www.sciencedirect.com/science/article/B6V85-4KPN9PR-1/2/5a4166cfecdfdc593a062d9e6b013157
Ardagna, Silvia
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1212-12282012-12-25RePEc:eee:dyncon
article
Improving the value at risk forecasts: Theory and evidence from the financial crisis
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis. Within a comprehensive comparative study we provide the latest piece of empirical evidence on the performance of a wide range of standard VaR approaches and highlight the overall outperformance of the newly developed methods.
Value-at-risk; Optimal forecast combination; Quantile regression; Method of moments; Financial crisis;
8
2012
36
1212
1228
C21
C5
G01
G17
G28
G32
http://www.sciencedirect.com/science/article/pii/S0165188912000887
Halbleib, Roxana
Pohlmeier, Winfried
oai:RePEc:eee:dyncon:v:32:y:2008:i:12:p:3917-39382012-12-25RePEc:eee:dyncon
article
Information shocks and precautionary saving
Skinner's [1988. Risky income, life cycle consumption, and precautionary savings. Journal of Monetary Economics 22, 237-255] second-order approximation to the consumption function under CRRA utility is generalized to accommodate any structure of uninsurable income risk. To second order, a future income shock will induce precautionary saving in the present that depends on the variance of the expectation of the income shock at each intervening period. However, the expected rate of consumption growth depends only on the currently perceived variance of the expected present value of future income. In a finite-horizon model, precautionary saving produces a hump-shaped lifecycle profile of mean consumption primarily because the variance of future income decreases with age, but the lifecycle dynamics of total wealth also affect the shape of the profile. For a Markov income process with autocorrelations on the order of 0.9 or less, the second-order approximation performs surprisingly well for common parameter choices from the literature, but it does poorly as the autocorrelation approaches 1.
Precautionary saving Timing of revelation of information Euler equation Consumption growth Consumption hump Lifecycle model
12
2008
32
12
3917
3938
http://www.sciencedirect.com/science/article/B6V85-4SJ2WRD-1/2/d432b3e1e80f3c145c4ce97bf6039d96
Feigenbaum, James
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1162-11752012-12-25RePEc:eee:dyncon
article
Simulating and calibrating diversification against black swans
An investor concerned with the downside risk of a black swan only needs a small portfolio to reap the benefits from diversification. This matches actual portfolio sizes, but does contrast with received wisdom from mean–variance analysis and intuition regarding fat tailed distributed returns. The concern for downside risk and the fat tail property of the distribution of returns can explain the low portfolio diversification. A simulation and calibration study is used to demonstrate the relevance of the theory and to disentangle the relative importance of the different effects.
Portfolio diversification; Downside risk; Heavy tails; Calibration;
8
2012
36
1162
1175
G0
G1
C2
C6
http://www.sciencedirect.com/science/article/pii/S0165188912000784
Hyung, Namwon
de Vries, Casper G.
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1477-14972012-12-25RePEc:eee:dyncon
article
Nonlinear and stable perturbation-based approximations
Users of regular higher-order perturbation approximations can face two problems: policy functions with odd oscillations and simulated data that explode. We propose a perturbation-based approximation that (i) does not have odd shapes, (ii) generates stable time paths, and (iii) avoids the drawbacks that hamper the pruned perturbation approach of Kim et al. (2008). For models with nontrivial nonlinearities, we find that our alternative and the pruned perturbation approximations give a good qualitative insight in the nonlinear aspects of the true solution, but can differ from the true solution in some quantitative aspects, especially during severe peaks and troughs.
Accuracy; Nonlinear numerical solutions;
10
2012
36
1477
1497
C63
E21
http://www.sciencedirect.com/science/article/pii/S0165188912001078
Den Haan, Wouter J.
De Wind, Joris
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1195-12152012-12-25RePEc:eee:dyncon
article
A direct test for the mean variance efficiency of a portfolio
7-8
2002
26
7
1195
1215
http://www.sciencedirect.com/science/article/B6V85-459HNNF-7/2/2c23f9d496b4f7e2d95e76cf52a4673f
Basak, Gopal
Jagannathan, Ravi
Sun, Guoqiang
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:261-2672012-12-25RePEc:eee:dyncon
article
Dynamical systems in macroeconomics: Alternative approaches to the analysis of macroeconomic fluctuations
1-2
1986
10
6
261
267
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-1F/2/23c2f24c5237c7ff3604d6ac82d356fc
Sordi, Serena
oai:RePEc:eee:dyncon:v:14:y:1990:i:3-4:p:709-7192012-12-25RePEc:eee:dyncon
article
Optimal dynamic durability
3-4
1990
14
10
709
719
http://www.sciencedirect.com/science/article/B6V85-45MFRX7-1B/2/116896a23a26a781621e7c3f72d0fabd
Muller, Eitan
Peles, Yoram C.
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:911-9182012-12-25RePEc:eee:dyncon
article
Does productive capital affect the order of resource exploitation?
6
2002
26
6
911
918
http://www.sciencedirect.com/science/article/B6V85-44KV265-2/2/ee4f6eb9c6a54c8b77b86207b554f02f
Favard, Pascal
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:385-3872012-12-25RePEc:eee:dyncon
article
Duality, separability, and functional structure: Theory and economic applications : C. Blackorby, D. Primont and R. Russel, (North-Holland, Amsterdam, 1978) pp. xx + 396, $44.00
1
1981
3
11
385
387
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-X/2/feff7598620e8629e427865ccdee5778
Deaton, Angus
oai:RePEc:eee:dyncon:v:13:y:1989:i:1:p:55-802012-12-25RePEc:eee:dyncon
article
Competitive dynamic advertising : A modification of the Case game
1
1989
13
1
55
80
http://www.sciencedirect.com/science/article/B6V85-45GNWGJ-C/2/f749a7bcccd7a2604466a6e31204e4d2
Sorger, Gerhard
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1197-12062012-12-25RePEc:eee:dyncon
article
On the probability of chaos in large dynamical systems: A Monte Carlo study
8
1999
23
8
1197
1206
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-6/2/1e152742759f4959f5b8a863b57b5289
Dechert, W. Davis
Sprott, Julien C.
Albers, David J.
oai:RePEc:eee:dyncon:v:31:y:2007:i:6:p:1910-19372012-12-25RePEc:eee:dyncon
article
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
6
2007
31
6
1910
1937
http://www.sciencedirect.com/science/article/B6V85-4N4S625-1/2/35c77d5551d6999b9bfa78f4c53b0ad6
Consiglio, Andrea
Russino, Annalisa
oai:RePEc:eee:dyncon:v:19:y:1995:i:1-2:p:253-2782012-12-25RePEc:eee:dyncon
article
Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research
1-2
1995
19
253
278
http://www.sciencedirect.com/science/article/B6V85-3YB56MM-21/2/ad5ce02671afd98aa5bd3595310a94e7
Cogley, Timothy
Nason, James M.
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1589-16142012-12-25RePEc:eee:dyncon
article
Industrial subsidies and technology adoption in general equilibrium
9-10
2006
30
1589
1614
http://www.sciencedirect.com/science/article/B6V85-4JVT1J3-3/2/05a886f29007a1516833c4a84d20ab58
Samaniego, Roberto M.
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:281-3132012-12-25RePEc:eee:dyncon
article
Impatience and long-run growth
1-3
1996
20
281
313
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-S/2/33f0786b7a40fc11fc76207630678564
Drugeon, Jean-Pierre
oai:RePEc:eee:dyncon:v:26:y:2002:i:3:p:437-4492012-12-25RePEc:eee:dyncon
article
Hartwick's rule and economic conservation laws
3
2002
26
3
437
449
http://www.sciencedirect.com/science/article/B6V85-4494XGC-5/2/fb72cebdad02934853dfeacaa2d959b1
Sato, Ryuzo
Kim, Youngduk
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3881-38882012-12-25RePEc:eee:dyncon
article
Devaluating projects and the investment-uncertainty relationship
12
2007
31
12
3881
3888
http://www.sciencedirect.com/science/article/B6V85-4NB388S-1/2/2754addfe1f4750d6e79106201fb30f4
Gutierrez, Oscar
oai:RePEc:eee:dyncon:v:20:y:1996:i:4:p:527-5582012-12-25RePEc:eee:dyncon
article
Rules of thumb in macroeconomic equilibrium A quantitative analysis
4
1996
20
4
527
558
http://www.sciencedirect.com/science/article/B6V85-3VWPNNV-1/2/ee65551233446d3cf55c5dadf84a37da
Krusell, Per
Smith, Anthony Jr.
oai:RePEc:eee:dyncon:v:25:y:2001:i:12:p:1951-19712012-12-25RePEc:eee:dyncon
article
The optimal consumption function in a Brownian model of accumulation Part A: The consumption function as solution of a boundary value problem
12
2001
25
12
1951
1971
http://www.sciencedirect.com/science/article/B6V85-43HBY8X-7/2/1810f4dd1f395632f94fa9888d87cce8
Foldes, Lucien
oai:RePEc:eee:dyncon:v:20:y:1996:i:9-10:p:1641-16602012-12-25RePEc:eee:dyncon
article
Optimal target zones: How an exchange rate mechanism can improve upon discretion
9-10
1996
20
1641
1660
http://www.sciencedirect.com/science/article/B6V85-3VV430P-7/2/5d747f994f91ce18ca3030b305c15d73
Miller, Marcus
Zhang, Lei
oai:RePEc:eee:dyncon:v:23:y:1999:i:7:p:967-9952012-12-25RePEc:eee:dyncon
article
Optimal taxation of capital income with imperfectly competitive product markets
7
1999
23
6
967
995
http://www.sciencedirect.com/science/article/B6V85-3WRBPDW-3/2/db9f898d87ddd641b7eb96326a4b83bf
Guo, Jang-Ting
Lansing, Kevin J.
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:151-1732012-12-25RePEc:eee:dyncon
article
U.S. money demand instability A flexible least squares approach
1
1990
14
2
151
173
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-11/2/88c3cab69fd73d6deaa36b86a6b48e46
Tesfatsion, Leigh
Veitch, John M.
oai:RePEc:eee:dyncon:v:32:y:2008:i:9:p:2809-28252012-12-25RePEc:eee:dyncon
article
Staggered updating in an artificial financial market
9
2008
32
9
2809
2825
http://www.sciencedirect.com/science/article/B6V85-4R98K27-1/2/2c1d312921dbd5e8d6abd4ae078a20bc
Georges, Christophre
oai:RePEc:eee:dyncon:v:31:y:2007:i:6:p:2108-21332012-12-25RePEc:eee:dyncon
article
Evolutionary game dynamics and the analysis of agent-based imitation models: The long run, the medium run and the importance of global analysis
6
2007
31
6
2108
2133
http://www.sciencedirect.com/science/article/B6V85-4N5KXMH-1/2/4479815227e4387b6ea043d830af6e4e
Dawid, Herbert
oai:RePEc:eee:dyncon:v:30:y:2006:i:5:p:769-8052012-12-25RePEc:eee:dyncon
article
Labor market rigidities and R&D-based growth in the global economy
5
2006
30
5
769
805
http://www.sciencedirect.com/science/article/B6V85-4GG2HMR-1/2/2fdc03fdbd16471c4e6e0559151e24c9
Sener, Fuat
oai:RePEc:eee:dyncon:v:8:y:1984:i:2:p:151-1652012-12-25RePEc:eee:dyncon
article
Combining competing forecasts of inflation using a bivariate arch model
2
1984
8
11
151
165
http://www.sciencedirect.com/science/article/B6V85-4C9BX3V-X/2/798c427eea71d44a424ff8de0ea8f26c
Engle, Robert F.
Granger, C. W. J.
Kraft, Dennis
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1753-17802012-12-25RePEc:eee:dyncon
article
The competitive market paradox
5
2007
31
5
1753
1780
http://www.sciencedirect.com/science/article/B6V85-4KXDR1X-1/2/c324ebb447eb23575d14722c44b521cf
Gjerstad, Steven
oai:RePEc:eee:dyncon:v:28:y:2004:i:6:p:1159-11842012-12-25RePEc:eee:dyncon
article
Path-dependence in a Ramsey model with resource amenities and limited regeneration
6
2004
28
3
1159
1184
http://www.sciencedirect.com/science/article/B6V85-48V83DF-1/2/2b94fdd2f413d94113f49a21318c5ed7
Gerlagh, Reyer
Keyzer, Michiel A.
oai:RePEc:eee:dyncon:v:22:y:1998:i:8-9:p:1209-12332012-12-25RePEc:eee:dyncon
article
Evolved perception and behaviour in oligopolies
8-9
1998
22
8
1209
1233
http://www.sciencedirect.com/science/article/B6V85-3TMR2BM-4/2/450ea5cacc7c5c16ffc5c16146450139
Marks, Robert
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1115-11432012-12-25RePEc:eee:dyncon
article
Variations in risk and fluctuations in demand: A theoretical model
6-7
1996
20
1115
1143
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-8/2/39c395441031dbd6d22fee4d2279831b
Hassler, John A. A.
oai:RePEc:eee:dyncon:v:27:y:2003:i:3:p:503-5312012-12-25RePEc:eee:dyncon
article
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case
3
2003
27
1
503
531
http://www.sciencedirect.com/science/article/B6V85-46YVCK2-8/2/00cb432fb116d591d0ede71ac5b11f13
Chiarella, Carl
He, Xue-Zhong
oai:RePEc:eee:dyncon:v:23:y:1999:i:7:p:997-10282012-12-25RePEc:eee:dyncon
article
Multivariate detrending under common trend restrictions: Implications for business cycle research
7
1999
23
6
997
1028
http://www.sciencedirect.com/science/article/B6V85-3WRBPDW-4/2/b5d116c5bcd099a254dd59f64d7cbf29
Kozicki, Sharon
oai:RePEc:eee:dyncon:v:23:y:1998:i:1:p:97-1122012-12-25RePEc:eee:dyncon
article
Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility
1
1998
23
9
97
112
http://www.sciencedirect.com/science/article/B6V85-3V7JBM1-6/2/49adebed2ea9c6701ac2e078fb88924f
Ma, Chenghu
oai:RePEc:eee:dyncon:v:30:y:2006:i:7:p:1081-11042012-12-25RePEc:eee:dyncon
article
Inventories, market structure, and price volatility
7
2006
30
7
1081
1104
http://www.sciencedirect.com/science/article/B6V85-4GR8MTW-1/2/a9c6ab52fee96543f81852486a534680
Thille, Henry
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:156-1992012-12-25RePEc:eee:dyncon
article
Continuous cascade models for asset returns
1
2008
32
1
156
199
http://www.sciencedirect.com/science/article/B6V85-4P5RVPH-1/2/94b3bf65495c93a6632da627461c2898
Bacry, E.
Kozhemyak, A.
Muzy, Jean-Francois
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1707-17272012-12-25RePEc:eee:dyncon
article
Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis
9-10
2006
30
1707
1727
http://www.sciencedirect.com/science/article/B6V85-4K3D307-1/2/9559ce36c2664b88ded7ba581d696183
Dufour, Jean-Marie
Khalaf, Lynda
Kichian, Maral
oai:RePEc:eee:dyncon:v:20:y:1996:i:4:p:583-6002012-12-25RePEc:eee:dyncon
article
Experimental evidence on money as a medium of exchange
4
1996
20
4
583
600
http://www.sciencedirect.com/science/article/B6V85-3VWPNNV-3/2/8295b584cacb3de35d8de0bd00d83f9b
Brown, Paul M.
oai:RePEc:eee:dyncon:v:28:y:2004:i:10:p:1925-19542012-12-25RePEc:eee:dyncon
article
Equilibrium stock return dynamics under alternative rules of learning about hidden states
10
2004
28
9
1925
1954
http://www.sciencedirect.com/science/article/B6V85-4BN0JCF-2/2/cf52ffd80929e37b75a1ee8efc470cdf
Brandt, M.W.Michael W.
Zeng, Qi
Zhang, Lu
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:595-6072012-12-25RePEc:eee:dyncon
article
On alternative state space representations of time series models
2-3
1988
12
595
607
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-11/2/8185738be467a3901b445bc03dc73d25
Aoki, Masanao
oai:RePEc:eee:dyncon:v:23:y:1999:i:4:p:491-5182012-12-25RePEc:eee:dyncon
article
Bayesian learning, growth, and pollution
4
1999
23
2
491
518
http://www.sciencedirect.com/science/article/B6V85-3VF9C8K-1/2/4004a4c9d794dde8bf9d9aeb00efaf81
Kelly, David L.
Kolstad, Charles D.
oai:RePEc:eee:dyncon:v:14:y:1990:i:3-4:p:627-6532012-12-25RePEc:eee:dyncon
article
Sources of complex dynamics in two-sector growth models
3-4
1990
14
10
627
653
http://www.sciencedirect.com/science/article/B6V85-45MFRX7-17/2/4480069833cb86c7232fac635dd03290
Boldrin, Michele
Deneckere, Raymond J.
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:37-392012-12-25RePEc:eee:dyncon
article
Dynamic advertising and pricing in an oligopology A Nash equilibrium approach
1-2
1986
10
6
37
39
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-7/2/96f66c387c83f690dda247adceab2c6d
Dockner, Engelbert
Feichtinger, Gustav
oai:RePEc:eee:dyncon:v:25:y:2001:i:12:p:1911-19182012-12-25RePEc:eee:dyncon
article
Sustainable growth, renewable resources and pollution
12
2001
25
12
1911
1918
http://www.sciencedirect.com/science/article/B6V85-43HBY8X-4/2/5c301da52bd80a7b1c10caf40582c5a5
Ayong Le Kama, Alain D.
oai:RePEc:eee:dyncon:v:33:y:2009:i:3:p:649-6652012-12-25RePEc:eee:dyncon
article
Solving heterogeneous-agent models by projection and perturbation
The paper proposes a numerical solution method for general equilibrium models with a continuum of heterogeneous agents that combines elements of projection and of perturbation methods. The basic idea is to solve first for the stationary solution of the model, without aggregate shocks but with fully specified idiosyncratic shocks. Afterwards one computes a first-order perturbation of the solution in the aggregate shocks. This approach allows to include a high-dimensional representation of the cross-sectional distribution in the state vector. The method is applied to a model of household saving with uninsurable income risk and liquidity constraints. Techniques are discussed to reduce the dimension of the state space such that higher order perturbations are feasible.
Heterogeneous agents Projection methods Perturbation methods Invariant distribution
3
2009
33
3
649
665
http://www.sciencedirect.com/science/article/B6V85-4TG9HNN-3/2/e514ab7a1688979bd9418ef900622317
Reiter, Michael
oai:RePEc:eee:dyncon:v:32:y:2008:i:7:p:2085-21172012-12-25RePEc:eee:dyncon
article
Gains from international monetary policy coordination: Does it pay to be different?
In a two country world where each country has a traded and a non-traded sector and each sector has sticky prices, optimal independent policy in general cannot replicate the natural-rate allocations. There are potential welfare gains from coordination since the planner under a cooperating regime internalizes a terms-of-trade externality that independent policymakers overlook. If the countries have symmetric trading structures, however, the gains from coordination are quantitatively small. With asymmetric trading structures, the gains can be sizable since, in addition to internalizing the terms-of-trade externality, the planner optimally engineers a terms-of-trade bias that favors the country with a larger traded sector.
7
2008
32
7
2085
2117
http://www.sciencedirect.com/science/article/B6V85-4PN05HJ-1/1/058fe1c3e8c14e2da74fb1ec4fc1baaa
Liu, Zheng
Pappa, Evi
oai:RePEc:eee:dyncon:v:31:y:2007:i:8:p:2744-27732012-12-25RePEc:eee:dyncon
article
What do `residuals' from first-order conditions reveal about DGE models?
8
2007
31
8
2744
2773
http://www.sciencedirect.com/science/article/B6V85-4MCWM9K-1/2/95ebeb5170f7be376dbe22c543153ddc
Johri, Alok
Letendre, Marc-Andre
oai:RePEc:eee:dyncon:v:21:y:1997:i:6:p:905-9062012-12-25RePEc:eee:dyncon
article
The JEDC and computational economics
6
1997
21
6
905
906
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-F/2/20d5a8feb4b6fd3d8b67f9fd3538f001
Amman, Hans M.
oai:RePEc:eee:dyncon:v:20:y:1996:i:5:p:963-9662012-12-25RePEc:eee:dyncon
article
A note on cointegration and control
5
1996
20
5
963
966
http://www.sciencedirect.com/science/article/B6V85-3VVVR8J-D/2/8da8d51fd890a6cc7d444e270543d346
Ferreira, Eva
Regulez, Marta
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1289-13052012-12-25RePEc:eee:dyncon
article
Accounting for global warming risks: Resource management under event uncertainty
6-7
1996
20
1289
1305
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-H/2/6be4c2f2c1bad9586fee7270214968e5
Tsur, Yacov
Zemel, Amos
oai:RePEc:eee:dyncon:v:24:y:2000:i:2:p:189-2172012-12-25RePEc:eee:dyncon
article
Learning dynamics, genetic algorithms, and corporate takeovers
2
2000
24
2
189
217
http://www.sciencedirect.com/science/article/B6V85-3YJY5V9-2/2/18b7392543d6020f6b9768aae227ddce
Noe, Thomas H.
Pi, Lynn
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:521-5232012-12-25RePEc:eee:dyncon
article
Rules, reputation and macroeconomic policy coordination : David Currie and Paul Levine, (Cambridge University Press, Cambridge, UK, 1993) HB[UK pound]45, 430 pp
1-3
1996
20
521
523
http://www.sciencedirect.com/science/article/B6V85-488R78P-2/2/60e3d8be35d257d201d23534670dec4c
Cripps, M. W.
oai:RePEc:eee:dyncon:v:19:y:1995:i:5-7:p:1297-12982012-12-25RePEc:eee:dyncon
article
Erratum
5-7
1995
19
1297
1298
http://www.sciencedirect.com/science/article/B6V85-3YB56JR-11/2/3d7e9186064e0530ea3a4aed5ee57982
Sethi, Suresh P.
Taksar, Michael I.
Presman, Ernst L.
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:385-4132012-12-25RePEc:eee:dyncon
article
Biconvergent stochastic dynamic programming, asymptotic impatience, and 'average' growth
1-3
1996
20
385
413
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-X/2/cb7591134a304e8597e65ed2d8915708
Streufert, Peter A.
oai:RePEc:eee:dyncon:v:11:y:1987:i:1:p:123-1452012-12-25RePEc:eee:dyncon
article
Inefficiency of credible strategies in oligopolistic resource markets with uncertainty
1
1987
11
3
123
145
http://www.sciencedirect.com/science/article/B6V85-4C7WMJR-7/2/70a15e1fd469671d6c24ab53647e45ab
Van Der Ploeg, F.
oai:RePEc:eee:dyncon:v:15:y:1991:i:2:p:387-4082012-12-25RePEc:eee:dyncon
article
A dynamic model of occupational choice
2
1991
15
4
387
408
http://www.sciencedirect.com/science/article/B6V85-45FCJHP-8/2/3a6e5ad08b4efcbd1e156b10245c2509
McCall, Brian P.
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:200-2342012-12-25RePEc:eee:dyncon
article
An empirical behavioral model of liquidity and volatility
1
2008
32
1
200
234
http://www.sciencedirect.com/science/article/B6V85-4PK8MF5-1/2/fe13694a952183e12a79fa98ef8ef1d3
Mike, Szabolcs
Farmer, J. Doyne
oai:RePEc:eee:dyncon:v:20:y:1996:i:5:p:945-9612012-12-25RePEc:eee:dyncon
article
Incomplete asset markets and the cross-country consumption correlation puzzle
5
1996
20
5
945
961
http://www.sciencedirect.com/science/article/B6V85-3VVVR8J-C/2/5e7e3a9e5b78dba318a85ad11ae91e72
Kollmann, Robert
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3822-38422012-12-25RePEc:eee:dyncon
article
Export restraints in a model of trade with capital accumulation
12
2007
31
12
3822
3842
http://www.sciencedirect.com/science/article/B6V85-4N9MYFR-1/2/9bfe8984cc418c617f77792a9d16181e
Calzolari, Giacomo
Lambertini, Luca
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1177-11962012-12-25RePEc:eee:dyncon
article
Capital accumulation and income distribution as the outcome of a dynamic game
8
1999
23
8
1177
1196
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-5/2/098ebd3db3052dbeb901cc46fa7a58e8
Coloma, German
oai:RePEc:eee:dyncon:v:22:y:1998:i:2:p:247-2662012-12-25RePEc:eee:dyncon
article
A simple model of Schumpeterian growth with complex dynamics
2
1998
22
2
247
266
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-D/2/1955d060496d0adcfa658275f18a335a
Deissenberg, Christophe
Nyssen, Jules
oai:RePEc:eee:dyncon:v:14:y:1990:i:2:p:329-3732012-12-25RePEc:eee:dyncon
article
Money as a medium of exchange in an economy with artificially intelligent agents
2
1990
14
5
329
373
http://www.sciencedirect.com/science/article/B6V85-45KNJWV-B/2/721de0d30eb3997080e69e656093021b
Marimon, Ramon
McGrattan, Ellen
Sargent, Thomas J.
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1133-11532012-12-25RePEc:eee:dyncon
article
Monetary policy cooperation and multiple equilibria
8
1999
23
8
1133
1153
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-3/2/0ad2e76d1e3babd60e63431a7681f811
Jensen, Henrik
oai:RePEc:eee:dyncon:v:26:y:2002:i:9-10:p:1557-15832012-12-25RePEc:eee:dyncon
article
The parametric path method: an alternative to Fair-Taylor and L-B-J for solving perfect foresight models
9-10
2002
26
8
1557
1583
http://www.sciencedirect.com/science/article/B6V85-44VG4D4-5/2/3f1870b3df89a221566f9021f6c75f46
Judd, Kenneth L.
oai:RePEc:eee:dyncon:v:20:y:1996:i:5:p:905-9232012-12-25RePEc:eee:dyncon
article
A multisectoral general equilibrium model of Schumpeterian growth and fluctuations
5
1996
20
5
905
923
http://www.sciencedirect.com/science/article/B6V85-3VVVR8J-9/2/ae45596c18373165acc26a403dc6a13a
Cheng, Leonard K.
Dinopoulos, Elias
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2350-23732012-12-25RePEc:eee:dyncon
article
Parameter estimation in commodity markets: A filtering approach
7
2007
31
7
2350
2373
http://www.sciencedirect.com/science/article/B6V85-4M04DVJ-1/2/fb1c2ae1835a47c5f1109fdef5c2f9b0
Elliott, Robert J.
Hyndman, Cody. B.
oai:RePEc:eee:dyncon:v:22:y:1998:i:2:p:179-2072012-12-25RePEc:eee:dyncon
article
A model of learning and emulation with artificial adaptive agents
2
1998
22
2
179
207
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-9/2/477d4b078c6dd32805cf9d1dd4cb9091
Bullard, James
Duffy, John
oai:RePEc:eee:dyncon:v:23:y:1999:i:4:p:641-6692012-12-25RePEc:eee:dyncon
article
Strategic behavior and noncooperative hierarchical control
4
1999
23
2
641
669
http://www.sciencedirect.com/science/article/B6V85-3VF9C8K-7/2/8b0aabcf25a579b2368a3d58627b8ceb
Weeren, A. J. T. M.
Schumacher, J. M.
Engwerda, J. C.
oai:RePEc:eee:dyncon:v:28:y:2003:i:2:p:209-2532012-12-25RePEc:eee:dyncon
article
Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
2
2003
28
11
209
253
http://www.sciencedirect.com/science/article/B6V85-475BBY6-2/2/baf732769bdc998355a938c05a28c0da
Damgaard, Anders
Fuglsbjerg, Brian
Munk, Claus
oai:RePEc:eee:dyncon:v:31:y:2007:i:3:p:994-10142012-12-25RePEc:eee:dyncon
article
Investment under uncertainty--Does competition matter?
3
2007
31
3
994
1014
http://www.sciencedirect.com/science/article/B6V85-4K1HDMB-1/2/867b5c7f64105226e39771ed05038800
Odening, Martin
Mu[ss]hoff, Oliver
Hirschauer, Norbert
Balmann, Alfons
oai:RePEc:eee:dyncon:v:19:y:1995:i:5-7:p:1065-10892012-12-25RePEc:eee:dyncon
article
Consistency and cautious fictitious play
5-7
1995
19
1065
1089
http://www.sciencedirect.com/science/article/B6V85-3YB56JR-N/2/e919e5ce70f1112b070ccf8185d6acb6
Fudenberg, Drew
Levine, David K.
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1487-15162012-12-25RePEc:eee:dyncon
article
Time series properties of an artificial stock market
9-10
1999
23
9
1487
1516
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-B/2/d2a747beda3bf29f6ddf1abd2a699afc
LeBaron, Blake
Arthur, W. Brian
Palmer, Richard
oai:RePEc:eee:dyncon:v:32:y:2008:i:8:p:2398-24272012-12-25RePEc:eee:dyncon
article
A dynamic new Keynesian life-cycle model: Societal aging, demographics, and monetary policy
8
2008
32
8
2398
2427
http://www.sciencedirect.com/science/article/B6V85-4PR3G6X-1/2/02a3ad49fc0a4ab48da7dba0ad4bf331
Fujiwara, Ippei
Teranishi, Yuki
oai:RePEc:eee:dyncon:v:16:y:1992:i:2:p:225-2412012-12-25RePEc:eee:dyncon
article
On dynamics with time-to-build investment technology and non-time-separable leisure
2
1992
16
4
225
241
http://www.sciencedirect.com/science/article/B6V85-45NHVY2-3/2/d184cd216ede2f7d6566b6a325bffa91
Ioannides, Yannis M.
Taub, Bart
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2461-24852012-12-25RePEc:eee:dyncon
article
Optimal harvesting under resource stock and price uncertainty
7
2007
31
7
2461
2485
http://www.sciencedirect.com/science/article/B6V85-4M69JC0-1/2/1166a7f6b1c2f05b320b67f64351de8e
Alvarez, Luis H.R.
Koskela, Erkki
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:1029-10522012-12-25RePEc:eee:dyncon
article
Existence of stationary equilibrium in the markets for new and used durable goods
6
2002
26
6
1029
1052
http://www.sciencedirect.com/science/article/B6V85-44KV265-8/2/3cd57b36a8f85e76fc27017c822599d2
Konishi, Hideo
Sandfort, Michael T.
oai:RePEc:eee:dyncon:v:33:y:2009:i:2:p:507-5242012-12-25RePEc:eee:dyncon
article
Investment under uncertainty with price ceilings in oligopolies
We study the impact of price cap regulation on the level and timing of investment in an oligopolistic (Cournot) industry facing stochastic demand. We find that a price ceiling affects investment decisions in two mutually competing ways: it makes the option to defer investment more valuable, but at the same time it reduces the incentive for firms to strategically underinvest in order to raise prices. We show that while sensible price cap regulation speeds up investment, a low price cap can be a disincentive for investment. There exists an optimal price cap independent of market concentration - the competitive investment price trigger - that maximizes investment incentives and in the long term increases industry installed capacity. This optimal price cap becomes less effective and less robust as the market becomes more competitive and as demand volatility increases. Errors in estimation of the optimal price cap have asymmetric effects: underestimation has more dire consequences than overestimation.
Real options Stochastic games Price cap regulation Demand uncertainty Utility industries
2
2009
33
2
507
524
http://www.sciencedirect.com/science/article/B6V85-4TCR1KF-1/2/781aa72be2bf55c29d704b4579771fbe
Roques, Fabien A.
Savva, Nicos
oai:RePEc:eee:dyncon:v:30:y:2006:i:8:p:1431-14402012-12-25RePEc:eee:dyncon
article
Equity premium with distorted beliefs: A puzzle
8
2006
30
8
1431
1440
http://www.sciencedirect.com/science/article/B6V85-4H27BVX-1/2/0a45d2e3be7fa4ce33161d69cbdc1cbb
Misina, Miroslav
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1600-16252012-12-25RePEc:eee:dyncon
article
Management compensation and market timing under portfolio constraints
This paper shows that portfolio constraints have important implications for management compensation and performance evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be beneficial. Benchmark design arises as an alternative effort inducement mechanism vis-a-vis relaxing portfolio constraints. Numerically, we solve jointly for the manager's linear incentive fee and the optimal benchmark. The size of the incentive fee and the risk adjustment in the benchmark composition are increasing in the investor's risk tolerance and the manager's ability to acquire and process private information.
Market timing; Incentive fee; Benchmarking; Portfolio constraints;
10
2012
36
1600
1625
D81
D82
J33
http://www.sciencedirect.com/science/article/pii/S0165188912001133
Agarwal, Vikas
Gómez, Juan-Pedro
Priestley, Richard
oai:RePEc:eee:dyncon:v:2:y:1980:i:1:p:395-3962012-12-25RePEc:eee:dyncon
article
Models and decision making in national economies : J.M.L. Janssen, L.F. Pau and A. Straszak, (North-Holland, Amsterdam, 1979)
1
1980
2
5
395
396
http://www.sciencedirect.com/science/article/B6V85-4D9X3KF-3X/2/616941bb0353b8ea73d6399d2f05aeca
Kalman, R. E.
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1243-12742012-12-25RePEc:eee:dyncon
article
Short rate nonlinearities and regime switches
7-8
2002
26
7
1243
1274
http://www.sciencedirect.com/science/article/B6V85-459HNNF-9/2/fb826e2f371a130283053024262671b0
Ang, Andrew
Bekaert, Geert
oai:RePEc:eee:dyncon:v:13:y:1989:i:3:p:401-4202012-12-25RePEc:eee:dyncon
article
Monetary and fiscal policies under two alternative types of rules
3
1989
13
7
401
420
http://www.sciencedirect.com/science/article/B6V85-46X3RNB-4/2/dd900545a13bc5bbbb53425177c2e42d
Fukuda, Shin-ichi
oai:RePEc:eee:dyncon:v:24:y:2000:i:2:p:219-2252012-12-25RePEc:eee:dyncon
article
On the investment-uncertainty relationship in a real options model
2
2000
24
2
219
225
http://www.sciencedirect.com/science/article/B6V85-3YJY5V9-3/2/3fbe4d7b87e3343e1aea1af4186afc62
Sarkar, Sudipto
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1329-13532012-12-25RePEc:eee:dyncon
article
Solving higher-dimensional continuous-time stochastic control problems by value function regression
9-10
1999
23
9
1329
1353
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-5/2/2b5d2a15a6784e319c3c07958e3688e4
Reiter, Michael
oai:RePEc:eee:dyncon:v:22:y:1998:i:3:p:483-4872012-12-25RePEc:eee:dyncon
article
Handbook of computational economics : H.M. Amman, D.A. Kendrick, J. Rust, (eds.), vol. 1. North-Holland, Amsterdam, 1996, pp. xxi + 827, $163.75/265.0 Dutch Guilders. (ISBN 0-444-89857-3)
3
1998
22
3
483
487
http://www.sciencedirect.com/science/article/B6V85-3SX82KJ-8/2/7329f706cd51a679c0cbc80f1ddcc2c6
McAdam, Peter
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:701-7162012-12-25RePEc:eee:dyncon
article
A DNS-curve in a two-state capital accumulation model: a numerical analysis
4
2003
27
2
701
716
http://www.sciencedirect.com/science/article/B6V85-44HWSHX-1/2/692bf6e9b81dd83c5a86a1ac1657c749
Haunschmied, Josef L.
Kort, Peter M.
Hartl, Richard F.
Feichtinger, Gustav
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1101-11132012-12-25RePEc:eee:dyncon
article
Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
6-7
1996
20
1101
1113
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-7/2/dbc493e77d59623db0dfcbd0f6f09b15
Lioui, Abraham
Poncet, Patrice
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1585-15992012-12-25RePEc:eee:dyncon
article
Leverage management in a bull–bear switching market
Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time dependent investment strategy in a “bull” market and a “bear” market. We show that when the market switches from the “bull” market to the “bear” market, complete deleveraging, reducing the degree of leverage, or keeping leverage unchanged may all be optimal strategies, subject to underlying market conditions. We further show that the investor may optimally keep leverage unchanged in the “bear” market, particularly so for illiquid asset. On the other hand, a lower borrowing cost in the “bear” market would prevent sell offs.
Leverage; Portfolio selection; Bull–bear switching market; Transaction costs;
10
2012
36
1585
1599
D11
D91
G11
C61
http://www.sciencedirect.com/science/article/pii/S0165188912000930
Dai, Min
Wang, Hefei
Yang, Zhou
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1534-15502012-12-25RePEc:eee:dyncon
article
Cyclical dynamics of industrial production and employment: Markov chain-based estimates and tests
The purpose of this paper is to understand differences in cyclical phenomena across a broad range of developed and emerging countries based on the behavior of two key economic times series—industrial production and employment. The paper characterizes the series in question as a recurring Markov chain. Univariate processes are estimated for each series individually, and a composite indicator is constructed by using information on both series. Based on tests of equality of the estimated Markov chains across countries as well as the expected times to switch between different states, we find evidence that (i) the developed and emerging economies are “de-coupled” from each other in terms of their cyclical dynamics, and (ii) the behavior of industrial production and employment growth are “de-coupled” for the emerging economies. Our results suggest new directions for the analysis of emerging economy cyclical fluctuations.
Markov chain; Tests of time homogeneity and time dependence; Composite indicator;
10
2012
36
1534
1550
C14
E32
http://www.sciencedirect.com/science/article/pii/S0165188912000917
Altug, Sumru
Tan, Barış
Gencer, Gözde
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1615-16462012-12-25RePEc:eee:dyncon
article
Can social security be welfare improving when there is demographic uncertainty?
9-10
2006
30
1615
1646
http://www.sciencedirect.com/science/article/B6V85-4JXPS1T-1/2/652bb373ab1b01292694fcc52c65a814
Sanchez-Marcos, Virginia
Sanchez-Martin, Alfonso R.
oai:RePEc:eee:dyncon:v:22:y:1997:i:1:p:87-1082012-12-25RePEc:eee:dyncon
article
Sustainable monetary policies
1
1997
22
11
87
108
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-5/2/dec33fd66f7a2e4c0bea6c7a55f25f55
Ireland, Peter N.
oai:RePEc:eee:dyncon:v:27:y:2003:i:8:p:1437-14572012-12-25RePEc:eee:dyncon
article
Learning with bounded memory in stochastic models
8
2003
27
6
1437
1457
http://www.sciencedirect.com/science/article/B6V85-45V6V3W-4/2/ab21e9dc778873b201e1c6e24c240df4
Honkapohja, Seppo
Mitra, Kaushik
oai:RePEc:eee:dyncon:v:7:y:1984:i:3:p:233-2402012-12-25RePEc:eee:dyncon
article
The treatment of registered retirement savings plans at maturity
3
1984
7
9
233
240
http://www.sciencedirect.com/science/article/B6V85-4C9BX2K-3/2/dcf3aa95cfcfc2e7587c1121a9b0a837
Daly, Michael J.
Naqib, Fadle
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:1053-10682012-12-25RePEc:eee:dyncon
article
Productive consumption, the intertemporal consumption trade-off and growth
6
2002
26
6
1053
1068
http://www.sciencedirect.com/science/article/B6V85-44KV265-9/2/4ea3ea7d95a8f6a81069853cfe2b22ca
Steger, Thomas M.
oai:RePEc:eee:dyncon:v:24:y:2000:i:2:p:247-2722012-12-25RePEc:eee:dyncon
article
On the transition from local regular to global irregular fluctuations
2
2000
24
2
247
272
http://www.sciencedirect.com/science/article/B6V85-3YJY5V9-5/2/1204b48b2135ede2ba0a18eb4bf52eab
Pintus, Patrick
Sands, Duncan
de Vilder, Robin
oai:RePEc:eee:dyncon:v:23:y:1999:i:7:p:1065-10762012-12-25RePEc:eee:dyncon
article
Frequent price changes under menu costs
7
1999
23
6
1065
1076
http://www.sciencedirect.com/science/article/B6V85-3WRBPDW-6/2/e92f717e0584024a990a2ddafd4c0502
Hansen, Per Svejstrup
oai:RePEc:eee:dyncon:v:33:y:2009:i:4:p:985-9962012-12-25RePEc:eee:dyncon
article
Imperfect transparency and shifts in the central bank's output gap target
In the New Keynesian framework, the public's expectation about the future path of monetary policy is an important determinant of current economic conditions. This paper examines the impact of unobservable shifts in the central bank's output gap target on inflation and output dynamics. I show that when the degree of persistence of a shock is private information of the central bank, and policy is discretionary in nature, it is optimal for the central bank not to reveal the future expected path of the output gap target. Perfect transparency unambiguously increases inflation and output volatility and thus lowers welfare.
Discretionary monetary policy New Keynesian Phillips curve Transparency Kalman filter Learning
4
2009
33
4
985
996
http://www.sciencedirect.com/science/article/B6V85-4V34D3J-1/2/cb59a3994ad3b655244a06e7f06a82f5
Westelius, Niklas J.
oai:RePEc:eee:dyncon:v:25:y:2001:i:1-2:p:115-1482012-12-25RePEc:eee:dyncon
article
Inflation targeting with NAIRU uncertainty and endogenous policy credibility
1-2
2001
25
1
115
148
http://www.sciencedirect.com/science/article/B6V85-418PPNR-4/2/b636864c40fb38602a477c66baefcd8e
Isard, Peter
Laxton, Douglas
Eliasson, Ann-Charlotte
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:99-1072012-12-25RePEc:eee:dyncon
article
New perspectives from the complex plane
1-2
1986
10
6
99
107
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-M/2/a2c0c0201488c74e4913130382660ec4
Livesey, D. A.
oai:RePEc:eee:dyncon:v:25:y:2001:i:12:p:1935-19502012-12-25RePEc:eee:dyncon
article
Necessary conditions for infinite-horizon discounted two-stage optimal control problems
12
2001
25
12
1935
1950
http://www.sciencedirect.com/science/article/B6V85-43HBY8X-6/2/2493041356837df6fab4d011696d9a9c
Makris, Miltiadis
oai:RePEc:eee:dyncon:v:25:y:2001:i:3-4:p:527-5592012-12-25RePEc:eee:dyncon
article
A multi-agent model for describing transhumance in North Cameroon: Comparison of different rationality to develop a routine
3-4
2001
25
3
527
559
http://www.sciencedirect.com/science/article/B6V85-419JHMW-9/2/6993fe45a072ba867142dccad684ab42
Rouchier, Juliette
Bousquet, Francois
Requier-Desjardins, Melanie
Antona, Martine
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1267-12832012-12-25RePEc:eee:dyncon
article
Leverage as a predictor for real activity and volatility
This paper explores the link between the leverage of the US financial sector, of households and of non-financial businesses, and real activity. We document that leverage is negatively correlated with the future growth of real activity, and positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral leverage series is more relevant for predicting future real activity than the information contained in any individual leverage series. Using in-sample regressions and out-of sample forecasts, we show that the predictive power of leverage is roughly comparable to that of macro and financial predictors commonly used by forecasters. Leverage information would not have allowed to predict the ‘Great Recession’ of 2008–2009 any better than conventional macro/financial predictors.
Leverage; Financial crisis; Forecasts; Real activity; Volatility;
8
2012
36
1267
1283
E32
E37
C53
G20
http://www.sciencedirect.com/science/article/pii/S0165188912000826
Kollmann, Robert
Zeugner, Stefan
oai:RePEc:eee:dyncon:v:33:y:2009:i:2:p:363-3762012-12-25RePEc:eee:dyncon
article
Computational modelling of price formation in the electricity pool of England and Wales
This paper develops a detailed computational model of price formation in the England and Wales electricity pool, as it operated for 11 years from 1990 to 2001. It is clear that during this period, the repeated nature of the daily auction, between a small number of generators, with a substantial amount of information in common, gave rise to a continuous evolution of learning and gaming in practice with no evidence of convergence to a stationary Nash solution. In terms of representing reality, a computational approach inspired by evolutionary economics, can succeed in reflecting well the type of behaviour observed, to an extent that cannot be matched by alternative analytical models. Cycles of pricing appear in the model, apparently as they seem to do in practice, yet average behaviour has been validated against the theoretical supply function results for the more stylised circumstances where analytical results are possible. The paper therefore makes a methodological contribution in the development of a model of competitive electricity markets inspired by computational learning and gaming. It also makes an applied contribution by providing a more realistic basis for identifying whether high market prices can be ascribed to problems of market structure or market conduct.
Auctions Electricity Computational learning Market power
2
2009
33
2
363
376
http://www.sciencedirect.com/science/article/B6V85-4T13CF8-1/2/81c81adc9d9a74a936cbcf1342498aab
Bunn, Derek W.
Day, Christopher J.
oai:RePEc:eee:dyncon:v:28:y:2003:i:2:p:287-3062012-12-25RePEc:eee:dyncon
article
Strong time-consistency in the cartel-versus-fringe model
2
2003
28
11
287
306
http://www.sciencedirect.com/science/article/B6V85-479TM0V-1/2/d20cf092c9022cee3b08550024eaeb6c
Groot, Fons
Withagen, Cees
de Zeeuw, Aart
oai:RePEc:eee:dyncon:v:18:y:1994:i:1:p:251-2712012-12-25RePEc:eee:dyncon
article
Causal reasoning and explanation in dynamic economic systems
1
1994
18
1
251
271
http://www.sciencedirect.com/science/article/B6V85-46MMW30-10/2/fb302f3ee70949a5cf0eb648ad48faf4
Berndsen, Ron
Daniels, Hennie
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:73-952012-12-25RePEc:eee:dyncon
article
Supply management with intermittent trade disruptions when the probabilities are not fully known
1
1990
14
2
73
95
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-X/2/4c2182e8d5b98f2660d6b9629f18c05d
Lindsey, Robin
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:531-5552012-12-25RePEc:eee:dyncon
article
Asymmetric outcome in a symmetric dynamic duopoly
2
2007
31
2
531
555
http://www.sciencedirect.com/science/article/B6V85-4JGBF1Y-1/2/09b209a25206251fc09291c2e402331f
Joshi, Sumit
oai:RePEc:eee:dyncon:v:30:y:2006:i:2:p:163-1832012-12-25RePEc:eee:dyncon
article
Production experiences and market structure in R&D competition
2
2006
30
2
163
183
http://www.sciencedirect.com/science/article/B6V85-4FFX9CT-2/2/2cdede7e3764f490b3c58fde35c937fd
Chang, Shun-Chiao
Wu, Ho-Mou
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:85-1002012-12-25RePEc:eee:dyncon
article
Inter-pattern speculation: Beyond minority, majority and $-games
1
2008
32
1
85
100
http://www.sciencedirect.com/science/article/B6V85-4N9MYFR-4/2/ec663b864b6b4ba9fc35f86b3e88df3c
Challet, Damien
oai:RePEc:eee:dyncon:v:5:y:1983:i:1:p:201-2342012-12-25RePEc:eee:dyncon
article
Adaptive strategies of the firm through a business cycle
1
1983
5
2
201
234
http://www.sciencedirect.com/science/article/B6V85-4C47HD0-D/2/ff53e1b8999cb42aa3b8d96b051802f0
Leban, Raymond
Lesourne, Jacques
oai:RePEc:eee:dyncon:v:5:y:1983:i:1:p:235-2472012-12-25RePEc:eee:dyncon
article
Asymptotic distribution of power spectra and peak frequencies in the stochastic response of econometric models
1
1983
5
2
235
247
http://www.sciencedirect.com/science/article/B6V85-4C47HD0-F/2/cb9dcad439b86e97c60163c9e72112be
Calzolari, Giorgio
oai:RePEc:eee:dyncon:v:25:y:2001:i:3-4:p:419-4572012-12-25RePEc:eee:dyncon
article
Structure, behavior, and market power in an evolutionary labor market with adaptive search
3-4
2001
25
3
419
457
http://www.sciencedirect.com/science/article/B6V85-419JHMW-6/2/fbae4596d745bc6f03c888152d5cfc3e
Tesfatsion, Leigh
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1081-11052012-12-25RePEc:eee:dyncon
article
A Monte Carlo approach for the American put under stochastic interest rates
4
2007
31
4
1081
1105
http://www.sciencedirect.com/science/article/B6V85-4K7FJ7B-1/2/5985ca3c8b527160923af255190b6ceb
Lindset, Snorre
Lund, Arne-Christian
oai:RePEc:eee:dyncon:v:25:y:2001:i:9:p:1451-14562012-12-25RePEc:eee:dyncon
article
Recursive macroeconomic theory, Lars Ljungqvist and Thomas J. Sargent; The MIT Press, Cambridge, MA, 2000, pp. 737, $60.
9
2001
25
9
1451
1456
http://www.sciencedirect.com/science/article/B6V85-435CH46-7/2/df1bd2fc5f7c37486366a1699127f2bf
Den Haan, Wouter J.
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:43-622012-12-25RePEc:eee:dyncon
article
On the stability of an adjustment process for spatial price equilibrium modeled as a projected dynamical system
1-3
1996
20
43
62
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-F/2/0516d81b37759e4e8b2a2b834b26b022
Nagurney, Anna
Zhang, Ding
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:551-5722012-12-25RePEc:eee:dyncon
article
Optimal transition to backstop substitutes for nonrenewable resources
4
2003
27
2
551
572
http://www.sciencedirect.com/science/article/B6V85-4724Y30-3/2/6471b0f5e075f7024699f427f6c6a535
Tsur, Yacov
Zemel, Amos
oai:RePEc:eee:dyncon:v:11:y:1987:i:3:p:331-3572012-12-25RePEc:eee:dyncon
article
The dynamic analysis of continuous-time life-cycle savings growth models
3
1987
11
9
331
357
http://www.sciencedirect.com/science/article/B6V85-4GP1TWK-4/2/689819038e2b8721f33109e38f841603
Laitner, John
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3791-38212012-12-25RePEc:eee:dyncon
article
Public support to innovation and imitation in a non-scale growth model
12
2007
31
12
3791
3821
http://www.sciencedirect.com/science/article/B6V85-4NB2SCW-1/2/d4084283d8e0e2708d39d4691fc4f161
Perez-Sebastian, Fidel
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:329-3412012-12-25RePEc:eee:dyncon
article
The existence and properties of a stationary distribution for unemployment when job search is sequential
1
1981
3
11
329
341
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-T/2/891034aea279aebcb6b83a76f419545a
Feigin, Paul
Landsberger, Michael
oai:RePEc:eee:dyncon:v:19:y:1995:i:1-2:p:279-3022012-12-25RePEc:eee:dyncon
article
Stochastic saddlepoint systems Stabilization policy and the stock market
1-2
1995
19
279
302
http://www.sciencedirect.com/science/article/B6V85-3YB56MM-22/2/de228bff2922c5619a58d37c3e182ff4
Miller, Marcus
Weller, Paul
oai:RePEc:eee:dyncon:v:32:y:2008:i:9:p:3032-30532012-12-25RePEc:eee:dyncon
article
The optimal economic lifetime of vintage capital in the presence of operating costs, technological progress, and learning
9
2008
32
9
3032
3053
http://www.sciencedirect.com/science/article/B6V85-4RKMHVW-1/2/4b1d0a50b6dd6c693a205049fa6f8104
Goetz, Renan-Ulrich
Hritonenko, Natali
Yatsenko, Yuri
oai:RePEc:eee:dyncon:v:22:y:1998:i:3:p:437-4632012-12-25RePEc:eee:dyncon
article
A model of sequential investment
3
1998
22
3
437
463
http://www.sciencedirect.com/science/article/B6V85-3SX82KJ-6/2/ce280f2479bbcf1ca1fddde1eee81a4d
Bar-Ilan, Avner
Strange, William C.
oai:RePEc:eee:dyncon:v:28:y:2004:i:4:p:801-8152012-12-25RePEc:eee:dyncon
article
How many cake-eaters? Chouette, on a du monde a diner !
4
2004
28
1
801
815
http://www.sciencedirect.com/science/article/B6V85-48BC1PP-1/2/c73a06b247cf50c82ececef047e94a8d
Favard, Pascal
Karp, Larry
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1007-10252012-12-25RePEc:eee:dyncon
article
Measuring business cycles with business-cycle models
6-7
1996
20
1007
1025
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-3/2/328552b3dce1b73824793c4bc3d5d70b
Gregory, Allan W.
Smith, Gregor W.
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:489-5022012-12-25RePEc:eee:dyncon
article
The convergence of multivariate unit root distributions to their asymptotic limits : The case of money-income causality
2-3
1988
12
489
502
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-T/2/5b49940eebf4c332bbabaa408c8eccf5
Ljungqvist, Lars
Park, Myungsoo
Stock, James H.
Watson, Mark W.
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:515-5302012-12-25RePEc:eee:dyncon
article
Computing second-order-accurate solutions for rational expectation models using linear solution methods
2
2007
31
2
515
530
http://www.sciencedirect.com/science/article/B6V85-4JFGF55-3/2/c342f0ce59a828bcb48e90ae36208b01
Lombardo, Giovanni
Sutherland, Alan
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2823-28572012-12-25RePEc:eee:dyncon
article
Can money matter for interest rate policy?
12
2006
30
12
2823
2857
http://www.sciencedirect.com/science/article/B6V85-4HRMTTY-1/2/528bf8ceef53c320562127b341f9ae45
Bruckner, Matthias
Schabert, Andreas
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1176-11922012-12-25RePEc:eee:dyncon
article
Animal spirits in the foreign exchange market
It is traditionally assumed in finance models that the fundamental value of an asset is known with certainty. In this paper we depart from that assumption. We propose a simple model of the exchange rate in which agents have biased and unbiased beliefs about the fundamental rate. We show that such a model produces waves of optimism and pessimism unrelated to the underlying fundamental value. In addition, the model shows that in a world characterized by the existence of heterogeneous beliefs about the fundamental, exchange rate movements can be remarkably complex even if only fundamentalist traders operate in the market.
Foreign exchange market; Behavioral finance; Uncertainty about fundamentals;
8
2012
36
1176
1192
F31
C62
http://www.sciencedirect.com/science/article/pii/S0165188912000796
De Grauwe, Paul
Rovira Kaltwasser, Pablo
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:479-5192012-12-25RePEc:eee:dyncon
article
Do open market operations matter? Theory and evidence from the Second Bank of the United States
1-3
1996
20
479
519
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-13/2/5925a7be806a7adcbc1add9b007ccbd0
Highfield, Richard A.
O'Hara, Maureen
Smith, Bruce
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3545-35672012-12-25RePEc:eee:dyncon
article
Optimal social security in a dynastic model with investment externalities and endogenous fertility
11
2007
31
11
3545
3567
http://www.sciencedirect.com/science/article/B6V85-4MY6MYR-1/2/97bd4b0fdcf15ea86d0f54122b20ae5c
Zhang, Jie
Zhang, Junsen
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1106-11312012-12-25RePEc:eee:dyncon
article
Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
4
2007
31
4
1106
1131
http://www.sciencedirect.com/science/article/B6V85-4KBX4DJ-1/2/acca1d725eb90a5565d00e3def049adf
Sennewald, Ken
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1225-12422012-12-25RePEc:eee:dyncon
article
Government spending, endogenous labor, and capital accumulation
8
1999
23
8
1225
1242
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-8/2/dd1041b40ef505a57046c29dd93835ff
Chang, Wen-ya
oai:RePEc:eee:dyncon:v:21:y:1997:i:6:p:981-10032012-12-25RePEc:eee:dyncon
article
Do CAPM results hold in a dynamic economy? A numerical analysis
6
1997
21
6
981
1003
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-K/2/6ed0ca5065fb186e7f32e677b228fd31
Akdeniz, Levent
Dechert, W. Davis
oai:RePEc:eee:dyncon:v:19:y:1995:i:1-2:p:3-372012-12-25RePEc:eee:dyncon
article
Massively parallel computation of spatial price equilibrium problems as dynamical systems
1-2
1995
19
3
37
http://www.sciencedirect.com/science/article/B6V85-3YB56MM-1N/2/c2776118cd977eed40099344f17fa4ac
Nagurney, Anna
Takayama, Takashi
Zhang, Ding
oai:RePEc:eee:dyncon:v:4:y:1982:i:1:p:295-3012012-12-25RePEc:eee:dyncon
article
Dilemmas with infinitesimal magnitudes : The case of resource depletion problem
1
1982
4
11
295
301
http://www.sciencedirect.com/science/article/B6V85-4D9X3DB-1S/2/920013917a9ace33a953540c73551175
Kasanen, Eero
oai:RePEc:eee:dyncon:v:22:y:1998:i:7:p:977-10002012-12-25RePEc:eee:dyncon
article
A general framework for predicting returns from multiple currency investments
7
1998
22
5
977
1000
http://www.sciencedirect.com/science/article/B6V85-3V5MB4X-1/2/d401821f1aae4cc9df10dfa1fe17794b
Christou, Costas
Swamy, P. A. V. B.
Tavlas, George S.
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:889-9092012-12-25RePEc:eee:dyncon
article
Robust portfolio selection using linear-matrix inequalities
6
2002
26
6
889
909
http://www.sciencedirect.com/science/article/B6V85-44KV265-1/2/3afc8fef3ccbf8d3baaf8dc22adbdb2b
Costa, O. L. V.
Paiva, A. C.
oai:RePEc:eee:dyncon:v:27:y:2002:i:1:p:51-622012-12-25RePEc:eee:dyncon
article
A differential game approach to investment in product differentiation
1
2002
27
11
51
62
http://www.sciencedirect.com/science/article/B6V85-46H21HP-4/2/c0f1a77b516eca870c8a6c87113b5a03
Cellini, Roberto
Lambertini, Luca
oai:RePEc:eee:dyncon:v:18:y:1994:i:6:p:1069-10922012-12-25RePEc:eee:dyncon
article
Parametric continuity in dynamic programming problems
6
1994
18
11
1069
1092
http://www.sciencedirect.com/science/article/B6V85-45MFRVH-2/2/0b2e3147e41dec5eacebb03f23906c74
Dutta, Prajit K.
Majumdar, Mukul K.
Sundaram, Rangarajan K.
oai:RePEc:eee:dyncon:v:27:y:2002:i:2:p:283-3012012-12-25RePEc:eee:dyncon
article
On infinite-horizon minimum-cost hedging under cone constraints
2
2002
27
12
283
301
http://www.sciencedirect.com/science/article/B6V85-46SVXBT-6/2/30fe25a0feb58f3c572e90cb428f8079
Huang, Kevin X. D.
oai:RePEc:eee:dyncon:v:17:y:1993:i:5-6:p:705-7212012-12-25RePEc:eee:dyncon
article
On the preservation of deterministic cycles when some agents perceive them to be random fluctuations
5-6
1993
17
705
721
http://www.sciencedirect.com/science/article/B6V85-45JK57J-1R/2/796f96ec61b424a903dfe1b4c44f79bc
Evans, George W.
Honkapohja, Seppo
Sargent, Thomas J.
oai:RePEc:eee:dyncon:v:29:y:2005:i:8:p:1449-14692012-12-25RePEc:eee:dyncon
article
International relocation, the real exchange rate and welfare
8
2005
29
8
1449
1469
http://www.sciencedirect.com/science/article/B6V85-4DR1SGX-1/2/9d5e1240d782262120cb7a8930b0893f
Johdo, Wataru
Hashimoto, Ken-ichi
oai:RePEc:eee:dyncon:v:29:y:2005:i:10:p:1737-17642012-12-25RePEc:eee:dyncon
article
Dynamic asset pricing theory with uncertain time-horizon
10
2005
29
10
1737
1764
http://www.sciencedirect.com/science/article/B6V85-4F924JC-1/2/f8accb11c343243e1be60c6c8fb5b36e
Blanchet-Scalliet, Christophette
El Karoui, Nicole
Martellini, Lionel
oai:RePEc:eee:dyncon:v:32:y:2008:i:10:p:3376-33952012-12-25RePEc:eee:dyncon
article
Econometric analysis of structural systems with permanent and transitory shocks
10
2008
32
10
3376
3395
http://www.sciencedirect.com/science/article/B6V85-4RX06XX-1/2/49500eb0bffefb5d577cd636e6d279dc
Pagan, A.R.
Pesaran, M. Hashem
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:89-912012-12-25RePEc:eee:dyncon
article
Optimal timing of capacity expansion
1-2
1986
10
6
89
91
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-J/2/2796d80a454fccd91a5be755867ace57
Carvalhais, Z.
Davis, M. H. A.
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1248-12662012-12-25RePEc:eee:dyncon
article
The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab
As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.
Financial transaction tax; Stylized facts; Fat tails; Volatility clustering; Experiment;
8
2012
36
1248
1266
C91
E62
F31
http://www.sciencedirect.com/science/article/pii/S0165188912000838
Huber, Jürgen
Kleinlercher, Daniel
Kirchler, Michael
oai:RePEc:eee:dyncon:v:2:y:1980:i:1:p:79-912012-12-25RePEc:eee:dyncon
article
Dynamic optimal taxation, rational expectations and optimal control
1
1980
2
5
79
91
http://www.sciencedirect.com/science/article/B6V85-4D9X3KF-37/2/f16468c5c32d9d28ce71dad45bcfff6c
Kydland, Finn E.
Prescott, Edward C.
oai:RePEc:eee:dyncon:v:20:y:1996:i:5:p:925-9442012-12-25RePEc:eee:dyncon
article
Endogenous growth and collective bargaining
5
1996
20
5
925
944
http://www.sciencedirect.com/science/article/B6V85-3VVVR8J-B/2/5c91ef47069b55ff12668492bbe49a6c
Palokangas, Tapio
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:97-1182012-12-25RePEc:eee:dyncon
article
Choice of projects and their starting dates An extension of Pontryagin's maximum principle to a case which allows choice among different possible evolution equations
1
1981
3
11
97
118
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-6/2/631f230e113976d39a5c4d3f5c8cd9ef
Michel, Philippe
oai:RePEc:eee:dyncon:v:17:y:1993:i:4:p:659-6782012-12-25RePEc:eee:dyncon
article
A cooperative incentive equilibrium for a resource management problem
4
1993
17
7
659
678
http://www.sciencedirect.com/science/article/B6V85-45MFRY0-1S/2/3e4da823b6a0a156350684df4ec2f937
Ehtamo, Harri
Hamalainen, Raimo P.
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3941-39642012-12-25RePEc:eee:dyncon
article
Factor taxation and labor supply in a dynamic one-sector growth model
12
2007
31
12
3941
3964
http://www.sciencedirect.com/science/article/B6V85-4PKX5M3-1/2/299acff27228f766d347d1f647cf213b
Chen, Been-Lon
oai:RePEc:eee:dyncon:v:2:y:1980:i:1:p:377-3932012-12-25RePEc:eee:dyncon
article
Stochastic macroeconomic control with non-identical control intervals
1
1980
2
5
377
393
http://www.sciencedirect.com/science/article/B6V85-4D9X3KF-3W/2/2f55c904017b07f0264e565a44aff24f
Stanhouse, Bryan E.
Fackler, James S.
oai:RePEc:eee:dyncon:v:31:y:2007:i:3:p:1015-10362012-12-25RePEc:eee:dyncon
article
Fiscal policy rules in an overlapping generations model with endogenous labour supply
3
2007
31
3
1015
1036
http://www.sciencedirect.com/science/article/B6V85-4K07FJ5-2/2/e1a9166b59e44509b946b418a4057ecf
Ganelli, Giovanni
oai:RePEc:eee:dyncon:v:14:y:1990:i:2:p:237-2532012-12-25RePEc:eee:dyncon
article
The design of decentralized auction mechanisms that coordinate continuous trade in synthetic securities
2
1990
14
5
237
253
http://www.sciencedirect.com/science/article/B6V85-45KNJWV-4/2/d99a53f4bef792391a5ec8fda31ea278
Miller, Ross M.
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:237-2562012-12-25RePEc:eee:dyncon
article
Fiscal spending shocks, endogenous government spending, and real business cycles
1-3
1996
20
237
256
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-P/2/63d4bc91831793423c25715e108883c4
Ambler, Steve
Paquet, Alain
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:399-4312012-12-25RePEc:eee:dyncon
article
Optimal monetary policy in a micro-founded model with parameter uncertainty
2
2007
31
2
399
431
http://www.sciencedirect.com/science/article/B6V85-4JFHDVC-1/2/65789d60e4199a690979042aa911b37f
Kimura, Takeshi
Kurozumi, Takushi
oai:RePEc:eee:dyncon:v:28:y:2003:i:1:p:79-992012-12-25RePEc:eee:dyncon
article
Transfers to sustain dynamic core-theoretic cooperation in international stock pollutant control
1
2003
28
10
79
99
http://www.sciencedirect.com/science/article/B6V85-47287N6-6/2/0f498bbb8c4a978d9ace2397e89a3bbf
Germain, Marc
Toint, Philippe
Tulkens, Henry
de Zeeuw, Aart
oai:RePEc:eee:dyncon:v:1:y:1979:i:1:p:3-372012-12-25RePEc:eee:dyncon
article
Perturbation and robustness analysis of a closed macroeconomic model
1
1979
1
2
3
37
http://www.sciencedirect.com/science/article/B6V85-4DVNG1X-2/2/04a25a80bf156c6620c2705a2471d7f6
Aoki, Masanao
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:157-1612012-12-25RePEc:eee:dyncon
article
Distributed lag analysis The Pade z-transform method
1-2
1986
10
6
157
161
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-X/2/fa6fd0dc2dcaed7ef12c15d138bf06df
Claverie, Pierre
Szpiro, Daniel
Topol, Richard
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:97-1162012-12-25RePEc:eee:dyncon
article
Credibility and the value of information transmission in a model of monetary policy and inflation
1
1990
14
2
97
116
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-Y/2/26eb5e5c710e23ca7c9bac98ac5a0dc4
Basar, Tamer
Salmon, Mark
oai:RePEc:eee:dyncon:v:32:y:2008:i:5:p:1381-13982012-12-25RePEc:eee:dyncon
article
Imperfect competition, general equilibrium and unemployment
We analyze whether different learning abilities of firms with respect to general equilibrium effects lead to different levels of unemployment. We consider a general equilibrium model, where firms in one sector compete a la Cournot and a real wage rigidity leads to unemployment. If firms consider only partial equilibrium effects when choosing quantities, the observation of general equilibrium feedback effects will lead to repeated quantity adjustments until a steady state is reached. When labor is mobile across industries, unemployment in the steady state is higher than when all general equilibrium effects are incorporated at once. The opposite result is true if labor is immobile.
5
2008
32
5
1381
1398
http://www.sciencedirect.com/science/article/B6V85-4NYD8JW-2/1/83f4861a14da98597b75b0efeba3541d
Gersbach, Hans
Schniewind, Achim
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:533-5492012-12-25RePEc:eee:dyncon
article
Functional equivalence between intertemporal and multisectoral investment adjustment costs
4
2003
27
2
533
549
http://www.sciencedirect.com/science/article/B6V85-4724Y30-2/2/d725c653295d9edf0ff275afe16fcfda
Kim, Jinill
oai:RePEc:eee:dyncon:v:23:y:1999:i:5-6:p:699-7262012-12-25RePEc:eee:dyncon
article
Education, economic growth, and brain drain
5-6
1999
23
4
699
726
http://www.sciencedirect.com/science/article/B6V85-3WF82KY-3/2/4be0a05199d274244b17996c6e658903
Wong, Kar-yiu
Yip, Chong Kee
oai:RePEc:eee:dyncon:v:22:y:1998:i:8-9:p:1275-12892012-12-25RePEc:eee:dyncon
article
Krylov methods for solving models with forward-looking variables
8-9
1998
22
8
1275
1289
http://www.sciencedirect.com/science/article/B6V85-3TMR2BM-6/2/06de60a6b76b8523617b6c908c133664
Gilli, Manfred
Pauletto, Giorgio
oai:RePEc:eee:dyncon:v:26:y:2002:i:2:p:217-2452012-12-25RePEc:eee:dyncon
article
When do borrowing constraints bind? Some new results on the income fluctuation problem
2
2002
26
2
217
245
http://www.sciencedirect.com/science/article/B6V85-43Y9W8B-4/2/9f65e25d2797097361cb82cea5cb4a73
Rabault, Guillaume
oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1721-17462012-12-25RePEc:eee:dyncon
article
Approximating payoffs and pricing formulas
11-12
2000
24
10
1721
1746
http://www.sciencedirect.com/science/article/B6V85-412RWNR-9/2/6477d5a245661833acf9b9abc39acfd1
Darolles, Serge
Laurent, Jean-Paul
oai:RePEc:eee:dyncon:v:32:y:2008:i:7:p:2118-21362012-12-25RePEc:eee:dyncon
article
Production management, output volatility, and good luck
This paper models the scale of the technology shocks as a decision variable whose value is determined by the production manager. It is shown that smaller shocks enhance profit in several ways and thus the firm has an incentive to adopt more reliable production technologies. The adoption of these technologies may account for the "good luck" hypothesis in which the stabilization of Gross Domestic Product (GDP) since 1984 is attributed to smaller shocks. It differs from this hypothesis in two respects. First, the reduced volatility should be permanent. Second, the stabilization does not require smaller intrinsic shocks to the economy.
7
2008
32
7
2118
2136
http://www.sciencedirect.com/science/article/B6V85-4PPW6XG-1/1/d8c8a4728524d4d3b4f33e14009f1558
Bivin, David G.
oai:RePEc:eee:dyncon:v:16:y:1992:i:3-4:p:509-5322012-12-25RePEc:eee:dyncon
article
The equity premium and the allocation of income risk
3-4
1992
16
509
532
http://www.sciencedirect.com/science/article/B6V85-45R2GY4-M/2/b6f5daf9ae49a93c78cad9bc1fc88dfb
Danthine, Jean-Pierre
Donaldson, John B.
Mehra, Rajnish
oai:RePEc:eee:dyncon:v:33:y:2009:i:4:p:832-8422012-12-25RePEc:eee:dyncon
article
Note on Goodwin's 1951 nonlinear accelerator model with an investment delay
This paper reexamines Goodwin's business cycle model with nonlinear acceleration principle that gives rise to cyclic oscillations when its stationary state is locally unstable. Fixed time delay in the investment is replaced by continuously distributed time delay. It is first demonstrated that the latter has stronger stabilizing effect than the former and, second, that multiple limit cycles may coexist when the stationary state is locally stable.
Fixed time delay Continuously distributed time delay S-shaped investment function Coexistence of multiple limit cycles
4
2009
33
4
832
842
http://www.sciencedirect.com/science/article/B6V85-4V0TCY7-1/2/c3f0c81a149e87def21fc29ea779c663
Matsumoto, Akio
oai:RePEc:eee:dyncon:v:15:y:1991:i:4:p:657-6732012-12-25RePEc:eee:dyncon
article
A simplified treatment of the theory of optimal regulation of Brownian motion
4
1991
15
10
657
673
http://www.sciencedirect.com/science/article/B6V85-45R2GXH-3/2/b77cd263ecf27c2298ab15941f996071
Dixit, Avinash
oai:RePEc:eee:dyncon:v:33:y:2009:i:3:p:554-5672012-12-25RePEc:eee:dyncon
article
Demographic structure and capital accumulation: A quantitative assessment
In a recent paper, d'Albis [2007. Demographic structure and capital accumulation. Journal of Economic Theory 132, 411-434] shows that the effect of population growth on capital accumulation is ambiguous in overlapping-generations models with age-specific mortality rates, contrasting to the predicted negative effect in Diamond [1965. National debt in a neoclassical growth model. American Economic Review 55, 1126-1150] and Blanchard [1985. Debt, deficits, and finite horizons. Journal of Political Economy 93, 223-247]. The quantitative exercises of this paper indicate that while in principle a positive relation between population growth and capital accumulation is possible, this relation is practically always negative for industrial countries. Intuition based on capital dilution and aggregate saving effects is provided. This paper also complements d'Albis [2007. Demographic structure and capital accumulation. Journal of Economic Theory 132, 411-434] in characterizing the steady-state equilibrium in more familiar economic concepts.
Age-specific mortality rates Overlapping generations Population growth Capital accumulation
3
2009
33
3
554
567
http://www.sciencedirect.com/science/article/B6V85-4TB777J-2/2/979a2d957745836e4f7a8962fbb3edbc
Lau, Sau-Him Paul
oai:RePEc:eee:dyncon:v:21:y:1997:i:10:p:1777-17802012-12-25RePEc:eee:dyncon
article
Hierarchical Decision Making in Stochastic Manufacturing Systems : S.P. Sethi and Qing Zhang, (Birkhauser, Boston, Cambridge, MA) ISBN 0-8176-3735-4
10
1997
21
8
1777
1780
http://www.sciencedirect.com/science/article/B6V85-3SX0PR1-B/2/c7c3b03d06dc0832198e243590a6ec3d
Boukas, El-Kebir
oai:RePEc:eee:dyncon:v:33:y:2009:i:3:p:710-7242012-12-25RePEc:eee:dyncon
article
Spectral decomposition of optimal asset-liability management
This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu [2003. Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends. North American Actuarial Journal 7(3), 37-51]. In a first part, we apply singular stochastic control techniques to derive a free boundary equation for the optimal value creation as a growth of liabilities or as dividend payment to shareholders. We provide analytical solutions to the Hamilton-Jacobi-Bellman (HJB) optimality equation in a rather general context. In a second part, we study the convergence of the cash flows to the optimal value creation using spectral methods. For particular cases, we also provide a series expansion for the probabilities of bankruptcy in finite time.
Asset-liability management HJB principle Local time Spectral theory Free boundary problem
3
2009
33
3
710
724
http://www.sciencedirect.com/science/article/B6V85-4TN82D1-3/2/c5714a28b3cba0db26825d2739465f9c
Decamps, Marc
De Schepper, Ann
Goovaerts, Marc
oai:RePEc:eee:dyncon:v:29:y:2005:i:9:p:1495-15152012-12-25RePEc:eee:dyncon
article
Options with combined reset rights on strike and maturity
9
2005
29
9
1495
1515
http://www.sciencedirect.com/science/article/B6V85-4DVBVTJ-1/2/776bc50f793b9495990fd7d559d96c5d
Dai, Min
Kwok, Yue Kuen
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1160-11842012-12-25RePEc:eee:dyncon
article
Bootstrap-based bias correction for dynamic panels
4
2007
31
4
1160
1184
http://www.sciencedirect.com/science/article/B6V85-4K8S5J0-1/2/2ebfa8882240ae0fc1f2a98efee93b3d
Everaert, Gerdie
Pozzi, Lorenzo
oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1563-15902012-12-25RePEc:eee:dyncon
article
PDE methods for pricing barrier options
11-12
2000
24
10
1563
1590
http://www.sciencedirect.com/science/article/B6V85-412RWNR-4/2/4eccddca471fb10cd6ac7b187a9323fc
Zvan, R.
Vetzal, K. R.
Forsyth, P. A.
oai:RePEc:eee:dyncon:v:11:y:1987:i:2:p:249-2542012-12-25RePEc:eee:dyncon
article
Time-domain robustness criteria for large-scale economic systems
2
1987
11
6
249
254
http://www.sciencedirect.com/science/article/B6V85-45JK54D-J/2/3712bbd2e9e9bd973b8977e95b83af41
Petkovski, Djordjija B.
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3889-39032012-12-25RePEc:eee:dyncon
article
A non-parametric test for independence based on symbolic dynamics
12
2007
31
12
3889
3903
http://www.sciencedirect.com/science/article/B6V85-4NBR8H2-1/2/ff286a40f340919b27d9fde7d051ca10
Matilla-Garcia, Mariano
oai:RePEc:eee:dyncon:v:16:y:1992:i:2:p:207-2232012-12-25RePEc:eee:dyncon
article
Irreversibility and the behavior of aggregate stochastic growth models
2
1992
16
4
207
223
http://www.sciencedirect.com/science/article/B6V85-45NHVY2-2/2/e43d317a15eff306d48d332393483440
Dow, James Jr.
Olson, Lars J.
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1101-11202012-12-25RePEc:eee:dyncon
article
Individual expectations, limited rationality and aggregate outcomes
Recent studies suggest that the type of strategic environment or expectation feedback can have a large impact on whether the market can learn the rational fundamental price. We present an experiment where the fundamental price experiences large unexpected shocks. Markets with negative expectation feedback (strategic substitutes) quickly converge to the new fundamental, while markets with positive expectation feedback (strategic complements) do not converge, but show underreaction in the short run and overreaction in the long run. A simple evolutionary selection model of individual learning explains these differences in aggregate outcomes.
Expectation feedback; Under and overreaction; Strategic substitutes and strategic complements; Heuristic switching model; Experimental economics;
8
2012
36
1101
1120
C92
G14
D84
D83
E37
http://www.sciencedirect.com/science/article/pii/S0165188912000772
Bao, Te
Hommes, Cars
Sonnemans, Joep
Tuinstra, Jan
oai:RePEc:eee:dyncon:v:28:y:2004:i:8:p:1681-17012012-12-25RePEc:eee:dyncon
article
Altruism, intergenerational transfers of time and bequests
8
2004
28
6
1681
1701
http://www.sciencedirect.com/science/article/B6V85-48WJSH4-1/2/0bd6bbcd5a1fe4935e976254a8914ea3
Cardia, Emanuela
Michel, Philippe
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2725-27482012-12-25RePEc:eee:dyncon
article
Are hyperinflation paths learnable?
12
2006
30
12
2725
2748
http://www.sciencedirect.com/science/article/B6V85-4HNYMBD-1/2/c5c307a8ad5bd5da8e42a46618161673
Adam, Klaus
Evans, George W.
Honkapohja, Seppo
oai:RePEc:eee:dyncon:v:22:y:1998:i:8-9:p:1235-12742012-12-25RePEc:eee:dyncon
article
Heterogeneous beliefs and routes to chaos in a simple asset pricing model
8-9
1998
22
8
1235
1274
http://www.sciencedirect.com/science/article/B6V85-3TMR2BM-5/2/20b09e1d825dc39cd5776911bf0fd700
Brock, William A.
Hommes, Cars H.
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1392-14152012-12-25RePEc:eee:dyncon
article
Short-term planning and the life-cycle consumption puzzle
4
2007
31
4
1392
1415
http://www.sciencedirect.com/science/article/B6V85-4KDBKXD-2/2/3b8ffc77ec85e80422db59424a499839
Caliendo, Frank
Aadland, David
oai:RePEc:eee:dyncon:v:19:y:1995:i:3:p:655-6612012-12-25RePEc:eee:dyncon
article
No-trade and uniqueness of steady states
3
1995
19
4
655
661
http://www.sciencedirect.com/science/article/B6V85-3YB56M4-1M/2/9d1ac1322ae55eed99faa7c429ef9dfd
Ghiglino, Christian
Tvede, Mich
oai:RePEc:eee:dyncon:v:17:y:1993:i:4:p:589-6202012-12-25RePEc:eee:dyncon
article
International transmission of monetary and fiscal policy : A symmetric N-country analysis with union
4
1993
17
7
589
620
http://www.sciencedirect.com/science/article/B6V85-45MFRY0-1N/2/dd885b55537af4246955e8b654ebec47
Fukuda, Shin-ichi
oai:RePEc:eee:dyncon:v:11:y:1987:i:3:p:461-4632012-12-25RePEc:eee:dyncon
article
A response to professor Marcotte
3
1987
11
9
461
463
http://www.sciencedirect.com/science/article/B6V85-4GP1TWK-D/2/167a7603cd745ceb127c8c81f2053c63
Khilnani, Arvind
T.S.E., Edison T.S.
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:651-6652012-12-25RePEc:eee:dyncon
article
Forward trading and storage in a Cournot duopoly
4
2003
27
2
651
665
http://www.sciencedirect.com/science/article/B6V85-44CNPCP-1/2/1dc94e0b721482c3ce4d406ed44b75f4
Thille, Henry
oai:RePEc:eee:dyncon:v:27:y:2003:i:5:p:875-9052012-12-25RePEc:eee:dyncon
article
Dynamic production teams with strategic behavior
5
2003
27
3
875
905
http://www.sciencedirect.com/science/article/B6V85-452WD22-1/2/e6ed1c62449f27713f73aac965d28b53
Breton, Michele
St-Amour, Pascal
Vencatachellum, Desire
oai:RePEc:eee:dyncon:v:13:y:1989:i:3:p:421-4482012-12-25RePEc:eee:dyncon
article
Exploration information and AEC regulation of the domestic uranium industry
3
1989
13
7
421
448
http://www.sciencedirect.com/science/article/B6V85-46X3RNB-5/2/b7c612596ea577f43b1d32a6dafdfe8b
Mason, Charles F.
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3644-36702012-12-25RePEc:eee:dyncon
article
The protection of intellectual property rights and endogenous growth: Is stronger always better?
11
2007
31
11
3644
3670
http://www.sciencedirect.com/science/article/B6V85-4N516T2-1/2/38e96713683353d0bb70826f9375c19c
Furukawa, Yuichi
oai:RePEc:eee:dyncon:v:18:y:1994:i:2:p:411-4322012-12-25RePEc:eee:dyncon
article
Employment and hours over the business cycle
2
1994
18
3
411
432
http://www.sciencedirect.com/science/article/B6V85-45CX0JG-7/2/fcdd30d1b158d5d058b70ad40d2239bc
Cho, Jang-Ok
Cooley, Thomas F.
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1275-12992012-12-25RePEc:eee:dyncon
article
Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
7-8
2002
26
7
1275
1299
http://www.sciencedirect.com/science/article/B6V85-459HNNF-B/2/7f612989e1e0327d6762bfb313f8c1f1
Hodrick, Robert
Vassalou, Maria
oai:RePEc:eee:dyncon:v:31:y:2007:i:6:p:1938-19702012-12-25RePEc:eee:dyncon
article
Behavioral heterogeneity in stock prices
6
2007
31
6
1938
1970
http://www.sciencedirect.com/science/article/B6V85-4N44043-1/2/481138d80c80a321fd966a52b6413b06
Boswijk, H. Peter
Hommes, Cars H.
Manzan, Sebastiano
oai:RePEc:eee:dyncon:v:27:y:2003:i:10:p:1743-17702012-12-25RePEc:eee:dyncon
article
Stochastic equilibrium: learning by exponential smoothing
10
2003
27
8
1743
1770
http://www.sciencedirect.com/science/article/B6V85-461XK5K-1/2/edd6c2ad27d24102551ed6fbbfe3a41a
Potzelberger, Klaus
Sogner, Leopold
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1088-11002012-12-25RePEc:eee:dyncon
article
Rollover risk, network structure and systemic financial crises
The breakdown of short-term funding markets was a key feature of the global financial crisis of 2007/2008. Drawing on ideas from global games and network growth, we show how network topology interacts with the funding structure of financial institutions to determine system-wide crises. Bad news about a financial institution can lead others to lose confidence in it and their withdrawals, in turn, trigger problems across the interbank network. Once broken, credit relations take a long time to re-establish as a result of common knowledge of the equilibrium. Our findings shed light on public policy responses during and after the crisis.
Interbank networks; Credit crisis; Liquidity freeze;
8
2012
36
1088
1100
C72
G01
G21
http://www.sciencedirect.com/science/article/pii/S0165188912000760
Anand, Kartik
Gai, Prasanna
Marsili, Matteo
oai:RePEc:eee:dyncon:v:30:y:2006:i:1:p:55-792012-12-25RePEc:eee:dyncon
article
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
1
2006
30
1
55
79
http://www.sciencedirect.com/science/article/B6V85-4FFX9CT-1/2/32e533bf5b7e511875b5e3d7eec97018
Baccara, Mariagiovanna
Battauz, Anna
Ortu, Fulvio
oai:RePEc:eee:dyncon:v:27:y:2002:i:2:p:303-3272012-12-25RePEc:eee:dyncon
article
Testing for hysteresis against nonlinear alternatives
2
2002
27
12
303
327
http://www.sciencedirect.com/science/article/B6V85-46SVXBT-7/2/35364bcd12288bac4b0e850fdbd99d73
Hughes Hallett, A. J.
Piscitelli, Laura
oai:RePEc:eee:dyncon:v:1:y:1979:i:3:p:283-3002012-12-25RePEc:eee:dyncon
article
A newton-type method for the optimization and control of non-linear econometric models
3
1979
1
283
300
http://www.sciencedirect.com/science/article/B6V85-4DJ3F4H-4/2/a940a5aaa8f4188ca1af18fba6361d6e
Rustem, B.
Zarrop, M.B.
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3568-35902012-12-25RePEc:eee:dyncon
article
Simple market protocols for efficient risk sharing
11
2007
31
11
3568
3590
http://www.sciencedirect.com/science/article/B6V85-4N2M68R-2/2/eb26de7683e08fe369cb2cf80556ce67
LiCalzi, Marco
Pellizzari, Paolo
oai:RePEc:eee:dyncon:v:19:y:1995:i:3:p:621-6532012-12-25RePEc:eee:dyncon
article
Endowments, stability, and fluctuations in OG models
3
1995
19
4
621
653
http://www.sciencedirect.com/science/article/B6V85-3YB56M4-1K/2/b9b940ae4b1807759003072e0880b534
Ghiglino, Christian
Tvede, Mich
oai:RePEc:eee:dyncon:v:22:y:1998:i:3:p:369-3992012-12-25RePEc:eee:dyncon
article
A Hicksian two-sector model of unemployment, cycles, and growth
3
1998
22
3
369
399
http://www.sciencedirect.com/science/article/B6V85-3SX82KJ-4/2/a7eb99c6fb3257db4f6c9fcc257a15c2
Hori, Hajime
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3986-40152012-12-25RePEc:eee:dyncon
article
Balance sheets, exchange rate policy, and welfare
12
2007
31
12
3986
4015
http://www.sciencedirect.com/science/article/B6V85-4N9MYFR-3/2/bf3e4a4bcfb586897a1439ef807d0b0b
Elekdag, Selim
Tchakarov, Ivan
oai:RePEc:eee:dyncon:v:32:y:2008:i:4:p:1204-12112012-12-25RePEc:eee:dyncon
article
Global stability of unique Nash equilibrium in Cournot oligopoly and rent-seeking game
A sufficient condition is derived for the global stability of a unique interior Nash equilibrium in an aggregative game. The condition is applied to investigate the global stability of the Nash-Cournot equilibrium in Cournot oligopoly without product differentiation and that of the Nash equilibrium in rent-seeking games.
4
2008
32
4
1204
1211
http://www.sciencedirect.com/science/article/B6V85-4NTRT06-2/1/00cc73cbe922c197409d524ed3e7e0c8
Okuguchi, Koji
Yamazaki, Takeshi
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1626-16582012-12-25RePEc:eee:dyncon
article
Numerical computation of the optimal vector field: Exemplified by a fishery model
Numerous optimal control models analyzed in economics are formulated as discounted infinite time horizon problems, where the defining functions are nonlinear as well in the states as in the controls. As a consequence solutions can often only be found numerically. Moreover, the long run optimal solutions are mostly limit sets like equilibria or limit cycles. Using these specific solutions a BVP approach together with a continuation technique is used to calculate the parameter dependent dynamic structure of the optimal vector field. We use a one dimensional optimal control model of a fishery to exemplify the numerical techniques. But these methods are applicable to a much wider class of optimal control problems with a moderate number of state and control variables.
Optimal vector field; BVP; Continuation; Multiple optimal solutions; Threshold point;
10
2012
36
1626
1658
C02
C61
C63
http://www.sciencedirect.com/science/article/pii/S0165188912000966
Grass, D.
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:1009-10272012-12-25RePEc:eee:dyncon
article
Monopoly with endogenous durability
6
2002
26
6
1009
1027
http://www.sciencedirect.com/science/article/B6V85-44KV265-7/2/e6b3281f1624bf8f3e1293978296632f
Fethke, Gary
Jagannathan, Raj
oai:RePEc:eee:dyncon:v:26:y:2002:i:2:p:271-3022012-12-25RePEc:eee:dyncon
article
Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator
2
2002
26
2
271
302
http://www.sciencedirect.com/science/article/B6V85-43Y9W8B-6/2/4a65c3ca2be864b742511b545914a098
Kwark, Noh-Sun
oai:RePEc:eee:dyncon:v:30:y:2006:i:4:p:623-6542012-12-25RePEc:eee:dyncon
article
Testing for sign and amplitude asymmetries using threshold autoregressions
4
2006
30
4
623
654
http://www.sciencedirect.com/science/article/B6V85-4GFNFVT-1/2/f6e1d3814f6289de8d37df3c3b83e55d
Coakley, Jerry
Fuertes, Ana-Maria
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1121-11412012-12-25RePEc:eee:dyncon
article
Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk
The recent financial crisis poses the challenge to understand how systemic risk arises endogenously and what architecture can make the financial system more resilient to global crises. This paper shows that a financial network can be most resilient for intermediate levels of risk diversification, and not when this is maximal, as generally thought so far. This finding holds in the presence of the financial accelerator, i.e. when negative variations in the financial robustness of an agent tend to persist in time because they have adverse effects on the agent's subsequent performance through the reaction of the agent's counterparties.
Systemic risk; Network models; Contagion; Financial acceleration; Financial crisis;
8
2012
36
1121
1141
D85
G01
G21
http://www.sciencedirect.com/science/article/pii/S0165188912000899
Battiston, Stefano
Delli Gatti, Domenico
Gallegati, Mauro
Greenwald, Bruce
Stiglitz, Joseph E.
oai:RePEc:eee:dyncon:v:25:y:2001:i:1-2:p:85-1132012-12-25RePEc:eee:dyncon
article
Transitional dynamics in a two-sector non-scale growth model
1-2
2001
25
1
85
113
http://www.sciencedirect.com/science/article/B6V85-418PPNR-3/2/d57807c859ab3212ad2ef54a0e82738c
Eicher, Theo S.
Turnovsky, Stephen J.
oai:RePEc:eee:dyncon:v:8:y:1984:i:3:p:265-2752012-12-25RePEc:eee:dyncon
article
On recalls, layoffs, variable hours, and labor adjustment costs
3
1984
8
12
265
275
http://www.sciencedirect.com/science/article/B6V85-4C9BX3B-J/2/d1eff6ffd5497d905df5a303f65d72b4
Barron, John M.
Loewenstein, Mark A.
Black, Dan A.
oai:RePEc:eee:dyncon:v:23:y:1999:i:5-6:p:773-7952012-12-25RePEc:eee:dyncon
article
Growth and the dynamics of trade liberalization
5-6
1999
23
4
773
795
http://www.sciencedirect.com/science/article/B6V85-3WF82KY-6/2/9a1399b82eb9a56cb078f714fbc2fc6d
Devereux, Michael B.
oai:RePEc:eee:dyncon:v:30:y:2006:i:1:p:111-1412012-12-25RePEc:eee:dyncon
article
Financial crashes as endogenous jumps: estimation, testing and forecasting
1
2006
30
1
111
141
http://www.sciencedirect.com/science/article/B6V85-4FFN4XG-1/2/dd38b8c9272f7784116c8139af0c60e5
Fernandes, Marcelo
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1462-14762012-12-25RePEc:eee:dyncon
article
Optimal investment in learning-curve technologies
We study optimal investment in technologies characterized by the learning curve. There are two investment patterns depending on the shape of the learning curve. If the learning process is slow, firms invest relatively late and on a larger scale. If the curve is steep, firms invest earlier and on a smaller scale. We further demonstrate that learning investment differs greatly from investment in technologies without learning effects. Learning investments generate substantial initial losses and are very sensitive to downside risk. We show that the most susceptible to losses and risk are technologies with intermediate speed of learning.
Learning-curve technology; Investment timing; Investment size; Real options;
10
2012
36
1462
1476
C61
D92
http://www.sciencedirect.com/science/article/pii/S0165188912000863
Della Seta, Marco
Gryglewicz, Sebastian
Kort, Peter M.
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1299-13272012-12-25RePEc:eee:dyncon
article
Vector rational error correction
9-10
1999
23
9
1299
1327
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-4/2/0f13eafc9fc9cfb7177d010f2e97d952
Kozicki, Sharon
Tinsley, P. A.
oai:RePEc:eee:dyncon:v:28:y:2003:i:3:p:531-5532012-12-25RePEc:eee:dyncon
article
Simulation-based exact jump tests in models with conditional heteroskedasticity
3
2003
28
12
531
553
http://www.sciencedirect.com/science/article/B6V85-4846M85-2/2/45a9af4fbb9878c88f74119ee6121f63
Khalaf, Lynda
Saphores, Jean-Daniel
Bilodeau, Jean-Francois
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1300-13252012-12-25RePEc:eee:dyncon
article
A simple asset pricing model with social interactions and heterogeneous beliefs
4
2007
31
4
1300
1325
http://www.sciencedirect.com/science/article/B6V85-4K9C6D7-1/2/31cda8740cc0e35c2b62e3b05f166d21
Chang, Sheng-Kai
oai:RePEc:eee:dyncon:v:32:y:2008:i:11:p:3631-36602012-12-25RePEc:eee:dyncon
article
Analytic solving of asset pricing models: The by force of habit case
Analytic methods for solving asset pricing models are developed to solve asset pricing models. Campbell and Cochrane's [1999. By force of habit, a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205-251] habit persistence model provides a prototypical example to illustrate this method. When the parameters involved satisfy certain conditions, the integral equation of this model has a solution in the space of continuous functions that grows exponentially at infinity. However, the parameters advocated by Campbell and Cochrane do not satisfy one of these conditions. The existence problem is removed by restricting the price-dividend function to avoid values of dividend growth that are extreme. Thus, existence and uniqueness of the solution in the space of continuous and bounded functions is proved. Using complex analysis the price-dividend function is also shown to be analytic in a region large enough to cover all relevant values of dividend growth. Next, a numerical method is presented for computing higher order polynomial approximations of the solution. Finally, a uniform upper bound on the error of these approximations is derived. An intensive search of the parameter space results in no parameter values for which the solution matches the historic equity premium and Sharpe ratio within Campbell and Cochrane's model.
Analyticity Asset pricing Habit
11
2008
32
11
3631
3660
http://www.sciencedirect.com/science/article/B6V85-4S4JYKH-1/2/dfd76d0a600534f68596c9588f87a88d
Chen, Yu
Cosimano, Thomas F.
Himonas, Alex A.
oai:RePEc:eee:dyncon:v:31:y:2007:i:10:p:3370-33952012-12-25RePEc:eee:dyncon
article
Initial conditions at Emancipation: The long-run effect on black-white wealth and earnings inequality
10
2007
31
10
3370
3395
http://www.sciencedirect.com/science/article/B6V85-4MYMNRR-1/2/15dd07198ecf59022d15c414981928e5
White, T. Kirk
oai:RePEc:eee:dyncon:v:27:y:2003:i:5:p:853-8732012-12-25RePEc:eee:dyncon
article
Intellectual property rights protection and endogenous economic growth
5
2003
27
3
853
873
http://www.sciencedirect.com/science/article/B6V85-45517B6-1/2/9981e35bf06e6c77e3466704252f4319
Kwan, Yum K.
Lai, Edwin L. -C.
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1364-13712012-12-25RePEc:eee:dyncon
article
Destabilizing optimal policies in the business cycle
It is often believed that governments should either abstain from leading activist policies, or if they lead such policies, that these policies should somehow be “stabilizing”, in the sense of reducing the volatilities of some endogenous variables. We construct a model with explicit foundations where the optimal policies are activist, and they make both employment and output more volatile than in the no intervention case.
Destabilizing optimal policies; Business cycles; Monetary policy;
9
2012
36
1364
1371
E32
E52
http://www.sciencedirect.com/science/article/pii/S0165188912001091
Bénassy, Jean-Pascal
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:303-3192012-12-25RePEc:eee:dyncon
article
Quantifying and understanding the economics of large financial movements
1
2008
32
1
303
319
http://www.sciencedirect.com/science/article/B6V85-4ND709J-4/2/1e1784f1d5eb1e30b25f799f80acc1a8
Gabaix, Xavier
Gopikrishnan, Parameswaran
Plerou, Vasiliki
Eugene Stanley, H.
oai:RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1323-13522012-12-25RePEc:eee:dyncon
article
Pricing American-style securities using simulation
8-9
1997
21
6
1323
1352
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-3/2/b09d6a2428a76f385868373beda6a38a
Broadie, Mark
Glasserman, Paul
oai:RePEc:eee:dyncon:v:21:y:1997:i:2-3:p:525-5502012-12-25RePEc:eee:dyncon
article
Optimal consumption and portfolio rules with durability and habit formation
2-3
1997
21
525
550
http://www.sciencedirect.com/science/article/B6V85-3SWV8HG-D/2/5f4540d7d64a3afa8aa170864a875f6c
Hindy, Ayman
Huang, Chi-fu
Zhu, Steven H.
oai:RePEc:eee:dyncon:v:22:y:1997:i:1:p:67-862012-12-25RePEc:eee:dyncon
article
A new look at optimal growth under uncertainty
1
1997
22
11
67
86
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-4/2/9460a7e41915877443f186bde7eebff9
Amir, Rabah
oai:RePEc:eee:dyncon:v:30:y:2006:i:2:p:205-2272012-12-25RePEc:eee:dyncon
article
Global patent protection: channels of north and south welfare gain
2
2006
30
2
205
227
http://www.sciencedirect.com/science/article/B6V85-4FHRPSD-2/2/ec3fc50adc24cb73c1979eecfaf2ff7b
Grinols, Earl
Lin, Hwan C.
oai:RePEc:eee:dyncon:v:19:y:1995:i:1-2:p:303-3252012-12-25RePEc:eee:dyncon
article
Efficiency and optimality in stochastic models with production
1-2
1995
19
303
325
http://www.sciencedirect.com/science/article/B6V85-3YB56MM-23/2/533ea0412d6287690e6e70971d6edf4c
Bertocchi, Graziella
Kehagias, Athanasios
oai:RePEc:eee:dyncon:v:29:y:2005:i:3:p:449-4682012-12-25RePEc:eee:dyncon
article
Optimal portfolio management with American capital guarantee
3
2005
29
3
449
468
http://www.sciencedirect.com/science/article/B6V85-4CC311W-1/2/3ea5d1883268bf4f29d335babc141330
El Karoui, Nicole
Jeanblanc, Monique
Lacoste, Vincent
oai:RePEc:eee:dyncon:v:23:y:1998:i:1:p:125-1582012-12-25RePEc:eee:dyncon
article
Growth effect of taxes in an endogenous growth model: to what extent do taxes affect economic growth?
1
1998
23
9
125
158
http://www.sciencedirect.com/science/article/B6V85-3V7JBM1-8/2/918a21678e7db0686408ea44fad33e71
Kim, Se-Jik
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:53-632012-12-25RePEc:eee:dyncon
article
Cost uncertainty and the rate of investment
1
1990
14
2
53
63
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-V/2/3625a0a9c67258149a772b514a621592
Zeira, Joseph
oai:RePEc:eee:dyncon:v:22:y:1998:i:4:p:489-5012012-12-25RePEc:eee:dyncon
article
A robust method for simulating forward-looking models
4
1998
22
4
489
501
http://www.sciencedirect.com/science/article/B6V85-3SX7FYV-1/2/d6e7e29e2bbc0007baa3aeeff04713cc
Armstrong, John
Black, Richard
Laxton, Douglas
Rose, David
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1303-13212012-12-25RePEc:eee:dyncon
article
Lifetime investment and consumption using a defined-contribution pension scheme
During the accumulation phase of a defined-contribution pension scheme, a scheme member invests part of their stochastic income in a portfolio of a stock and a bond in order to build up sufficient funds for retirement. It is assumed that the remainder of their salary pre-retirement is consumed, an annuity is purchased at retirement, and the stock allocation and consumption pre-retirement maximise the total expected lifetime consumption using a CARA utility function. Perfect correlation between the scheme member's income and the stock price leads to analytical expressions for the controls for a general income model. If the correlation is imperfect then analytical controls are found for two particular stochastic income models.
Defined-contribution pension; Lifecycle model; Stochastic income; Replacement ratio;
9
2012
36
1303
1321
C61
D31
D52
D91
http://www.sciencedirect.com/science/article/pii/S0165188912000279
Emms, Paul
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1671-16862012-12-25RePEc:eee:dyncon
article
The inflation aversion of the Bundesbank: A state space approach
9-10
2006
30
1671
1686
http://www.sciencedirect.com/science/article/B6V85-4JVT1J3-2/2/1349f4c4977944e9c2309a668e15b2a8
Kuzin, Vladimir
oai:RePEc:eee:dyncon:v:23:y:1999:i:5-6:p:747-7722012-12-25RePEc:eee:dyncon
article
Export promotion, learning by doing and growth
5-6
1999
23
4
747
772
http://www.sciencedirect.com/science/article/B6V85-3WF82KY-5/2/4a8c0180958b48975310cbb174015ad2
Ambler, Steve
Cardia, Emanuela
Farazli, Jeannine
oai:RePEc:eee:dyncon:v:19:y:1995:i:4:p:787-8112012-12-25RePEc:eee:dyncon
article
Equilibrium asset prices and exchange rates
4
1995
19
5
787
811
http://www.sciencedirect.com/science/article/B6V85-3YB56KP-16/2/5d755e3bf2aa349bb90f5a026ff11df7
Zapatero, Fernando
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1073-11002012-12-25RePEc:eee:dyncon
article
Heterogeneous beliefs, wealth accumulation, and asset price dynamics
6-7
1996
20
1073
1100
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-6/2/8b1871b53e8eb9f7360a253097c80f74
Cabrales, Antonio
Hoshi, Takeo
oai:RePEc:eee:dyncon:v:32:y:2008:i:9:p:2788-28082012-12-25RePEc:eee:dyncon
article
A dynamic factor approach to nonlinear stability analysis
9
2008
32
9
2788
2808
http://www.sciencedirect.com/science/article/B6V85-4R53R7V-1/2/dd8ae4c65f3e373dd7541496edf42dc3
Shintani, Mototsugu
oai:RePEc:eee:dyncon:v:28:y:2004:i:4:p:661-6902012-12-25RePEc:eee:dyncon
article
Indicator variables for optimal policy under asymmetric information
4
2004
28
1
661
690
http://www.sciencedirect.com/science/article/B6V85-48BTYTB-1/2/57c71bcc05959a808cfa95340d8de676
Svensson, Lars E. O.
Woodford, Michael
oai:RePEc:eee:dyncon:v:13:y:1989:i:2:p:283-3002012-12-25RePEc:eee:dyncon
article
An algorithm for Ramsey pricing by multiproduct public firms under incomplete information
2
1989
13
4
283
300
http://www.sciencedirect.com/science/article/B6V85-46MMW4J-1B/2/52f43987be652d8d255733b09553d883
Currier, Kevin M.
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:137-1552012-12-25RePEc:eee:dyncon
article
Stock market crashes as social phase transitions
1
2008
32
1
137
155
http://www.sciencedirect.com/science/article/B6V85-4N9MYFR-2/2/3d3647c67198928a04e048bc6c760e23
Levy, Moshe
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:65-712012-12-25RePEc:eee:dyncon
article
An improved algorithm to solve a discrete matrix riccati equation
1
1990
14
2
65
71
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-W/2/5a19dd02ec89851095e629df348da6d5
Pujol, Thierry
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1355-13862012-12-25RePEc:eee:dyncon
article
The random-time binomial model
9-10
1999
23
9
1355
1386
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-6/2/b2c8d44b14ecd8e57bddf250ff4f6ab7
Leisen, Dietmar P. J.
oai:RePEc:eee:dyncon:v:13:y:1989:i:4:p:569-5952012-12-25RePEc:eee:dyncon
article
The tree-cutting problem in a stochastic environment : The case of age-dependent growth
4
1989
13
10
569
595
http://www.sciencedirect.com/science/article/B6V85-45GNWG5-4/2/33dfb91dc130c9e8023ea77a27fa251f
Clarke, Harry R.
Reed, William J.
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:187-1922012-12-25RePEc:eee:dyncon
article
Job search with belated information and wage signalling A comment
1
1990
14
2
187
192
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-14/2/06028abfec5e50a1b2eb37c26f03f0c1
Goldberg, Matthew S.
Borjas, George J.
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2374-23972012-12-25RePEc:eee:dyncon
article
On sustainable growth and collapse: Optimal and adaptive paths
7
2007
31
7
2374
2397
http://www.sciencedirect.com/science/article/B6V85-4M57GYR-1/2/57987a279b73ed4a67b540d97b9381a0
Dawid, Herbert
Day, Richard H.
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1672-16962012-12-25RePEc:eee:dyncon
article
Time to complete and research joint ventures: A differential game approach
5
2007
31
5
1672
1696
http://www.sciencedirect.com/science/article/B6V85-4KPP41C-1/2/3a87ae64b45d7ac70549f9bb6a4e6da6
Navas, Jorge
Kort, Peter M.
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:149-1552012-12-25RePEc:eee:dyncon
article
Approximate state space models of some vector-valued macroeconomic time series for cross-country comparisons
1-2
1986
10
6
149
155
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-W/2/750abcef5f3a20e3e6e8a547663c9492
Aoki, Masanao
Havenner, Arthur
oai:RePEc:eee:dyncon:v:22:y:1997:i:1:p:109-1212012-12-25RePEc:eee:dyncon
article
Time to implement and aggregate fluctuations
1
1997
22
11
109
121
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-6/2/f04282dacb9da613fa4f97dd6851ed5e
Hairault, Jean-Olivier
Langot, Francois
Portier, Franck
oai:RePEc:eee:dyncon:v:20:y:1996:i:9-10:p:1609-16392012-12-25RePEc:eee:dyncon
article
Unemployment and the business cycle in a small open economy: G.M.M. estimation and testing with French data
9-10
1996
20
1609
1639
http://www.sciencedirect.com/science/article/B6V85-3VV430P-6/2/64c9e1de0ff99fb87903eec38e39a8b9
Feve, Patrick
Langot, Francois
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:447-4612012-12-25RePEc:eee:dyncon
article
Nearly redundant parameters and measures of persistence in economic time series
2-3
1988
12
447
461
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-P/2/4b75da1da7bce1c22b72754f9d0e978e
Clark, Peter K.
oai:RePEc:eee:dyncon:v:28:y:2004:i:4:p:841-8562012-12-25RePEc:eee:dyncon
article
Multiple equilibria, fiscal policy, and human capital accumulation
4
2004
28
1
841
856
http://www.sciencedirect.com/science/article/B6V85-48B5P38-2/2/07a3b5bc8caf02934ebc1b34b43adc89
Alonso-Carrera, Jaime
Freire-Seren, Maria Jesus
oai:RePEc:eee:dyncon:v:22:y:1998:i:5:p:729-7622012-12-25RePEc:eee:dyncon
article
On the open-loop Nash equilibrium in LQ-games
5
1998
22
5
729
762
http://www.sciencedirect.com/science/article/B6V85-3SX8BH0-5/2/e0e74ae261e2ad78430aa3b157362468
Engwerda, Jacob C.
oai:RePEc:eee:dyncon:v:18:y:1994:i:2:p:317-3442012-12-25RePEc:eee:dyncon
article
Turnpikes and computation of piecewise open-loop equilibria in stochastic differential games
2
1994
18
3
317
344
http://www.sciencedirect.com/science/article/B6V85-45CX0JG-2/2/621d2a24ff02a89ffd1787dc984863f6
Haurie, Alain
Roche, Michel
oai:RePEc:eee:dyncon:v:25:y:2001:i:12:p:1973-19872012-12-25RePEc:eee:dyncon
article
Time consistent side payments in a dynamic game of downstream pollution
12
2001
25
12
1973
1987
http://www.sciencedirect.com/science/article/B6V85-43HBY8X-8/2/38f2ebeaafd7700f45db61ff40eaa0a9
Jorgensen, Steffen
Zaccour, Georges
oai:RePEc:eee:dyncon:v:19:y:1995:i:3:p:599-6192012-12-25RePEc:eee:dyncon
article
A turnpike theorem for continuous-time optimal-control models
3
1995
19
4
599
619
http://www.sciencedirect.com/science/article/B6V85-3YB56M4-1J/2/7fb2947c46811bf93c9b4777984bb992
Montrucchio, Luigi
oai:RePEc:eee:dyncon:v:21:y:1997:i:1:p:23-732012-12-25RePEc:eee:dyncon
article
The empirics of growth and convergence: A selective review
1
1997
21
1
23
73
http://www.sciencedirect.com/science/article/B6V85-3T7HKH4-2/2/5f409fe4054f06bf75defe5a671f76e7
de la Fuente, Angel
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:919-9362012-12-25RePEc:eee:dyncon
article
Why present-oriented societies undergo cycles of drug epidemics
6
2002
26
6
919
936
http://www.sciencedirect.com/science/article/B6V85-44KV265-3/2/2de106bf0a3561caacb2169edde619e0
Behrens, Doris A.
Caulkins, Jonathan P.
Tragler, Gernot
Feichtinger, Gustav
oai:RePEc:eee:dyncon:v:19:y:1995:i:5-7:p:1033-10642012-12-25RePEc:eee:dyncon
article
The transfer of human capital
5-7
1995
19
1033
1064
http://www.sciencedirect.com/science/article/B6V85-3YB56JR-M/2/3be16363a8098fb3cb8de9db53116c7d
Jovanovic, Boyan
Nyarko, Yaw
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3459-34772012-12-25RePEc:eee:dyncon
article
Towards endogenous recombinant growth
11
2007
31
11
3459
3477
http://www.sciencedirect.com/science/article/B6V85-4MY0TM6-1/2/2a5781844c4170067c7249b8bee67449
Tsur, Yacov
Zemel, Amos
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:307-3172012-12-25RePEc:eee:dyncon
article
The value of information in a storage model with open- and closed-loop controls A numerical example
1
1981
3
11
307
317
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-N/2/5f4e1b9f33a7da5a8745bd56f89ea807
Bradford, David F.
Kelehan, Harry H.
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:1961-19912012-12-25RePEc:eee:dyncon
article
A computational general equilibrium model with vintage capital
11-12
2003
27
9
1961
1991
http://www.sciencedirect.com/science/article/B6V85-47287N6-4/2/be79ae515083d4590402a60f621734b9
Cadiou, Loic
Dees, Stephane
Laffargue, Jean-Pierre
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2293-23162012-12-25RePEc:eee:dyncon
article
Optimal abatement in dynamic multi-pollutant problems when pollutants can be complements or substitutes
7
2007
31
7
2293
2316
http://www.sciencedirect.com/science/article/B6V85-4KXDW9W-1/2/14cb8e50047a7029375058de95cfde93
Moslener, Ulf
Requate, Till
oai:RePEc:eee:dyncon:v:5:y:1983:i:1:p:151-1712012-12-25RePEc:eee:dyncon
article
The variability of output-inflation tradeoffs
1
1983
5
2
151
171
http://www.sciencedirect.com/science/article/B6V85-4C47HD0-9/2/dc869677cd040f6b3ff340e2342f8e7e
Abrams, Richard K.
Froyen, Richard T.
Waud, Roger N.
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1387-14242012-12-25RePEc:eee:dyncon
article
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
9-10
1999
23
9
1387
1424
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-7/2/76e8f0f733b0507c775c3d7e63dda915
Chiarella, Carl
El-Hassan, Nadima
Kucera, Adam
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1207-12242012-12-25RePEc:eee:dyncon
article
Competitive equilibrium and public investment plans
8
1999
23
8
1207
1224
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-7/2/ff2c7b869d666568a1811ec177319818
Glomm, Gerhard
Ravikumar, B.
oai:RePEc:eee:dyncon:v:26:y:2002:i:5:p:869-8872012-12-25RePEc:eee:dyncon
article
Mood fluctuations, projection bias, and volatility of equity prices
5
2002
26
5
869
887
http://www.sciencedirect.com/science/article/B6V85-44JJ2BT-8/2/a5728b70a17da6e462e03dc64fd7e20c
Mehra, Rajnish
Sah, Raaj
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2749-27742012-12-25RePEc:eee:dyncon
article
Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth
12
2006
30
12
2749
2774
http://www.sciencedirect.com/science/article/B6V85-4HKMPKG-1/2/8181247a7a3f0e9d7a089eee7ba79332
Tripier, Fabien
oai:RePEc:eee:dyncon:v:24:y:2000:i:2:p:165-1882012-12-25RePEc:eee:dyncon
article
Complementarity problems in GAMS and the PATH solver
2
2000
24
2
165
188
http://www.sciencedirect.com/science/article/B6V85-3YJY5V9-1/2/7400d4e54baa77f64ffa051d61dcfa0d
Ferris, Michael C.
Munson, Todd S.
oai:RePEc:eee:dyncon:v:14:y:1990:i:3-4:p:685-7082012-12-25RePEc:eee:dyncon
article
Delaying or deterring entry A game-theoretic analysis
3-4
1990
14
10
685
708
http://www.sciencedirect.com/science/article/B6V85-45MFRX7-19/2/1e481fba04aa13ff87370ca3ac02d2ca
Lipman, Barton L.
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1402-14132012-12-25RePEc:eee:dyncon
article
Costly information transmission in continuous time with implications for credit rating announcements
This paper formulates a continuous-time information transmission model in which an altruistic sender privately observes a stochastic state variable, and incurs a communication cost when she broadcasts a message. We characterize the sender's optimal announcement strategy using an ordinary differential equation. We prove the optimality of the sender's strategies using a martingale verification argument and show that the sender's optimal strategy involves sending discrete messages. Furthermore, we apply the model to the timing decision of credit rating announcements and provide a framework to study various aspects of rating announcements, such as the probability of rating reversals and the expected time before a rating change.
Dynamic information transmission; Costly talk; Credit rating announcement;
9
2012
36
1402
1413
D81
D83
C61
http://www.sciencedirect.com/science/article/pii/S0165188912000656
Wang, Hefei
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:51-572012-12-25RePEc:eee:dyncon
article
Policy design in asymmetrically dependent economies
1-2
1986
10
6
51
57
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-B/2/fe86c7ea7270508dfa3fb9daf5191daf
Hughes Hallett, A. J.
oai:RePEc:eee:dyncon:v:14:y:1990:i:2:p:435-4502012-12-25RePEc:eee:dyncon
article
Qualitative dynamics and causality in a Keynesian model
2
1990
14
5
435
450
http://www.sciencedirect.com/science/article/B6V85-45KNJWV-F/2/02ee53899d1da12945b580e336afa8e4
Berndsen, Ron
Daniels, Hennie
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1372-14012012-12-25RePEc:eee:dyncon
article
Hierarchical information and the rate of information diffusion
The rate of information diffusion and, consequently, price discovery are conditional not only upon the design of the market microstructure but also the informational structure. This paper presents a market microstructure model showing that an increasing number of information hierarchies among informed competitive traders leads to a slower information diffusion rate and informational inefficiency. The model illustrates that informed traders may prefer trading with each other rather than with noise traders in the presence of information hierarchies. The empirical investigation using transaction data on China's equity market supports that the information hierarchies decrease the speed of price discovery.
Information hierarchies; Information diffusion rate; Price discovery; Momentum;
9
2012
36
1372
1401
G10
G11
D43
D82
http://www.sciencedirect.com/science/article/pii/S0165188912000620
Xue, Yi
Gençay, Ramazan
oai:RePEc:eee:dyncon:v:33:y:2009:i:4:p:798-8162012-12-25RePEc:eee:dyncon
article
Structural estimation of real options models
We propose a numerical approach for structural estimation of a class of discrete (Markov) decision processes emerging in real options applications. The approach is specifically designed to account for two typical features of aggregate data sets in real options: the endogeneity of firms' decisions; the unobserved heterogeneity of firms. The approach extends the nested fixed point algorithm by Rust [1987. Optimal replacement of GMC bus engines: an empirical model of Harold Zurcher. Econometrica 55(5), 999-1033; 1988. Maximum likelihood estimation of discrete control processes. SIAM Journal of Control and Optimization 26(5), 1006-1024] because both the nested optimization algorithm and the integration over the distribution of the unobserved heterogeneity are accommodated using a simulation method based on a polynomial approximation of the value function and on recursive least squares estimation of the coefficients. The Monte Carlo study shows that omitting unobserved heterogeneity produces a significant estimation bias because the model can be highly non-linear with respect to the parameters.
Real options Markov decision processes Discrete decision processes Monte Carlo methods
4
2009
33
4
798
816
http://www.sciencedirect.com/science/article/B6V85-4TRK0J7-1/2/8fbfc9ae358a54490d1a13b8dce8ee69
Gamba, Andrea
Tesser, Matteo
oai:RePEc:eee:dyncon:v:19:y:1995:i:4:p:747-7862012-12-25RePEc:eee:dyncon
article
The composition of government expenditure and its consequences for macroeconomic performance
4
1995
19
5
747
786
http://www.sciencedirect.com/science/article/B6V85-3YB56KP-15/2/95ae7354ad29651213579a4d88fb5250
Turnovsky, Stephen J.
Fisher, Walter H.
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1451-14722012-12-25RePEc:eee:dyncon
article
Optimal long-run fiscal policy: Constraints, preferences and the resolution of uncertainty
5
2007
31
5
1451
1472
http://www.sciencedirect.com/science/article/B6V85-4KGPNBK-1/2/45c366ad84f6cbc3c787411e424a2b77
Auerbach, Alan J.
Hassett, Kevin
oai:RePEc:eee:dyncon:v:31:y:2007:i:3:p:861-8862012-12-25RePEc:eee:dyncon
article
Subsidies in an R&D growth model with elastic labor
3
2007
31
3
861
886
http://www.sciencedirect.com/science/article/B6V85-4JT3RXM-2/2/2a3d7ba1392b48bc2082f9d6e17856d3
Zeng, Jinli
Zhang, Jie
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3904-39402012-12-25RePEc:eee:dyncon
article
A monetary business cycle model with unemployment
12
2007
31
12
3904
3940
http://www.sciencedirect.com/science/article/B6V85-4NF2H6N-1/2/f788e9be1f017051d6728bad3541a476
Alexopoulos, Michelle
oai:RePEc:eee:dyncon:v:22:y:1998:i:8-9:p:1467-14852012-12-25RePEc:eee:dyncon
article
A massively parallel implementation of a discrete-time algorithm for the computation of dynamic elastic demand traffic problems modeled as projected dynamical systems
8-9
1998
22
8
1467
1485
http://www.sciencedirect.com/science/article/B6V85-3TMR2BM-J/2/495f9d3fa2feba6d74ac2164cfd7cb5d
Nagurney, Anna
Zhang, Ding
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2317-23492012-12-25RePEc:eee:dyncon
article
A general framework for evaluating executive stock options
7
2007
31
7
2317
2349
http://www.sciencedirect.com/science/article/B6V85-4M0BH97-1/2/e24728826af3f2c139f0b439698dc6ca
Sircar, Ronnie
Xiong, Wei
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1781-18002012-12-25RePEc:eee:dyncon
article
Corporate control and real investment in incomplete markets
5
2007
31
5
1781
1800
http://www.sciencedirect.com/science/article/B6V85-4MBCJGS-1/2/c88e694178028dc2f006230ad107e659
Hugonnier, Julien
Morellec, Erwan
oai:RePEc:eee:dyncon:v:22:y:1998:i:7:p:1001-10262012-12-25RePEc:eee:dyncon
article
Consumption and portfolio turnpike theorems in a continuous-time finance model1
7
1998
22
5
1001
1026
http://www.sciencedirect.com/science/article/B6V85-3V5MB4X-2/2/d61c460b6f0d40f84b88ccd7e78e81c9
Jin, Xing
oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1703-17192012-12-25RePEc:eee:dyncon
article
Minimum-cost portfolio insurance
11-12
2000
24
10
1703
1719
http://www.sciencedirect.com/science/article/B6V85-412RWNR-8/2/6e88337c0970ac012b7b5a8fd624f565
Aliprantis, C. D.
Brown, D. J.
Werner, J.
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1728-17522012-12-25RePEc:eee:dyncon
article
The climate change learning curve
5
2007
31
5
1728
1752
http://www.sciencedirect.com/science/article/B6V85-4KV2RBR-1/2/64154983a363c051cf2d0585692a192c
Leach, Andrew J.
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1441-14442012-12-25RePEc:eee:dyncon
article
Computing in economics and finance
9-10
2006
30
1441
1444
http://www.sciencedirect.com/science/article/B6V85-4JVSWH0-1/2/cea65a253da68a0f6556a85afb689eef
Bullard, Jim
Diks, Cees
Wagener, Florian
oai:RePEc:eee:dyncon:v:11:y:1987:i:4:p:465-4812012-12-25RePEc:eee:dyncon
article
A procedure for differentiating perfect-foresight-model reduced-from coefficients
4
1987
11
12
465
481
http://www.sciencedirect.com/science/article/B6V85-4GP1TWJ-1/2/ea9c5ee95a4fedf306c272af3110c5f8
Anderson, Gary
oai:RePEc:eee:dyncon:v:28:y:2004:i:8:p:1661-16802012-12-25RePEc:eee:dyncon
article
Dynamic taxes and quotas with learning
8
2004
28
6
1661
1680
http://www.sciencedirect.com/science/article/B6V85-48WB7Y0-1/2/4fcc9a21b72249f1cc8c4cdce7ec3c4d
Costello, Christopher
Karp, Larry
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1193-12112012-12-25RePEc:eee:dyncon
article
Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments (MSMs), where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. In addition to the standard version of MSM with a quadratic loss function, we also take into account how often a great number of Monte Carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals. The model contest along these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so good that it may provide a standard for future research.
Method of simulated moments; Moment coverage ratio; Herding; Discrete choice approach; Transition probability approach;
8
2012
36
1193
1211
D84
G12
G14
G15
http://www.sciencedirect.com/science/article/pii/S0165188912000802
Franke, Reiner
Westerhoff, Frank
oai:RePEc:eee:dyncon:v:23:y:1999:i:5-6:p:675-6982012-12-25RePEc:eee:dyncon
article
Education, moral hazard, and endogenous growth
5-6
1999
23
4
675
698
http://www.sciencedirect.com/science/article/B6V85-3WF82KY-2/2/3fbeff3f1fc5fe40a9afbb769ace3704
Van Long, Ngo
Shimomura, Koji
oai:RePEc:eee:dyncon:v:23:y:1999:i:7:p:909-9282012-12-25RePEc:eee:dyncon
article
Alternative bias approximations in first-order dynamic reduced form models
7
1999
23
6
909
928
http://www.sciencedirect.com/science/article/B6V85-3WRBPDW-1/2/37ac3ff07fee98855bfa974dff6e7856
Kiviet, Jan F.
Phillips, Garry D. A.
Schipp, Bernhard
oai:RePEc:eee:dyncon:v:33:y:2009:i:2:p:454-4622012-12-25RePEc:eee:dyncon
article
Monetary equilibrium and the differentiability of the value function
In this study we offer a new approach to proving the differentiability of the value function, which complements and extends the literature on dynamic programming. This result is then applied to the analysis of equilibrium in the recent class of monetary economies developed in [Lagos, R., Wright, R., 2005. A unified framework for monetary theory and policy analysis. Journal of Political Economy 113, 463-484]. For this type of environments we demonstrate that the value function is differentiable and this guarantees that the marginal value of money balances is well defined.
Value function Optimal plans Money
2
2009
33
2
454
462
http://www.sciencedirect.com/science/article/B6V85-4T26309-1/2/b86bb5f3b944100792860f76ee674590
Aliprantis, C.D.
Camera, G.
Ruscitti, F.
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2151-21702012-12-25RePEc:eee:dyncon
article
Inferring strategies from observed actions: a nonparametric, binary tree classification approach
11-12
2003
27
9
2151
2170
http://www.sciencedirect.com/science/article/B6V85-46Y59JJ-2/2/fcabea0656bf60b3474f56f0df1902fb
Engle-Warnick, Jim
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1159-11932012-12-25RePEc:eee:dyncon
article
Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
7-8
2002
26
7
1159
1193
http://www.sciencedirect.com/science/article/B6V85-459HNNF-6/2/ee291fc8700b89c0a838c2b98e8ff90f
Alexander, Gordon J.
Baptista, Alexandre M.
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1027-10492012-12-25RePEc:eee:dyncon
article
Using cross-country variances to evaluate growth theories
6-7
1996
20
1027
1049
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-4/2/ba21dc875450ff050c45909c3632ea08
Evans, Paul
oai:RePEc:eee:dyncon:v:32:y:2008:i:6:p:2031-20602012-12-25RePEc:eee:dyncon
article
Endogenous fiscal policy and capital market transmissions in the presence of demographic shocks
Previous analyses of population aging mainly focused on the social security implications of the aging trend. This paper addresses aging in an open economy framework with two regions that have politically responsive fiscal policy regarding education finance. Demographic shocks start an economic growth process but results are sensitive to a critical parameter in the model that indicates return to education spending. Low values of this parameter are associated with less favorable economic outcomes. Hence, a policy implication emerges that enhancing the education system might pay off in terms of easing the negative growth and welfare consequences of expected demographic shocks.
6
2008
32
6
2031
2060
http://www.sciencedirect.com/science/article/B6V85-4PT1SBR-1/1/0c51f21618e0f22a5b13d8b14188ff75
Tosun, Mehmet Serkan
oai:RePEc:eee:dyncon:v:15:y:1991:i:3:p:515-5382012-12-25RePEc:eee:dyncon
article
Nonconvexities in a stochastic control problem with learning
3
1991
15
7
515
538
http://www.sciencedirect.com/science/article/B6V85-458X21K-4/2/2ad1161d27d2764e8be52ab64f090541
Mizrach, Bruce
oai:RePEc:eee:dyncon:v:15:y:1991:i:3:p:425-4532012-12-25RePEc:eee:dyncon
article
Further results on asset pricing with incomplete information
3
1991
15
7
425
453
http://www.sciencedirect.com/science/article/B6V85-458X21K-1/2/751095bc707d941c636a9a6529eeacab
Detemple, Jerome B.
oai:RePEc:eee:dyncon:v:13:y:1989:i:2:p:271-2822012-12-25RePEc:eee:dyncon
article
IR & D project data and theories of R & D investment
2
1989
13
4
271
282
http://www.sciencedirect.com/science/article/B6V85-46MMW4J-19/2/a6db2b27f38be4ff8ed4deee321fcb24
Lichtenberg, Frank R.
oai:RePEc:eee:dyncon:v:11:y:1987:i:3:p:285-3122012-12-25RePEc:eee:dyncon
article
On income fluctuations and capital gains with a convex production function
3
1987
11
9
285
312
http://www.sciencedirect.com/science/article/B6V85-4GP1TWK-2/2/7cd32663ccdc1c950b069b6735418155
Sotomayor, Marilda de Oliveira
oai:RePEc:eee:dyncon:v:22:y:1998:i:5:p:703-7282012-12-25RePEc:eee:dyncon
article
Diverging patterns with endogenous labor migration
5
1998
22
5
703
728
http://www.sciencedirect.com/science/article/B6V85-3SX8BH0-4/2/e16465c11e528f5c8554161ee71e5aab
Reichlin, Pietro
Rustichini, Aldo
oai:RePEc:eee:dyncon:v:23:y:1999:i:5-6:p:727-7462012-12-25RePEc:eee:dyncon
article
Training, adverse selection and appropriate technology: Development and growth in a small open economy
5-6
1999
23
4
727
746
http://www.sciencedirect.com/science/article/B6V85-3WF82KY-4/2/59254159f9718207ac057e321a066506
Eicher, T. S.
oai:RePEc:eee:dyncon:v:28:y:2004:i:6:p:1115-11482012-12-25RePEc:eee:dyncon
article
Optimal consumption-portfolio choices and retirement planning
6
2004
28
3
1115
1148
http://www.sciencedirect.com/science/article/B6V85-48FK73N-2/2/66bd7915ef0dd428beecf2c07e337ff1
Bodie, Zvi
Detemple, Jerome B.
Otruba, Susanne
Walter, Stephan
oai:RePEc:eee:dyncon:v:29:y:2005:i:8:p:1331-13602012-12-25RePEc:eee:dyncon
article
Heterogeneous borrowers, liquidity, and the search for credit
8
2005
29
8
1331
1360
http://www.sciencedirect.com/science/article/B6V85-4DTKH21-1/2/e9116808d94faaba35be05bc4e2e08a9
Becsi, Zsolt
Li, Victor E.
Wang, Ping
oai:RePEc:eee:dyncon:v:10:y:1986:i:3:p:367-3942012-12-25RePEc:eee:dyncon
article
Equilibrium turnpike theory with time-separable utility
3
1986
10
9
367
394
http://www.sciencedirect.com/science/article/B6V85-4C40JJV-2T/2/31a8211b15184aecc0791a385cb96cb9
Coles, Jeffrey L.
oai:RePEc:eee:dyncon:v:21:y:1997:i:10:p:1645-16672012-12-25RePEc:eee:dyncon
article
Using stochastic growth models to understand unit roots and breaking trends
10
1997
21
8
1645
1667
http://www.sciencedirect.com/science/article/B6V85-3SX0PR1-5/2/4167032ab3d2790e0f542f5f3b46dc49
Lau, Sau-Him Paul
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:433-4442012-12-25RePEc:eee:dyncon
article
Existence of equilibria in exhaustible resource industries Nonconvexities and discrete vs. continuous time
1-3
1996
20
433
444
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-10/2/87299cb6b45c3069d1b1ce73d475b15c
Lozada, Gabriel A.
oai:RePEc:eee:dyncon:v:18:y:1994:i:3-4:p:897-9082012-12-25RePEc:eee:dyncon
article
Estimation and inference in the linear-quadratic inventory model
3-4
1994
18
897
908
http://www.sciencedirect.com/science/article/B6V85-45JK58T-2X/2/8accaa764bebc21067597c471efe78ad
West, Kenneth D.
Wilcox, David W.
oai:RePEc:eee:dyncon:v:22:y:1997:i:1:p:141-1782012-12-25RePEc:eee:dyncon
article
The creation of plants and firms
1
1997
22
11
141
178
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-8/2/e701cc5839231d3cac131cd6ed7c3b63
Siow, Aloysius
Zhu, Xiaodong
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2059-20942012-12-25RePEc:eee:dyncon
article
Monetary policy rules for an open economy
11-12
2003
27
9
2059
2094
http://www.sciencedirect.com/science/article/B6V85-47287N6-3/2/ad43d24577dba252b276ecebb7d766d5
Batini, Nicoletta
Harrison, Richard
Millard, Stephen P.
oai:RePEc:eee:dyncon:v:18:y:1994:i:6:p:1051-10682012-12-25RePEc:eee:dyncon
article
A recursive forward simulation method for solving nonlinear rational expectations models
6
1994
18
11
1051
1068
http://www.sciencedirect.com/science/article/B6V85-45MFRVH-1/2/a7ffde5747306bc07c895c313a1a7047
Imrohoroglu, Selahattin
oai:RePEc:eee:dyncon:v:33:y:2009:i:3:p:745-7572012-12-25RePEc:eee:dyncon
article
Intergenerational human capital evolution, local public good preferences, and stratification
This paper considers heterogeneities in preferences over the local public good, human capital formation, and residential locations as primary underlying forces of economic stratification in an endogenously growing economy. We construct a two-period overlapping-generations model with two regions and various forms of human capital externalities where altruistic agents determine intertemporal allocation of time, investment in a child's education and residential location. We fully characterize a balanced growth equilibrium with no migration across generations to elaborate on how changes in preference, human capital accumulation, production, and interregional commuting parameters may affect the equilibrium stratification outcome in the long run.
Economic stratification Human capital evolution and income growth Local public good and taxes
3
2009
33
3
745
757
http://www.sciencedirect.com/science/article/B6V85-4TNWGRW-1/2/1161cf6caf611b419bc224423f5c5f07
Chen, Been-Lon
Peng, Shin-Kun
Wang, Ping
oai:RePEc:eee:dyncon:v:32:y:2008:i:11:p:3520-35372012-12-25RePEc:eee:dyncon
article
A moving boundary approach to American option pricing
This paper describes a method to solve the free-boundary problem that arises in the pricing of American options. Most numerical methods for American option pricing exploit the representation of the option price as the expected pay-off under the risk-neutral measure and calculate the price for a given time to expiration and stock price. They do not solve the related free-boundary problem explicitly. The advantage of solving the free-boundary problem is that it provides the entire price function as well as the optimal exercise boundary explicitly. Our approach, which we term the Moving Boundary Approach, is based on using a boundary guess and the value associated with the guess to construct an improved boundary. It is also shown that on iteration, the sequence of boundaries converge monotonically to the optimal exercise boundary. Examples illustrating the convergence behavior as well as discussions providing insight into the method are also presented. Finally, we compare runtimes and speeds with other methods that solve the free-boundary problem and compute the optimal boundaries explicitly, like the front-fixing method, penalty method, method based on the integral representations and the method by Brennan and Schwartz [1977. The valuation of American put options. Journal of Finance 32 (2), 449-462].
American option pricing Stochastic control Hamilton-Jacobi-Bellman equation Free-boundary
11
2008
32
11
3520
3537
http://www.sciencedirect.com/science/article/B6V85-4S2F5H4-1/2/0f29bedf6a46e616037ab41ece623861
Muthuraman, Kumar
oai:RePEc:eee:dyncon:v:29:y:2005:i:6:p:1025-10412012-12-25RePEc:eee:dyncon
article
Repeated real options: optimal investment behaviour and a good rule of thumb
6
2005
29
6
1025
1041
http://www.sciencedirect.com/science/article/B6V85-4DK68WB-1/2/7f685b74f6f62150f06dc9b8a8b05b34
Malchow-Moller, Nikolaj
Thorsen, Bo Jellesmark
oai:RePEc:eee:dyncon:v:28:y:2004:i:11:p:2277-22952012-12-25RePEc:eee:dyncon
article
Consistent high-frequency calibration
11
2004
28
10
2277
2295
http://www.sciencedirect.com/science/article/B6V85-4BN0JCF-7/2/dee22cf21f76de8c004b512c9c9dee58
Aadland, David
Huang, Kevin X. D.
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3671-36982012-12-25RePEc:eee:dyncon
article
Job matching and propagation
11
2007
31
11
3671
3698
http://www.sciencedirect.com/science/article/B6V85-4N3GNK0-2/2/c8cf419debda22e6ef8735330b779615
Fujita, Shigeru
Ramey, Garey
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2661-26702012-12-25RePEc:eee:dyncon
article
A clarification of the Goodwin model of the growth cycle
12
2006
30
12
2661
2670
http://www.sciencedirect.com/science/article/B6V85-4HGD72T-2/2/746980c35d69842e700db7b50417fd11
Desai, Meghnad
Henry, Brian
Mosley, Alexander
Pemberton, Malcolm
oai:RePEc:eee:dyncon:v:8:y:1984:i:2:p:137-1492012-12-25RePEc:eee:dyncon
article
Information structure and stochastic control performance
2
1984
8
11
137
149
http://www.sciencedirect.com/science/article/B6V85-4C9BX3V-W/2/a3d17f1429eeb6544d902fbc927645c1
Norman, Alfred Lorn
oai:RePEc:eee:dyncon:v:26:y:2002:i:3:p:451-4812012-12-25RePEc:eee:dyncon
article
Cooperative and non-cooperative fiscal stabilization policies in the EMU
3
2002
26
3
451
481
http://www.sciencedirect.com/science/article/B6V85-4494XGC-6/2/7cf61fa97021a3b67b59a0024bb6f582
Engwerda, Jacob C.
van Aarle, Bas
Plasmans, Joseph E. J.
oai:RePEc:eee:dyncon:v:31:y:2007:i:6:p:1808-18432012-12-25RePEc:eee:dyncon
article
Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching
6
2007
31
6
1808
1843
http://www.sciencedirect.com/science/article/B6V85-4N2M68R-1/2/607de828a15646f4b2fb4f139cebb374
Lux, Thomas
Kaizoji, Taisei
oai:RePEc:eee:dyncon:v:25:y:2001:i:11:p:1827-18402012-12-25RePEc:eee:dyncon
article
A dynamic portfolio choice model of tax evasion: Comparative statics of tax rates and its implication for economic growth
11
2001
25
11
1827
1840
http://www.sciencedirect.com/science/article/B6V85-43DKSHS-6/2/1363adaa98e4a025c3e905c237453505
Lin, Wen-Zhung
Yang, C. C.
oai:RePEc:eee:dyncon:v:14:y:1990:i:1:p:183-1852012-12-25RePEc:eee:dyncon
article
A further note on flexible least squares and Kalman filtering
1
1990
14
2
183
185
http://www.sciencedirect.com/science/article/B6V85-45F8Y2D-13/2/ec969968bcc59ad335b2228eaa048095
Kalaba, R.
Tesfatsion, L.
oai:RePEc:eee:dyncon:v:2:y:1980:i:1:p:353-3762012-12-25RePEc:eee:dyncon
article
Chaotic dynamics and bifurcation in a macro model
1
1980
2
5
353
376
http://www.sciencedirect.com/science/article/B6V85-4D9X3KF-3V/2/cbd479b7dddc364156258281476c90fe
Stutzer, Michael J.
oai:RePEc:eee:dyncon:v:13:y:1989:i:3:p:319-3372012-12-25RePEc:eee:dyncon
article
Two-stage optimal control problems with an explicit switch point dependence : Optimality criteria and an example of delivery lags and investment
3
1989
13
7
319
337
http://www.sciencedirect.com/science/article/B6V85-46X3RNB-1/2/77c41f81fd3bb28d8c2e7428b767a3eb
Tomiyama, Ken
Rossana, Robert J.
oai:RePEc:eee:dyncon:v:18:y:1994:i:3-4:p:511-5382012-12-25RePEc:eee:dyncon
article
A dynamic migration model with uncertainty
3-4
1994
18
511
538
http://www.sciencedirect.com/science/article/B6V85-45JK58T-2B/2/68351bbfea9bbc1b37222c3e2d4bb6d2
El-Gamal, Mahmoud A.
oai:RePEc:eee:dyncon:v:28:y:2004:i:7:p:1437-14602012-12-25RePEc:eee:dyncon
article
Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
7
2004
28
4
1437
1460
http://www.sciencedirect.com/science/article/B6V85-491J1MB-2/2/23484c5386665b62be3db918ab3df791
Dangl, Thomas
Wirl, Franz
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1566-15842012-12-25RePEc:eee:dyncon
article
Interest rate rules, endogenous cycles, and chaotic dynamics in open economies
We present an extensive analysis of the consequences for global equilibrium determinacy in flexible-price open economies of implementing active interest rate rules, i.e., monetary rules where the nominal interest rate responds more than proportionally to inflation. We show that conditions under which these rules generate aggregate instability by inducing liquidity traps, endogenous cycles, and chaotic dynamics depend on specific characteristics of open economies. In particular, rules that respond to expected future inflation are more prone to induce endogenous cyclical and chaotic dynamics the more open the economy to trade.
Small open economy; Interest rate rules; Taylor rules; Multiple equilibria; Chaos and endogenous fluctuations;
10
2012
36
1566
1584
E32
E52
F41
http://www.sciencedirect.com/science/article/pii/S0165188912001376
Airaudo, Marco
Zanna, Luis-Felipe
oai:RePEc:eee:dyncon:v:22:y:1998:i:3:p:465-4822012-12-25RePEc:eee:dyncon
article
Endogenous growth and the welfare costs of inflation: a reconsideration
3
1998
22
3
465
482
http://www.sciencedirect.com/science/article/B6V85-3SX82KJ-7/2/4f812bc869d4b634d0f01f0ce226b618
Wu, Yangru
Zhang, Junxi
oai:RePEc:eee:dyncon:v:24:y:2000:i:4:p:483-4992012-12-25RePEc:eee:dyncon
article
Learning the optimum as a Nash equilibrium
4
2000
24
4
483
499
http://www.sciencedirect.com/science/article/B6V85-3Y6HDF4-1/2/b9318b28767aaffb264098f2e255ac4c
Ozyildirim, Suheyla
Alemdar, Nedim M.
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1448-14612012-12-25RePEc:eee:dyncon
article
Cycles in nonrenewable resource prices with pollution and learning-by-doing
We study how environmental regulation in the form of a cap on aggregate emissions from a fossil fuel (e.g., coal) interacts with the arrival of a clean substitute (e.g., solar energy). The cost of the substitute is assumed to decrease with cumulative use because of learning-by-doing. We show that optimal energy prices may initially increase because of pollution regulation, but fall due to learning, and rise again because of scarcity of the resource, finally falling after transition to the clean substitute. Thus nonrenewable resource prices may exhibit cyclical behavior even in a purely deterministic setting.
Climate change; Energy markets; Environmental externalities; Nonrenewable resources; Technological change;
10
2012
36
1448
1461
http://www.sciencedirect.com/science/article/pii/S0165188912000954
Chakravorty, Ujjayant
Leach, Andrew
Moreaux, Michel
oai:RePEc:eee:dyncon:v:28:y:2004:i:4:p:691-7062012-12-25RePEc:eee:dyncon
article
The cyclical behavior of household and business investment in a cash-in-advance economy
4
2004
28
1
691
706
http://www.sciencedirect.com/science/article/B6V85-486G8DM-3/2/60d0c70e8f67e725cac7b07602ebae30
Li, Victor E.
Chang, Chia-Ying
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:281-2892012-12-25RePEc:eee:dyncon
article
Monetary policy, exchange rate dynamics and the labour market
1-2
1986
10
6
281
289
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-1J/2/d21fd473b4c27a507894f527c99254c8
Karakitsos, Elias
oai:RePEc:eee:dyncon:v:31:y:2007:i:1:p:325-3592012-12-25RePEc:eee:dyncon
article
Fiscal policy, monopolistic competition, and finite lives
1
2007
31
1
325
359
http://www.sciencedirect.com/science/article/B6V85-4JHMFC4-1/2/9401f244c0931e9814b50a6de020c074
Heijdra, Ben J.
Ligthart, Jenny E.
oai:RePEc:eee:dyncon:v:19:y:1995:i:8:p:1449-14692012-12-25RePEc:eee:dyncon
article
Continuous time vs. backward induction a new approach to modelling reputation in the finite time horizon context
8
1995
19
11
1449
1469
http://www.sciencedirect.com/science/article/B6V85-3YB56J6-7/2/f5cc33fc456b7f72a02e4a5aa9a6b2e6
Conlon, John R.
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1077-10982012-12-25RePEc:eee:dyncon
article
Efficient representation of state spaces for some dynamic models
8
1999
23
8
1077
1098
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-1/2/313679a395e03e2aad048e1a099bf733
Gowrisankaran, Gautam
oai:RePEc:eee:dyncon:v:33:y:2009:i:2:p:296-3162012-12-25RePEc:eee:dyncon
article
Robustifying learnability
In recent years, the learnability of rational expectations equilibria (REE) and determinacy of economic structures have rightfully joined the usual performance criteria among the sought-after goals of policy design. Some contributions to the literature, including Bullard and Mitra [2002. Learning about monetary policy rules. Journal of Monetary Economics 49 (6), 1105-1139] and Evans and Honkapohja [2006. Monetary Policy, Expectations, and Commitment, Scandinavian Journal of Economics 108, 15-38], have made significant headway in establishing certain features of monetary policy rules that facilitate learning. However a treatment of policy design for learnability in worlds where agents have potentially misspecified their learning models has yet to surface. This paper provides such a treatment. We begin with the notion that because the profession has yet to settle on a consensus model of the economy, it is unreasonable to expect private agents to have collective rational expectations. We assume that agents have only an approximate understanding of the workings of the economy and that their learning the reduced forms of the economy is subject to potentially destabilizing perturbations. The issue is then whether a central bank can design policy to account for perturbations and still assure the learnability of the model. We provide two examples one of which-the canonical New Keynesian business cycle model-serves as a test case. For different parameterizations of a given policy rule, we use structured singular value analysis (from robust control theory) to find the largest ranges of misspecifications that can be tolerated in a learning model without compromising convergence to an REE. In addition, we study the cost, in terms of performance in the steady state of a central bank that acts to robustify learnability on the transition path to REE.
Monetary policy Learning E-stability Learnability Robust control
2
2009
33
2
296
316
http://www.sciencedirect.com/science/article/B6V85-4SY6W26-1/2/45f39d41f560d0db44aaaedcf7be3d8d
Tetlow, Robert J.
von zur Muehlen, Peter
oai:RePEc:eee:dyncon:v:28:y:2003:i:1:p:171-1812012-12-25RePEc:eee:dyncon
article
Expectational stability of stationary sunspot equilibria in a forward-looking linear model
1
2003
28
10
171
181
http://www.sciencedirect.com/science/article/B6V85-472BKTN-1/2/d84f00b0273dbcbb2d2365c2b1881680
Evans, George W.
Honkapohja, Seppo
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:573-5972012-12-25RePEc:eee:dyncon
article
Profits, markups and entry: fiscal policy in an open economy
4
2003
27
2
573
597
http://www.sciencedirect.com/science/article/B6V85-4724Y30-4/2/279f68912a966333eb132bfb548baca9
Coto-Martinez, Javier
Dixon, Huw
oai:RePEc:eee:dyncon:v:28:y:2003:i:1:p:141-1512012-12-25RePEc:eee:dyncon
article
The simple analytics of optimal growth with illegal migrants
1
2003
28
10
141
151
http://www.sciencedirect.com/science/article/B6V85-47287N6-5/2/9cf7ebee7cb06f2befdf3901566488ec
Hazari, Bharat R.
Sgro, Pasquale M.
oai:RePEc:eee:dyncon:v:21:y:1997:i:7:p:1229-12582012-12-25RePEc:eee:dyncon
article
Multi-period information markets
7
1997
21
6
1229
1258
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-11/2/f1bfea3e2e16cfac5d05b889b5c0f373
Naik, Narayan Y.
oai:RePEc:eee:dyncon:v:29:y:2005:i:1-2:p:321-3342012-12-25RePEc:eee:dyncon
article
Globalization, polarization and cultural drift
1-2
2005
29
1
321
334
http://www.sciencedirect.com/science/article/B6V85-4BRPN38-3/2/dcbee9456e118cb2bcd3bba0017b0e7f
Klemm, Konstantin
Eguiluz, Victor M.
Toral, Raul
Miguel, Maxi San
oai:RePEc:eee:dyncon:v:8:y:1984:i:1:p:19-322012-12-25RePEc:eee:dyncon
article
Competitive price paths of an exhaustible resource with increasing extraction costs
1
1984
8
10
19
32
http://www.sciencedirect.com/science/article/B6V85-4C9BX45-13/2/911bec9a153d52590642b31f9206279c
Hori, Hajime
oai:RePEc:eee:dyncon:v:12:y:1988:i:1:p:173-1792012-12-25RePEc:eee:dyncon
article
The reliability of control experiments : Comparison of the sources of error
1
1988
12
3
173
179
http://www.sciencedirect.com/science/article/B6V85-45JK55T-1M/2/18fac04d52238581560e5b4ff89defb5
Brillet, Jean-Louis
Laurent, Jean-Paul
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1647-16692012-12-25RePEc:eee:dyncon
article
A new statistic and practical guidelines for nonparametric Granger causality testing
9-10
2006
30
1647
1669
http://www.sciencedirect.com/science/article/B6V85-4JTR8VM-1/2/a398d4d52100d32237b6f612fa03da93
Diks, Cees
Panchenko, Valentyn
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1431-14472012-12-25RePEc:eee:dyncon
article
An evolutionary analysis of turnout with conformist citizens
We propose an evolutionary analysis of a voting game where citizens have a preference for conformism that adds to the instrumental preference for the electoral outcome. Multiple equilibria arise, and some generate high turnout. Simulations of best response dynamics show that high turnout is asymptotically stable if conformism matters but its likelihood depends on the reference group for conformism: high turnout is more likely when voters care about their own group's choice, as this better overrides the free rider problem of voting games. Comparative statics on the voting cost distribution, and the groups' composition are also done.
Turnout; Coordination games; Poisson games; Conformism; Selection dynamics;
10
2012
36
1431
1447
D72
C72
C73
http://www.sciencedirect.com/science/article/pii/S0165188912001248
Landi, M.
Sodini, M.
oai:RePEc:eee:dyncon:v:25:y:2001:i:3-4:p:395-4172012-12-25RePEc:eee:dyncon
article
Evolutionary dynamics of currency substitution
3-4
2001
25
3
395
417
http://www.sciencedirect.com/science/article/B6V85-419JHMW-5/2/dca0da785f7970463bbc20756e32c75d
Arifovic, Jasmina
oai:RePEc:eee:dyncon:v:18:y:1994:i:3-4:p:807-8132012-12-25RePEc:eee:dyncon
article
A note on a new class of solutions to dynamic programming problems arising in economic growth
3-4
1994
18
807
813
http://www.sciencedirect.com/science/article/B6V85-45JK58T-2R/2/a551ceb744888c4c89775153715dd1e5
Benhabib, Jess
Rustichini, Aldo
oai:RePEc:eee:dyncon:v:16:y:1992:i:3-4:p:601-6202012-12-25RePEc:eee:dyncon
article
The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model
3-4
1992
16
601
620
http://www.sciencedirect.com/science/article/B6V85-45R2GY4-S/2/616e5add3687211f469ab3f50ea1bfd2
Heaton, John
Lucas, Deborah
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:937-9612012-12-25RePEc:eee:dyncon
article
Moving horizon control in dynamic games
6
2002
26
6
937
961
http://www.sciencedirect.com/science/article/B6V85-44KV265-4/2/8fabcf9fdb96c07d2a2d06870d110bc9
van den Broek, W. A.
oai:RePEc:eee:dyncon:v:26:y:2002:i:1:p:99-1162012-12-25RePEc:eee:dyncon
article
Depreciation rules and value invariance with extractive firms
1
2002
26
1
99
116
http://www.sciencedirect.com/science/article/B6V85-43SV5MV-5/2/d579c9780176cc45a237abb6d7096b5a
Hartwick, John M.
Karp, Larry
Long, Ngo Van
oai:RePEc:eee:dyncon:v:1:y:1979:i:1:p:59-832012-12-25RePEc:eee:dyncon
article
Optimal monetary policy with uncertainty
1
1979
1
2
59
83
http://www.sciencedirect.com/science/article/B6V85-4DVNG1X-4/2/054006f86eae7dbc556b357bbd6543c7
Craine, Roger
oai:RePEc:eee:dyncon:v:32:y:2008:i:9:p:2745-27872012-12-25RePEc:eee:dyncon
article
Diffusion-induced instability and pattern formation in infinite horizon recursive optimal control
9
2008
32
9
2745
2787
http://www.sciencedirect.com/science/article/B6V85-4R5F1PN-1/2/f09c335192311e430bc8ee2c42106ea3
Brock, William
Xepapadeas, Anastasios
oai:RePEc:eee:dyncon:v:19:y:1995:i:3:p:553-5682012-12-25RePEc:eee:dyncon
article
An alternative approach to stochastic calculus for economic and financial models
3
1995
19
4
553
568
http://www.sciencedirect.com/science/article/B6V85-3YB56M4-1G/2/3335d64d688afb5e1ada2451bf5ac7eb
Blenman, L. P.
Cantrell, R. S.
Fennell, R. E.
Parker, D. F.
Reneke, J. A.
Wang, L. F. S.
Womer, N. K.
oai:RePEc:eee:dyncon:v:23:y:1998:i:3:p:333-3692012-12-25RePEc:eee:dyncon
article
A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
3
1998
23
11
333
369
http://www.sciencedirect.com/science/article/B6V85-3V8C8B6-1/2/929e1baf228a7626f1e3d597bdc0ad2a
Das, Sanjiv Ranjan
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1535-15562012-12-25RePEc:eee:dyncon
article
Explaining fashion cycles: Imitators chasing innovators in product space
5
2007
31
5
1535
1556
http://www.sciencedirect.com/science/article/B6V85-4KMYFPB-1/2/967dbd45d61361ad53193e72baf13c99
Caulkins, Jonathan P.
Hartl, Richard F.
Kort, Peter M.
Feichtinger, Gustav
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:963-9842012-12-25RePEc:eee:dyncon
article
Trade in capital goods and investment-specific technical change
6
2002
26
6
963
984
http://www.sciencedirect.com/science/article/B6V85-44KV265-5/2/c903806b8a51b4835e6c6cfd7ac88625
Boileau, Martin
oai:RePEc:eee:dyncon:v:19:y:1995:i:3:p:569-5972012-12-25RePEc:eee:dyncon
article
Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy
3
1995
19
4
569
597
http://www.sciencedirect.com/science/article/B6V85-3YB56M4-1H/2/83ee158698ec10ec6b68e4883c5eaf3a
Reffett, Kevin L.
oai:RePEc:eee:dyncon:v:8:y:1984:i:2:p:197-2092012-12-25RePEc:eee:dyncon
article
Trading in exhaustible resources in the presence of conversion costs a general equilibrium approach
2
1984
8
11
197
209
http://www.sciencedirect.com/science/article/B6V85-4C9BX3V-10/2/fdf00d2caa9ab329acea62bec69ad042
Elbers, Chris
Withagen, Cees
oai:RePEc:eee:dyncon:v:21:y:1997:i:4-5:p:831-8522012-12-25RePEc:eee:dyncon
article
An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility
4-5
1997
21
5
831
852
http://www.sciencedirect.com/science/article/B6V85-3SWY0XD-7/2/eacff924f2cc78f84d532df86ced8d23
Abel, Andrew B.
Eberly, Janice C.
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:365-3842012-12-25RePEc:eee:dyncon
article
Continuous time autoregressive models with common stochastic trends
2-3
1988
12
365
384
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-K/2/797a66cac31e71237623424344c5d8c8
Harvey, A. C.
Stock, James H.
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3503-35442012-12-25RePEc:eee:dyncon
article
Asset allocation under multivariate regime switching
11
2007
31
11
3503
3544
http://www.sciencedirect.com/science/article/B6V85-4N1SSD8-1/2/4c4f90e6fa725b64dff73cf4a32bc78a
Guidolin, Massimo
Timmermann, Allan
oai:RePEc:eee:dyncon:v:26:y:2002:i:2:p:171-1852012-12-25RePEc:eee:dyncon
article
Consistent expectations equilibria and learning in a stock market
2
2002
26
2
171
185
http://www.sciencedirect.com/science/article/B6V85-43Y9W8B-1/2/eadeebf81ff8a54a3f33a695b38d27fd
Sogner, Leopold
Mitlohner, Hans
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1633-16712012-12-25RePEc:eee:dyncon
article
Backward dynamics in economics. The inverse limit approach
5
2007
31
5
1633
1671
http://www.sciencedirect.com/science/article/B6V85-4KSD80R-1/2/659e88b935e4b7c1421790af8fb7a783
Medio, Alfredo
Raines, Brian
oai:RePEc:eee:dyncon:v:27:y:2003:i:6:p:909-9352012-12-25RePEc:eee:dyncon
article
Foreign exchange trading models and market behavior
6
2003
27
4
909
935
http://www.sciencedirect.com/science/article/B6V85-45VCK9R-1/2/9205d85f951b7298994c45edc4141516
Gencay, Ramazan
Dacorogna, Michel
Olsen, Richard
Pictet, Olivier
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1155-11752012-12-25RePEc:eee:dyncon
article
Time-to-build and cycles
8
1999
23
8
1155
1175
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-4/2/976e46ce54f1857572bfdb653cbeb65f
Asea, Patrick K.
Zak, Paul J.
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1301-13212012-12-25RePEc:eee:dyncon
article
Bank capital regulation with random audits
7-8
2002
26
7
1301
1321
http://www.sciencedirect.com/science/article/B6V85-459HNNF-C/2/55809d9ef11723069e2eed5c026be28d
Bhattacharya, Sudipto
Plank, Manfred
Strobl, Gunter
Zechner, Josef
oai:RePEc:eee:dyncon:v:26:y:2002:i:11:p:1955-19742012-12-25RePEc:eee:dyncon
article
Stabilizing properties of monetary feedback rules: A representative-agent approach
11
2002
26
9
1955
1974
http://www.sciencedirect.com/science/article/B6V85-45S90GW-6/2/7377530e15117400cf53380ee08c9156
Biederman, Daniel K.
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:979-10062012-12-25RePEc:eee:dyncon
article
Learning, regime switches, and equilibrium asset pricing dynamics
6-7
1996
20
979
1006
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-2/2/6eb557351f5ecd9a96b8bb6217995512
Moore, Bartholomew
Schaller, Huntley
oai:RePEc:eee:dyncon:v:20:y:1996:i:9-10:p:1809-18132012-12-25RePEc:eee:dyncon
article
Testing macroeconometric models : Ray C. Fair, (Harvard University Press, Cambridge, MA, 1994) ISBN 0-674-87503-6
9-10
1996
20
1809
1813
http://www.sciencedirect.com/science/article/B6V85-3VV430P-J/2/1c42b3967e462e463b5b422f884f74a7
Cappelen, Adne
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1551-15652012-12-25RePEc:eee:dyncon
article
Decreasing and increasing marginal impatience and the terms of trade in an interdependent world economy
Using a two-good, two-country model, we examine macroeconomic adjustment by allowing for decreasing and increasing marginal impatience (DMI and IMI). In the reference case where both countries have IMI, a negative output shock in one country lowers the interest rate and both countries' welfare levels in steady state, whereas, when either one country has DMI, the negative income shock raises the interest rate, thereby benefiting the IMI country and harming the DMI one in steady state. In a country either with IMI or DMI, the Harberger–Laursen–Metzler effect takes place if negative ‘welfare-supporting’ effects dominate positive ‘income-compensating’ effects.
Decreasing (increasing) marginal impatience; Two-country economy; Terms of trade; Current account;
10
2012
36
1551
1565
F41
F32
E00
http://www.sciencedirect.com/science/article/pii/S0165188912000929
Hirose, Ken-Ichi
Ikeda, Shinsuke
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:505-5222012-12-25RePEc:eee:dyncon
article
Interpreting cointegrated models
2-3
1988
12
505
522
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-V/2/f6382f45a6570ff11ab5e88a088b5c23
Campbell, John Y.
Shiller, Robert J.
oai:RePEc:eee:dyncon:v:27:y:2003:i:10:p:1917-19382012-12-25RePEc:eee:dyncon
article
Stability, chaos and multiple attractors: a single agent makes a difference
10
2003
27
8
1917
1938
http://www.sciencedirect.com/science/article/B6V85-46RKPYC-1/2/6c7ddf1e920f7110a955fd6bd99b9e4e
Onozaki, Tamotsu
Sieg, Gernot
Yokoo, Masanori
oai:RePEc:eee:dyncon:v:1:y:1979:i:1:p:85-992012-12-25RePEc:eee:dyncon
article
Optimal monetary policy under flexible exchange rates
1
1979
1
2
85
99
http://www.sciencedirect.com/science/article/B6V85-4DVNG1X-5/2/551197ffbc4442133ed31fa31fe3a47f
Turnovsky, Stephen J.
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:333-3462012-12-25RePEc:eee:dyncon
article
Cointegration and stock prices : The random walk on wall street revisited
2-3
1988
12
333
346
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-H/2/8ef229550ab5c4985104c41dc17dc9e9
Cerchi, Marlene
Havenner, Arthur
oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1641-17012012-12-25RePEc:eee:dyncon
article
Valuation and martingale properties of shadow prices: An exposition
11-12
2000
24
10
1641
1701
http://www.sciencedirect.com/science/article/B6V85-412RWNR-7/2/1b81ed9a63a697d162ec2514a67fc1d3
Foldes, Lucien
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1229-12472012-12-25RePEc:eee:dyncon
article
Testing conditional asymmetry: A residual-based approach
We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall into the class of skewed distributions of Fernández and Steel (1998). In this class, asymmetry is measured by the ratio between the probabilities of being larger and smaller than the mode. Estimation is performed under the null hypothesis of constant asymmetry of the innovations and, in a second step, tests for conditional asymmetry are performed on generalized residuals through parametric and nonparametric methods. We derive the asymptotic distribution of the tests that incorporates the uncertainty of the estimated parameters. A Monte Carlo study shows that neglecting this uncertainty severely biases the tests. An empirical application on a basket of daily returns reveals that financial data often present dynamics in the conditional skewness.
Conditional asymmetry; Residuals; Wald; Runs;
8
2012
36
1229
1247
C32
G14
E44
http://www.sciencedirect.com/science/article/pii/S0165188912000814
Lambert, Philippe
Laurent, Sébastien
Veredas, David
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1323-13522012-12-25RePEc:eee:dyncon
article
Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs
7-8
2002
26
7
1323
1352
http://www.sciencedirect.com/science/article/B6V85-459HNNF-D/2/0a72db1ee283bc7c1c05e185774e3305
Constantinides, George M.
Perrakis, Stylianos
oai:RePEc:eee:dyncon:v:30:y:2006:i:11:p:2339-23612012-12-25RePEc:eee:dyncon
article
Venture capital financed investments in intellectual capital
11
2006
30
11
2339
2361
http://www.sciencedirect.com/science/article/B6V85-4H6XKRY-1/2/e69598f377cb2904b58cb1be02b2021b
Jorgensen, Steffen
Kort, Peter M.
Dockner, Engelbert J.
oai:RePEc:eee:dyncon:v:32:y:2008:i:12:p:3820-38462012-12-25RePEc:eee:dyncon
article
A class of asset pricing models governed by subordinate processes that signal economic shocks
We consider a mean-reverting risk-neutral short rate process model with a vector of subordinated drift processes that accounts for the random effect of the arrival of new information. It is assumed that the market is efficient with no arbitrage opportunities. Closed form expressions for the price in nominal and in real terms of a discount bond are obtained. We define a risk-neutral exchange rate model with correlated subordinated drift and volatility processes that reflect the effect of the arrival of new information pertaining to the countries involved. The cases of complete and incomplete exchange markets with no arbitrage opportunities are considered.
Mean reverting Ito process Stochastic volatility Economic shock process Risk premia Stochastic interest rate Risk-neutral process Subordinated processes Brownian motion models Foreign exchange markets Incomplete/complete markets
12
2008
32
12
3820
3846
http://www.sciencedirect.com/science/article/B6V85-4SDX2NJ-1/2/3de49fff9b9d902e1cc396360c2f69a1
Jagannathan, Raj
oai:RePEc:eee:dyncon:v:10:y:1986:i:3:p:395-4142012-12-25RePEc:eee:dyncon
article
Existence and transversality conditions for a general unbounded-horizon model of the mining firm
3
1986
10
9
395
414
http://www.sciencedirect.com/science/article/B6V85-4C40JJV-2V/2/36bc1292db096b6d3a8c259d036e2cef
Toman, Michael A.
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:297-2982012-12-25RePEc:eee:dyncon
article
Was it real? The exchange rate -- Interest differential relation: 1973-1984
1-2
1986
10
6
297
298
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-1M/2/014c125f168c9e45c01a3411e6d8b417
Meese, Richard
Rogoff, Kenneth
oai:RePEc:eee:dyncon:v:11:y:1987:i:4:p:483-4982012-12-25RePEc:eee:dyncon
article
A model of strategic default of sovereign debt
4
1987
11
12
483
498
http://www.sciencedirect.com/science/article/B6V85-4GP1TWJ-2/2/96402859ed4a6f03f531d305c27da8ab
Kulatilaka, Nalin
Marcus, Alan J.
oai:RePEc:eee:dyncon:v:23:y:1999:i:8:p:1099-11312012-12-25RePEc:eee:dyncon
article
Receding horizon control of jump linear systems and a macroeconomic policy problem
8
1999
23
8
1099
1131
http://www.sciencedirect.com/science/article/B6V85-3X6B5WV-2/2/3882feeb952b0d84e54dc46318c6bf13
do Val, Joao B. R.
Basar, Tamer
oai:RePEc:eee:dyncon:v:22:y:1997:i:1:p:49-662012-12-25RePEc:eee:dyncon
article
Dynamic optimization and forward looking processes
1
1997
22
11
49
66
http://www.sciencedirect.com/science/article/B6V85-3SX6H28-3/2/ab31ffcc8a0353b315f3af1dd93c5c33
Cannarsa, Piermarco
Giannini, Massimo
Tessitore, Maria Elisabetta
oai:RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1145-11762012-12-25RePEc:eee:dyncon
article
How long is the firm's forecast horizon?
6-7
1996
20
1145
1176
http://www.sciencedirect.com/science/article/B6V85-3VW1T3H-9/2/2f8a8bc405773bb01db28bbda9c86a59
Gordon, Stephen
oai:RePEc:eee:dyncon:v:31:y:2007:i:6:p:1801-18072012-12-25RePEc:eee:dyncon
article
Advances in experimental and agent-based modelling: Asset markets, economic networks, computational mechanism design and evolutionary game dynamics
6
2007
31
6
1801
1807
http://www.sciencedirect.com/science/article/B6V85-4NJP97X-1/2/96092ac2dfab95f0f07a16f67203e605
Markose, Sheri
Arifovic, Jasmina
Sunder, Shyam
oai:RePEc:eee:dyncon:v:27:y:2002:i:2:p:243-2692012-12-25RePEc:eee:dyncon
article
Optimal tax depreciation under a progressive tax system
2
2002
27
12
243
269
http://www.sciencedirect.com/science/article/B6V85-46SVXBT-4/2/00dcc625677a14135dc5afd50ccfe702
Wielhouwer, Jacco L.
Waegenaere, Anja De
Kort, Peter M.
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:259-2782012-12-25RePEc:eee:dyncon
article
A network analysis of the Italian overnight money market
1
2008
32
1
259
278
http://www.sciencedirect.com/science/article/B6V85-4NC5V0P-1/2/5734aaa4fd05a464c60a395dda1c51d8
Iori, Giulia
De Masi, Giulia
Precup, Ovidiu Vasile
Gabbi, Giampaolo
Caldarelli, Guido
oai:RePEc:eee:dyncon:v:32:y:2008:i:11:p:3682-36942012-12-25RePEc:eee:dyncon
article
On Abel's concept of doubt and pessimism
In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset returns. Journal of Economic Dynamics and Control 26, 1075-1092]. We introduce, on the set of subjective probability beliefs, market-price-of-risk dominance concepts and we relate them to well-known dominance concepts used for comparative statics in portfolio choice analysis. In particular, the necessary first-order conditions on subjective probability beliefs in order to increase the market price of risk for all nondecreasing utility functions appear as equivalent to the monotone likelihood ratio property.
Pessimism Optimism Doubt Stochastic dominance Risk premium Market price of risk Riskiness Portfolio dominance Monotone likelihood ratio
11
2008
32
11
3682
3694
http://www.sciencedirect.com/science/article/B6V85-4S4JYKH-2/2/cd9625039be7ddd1f056530177651140
Jouini, E.
Napp, C.
oai:RePEc:eee:dyncon:v:36:y:2012:i:8:p:1077-10872012-12-25RePEc:eee:dyncon
article
Financial markets are markets in stories: Some possible advantages of using interviews to supplement existing economic data sources
Fifty-two research interviews were conducted with money managers controlling over $500 billion. This paper presents detailed material from one interview to argue interviews usefully describe their shared reality and provide information about the conditions of action facing financial decision-makers with implications for aggregate behaviour. Their shared reality was dominated by “radical” uncertainty and information ambiguity which severely limited the scope for “fully rational” decision-making. How they managed to commit to decisions was by creating narratives. The study suggests it may be useful to reconsider prejudices against the usefulness of talking to individual economic agents about what they actually do.
Financial markets; Interviews; Economic methodology; Narrative; Uncertainty;
8
2012
36
1077
1087
B4
G1
http://www.sciencedirect.com/science/article/pii/S0165188912000851
Tuckett, David
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:703-7202012-12-25RePEc:eee:dyncon
article
Long-run average welfare in a pollution accumulation model
2
2007
31
2
703
720
http://www.sciencedirect.com/science/article/B6V85-4K9C54Y-2/2/b0351a7de8be2890873a43c74f21bb11
Kawaguchi, Kazuhito
Morimoto, Hiroaki
oai:RePEc:eee:dyncon:v:13:y:1989:i:3:p:449-4702012-12-25RePEc:eee:dyncon
article
On some computational aspects of equilibrium business cycle theory
3
1989
13
7
449
470
http://www.sciencedirect.com/science/article/B6V85-46X3RNB-6/2/2ba6e0c948dd9e754ced20c87ec393f3
Danthine, Jean-Pierre
Donaldson, John B.
Mehra, Rajnish
oai:RePEc:eee:dyncon:v:17:y:1993:i:1-2:p:181-2052012-12-25RePEc:eee:dyncon
article
The role of the target saving motive in guest worker migration A theoretical study
1-2
1993
17
181
205
http://www.sciencedirect.com/science/article/B6V85-46MMW27-9/2/3b84641066283c6328a3bb87beb2d959
Berninghaus, Siegfried
Seifert-Vogt, Hans Gunther
oai:RePEc:eee:dyncon:v:21:y:1997:i:2-3:p:575-6022012-12-25RePEc:eee:dyncon
article
Optimal management of an R&D budget
2-3
1997
21
575
602
http://www.sciencedirect.com/science/article/B6V85-3SWV8HG-G/2/f26fda6cc5eba2a9f429a6401f02cb39
Dutta, Prajit K.
oai:RePEc:eee:dyncon:v:31:y:2007:i:2:p:473-4912012-12-25RePEc:eee:dyncon
article
Global bifurcations, credit rationing and recurrent hyperinflations
2
2007
31
2
473
491
http://www.sciencedirect.com/science/article/B6V85-4JGJJ0B-1/2/d77d2e9d22238861ed7e06a7e1f79a53
Gomis-Porqueras, Pere
Haro, Alex
oai:RePEc:eee:dyncon:v:28:y:2004:i:5:p:861-8872012-12-25RePEc:eee:dyncon
article
A multiperiod binomial model for pricing options in a vague world
5
2004
28
2
861
887
http://www.sciencedirect.com/science/article/B6V85-48BTYTB-2/2/4829210be1f34766717648835397c0b5
Muzzioli, Silvia
Torricelli, Costanza
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1445-14892012-12-25RePEc:eee:dyncon
article
Optimal taxation in an RBC model: A linear-quadratic approach
9-10
2006
30
1445
1489
http://www.sciencedirect.com/science/article/B6V85-4JYKKKY-1/2/74e03d09be72272d0e420a5b7b256c91
Benigno, Pierpaolo
Woodford, Michael
oai:RePEc:eee:dyncon:v:27:y:2003:i:10:p:1699-17372012-12-25RePEc:eee:dyncon
article
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
10
2003
27
8
1699
1737
http://www.sciencedirect.com/science/article/B6V85-45XT75D-2/2/f2cfcacdd4783b9dee326f65d99dde2d
Jondeau, Eric
Rockinger, Michael
oai:RePEc:eee:dyncon:v:23:y:1999:i:7:p:1029-10642012-12-25RePEc:eee:dyncon
article
On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
7
1999
23
6
1029
1064
http://www.sciencedirect.com/science/article/B6V85-3WRBPDW-5/2/0474bb6ebd535265b6119289af129ae7
Basak, Suleyman
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2171-21932012-12-25RePEc:eee:dyncon
article
Gaining the competitive edge using internal and external spillovers: a dynamic analysis
11-12
2003
27
9
2171
2193
http://www.sciencedirect.com/science/article/B6V85-4753NRK-1/2/aa49fc959639b95c580f693c2874d1cc
Bischi, G. -I.
Dawid, H.
Kopel, M.
oai:RePEc:eee:dyncon:v:19:y:1995:i:1-2:p:155-1792012-12-25RePEc:eee:dyncon
article
Cycles and chaos in a socialist economy
1-2
1995
19
155
179
http://www.sciencedirect.com/science/article/B6V85-3YB56MM-1W/2/81b31c3123aa707cf334198ed9b4cb74
Hommes, Cars H.
Nusse, Helena E.
Simonovits, Andras
oai:RePEc:eee:dyncon:v:19:y:1995:i:8:p:1429-14482012-12-25RePEc:eee:dyncon
article
Optimal disinflationary paths
8
1995
19
11
1429
1448
http://www.sciencedirect.com/science/article/B6V85-3YB56J6-6/2/841fbec53ed1f357f12c84bfec10726e
Ireland, Peter N.
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:119-1402012-12-25RePEc:eee:dyncon
article
Dynamic optimal pricing and (possibly) advertising in the face of various kinds of potential entrants
1
1981
3
11
119
140
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-7/2/d1e0c7c3aa86070b09d05b8e008993de
Bourguignon, Francoise
Sethi, Suresh P.
oai:RePEc:eee:dyncon:v:31:y:2007:i:12:p:3860-38802012-12-25RePEc:eee:dyncon
article
Intensity-based framework and penalty formulation of optimal stopping problems
12
2007
31
12
3860
3880
http://www.sciencedirect.com/science/article/B6V85-4N6FV68-1/2/2eff6ef52f0632c13ba9b9fe731ee999
Dai, Min
Kwok, Yue Kuen
You, Hong
oai:RePEc:eee:dyncon:v:29:y:2005:i:9:p:1517-15452012-12-25RePEc:eee:dyncon
article
Specialization and non-renewable resources: Ricardo meets Ricardo
9
2005
29
9
1517
1545
http://www.sciencedirect.com/science/article/B6V85-4DVW3RX-1/2/b97735a511108eb9fcf1ea020675b367
Chakravorty, Ujjayant
Krulce, Darrell
Roumasset, James
oai:RePEc:eee:dyncon:v:21:y:1997:i:10:p:1627-16442012-12-25RePEc:eee:dyncon
article
A portfolio approach to endogenous growth: equilibrium and optimal policy
10
1997
21
8
1627
1644
http://www.sciencedirect.com/science/article/B6V85-3SX0PR1-4/2/a4e07bf1685f28e2b4080189d0d4c33b
Corsetti, Giancarlo
oai:RePEc:eee:dyncon:v:12:y:1988:i:1:p:19-252012-12-25RePEc:eee:dyncon
article
International policy coordination and the reduction of the US trade deficit
1
1988
12
3
19
25
http://www.sciencedirect.com/science/article/B6V85-45JK55T-W/2/d27331bc2ba0436389b5468e4d64ab4a
Marquez, Jaime
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:217-2342012-12-25RePEc:eee:dyncon
article
Choosing a monetary instrument The case of supply-side shocks
1
1981
3
11
217
234
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-H/2/7e5aa75fa68e4396be35324b1721880f
Craine, Roger
Havenner, Arthur
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1414-14302012-12-25RePEc:eee:dyncon
article
Maximin, viability and sustainability
The maximin criterion defines the highest utility level that can be sustained in an intergenerational equity perspective. The viability approach makes it possible to characterize all the economic trajectories sustaining a given, not necessarily maximal, utility level. In this paper, we exhibit the strong links between maximin and viability: we show that the value function of the maximin problem can be obtained in the viability framework, and that the maximin path is a particular viable path. This result allows us to extend the recommendations of the maximin approach beyond optimality, to characterize the sustainability of economic trajectories which differ from the maximin path. Attention is especially paid to non-negative net investment at maximin accounting prices, which is shown to be necessary to maintain the productive capacity of the economy, whether the development path is optimal or not. Our results provide a new theoretical ground to account for sustainability in imperfect economies, based on maximin prices.
Sustainability; Maximin; Viability; Dynamics; Optimality; Genuine savings;
9
2012
36
1414
1430
C61
E21
Q01
Q56
http://www.sciencedirect.com/science/article/pii/S0165188912000668
Doyen, L.
Martinet, V.
oai:RePEc:eee:dyncon:v:27:y:2002:i:1:p:157-1802012-12-25RePEc:eee:dyncon
article
Long-term risk management of nuclear waste: a real options approach
1
2002
27
11
157
180
http://www.sciencedirect.com/science/article/B6V85-46H21HP-9/2/1d68ab69eed315a610b6b2b4b33956f1
Louberge, Henri
Villeneuve, Stephane
Chesney, Marc
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:75-812012-12-25RePEc:eee:dyncon
article
Rival models in policy optimization
1-2
1986
10
6
75
81
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-G/2/923fabfd404c529cadcc6b657929cf9f
Becker, R.
Dwolatzky, B.
Karakitsos, E.
Rustem, B.
oai:RePEc:eee:dyncon:v:28:y:2003:i:2:p:331-3482012-12-25RePEc:eee:dyncon
article
Welfare effects of controlling labor supply: an application of the stochastic Ramsey model
2
2003
28
11
331
348
http://www.sciencedirect.com/science/article/B6V85-47G3XV0-2/2/ecbeb3b33d530948becefd562e888604
Amilon, Henrik
Bermin, Hans-Peter
oai:RePEc:eee:dyncon:v:13:y:1989:i:3:p:485-4972012-12-25RePEc:eee:dyncon
article
Oscillations in the Rodriguez model of entry and price dynamics
3
1989
13
7
485
497
http://www.sciencedirect.com/science/article/B6V85-46X3RNB-8/2/fdef11db147528b5adcef2e5a9159f82
Zhang, Wei-Bin
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2693-27242012-12-25RePEc:eee:dyncon
article
Interpolation and backdating with a large information set
12
2006
30
12
2693
2724
http://www.sciencedirect.com/science/article/B6V85-4HPD3HK-3/2/8ee35aa0b6b7356bec21266474b7977a
Angelini, Elena
Henry, Jerome
Marcellino, Massimiliano
oai:RePEc:eee:dyncon:v:10:y:1986:i:1-2:p:93-972012-12-25RePEc:eee:dyncon
article
The formulation of robust policies for rival rational expectations models of the economy
1-2
1986
10
6
93
97
http://www.sciencedirect.com/science/article/B6V85-4D8W2RC-K/2/a2f6f2d4163e274041c7b26fc3e4ef0d
Levine, Paul
oai:RePEc:eee:dyncon:v:29:y:2005:i:8:p:1313-13292012-12-25RePEc:eee:dyncon
article
Necessity of the transversality condition for stochastic models with bounded or CRRA utility
8
2005
29
8
1313
1329
http://www.sciencedirect.com/science/article/B6V85-4DTKKK8-2/2/3916b460926c1bcc98383d172f22e049
Kamihigashi, Takashi
oai:RePEc:eee:dyncon:v:36:y:2012:i:10:p:1520-15332012-12-25RePEc:eee:dyncon
article
Do institutional changes affect business cycles? Evidence from Europe
We study the effects that the Maastricht Treaty, the creation of the ECB, and the Euro changeover had on the dynamics of European business cycles using a panel VAR and data from 10 European countries—seven from the Euro area and three outside of it. There are changes in the features of European business cycles and in the transmission of shocks. They precede the three events of interest and are more linked to a general process of European convergence and synchronization.
Business cycles; European Monetary Union; Panel VAR; Structural changes;
10
2012
36
1520
1533
C15
C33
E32
E42
http://www.sciencedirect.com/science/article/pii/S0165188912000942
Canova, Fabio
Ciccarelli, Matteo
Ortega, Eva
oai:RePEc:eee:dyncon:v:26:y:2002:i:6:p:985-10072012-12-25RePEc:eee:dyncon
article
Monopolistic competition, dynamic inefficiency and asset bubbles
6
2002
26
6
985
1007
http://www.sciencedirect.com/science/article/B6V85-44KV265-6/2/1bd7748aab6a525f9cf2fe40121b087a
Femminis, Gianluca
oai:RePEc:eee:dyncon:v:20:y:1996:i:5:p:879-9042012-12-25RePEc:eee:dyncon
article
Employment cycles in search equilibrium
5
1996
20
5
879
904
http://www.sciencedirect.com/science/article/B6V85-3VVVR8J-8/2/e0bfcb6d18bc827aaaea7dc5dea68575
Fanizza, Domenico
oai:RePEc:eee:dyncon:v:30:y:2006:i:11:p:2217-22602012-12-25RePEc:eee:dyncon
article
Predictability and habit persistence
11
2006
30
11
2217
2260
http://www.sciencedirect.com/science/article/B6V85-4HG69H7-2/2/4a17ea597d7f096c97d81085e4bff57d
Collard, Fabrice
Feve, Patrick
Ghattassi, Imen
oai:RePEc:eee:dyncon:v:12:y:1988:i:1:p:181-1872012-12-25RePEc:eee:dyncon
article
Temporal risk aversion in a phased deregulation game
1
1988
12
3
181
187
http://www.sciencedirect.com/science/article/B6V85-45JK55T-1N/2/78c8573a3015f5e1eb80cc250e4e1d2c
Hsu, Shih-Hsun
Stefanou, Spiro E.
oai:RePEc:eee:dyncon:v:30:y:2006:i:3:p:361-3912012-12-25RePEc:eee:dyncon
article
Short-memory and the PPP hypothesis
3
2006
30
3
361
391
http://www.sciencedirect.com/science/article/B6V85-4HD8B3Y-1/2/25a1045190aa191683cf53544c295431
El-Gamal, Mahmoud A.
Ryu, Deockhyun
oai:RePEc:eee:dyncon:v:15:y:1991:i:4:p:607-6262012-12-25RePEc:eee:dyncon
article
Real business-cycle theory : Wisdom or whimsy?
4
1991
15
10
607
626
http://www.sciencedirect.com/science/article/B6V85-45R2GXH-1/2/cebcf926eacff8ea4eb2e5c3f8a40ea2
Eichenbaum, Martin
oai:RePEc:eee:dyncon:v:31:y:2007:i:10:p:3348-33692012-12-25RePEc:eee:dyncon
article
Income taxes, public investment and welfare in a growing economy
10
2007
31
10
3348
3369
http://www.sciencedirect.com/science/article/B6V85-4MX4VM8-1/2/0a0d3e5a53baba6ef28106cd4a7b6bb5
Marrero, Gustavo A.
Novales, Alfonso
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2168-21952012-12-25RePEc:eee:dyncon
article
Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
7
2007
31
7
2168
2195
http://www.sciencedirect.com/science/article/B6V85-4KTVNV4-1/2/50bb7247c837d80165843643998ecf3d
Chellathurai, Thamayanthi
Draviam, Thangaraj
oai:RePEc:eee:dyncon:v:32:y:2008:i:10:p:3192-32172012-12-25RePEc:eee:dyncon
article
A patent race in a real options setting: Investment strategy, valuation, CAPM beta, and return volatility
10
2008
32
10
3192
3217
http://www.sciencedirect.com/science/article/B6V85-4RS43GB-1/2/4c277c5751317bb50ee111134cbf8571
Meng, Rujing
oai:RePEc:eee:dyncon:v:25:y:2001:i:1-2:p:245-2792012-12-25RePEc:eee:dyncon
article
Simplicity versus optimality: The choice of monetary policy rules when agents must learn
1-2
2001
25
1
245
279
http://www.sciencedirect.com/science/article/B6V85-418PPNR-8/2/2446fa2cf4e702a728c982c8059d2298
Tetlow, Robert J.
von zur Muehlen, Peter
oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1747-17822012-12-25RePEc:eee:dyncon
article
Applications of randomized low discrepancy sequences to the valuation of complex securities
11-12
2000
24
10
1747
1782
http://www.sciencedirect.com/science/article/B6V85-412RWNR-B/2/10902c7369660310d0696ca96f51aaf2
Tan, Ken Seng
Boyle, Phelim P.
oai:RePEc:eee:dyncon:v:16:y:1992:i:2:p:289-3152012-12-25RePEc:eee:dyncon
article
Import price adjustments with staggered import contracts
2
1992
16
4
289
315
http://www.sciencedirect.com/science/article/B6V85-45NHVY2-6/2/685187d61d0504480df1c1b957cfef59
Kollintzas, Tryphon
Zhou, Ruilin
oai:RePEc:eee:dyncon:v:25:y:2001:i:3-4:p:459-5022012-12-25RePEc:eee:dyncon
article
Evolving market structure: An ACE model of price dispersion and loyalty
3-4
2001
25
3
459
502
http://www.sciencedirect.com/science/article/B6V85-419JHMW-7/2/2c0bd8653ad20d0f1ff7775f0f7d5cbd
Kirman, Alan P.
Vriend, Nicolaas J.
oai:RePEc:eee:dyncon:v:23:y:1999:i:4:p:519-5372012-12-25RePEc:eee:dyncon
article
Optimal growth when tastes are inherited
4
1999
23
2
519
537
http://www.sciencedirect.com/science/article/B6V85-3VF9C8K-2/2/33b1363196e18651cb543f62a416cbd8
Croix, David de la
Michel, Philippe
oai:RePEc:eee:dyncon:v:32:y:2008:i:11:p:3661-36812012-12-25RePEc:eee:dyncon
article
Adaptive learning and the use of forecasts in monetary policy
This paper investigates monetary policy design when central bank and private-sector expectations differ. Private agents learn adaptively; the central bank has a possibly misspecified model of the economy. Successful implementation of optimal policy using inflation targeting rules requires the central bank to have complete knowledge of private agents' learning behavior. If the central bank mistakenly assumes private agents to have rational expectations when in fact they are learning, then policy rules frequently lead to divergent learning dynamics. However, if the central bank does not correctly understand agents' behavior, stabilization policy is best implemented by controlling the path of the price level rather than the inflation rate.
Adaptive learning Monetary policy Targeting rules
11
2008
32
11
3661
3681
http://www.sciencedirect.com/science/article/B6V85-4SCD9XX-1/2/7343ef73f36418a883afc8da130a49d6
Preston, Bruce
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1605-16322012-12-25RePEc:eee:dyncon
article
Equilibrium and reinforcement learning in private-information games: An experimental study
9-10
1999
23
9
1605
1632
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-H/2/af43c7c2125c2861379ff5fb8890606b
Feltovich, Nick
oai:RePEc:eee:dyncon:v:32:y:2008:i:10:p:3166-31912012-12-25RePEc:eee:dyncon
article
Optimal interest rate stabilization in a basic sticky-price model
10
2008
32
10
3166
3191
http://www.sciencedirect.com/science/article/B6V85-4RRNXNG-1/2/2bbd63423801f1ec8dbadbedb722546b
Paustian, Matthias
Stoltenberg, Christian
oai:RePEc:eee:dyncon:v:30:y:2006:i:11:p:2305-23382012-12-25RePEc:eee:dyncon
article
Building up social capital in a changing world
11
2006
30
11
2305
2338
http://www.sciencedirect.com/science/article/B6V85-4H74KXN-1/2/6710449037adf52f070e9e498a81ae25
Vega-Redondo, Fernando
oai:RePEc:eee:dyncon:v:21:y:1997:i:1:p:1-222012-12-25RePEc:eee:dyncon
article
Endogenous growth theory: An introduction
1
1997
21
1
1
22
http://www.sciencedirect.com/science/article/B6V85-3T7HKH4-1/2/c9bc99199cd8326be1f3bf30646957c4
Jones, Larry E.
Manuelli, Rodolfo E.
oai:RePEc:eee:dyncon:v:32:y:2008:i:8:p:2428-24522012-12-25RePEc:eee:dyncon
article
On the application and use of DSGE models
8
2008
32
8
2428
2452
http://www.sciencedirect.com/science/article/B6V85-4PR3G6X-2/2/f55783b2eebbe2896fd381f378dafb2e
Alvarez-Lois, Pedro
Harrison, Richard
Piscitelli, Laura
Scott, Alasdair
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1326-13582012-12-25RePEc:eee:dyncon
article
The persistence of inflation in the United States
4
2007
31
4
1326
1358
http://www.sciencedirect.com/science/article/B6V85-4KF6BM1-1/2/24417d5a31cc8f191e94586d2ca7411d
Pivetta, Frederic
Reis, Ricardo
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1569-15872012-12-25RePEc:eee:dyncon
article
The stochastic lake game: A numerical solution
9-10
2006
30
1569
1587
http://www.sciencedirect.com/science/article/B6V85-4JVT1J3-1/2/182bd5ac3115721a5a6ed00bb3fbf11e
Dechert, W.D.
O'Donnell, S.I.
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3478-35022012-12-25RePEc:eee:dyncon
article
Pricing of path-dependent American options by Monte Carlo simulation
11
2007
31
11
3478
3502
http://www.sciencedirect.com/science/article/B6V85-4N0GDNG-2/2/f9c230fd63143fcf6dd95f1e43295c13
Fujiwara, Hajime
Kijima, Masaaki
oai:RePEc:eee:dyncon:v:31:y:2007:i:7:p:2486-25182012-12-25RePEc:eee:dyncon
article
Congestible public goods and local indeterminacy: A two-sector endogenous growth model
7
2007
31
7
2486
2518
http://www.sciencedirect.com/science/article/B6V85-4M51F65-1/2/6148e0babf9edeb2f39ff185d160464f
Chen, Been-Lon
Lee, Shun-Fa
oai:RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1687-17062012-12-25RePEc:eee:dyncon
article
Are European business cycles close enough to be just one?
9-10
2006
30
1687
1706
http://www.sciencedirect.com/science/article/B6V85-4JX3728-2/2/8a16d6f86b1ca6b92b74e75e9c5fade1
Camacho, Maximo
Perez-Quiros, Gabriel
Saiz, Lorena
oai:RePEc:eee:dyncon:v:25:y:2001:i:5:p:721-7462012-12-25RePEc:eee:dyncon
article
The importance of the number of different agents in a heterogeneous asset-pricing model
5
2001
25
5
721
746
http://www.sciencedirect.com/science/article/B6V85-41NTC6G-4/2/d34e38d4c3817c67e2c85ff3ada926b5
Den Haan, Wouter J.
oai:RePEc:eee:dyncon:v:28:y:2003:i:3:p:467-4922012-12-25RePEc:eee:dyncon
article
Nonlinear Phillips curves, mixing feedback rules and the distribution of inflation and output
3
2003
28
12
467
492
http://www.sciencedirect.com/science/article/B6V85-47T2DFC-1/2/53b87962e2e8afe42c3881d4457ea609
Corrado, Luisa
Holly, Sean
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1340-13482012-12-25RePEc:eee:dyncon
article
Two-sided intergenerational transfer policy and economic development: A politico-economic approach
We consider an overlapping generations model with public education and social security financed by labor income taxation, in which the overall size of these policies is determined in a repeated majority voting game. We investigate the interaction between these policies and economic development in stationary Markov perfect equilibria. In the politico-economic equilibrium, the labor income tax rate is represented as a linear increasing function of the ratio of the decisive voter's human capital and the average human capital level. A high level of initial income inequality reduces the size of public policies and retards economic growth.
Public education; Social security; Markov perfect equilibrium; Income inequality; Economic development;
9
2012
36
1340
1348
H55
O16
http://www.sciencedirect.com/science/article/pii/S016518891200067X
Naito, Katsuyuki
oai:RePEc:eee:dyncon:v:21:y:1997:i:2-3:p:603-6302012-12-25RePEc:eee:dyncon
article
Optimal investment and finance in renewable resource harvesting
2-3
1997
21
603
630
http://www.sciencedirect.com/science/article/B6V85-3SWV8HG-H/2/ff5c07c4db6f08afe9ca15152ea0eea9
Jorgensen, Steffen
Kort, Peter M.
oai:RePEc:eee:dyncon:v:29:y:2005:i:10:p:1673-17002012-12-25RePEc:eee:dyncon
article
Infectious disease and preventive behavior in an overlapping generations model
10
2005
29
10
1673
1700
http://www.sciencedirect.com/science/article/B6V85-4F3FF2S-1/2/d1be7f58605e46ee6dad4c5059d1d093
Momota, Akira
Tabata, Ken
Futagami, Koichi
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:471-4772012-12-25RePEc:eee:dyncon
article
Distribution of bankruptcy time in a consumption/portfolio problem
1-3
1996
20
471
477
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-12/2/d3d044b003a6f4a757bac880c36cc132
Presman, E.
Sethi, S.
oai:RePEc:eee:dyncon:v:17:y:1993:i:1-2:p:263-2872012-12-25RePEc:eee:dyncon
article
Estimation of simultaneous equation models with stochastic trend components
1-2
1993
17
263
287
http://www.sciencedirect.com/science/article/B6V85-46MMW27-D/2/f47b292c4b06ba27cc1596be32681d60
Streibel, Mariane
Harvey, Andrew
oai:RePEc:eee:dyncon:v:31:y:2007:i:4:p:1217-12442012-12-25RePEc:eee:dyncon
article
Pricing home mortgages and bank collateral: A rational expectations approach
4
2007
31
4
1217
1244
http://www.sciencedirect.com/science/article/B6V85-4KB14JM-1/2/9b0890f3dbd05235e09c78f70459e461
Ebrahim, M. Shahid
Mathur, Ike
oai:RePEc:eee:dyncon:v:20:y:1996:i:9-10:p:1541-15562012-12-25RePEc:eee:dyncon
article
Matchings, covers, and Jacobian matrices
9-10
1996
20
1541
1556
http://www.sciencedirect.com/science/article/B6V85-3VV430P-3/2/ad2b6210ce65b004049f5413996a2771
Gilli, Manfred
Garbely, Myriam
oai:RePEc:eee:dyncon:v:24:y:2000:i:4:p:623-6502012-12-25RePEc:eee:dyncon
article
Surplus analysis for overlapping generations
4
2000
24
4
623
650
http://www.sciencedirect.com/science/article/B6V85-3Y6HDF4-6/2/8c62643d50a7e2cf20e5cbaba6e22a89
Silvestre, Joaquim
oai:RePEc:eee:dyncon:v:33:y:2009:i:4:p:903-9212012-12-25RePEc:eee:dyncon
article
Investment timing, asymmetric information, and audit structure: A real options framework
This paper examines investment timing by the manager in a decentralized firm in the presence of asymmetric information. In particular, we incorporate an audit technology in the agency model developed by Grenadier and Wang [2005. Investment timing, agency, and information. Journal of Financial Economics 75, 493-533]. The implied investment trigger in the agency problem with auditing is larger than in the full-information problem, and smaller than in the agency problem without auditing. Nevertheless, the audit technology does not necessarily reduce inefficiency in the total social welfare.
Real options Asymmetric information Agency conflicts Audit
4
2009
33
4
903
921
http://www.sciencedirect.com/science/article/B6V85-4TY9MJW-1/2/b0000d440b6ef9f49628240fd12f3106
Shibata, Takashi
oai:RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1127-11572012-12-25RePEc:eee:dyncon
article
Prices as factors: Approximate aggregation with incomplete markets
7-8
2002
26
7
1127
1157
http://www.sciencedirect.com/science/article/B6V85-459HNNF-5/2/bab1ee2b289e8c6ef5cf2e238d79a973
Telmer, Chris I.
Zin, Stanley E.
oai:RePEc:eee:dyncon:v:18:y:1994:i:1:p:185-2032012-12-25RePEc:eee:dyncon
article
Modifications to the subroutine OPALQP for dealing with large problems
1
1994
18
1
185
203
http://www.sciencedirect.com/science/article/B6V85-46MMW30-W/2/79a10fb4599d05bb17964906218161f2
Bartholomew-Biggs, M. C.
Hernandez, M. deF. G.
oai:RePEc:eee:dyncon:v:33:y:2009:i:2:p:491-5062012-12-25RePEc:eee:dyncon
article
Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study
In contrast to existing literature we implement experimental asset markets with fluctuating fundamental values following a stochastic process. Therefore we can measure traders' behavior in both bullish and bearish markets. We observe underreaction of price changes to changes in fundamental value which induces overvaluation in bearish and undervaluation in bullish markets. We also find an asymmetry between markets with bullish fundamental values and those with bearish ones as the former markets show a higher degree of informational efficiency. The reason for the observed underreaction lies in the relatively large volatility of the underlying fundamental value process.
Asset markets Bubbles Experiment Underreaction
2
2009
33
2
491
506
http://www.sciencedirect.com/science/article/B6V85-4TB777J-1/2/944fbe05f272d24e161dfaa75a16c75c
Kirchler, Michael
oai:RePEc:eee:dyncon:v:27:y:2003:i:4:p:667-7002012-12-25RePEc:eee:dyncon
article
Utility based option evaluation with proportional transaction costs
4
2003
27
2
667
700
http://www.sciencedirect.com/science/article/B6V85-44CH1DN-1/2/6a0ac2e592dbb3009b10c5a07de8878c
Damgaard, Anders
oai:RePEc:eee:dyncon:v:25:y:2001:i:11:p:1841-18652012-12-25RePEc:eee:dyncon
article
On optimal portfolio choice under stochastic interest rates
11
2001
25
11
1841
1865
http://www.sciencedirect.com/science/article/B6V85-43DKSHS-7/2/67ffc5e6c73566dc58edd5171ec4014c
Lioui, Abraham
Poncet, Patrice
oai:RePEc:eee:dyncon:v:32:y:2008:i:5:p:1489-15162012-12-25RePEc:eee:dyncon
article
Investment, interest rate policy, and equilibrium stability
Carlstrom and Fuerst [2005. Investment and interest rate policy: a discrete time analysis. Journal of Economic Theory 123, 4-20.] show that in the presence of investment activity and price stickiness, indeterminacy of equilibrium is induced by forward-looking monetary policy that sets the interest rate in response only to future inflation. In a stochastic version of their model, we find that this indeterminacy problem is due to a cost channel of monetary policy, whereby inflation expectations become self-fulfilling, and the problem can be overcome once the forward-looking policy responds also to current output or contains sufficiently strong interest rate smoothing, since this prevents the self-fulfilling expectations. We also show that when E-stability is adopted as the selection criterion from multiple equilibria, even the forward-looking policy generates a locally unique non-explosive E-stable fundamental rational expectations equilibrium as long as the policy response to expected future inflation is sufficiently strong.
5
2008
32
5
1489
1516
http://www.sciencedirect.com/science/article/B6V85-4P29K6W-1/1/01258e3404bf3a24433e8483c43412f2
Kurozumi, Takushi
Van Zandweghe, Willem
oai:RePEc:eee:dyncon:v:9:y:1985:i:4:p:363-4042012-12-25RePEc:eee:dyncon
article
A method for estimating the timing interval in a linear econometric model, with an application to Taylor's model of staggered contracts
4
1985
9
12
363
404
http://www.sciencedirect.com/science/article/B6V85-4C40JH5-1J/2/0b908b8b26a8f83917f60dc7d678b4d7
Christiano, Lawrence J.
oai:RePEc:eee:dyncon:v:13:y:1989:i:2:p:151-1692012-12-25RePEc:eee:dyncon
article
The optimal lag selection and transfer function analysis in Granger causality tests
2
1989
13
4
151
169
http://www.sciencedirect.com/science/article/B6V85-46MMW4J-12/2/09a6dc93c4a5d537a85b66251fb08674
Kang, Heejoon
oai:RePEc:eee:dyncon:v:28:y:2004:i:4:p:817-8392012-12-25RePEc:eee:dyncon
article
Asset returns in an endogenous growth model with incomplete markets
4
2004
28
1
817
839
http://www.sciencedirect.com/science/article/B6V85-48BC1PP-2/2/e73b16c30584e7ec1019f0fc5460dd96
Krebs, Tom
Wilson, Bonnie
oai:RePEc:eee:dyncon:v:13:y:1989:i:4:p:597-6122012-12-25RePEc:eee:dyncon
article
State space modeling of time series : A review essay
4
1989
13
10
597
612
http://www.sciencedirect.com/science/article/B6V85-45GNWG5-5/2/e08d086d29103b69a49ce7e7082b3c04
Diebold, Francis X.
oai:RePEc:eee:dyncon:v:28:y:2003:i:1:p:117-1402012-12-25RePEc:eee:dyncon
article
Adaptive expectations coordination in an economy with heterogeneous agents
1
2003
28
10
117
140
http://www.sciencedirect.com/science/article/B6V85-46YXMWT-1/2/d25344c5a33077b57e4d0b86dc3a44ee
Negroni, Giorgio
oai:RePEc:eee:dyncon:v:13:y:1989:i:2:p:171-1852012-12-25RePEc:eee:dyncon
article
Geometric combination lags as flexible infinite distributed lag estimators
2
1989
13
4
171
185
http://www.sciencedirect.com/science/article/B6V85-46MMW4J-13/2/e2111e60d886f0b895c69ceb1e1860b4
Speaker, Paul J.
Mitchell, Douglas W.
Gelles, Gregory M.
oai:RePEc:eee:dyncon:v:30:y:2006:i:12:p:2793-28222012-12-25RePEc:eee:dyncon
article
Financially constrained arbitrage in illiquid markets
12
2006
30
12
2793
2822
http://www.sciencedirect.com/science/article/B6V85-4HTCTB7-2/2/0c7cf55598acabf380954abc91285de0
Attari, Mukarram
Mello, Antonio S.
oai:RePEc:eee:dyncon:v:24:y:2000:i:5-7:p:1121-11442012-12-25RePEc:eee:dyncon
article
Critical debt and debt dynamics
5-7
2000
24
6
1121
1144
http://www.sciencedirect.com/science/article/B6V85-3YNY75V-P/2/64e26ec8671eafdf810df6ab2bce2efc
Semmler, Willi
Sieveking, Malte
oai:RePEc:eee:dyncon:v:11:y:1987:i:1:p:29-642012-12-25RePEc:eee:dyncon
article
Pensions, wage profiles, and retirement rules specific human capital approach
1
1987
11
3
29
64
http://www.sciencedirect.com/science/article/B6V85-4C7WMJR-2/2/cb7686b31678909d2716a5a33af5c692
Chuma, Hiroyuki
oai:RePEc:eee:dyncon:v:14:y:1990:i:3-4:p:763-7952012-12-25RePEc:eee:dyncon
article
Periodic linear-quadratic methods for modeling seasonality
3-4
1990
14
10
763
795
http://www.sciencedirect.com/science/article/B6V85-45MFRX7-1F/2/614e2ed7f504022162bece930e1a59ac
Todd, Richard M.
oai:RePEc:eee:dyncon:v:28:y:2003:i:3:p:617-6412012-12-25RePEc:eee:dyncon
article
Long-run effects of unfunded social security with earnings-dependent benefits
3
2003
28
12
617
641
http://www.sciencedirect.com/science/article/B6V85-488Y7DB-1/2/47f4dd3c89d727317fccdd6cdb12b775
Zhang, Jie
Zhang, Junsen
oai:RePEc:eee:dyncon:v:5:y:1983:i:1:p:187-1992012-12-25RePEc:eee:dyncon
article
Limit price entry prevention when complete information is lacking
1
1983
5
2
187
199
http://www.sciencedirect.com/science/article/B6V85-4C47HD0-C/2/d59b0354d61ffc63c070e78f47881a38
Friedman, James W.
oai:RePEc:eee:dyncon:v:31:y:2007:i:5:p:1697-17272012-12-25RePEc:eee:dyncon
article
Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
5
2007
31
5
1697
1727
http://www.sciencedirect.com/science/article/B6V85-4KNM9WN-1/2/e2314773ded2afbbcf1b134f4bb183ab
Li, Tao
oai:RePEc:eee:dyncon:v:27:y:2003:i:3:p:357-3792012-12-25RePEc:eee:dyncon
article
Calculating short-run adjustments: Sensitivity to non-linearities in a representative agent framework
3
2003
27
1
357
379
http://www.sciencedirect.com/science/article/B6V85-46YVCK2-2/2/ee7340998a3b2d1148ff2a916dd9b3f2
Stemp, Peter J.
Herbert, Ric D.
oai:RePEc:eee:dyncon:v:5:y:1983:i:1:p:311-3212012-12-25RePEc:eee:dyncon
article
On the equivalence of solutions in rational expectations models
1
1983
5
2
311
321
http://www.sciencedirect.com/science/article/B6V85-4C47HD0-K/2/cb73f6c6e392d46cdcba4a47329fb3c9
Burmeister, Edwin
Flood, Robert P.
Garber, Peter M.
oai:RePEc:eee:dyncon:v:1:y:1979:i:4:p:305-3202012-12-25RePEc:eee:dyncon
article
Imperfect price adjustment and the optimal assignment of monetary and fiscal policies
4
1979
1
11
305
320
http://www.sciencedirect.com/science/article/B6V85-4DJ3F4H-5/2/042cd66bb46828e76254001504744853
Gertler, Mark
oai:RePEc:eee:dyncon:v:13:y:1989:i:2:p:301-3112012-12-25RePEc:eee:dyncon
article
On the extrapolation method and the USA algorithm
2
1989
13
4
301
311
http://www.sciencedirect.com/science/article/B6V85-46MMW4J-1C/2/9d583527a70395ec7f19a3da8e148fc0
Herceg, Dragoslav
Cvetkovic, Ljiljana
oai:RePEc:eee:dyncon:v:3:y:1981:i:1:p:1-272012-12-25RePEc:eee:dyncon
article
The optimality of socialist development strategies an empirical inquiry
1
1981
3
11
1
27
http://www.sciencedirect.com/science/article/B6V85-4D9X39C-1/2/403b6fe0f28b723cea807915f6399a49
Brada, Josef C.
King, Arthur E.
Schlagenhauf, Don E.
oai:RePEc:eee:dyncon:v:20:y:1996:i:4:p:681-6892012-12-25RePEc:eee:dyncon
article
Interpreting a stochastic monetary growth model as a modified social planner's problem
4
1996
20
4
681
689
http://www.sciencedirect.com/science/article/B6V85-3VWPNNV-8/2/1fc7bc28f2c25e23a7d9da28dce9231c
Salyer, Kevin D.
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1349-13632012-12-25RePEc:eee:dyncon
article
Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.
Agent based models; Nonlinear expectations; Survey data;
9
2012
36
1349
1363
F31
D84
C33
http://www.sciencedirect.com/science/article/pii/S0165188912000644
Reitz, Stefan
Rülke, Jan-Christoph
Stadtmann, Georg
oai:RePEc:eee:dyncon:v:26:y:2002:i:9-10:p:1585-16112012-12-25RePEc:eee:dyncon
article
Dynamic specifications in optimizing trend-deviation macro models
9-10
2002
26
8
1585
1611
http://www.sciencedirect.com/science/article/B6V85-44TVBP5-2/2/3c779f44f66dbc534a85644540f52c43
Kozicki, Sharon
Tinsley, P. A.
oai:RePEc:eee:dyncon:v:21:y:1997:i:10:p:1615-16252012-12-25RePEc:eee:dyncon
article
The value of information: The case of signal-dependent opportunity sets
10
1997
21
8
1615
1625
http://www.sciencedirect.com/science/article/B6V85-3SX0PR1-3/2/b4b11258a9eaad5070d22c7aa1ba947f
Sulganik, Eyal
Zilcha, Itzhak
oai:RePEc:eee:dyncon:v:21:y:1997:i:10:p:1669-16972012-12-25RePEc:eee:dyncon
article
Optimal policy in a model of endogenous fluctuations and assets
10
1997
21
8
1669
1697
http://www.sciencedirect.com/science/article/B6V85-3SX0PR1-6/2/c74cabfd90cdf8d2dd531cd43932188a
Taub, B.
oai:RePEc:eee:dyncon:v:36:y:2012:i:9:p:1322-13392012-12-25RePEc:eee:dyncon
article
Progressive services, asymptotically stagnant services, and manufacturing: Growth and structural change
We present a model of structural change which, distinctively, sub-divides services (S) into ‘Progressive Services’ (PS) and ‘Asymptotically Stagnant Services’ (AS), to better reflect the advent of the New Economy. A manufacturing (M) sector is also included, and non-homothetic preferences assumed. An expanding-product-variety endogenous-growth framework is adopted, and partially overlapping input sets across the three (sub-)sectors assumed. The model endogenously generates different stages of growth: services which in due course become classified as progressive first overtake AS, and then M, in innovation-driven productivity growth, consistent with post-World-War-II US experience. The socially optimal growth pattern differs qualitatively from the private, and optimal, time-varying R&D subsidies are identified.
Progressive services; Information technology; Structural change; Endogenous growth; Non-homothetic preferences;
9
2012
36
1322
1339
O41
H25
http://www.sciencedirect.com/science/article/pii/S0165188912000632
Kapur, Basant K.
oai:RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:315-3312012-12-25RePEc:eee:dyncon
article
Factor demand models with nonlinear short-run fluctuations
1-3
1996
20
315
331
http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-T/2/289e0d2553a4861923b14e4b3316ea63
Pfann, Gerard A.
oai:RePEc:eee:dyncon:v:21:y:1997:i:7:p:1259-12622012-12-25RePEc:eee:dyncon
article
Growth and economic development : Siro Lombardini, (Edward Elgar, Cheltenham, Glos., UK; Brookfield, Vermont, USA) ISBN 1 85898 394 0; [UK pound]49.95
7
1997
21
6
1259
1262
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-12/2/990c8a69d10a2573b8e572d391f4f5b8
Velupillai, K. Vela
oai:RePEc:eee:dyncon:v:18:y:1994:i:2:p:353-3802012-12-25RePEc:eee:dyncon
article
Limit cycles in intertemporal adjustment models : Theory and applications
2
1994
18
3
353
380
http://www.sciencedirect.com/science/article/B6V85-45CX0JG-4/2/709a0370ba92bbcfbf68a3882a18c6f1
Feichtinger, Gustav
Novak, Andreas
Wirl, Franz
oai:RePEc:eee:dyncon:v:20:y:1996:i:4:p:559-5822012-12-25RePEc:eee:dyncon
article
A maximum entropy approach to estimation and inference in dynamic models or Counting fish in the sea using maximum entropy
4
1996
20
4
559
582
http://www.sciencedirect.com/science/article/B6V85-3VWPNNV-2/2/be3e7ae9cad7788d736a0edb835fa46c
Golan, Amos
Judge, George
Karp, Larry
oai:RePEc:eee:dyncon:v:16:y:1992:i:2:p:267-2872012-12-25RePEc:eee:dyncon
article
Strategic dynamic interaction : Fish wars
2
1992
16
4
267
287
http://www.sciencedirect.com/science/article/B6V85-45NHVY2-5/2/84b220ad41d9e7acf78a02d35b1621a4
Fischer, Ronald D.
Mirman, Leonard J.
oai:RePEc:eee:dyncon:v:23:y:1999:i:4:p:539-5632012-12-25RePEc:eee:dyncon
article
Inflationary financing of public investment and economic growth
4
1999
23
2
539
563
http://www.sciencedirect.com/science/article/B6V85-3VF9C8K-3/2/becdcae86ab55cdb950dc984e0bafa78
Cavalcanti Ferreira, Pedro
oai:RePEc:eee:dyncon:v:32:y:2008:i:11:p:3718-37422012-12-25RePEc:eee:dyncon
article
Central bank reputation in a forward-looking model
This paper examines whether reputation concerns can induce the central bank to implement the time-inconsistent optimal monetary policy in the standard New Keynesian model. Interestingly, the forward-looking nature of this model enables us to account for the coordination of the private agents on the punishment length of their trigger strategy. Our results suggest that both the inflation bias and the stabilization bias can be overcome by a reputation-concerned central bank for the calibrations used in the literature. These results enable us to endogenize Woodford's timeless perspective and tend to weaken the case for recent monetary policy delegation proposals.
Inflation bias Monetary policy Reputation Stabilization bias Timeless perspective
11
2008
32
11
3718
3742
http://www.sciencedirect.com/science/article/B6V85-4S7JFTB-2/2/836e165db9d315cc0d5f7af3a55dc471
Loisel, Olivier
oai:RePEc:eee:dyncon:v:31:y:2007:i:11:p:3614-36432012-12-25RePEc:eee:dyncon
article
Computing continuous-time growth models with boundary conditions via wavelets
11
2007
31
11
3614
3643
http://www.sciencedirect.com/science/article/B6V85-4N2DRDM-1/2/081ae508e594494a3b1060c31ffdae34
Esteban-Bravo, Mercedes
Vidal-Sanz, Jose M.
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:1941-19592012-12-25RePEc:eee:dyncon
article
Global dynamics in macroeconomics: an overlapping generations example
11-12
2003
27
9
1941
1959
http://www.sciencedirect.com/science/article/B6V85-47189XN-1/2/e36fb68c194df1b62a3997dce7b24a4e
Gomis-Porqueras, Pere
Haro, Alex
oai:RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1405-14252012-12-25RePEc:eee:dyncon
article
Solving long-term financial planning problems via global optimization
8-9
1997
21
6
1405
1425
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-6/2/69db4df295f4f28dc78914bb7439ff45
Maranas, C. D.
Androulakis, I. P.
Floudas, C. A.
Berger, A. J.
Mulvey, J. M.
oai:RePEc:eee:dyncon:v:31:y:2007:i:6:p:1844-18742012-12-25RePEc:eee:dyncon
article
Fat tails and volatility clustering in experimental asset markets
6
2007
31
6
1844
1874
http://www.sciencedirect.com/science/article/B6V85-4N4S0D4-1/2/4a2cd35f3ccb7b559d433b8168cdaa92
Kirchler, Michael
Huber, Jurgen
oai:RePEc:eee:dyncon:v:33:y:2009:i:1:p:15-362012-12-25RePEc:eee:dyncon
article
Saddlepoint approximations for affine jump-diffusion models
Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuous-time asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Duffie et al. [2000. Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68, 1343-1376]. Calculating model prices requires inversion of these transforms, and this has limited the application of AJD models to the comparatively small subclass for which the transforms are available in closed form. This article seeks to widen the scope of AJD models amenable to practical application through approximate transform inversion techniques. More specifically, we develop the use of saddlepoint approximations for AJD models. These approximations facilitate the calculation of prices in AJD models whose transforms are not available explicitly. We derive and test several alternative saddlepoint approximations and find that they produce accurate prices over a wide range of parameters.
Transform inversion Characteristic function Option prices Numerical approximations
1
2009
33
1
15
36
http://www.sciencedirect.com/science/article/B6V85-4SH6B7X-3/2/9ec6133ec14ee10687ef64be1054c76d
Glasserman, Paul
Kim, Kyoung-Kuk
oai:RePEc:eee:dyncon:v:29:y:2005:i:3:p:509-5272012-12-25RePEc:eee:dyncon
article
Factor price uncertainty, technology choice and investment delay
3
2005
29
3
509
527
http://www.sciencedirect.com/science/article/B6V85-4CK1Y7T-1/2/f38e0edabce38ba6c775e7b01cf3019a
Kaboski, Joseph P.
oai:RePEc:eee:dyncon:v:22:y:1998:i:7:p:1117-11372012-12-25RePEc:eee:dyncon
article
Chaotic dynamics in a cash-in-advance economy
7
1998
22
5
1117
1137
http://www.sciencedirect.com/science/article/B6V85-3V5MB4X-7/2/60fd37cf72e9043027042f558312cc92
Michener, Ronald
Ravikumar, B.
oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1499-15252012-12-25RePEc:eee:dyncon
article
Binomial valuation of lookback options
11-12
2000
24
10
1499
1525
http://www.sciencedirect.com/science/article/B6V85-412RWNR-2/2/ec768501a417e7388f606fc66491cde5
Babbs, Simon
oai:RePEc:eee:dyncon:v:30:y:2006:i:1:p:1-252012-12-25RePEc:eee:dyncon
article
European option pricing and hedging with both fixed and proportional transaction costs
1
2006
30
1
1
25
http://www.sciencedirect.com/science/article/B6V85-4F37M5H-1/2/534f6c6a93b937297b01ad2dfcd26d31
Zakamouline, Valeri I.
oai:RePEc:eee:dyncon:v:19:y:1995:i:4:p:869-8722012-12-25RePEc:eee:dyncon
article
Theorists of economic growth from David Hume to the present
4
1995
19
5
869
872
http://www.sciencedirect.com/science/article/B6V85-48DY1GD-6/2/758ae4f0ce8554303afe4c8d4aab005c
Mongardini, Joannes
oai:RePEc:eee:dyncon:v:28:y:2003:i:2:p:273-2852012-12-25RePEc:eee:dyncon
article
Computing sunspot equilibria in linear rational expectations models
2
2003
28
11
273
285
http://www.sciencedirect.com/science/article/B6V85-479KD7K-1/2/4a621b33c3b96e058b8c326feb39da80
Lubik, Thomas A.
Schorfheide, Frank
oai:RePEc:eee:dyncon:v:27:y:2002:i:2:p:271-2812012-12-25RePEc:eee:dyncon
article
Indeterminacy in a dynamic small open economy
2
2002
27
12
271
281
http://www.sciencedirect.com/science/article/B6V85-46SVXBT-5/2/2e9d4c14722b24db6729f9e3f9094c57
Nishimura, Kazuo
Shimomura, Koji
oai:RePEc:eee:dyncon:v:12:y:1988:i:1:p:127-1332012-12-25RePEc:eee:dyncon
article
Dynamic adjustment of firms' capital structures in a varying-risk environment
1
1988
12
3
127
133
http://www.sciencedirect.com/science/article/B6V85-45JK55T-1C/2/65a7eb831d48c27c7ba2e9c9fb71cfd0
Baum, Christopher F.
Doyle, Joanne M.
oai:RePEc:eee:dyncon:v:15:y:1991:i:2:p:339-3532012-12-25RePEc:eee:dyncon
article
Exchange market intervention under multiple solutions : Should we rule out multiple solutions?
2
1991
15
4
339
353
http://www.sciencedirect.com/science/article/B6V85-45FCJHP-6/2/ff202fdda62d75644ea8eca421d29150
Fukuda, Shin-ichi
oai:RePEc:eee:dyncon:v:30:y:2006:i:2:p:243-2782012-12-25RePEc:eee:dyncon
article
Equilibrium consumption and precautionary savings in a stochastically growing economy
2
2006
30
2
243
278
http://www.sciencedirect.com/science/article/B6V85-4FK3PBP-1/2/a11c70adfeaabc371ae7ec4cf75374ef
Turnovsky, Stephen J.
Smith, William T.
oai:RePEc:eee:dyncon:v:27:y:2003:i:6:p:937-9692012-12-25RePEc:eee:dyncon
article
The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
6
2003
27
4
937
969
http://www.sciencedirect.com/science/article/B6V85-45VG7NP-1/2/414268a6173d22244b955cb8ee863de5
Tokat, Yesim
Rachev, Svetlozar T.
Schwartz, Eduardo S.
oai:RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:385-4232012-12-25RePEc:eee:dyncon
article
Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates
2-3
1988
12
385
423
http://www.sciencedirect.com/science/article/B6V85-45MFRW4-M/2/8448f4d350843e858d7b2eb9b0e9fa36
Hamilton, James D.
oai:RePEc:eee:dyncon:v:12:y:1988:i:1:p:7-122012-12-25RePEc:eee:dyncon
article
Sector-specific capital and real exchange rate dynamics
1
1988
12
3
7
12
http://www.sciencedirect.com/science/article/B6V85-45JK55T-T/2/1c45c52cf42beea844e24da5c51edec6
Murphy, Robert G.
oai:RePEc:eee:dyncon:v:21:y:1997:i:4-5:p:853-8722012-12-25RePEc:eee:dyncon
article
A market structure for an environment with heterogeneous job-matches, indivisible labor and persistent unemployment
4-5
1997
21
5
853
872
http://www.sciencedirect.com/science/article/B6V85-3SWY0XD-8/2/759d4706197a2e01987215d4e00976ec
Merz, Monika
oai:RePEc:eee:dyncon:v:17:y:1993:i:3:p:401-4212012-12-25RePEc:eee:dyncon
article
A solution to the positivity problem in the state-space approach to modeling vector-valued time series
3
1993
17
5
401
421
http://www.sciencedirect.com/science/article/B6V85-45JK5BH-32/2/25492d6b442c518b2470c9650bf45281
Vaccaro, Richard J.
Vukina, Tomislav
oai:RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1459-14852012-12-25RePEc:eee:dyncon
article
The U.S. Phillips curve: The case for asymmetry
9-10
1999
23
9
1459
1485
http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-9/2/812f3ccfc13a44951271c0c2ddbbb519
Laxton, Douglas
Rose, David
Tambakis, Demosthenes
oai:RePEc:eee:dyncon:v:32:y:2008:i:1:p:279-3022012-12-25RePEc:eee:dyncon
article
Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
1
2008
32
1
279
302
http://www.sciencedirect.com/science/article/B6V85-4PKX5M3-2/2/328a7479f39dbc7354156555d2951be7
Rosenow, Bernd
oai:RePEc:eee:dyncon:v:26:y:2002:i:2:p:247-2702012-12-25RePEc:eee:dyncon
article
Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness
2
2002
26
2
247
270
http://www.sciencedirect.com/science/article/B6V85-43Y9W8B-5/2/dd7bb7da96968e22edbf20ce4fe5a030
Gong, Liutang
Zou, Heng-fu
oai:RePEc:eee:dyncon:v:11:y:1987:i:2:p:229-2342012-12-25RePEc:eee:dyncon
article
On the minimax Lyapunov stabilization of uncertain economies
2
1987
11
6
229
234
http://www.sciencedirect.com/science/article/B6V85-45JK54D-F/2/3d17c52c696c566c16f5ea657a7ae9c6
Deissenberg, Christophe
oai:RePEc:eee:dyncon:v:18:y:1994:i:1:p:161-1842012-12-25RePEc:eee:dyncon
article
Variational inequalities in the analysis and computation of multi-sector, multi-instrument financial equilibria
1
1994
18
1
161
184
http://www.sciencedirect.com/science/article/B6V85-46MMW30-V/2/3ebe181e61e06d1e68076d0cc4632df7
Nagurney, Anna
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2035-20572012-12-25RePEc:eee:dyncon
article
Mitigation of the Lucas critique with stochastic control methods
11-12
2003
27
9
2035
2057
http://www.sciencedirect.com/science/article/B6V85-47287N6-1/2/82028d7ffd7ce16dc6734919b01cf30d
Amman, Hans M.
Kendrick, David A.
oai:RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1353-13762012-12-25RePEc:eee:dyncon
article
Optimal delta-hedging under transactions costs
8-9
1997
21
6
1353
1376
http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-4/2/d20c450004500d17a476dcf41067106c
Clewlow, Les
Hodges, Stewart
oai:RePEc:eee:dyncon:v:27:y:2003:i:11-12:p:2207-22182012-12-25RePEc:eee:dyncon
article
Learning competitive pricing strategies by multi-agent reinforcement learning
11-12
2003
27
9
2207
2218
http://www.sciencedirect.com/science/article/B6V85-470M5XH-1/2/2eb0cc6878abee43bb67d32ef3d0fd00
Kutschinski, Erich
Uthmann, Thomas
Polani, Daniel
oai:RePEc:eee:dyncon:v:35:y:2011:i:4:p:479-4902011-03-25RePEc:eee:dyncon
article
Environmental policy and stable collusion: The case of a dynamic polluting oligopoly
We show that the imposition of a Markovian tax on emissions, that is, a tax rate which depends on the pollution stock, can induce stable cartelization in an oligopolistic polluting industry. This does not hold for a uniform tax. Thus, accounting for the feedback effect that exists within a dynamic framework, where pollution is allowed to accumulate into a stock over time, changes the result obtained within a static framework. Moreover, the cartel formation can diminish the welfare gain from environmental regulation such that welfare under environmental regulation and collusion of firms lies below that under a laissez-faire policy.
Pollution tax Oligopoly Cartel formation Coalition formation Differential game
4
2011
35
4
479
490
http://www.sciencedirect.com/science/article/B6V85-51P9T45-1/2/82d0a909075f6f6c2b2ec51a4e991d99
Benchekroun, Hassan
Ray Chaudhuri, Amrita
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:2023-20372011-03-25RePEc:eee:dyncon
article
Optimal monetary policy in the generalized Taylor economy
In this paper, we use the generalized Taylor economy (GTE) framework to examine the optimal choice of inflation index. In this otherwise standard dynamic stochastic general equilibrium (DSGE) model, there can be many sectors, each with a different contract length. In the GTE framework with an empirically relevant contract structure, a simple rule under which the interest rate responds to economy-wide inflation gives a welfare outcome nearly identical to the optimal policy. This finding suggests that it may not be necessary for a well-designed monetary policy to respond to sector-specific inflations.
Inflation targeting Optimal monetary policy
10
2010
34
10
2023
2037
http://www.sciencedirect.com/science/article/B6V85-4YWYYNH-1/2/7bf32a56721aaa52b271bdbb882f0012
Kara, Engin
oai:RePEc:eee:dyncon:v:35:y:2011:i:4:p:604-6152011-03-25RePEc:eee:dyncon
article
Second-order approximation of dynamic models without the use of tensors
Several approaches to finding the second-order approximation to a dynamic model have been proposed recently. This paper differs from the existing literature in that it makes use of the Magnus and Neudecker (1999) definition of the Hessian matrix. The key result is a linear system of equations that characterizes the second-order coefficients. No use is made of multi-dimensional arrays or tensors, a practical implication of which is that it is much easier to transcribe the mathematical representation of the solution into usable computer code. Matlab code is available from http://paulklein.se/newsite/codes/codes.php; Fortran 90 code is available from http://alcor.concordia.ca/~pgomme/.
Solving dynamic models Second-order approximation
4
2011
35
4
604
615
http://www.sciencedirect.com/science/article/B6V85-51BNWP6-1/2/ffe57b938b4a2bd30dfc926de025ce7c
Gomme, Paul
Klein, Paul
oai:RePEc:eee:dyncon:v:34:y:2010:i:12:p:2578-26002011-03-25RePEc:eee:dyncon
article
Equilibrium open interest
This paper analyses what determines an individual investor's risk-sharing demand for options and, aggregating across investors, what the equilibrium demand for options. We find that agents trade options to achieve their desired skewness; specifically, we find that portfolio holdings boil down to a three-fund separation theorem that includes a so-called skewness portfolio that agents like to attain. Our analysis indicates also, however, that the common risk-sharing setup used for option demand and pricing is incompatible with a stylized fact about open interest across strikes.
Option demand Open interest Co-skewness Skewness preference
12
2010
34
12
2578
2600
http://www.sciencedirect.com/science/article/B6V85-50PCM69-2/2/7dd224801953b179ccece0d6a03a6b2f
Judd, Kenneth L.
Leisen, Dietmar P.J.
oai:RePEc:eee:dyncon:v:34:y:2010:i:11:p:2232-22442011-03-25RePEc:eee:dyncon
article
Jump and volatility risk premiums implied by VIX
An estimation method is developed for extracting the latent stochastic volatility from VIX, a volatility index for the S&P 500 index return produced by the Chicago Board Options Exchange (CBOE) using the so-called model-free volatility construction. Our model specification encompasses all mean-reverting stochastic volatility option pricing models with a constant-elasticity of variance and those allowing for price jumps under stochastic volatility. Our approach is made possible by linking the latent volatility to the VIX index via a new theoretical relationship under the risk-neutral measure. Because option prices are not directly used in estimation, we can avoid the computational burden associated with option valuation for stochastic volatility/jump option pricing models. Our empirical findings are: (1) incorporating a jump risk factor is critically important; (2) the jump and volatility risks are priced; (3) the popular square-root stochastic volatility process is a poor model specification irrespective of allowing for price jumps or not. Our simulation study shows that statistical inference is reliable and not materially affected by the approximation used in the VIX index construction.
Model-free volatility Stochastic volatility Jump Options VIX Constant elasticity of variance
11
2010
34
11
2232
2244
http://www.sciencedirect.com/science/article/B6V85-506J0FH-1/2/6a9251764fe7abb6deda18b0b4dea764
Duan, Jin-Chuan
Yeh, Chung-Ying
oai:RePEc:eee:dyncon:v:34:y:2010:i:11:p:2245-22582011-03-25RePEc:eee:dyncon
article
Pricing of CDOs based on the multivariate Wang transform
This paper extends the one-factor Gaussian copula model, the standard market model for valuing CDOs, based on the multivariate Wang transform. Unlike the existing models, our model calibrates the parameter associated with a risk adjustment for default threshold, not correlation parameter, which always exists and is unique for any market price of CDO tranche. A Student t-copula model is also considered within the same framework to describe a fat-tail distribution observed in the actual market. Through numerical experiments, it is shown that our model provides a better fit to the market data compared with the existing models.
One-factor Gaussian copula model Merton's structural model Multivariate Wang transform Student t copula
11
2010
34
11
2245
2258
http://www.sciencedirect.com/science/article/B6V85-506H0K8-1/2/e64ac18dcbbcc8cf2243abaebca05b80
Kijima, Masaaki
Motomiya, Shin-ichi
Suzuki, Yoichi
oai:RePEc:eee:dyncon:v:34:y:2010:i:12:p:2420-24392011-03-25RePEc:eee:dyncon
article
Maintenance and investment: Complements or substitutes? A reappraisal
A benchmark AK optimal growth model with maintenance expenditures and endogenous utilization of capital is considered within an explicit vintage capital framework. Scrapping is endogenous, and the model allows for a clean distinction between age and usage dependent capital depreciation and obsolescence. It is also shown that in this set-up past investment profile completely determines the size of current maintenance expenditures. Among other findings, a closed-form solution to optimal dynamics is provided taking advantage of very recent development in optimal control of infinite dimensional systems. More importantly, and in contrast to the pre-existing literature, we study investment and maintenance co-movements without any postulated ad hoc depreciation function. In particular using impulse response experiments, we find that optimal investment and maintenance do move together in the short-run in response to neutral technological shocks, which seems to be more consistent with the data.
Maintenance Investment Optimal control Dynamic programming Infinite dimensional problem
12
2010
34
12
2420
2439
http://www.sciencedirect.com/science/article/B6V85-508PPN6-2/2/3fe0bc48a42b2667bbd21853c1b671e8
Boucekkine, R.
Fabbri, G.
Gozzi, F.
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:2179-21912011-03-25RePEc:eee:dyncon
article
Technology shocks, capital utilization and sticky prices
We quantitatively evaluate a business-cycle environment featuring endogenous capital utilization and nominal price rigidity that illustrates a negative relationship between labor hours and technology (TFP) shocks and a positive relationship between hours and investment (MEI) shocks. Sticky prices induce firms to suppress changes in output due to TFP shocks through changes in the utilization rate of the existing capital stock and labor demand. MEI shocks have an indirect impact on output via their link with capital utilization, and are shown to be the dominant driver of post-1979 US business cycles.
Business-cycle shocks Total factor productivity Marginal efficiency of investment Nominal rigidities
10
2010
34
10
2179
2191
http://www.sciencedirect.com/science/article/B6V85-505NRX4-4/2/3d29a73b151288cd43cdec4ed4e07312
Dave, Chetan
Dressler, Scott J.
oai:RePEc:eee:dyncon:v:35:y:2011:i:5:p:746-7632011-03-25RePEc:eee:dyncon
article
EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility
Previous studies have suggested that some pollutant levels first increases due to the economic growth and then start decreasing, the pattern being called the "environmental Kuznets curve" (EKC). We examine EKC-type transitions of pollutant levels not with respect to economic growth but more generally in time. Assuming that each policy maker optimally executes the two switching options of regulation and unregulation for pollution, the switching dynamics of environmental policy can be described by an alternating renewal process. It is shown that the double Laplace transform of transition density of a pollutant level can be obtained by a novel application of renewal theory. The expected level of overall pollutants is then calculated numerically and found to exhibit either a [Lambda][hyphen (true graphic)]shaped or an N-shaped pattern in time. Our results present a simple explanation for the EKC-type transitions of pollutant levels within a real options framework.
Environmental Kuznets curve Real option Alternating renewal process Double Laplace transform
5
2011
35
5
746
763
http://www.sciencedirect.com/science/article/B6V85-51XH963-4/2/cc560764f9402da0fabb377447b8f407
Kijima, Masaaki
Nishide, Katsumasa
Ohyama, Atsuyuki
oai:RePEc:eee:dyncon:v:34:y:2010:i:11:p:2320-23402011-03-25RePEc:eee:dyncon
article
Shape factors and cross-sectional risk
Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide relevant information when assessing dynamic risk in fixed income markets. We put forward a theoretical framework supporting that finding based on the notion of "shape factors". We devise an econometric procedure to identify shape factors, propose a dynamic model for the yield curve, develop a corresponding arbitrage pricing theory, derive interest rate pricing formulae, and study the analytical properties exhibited by a finite factor restriction of rate dynamics that is cross-sectionally consistent with a family of exponentially weighed polynomials. We also conduct an empirical analysis of cross-sectional risk affecting US swap, Euro bond, and oil markets. Results support the conclusion whereby shape factors outperform the classical yield (resp., price) factors (i.e., level, slope, and convexity) in explaining the underlying fixed income (resp., commodity) market risk. The methodology can in principle be used for understanding the intertemporal dynamics of any cross-sectional data.
Risk measures Factor analysis Cross-sectional analysis Interest rates
11
2010
34
11
2320
2340
http://www.sciencedirect.com/science/article/B6V85-508PPN6-1/2/12cd80e6f04b8b22e8e86328130b03b5
Roncoroni, Andrea
Galluccio, Stefano
Guiotto, Paolo
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:2229-22292011-03-25RePEc:eee:dyncon
article
Corrigendum to "New Keynesian versus old Keynesian government spending multipliers" [J. Econ. Dynam. Control 34(3) (2010) 281-295]
10
2010
34
10
2229
2229
http://www.sciencedirect.com/science/article/B6V85-50C5X6C-1/2/eaed7a81d66f8d4925ca57b2b19b30da
Cogan, John F.
Cwik, Tobias
Taylor, John B.
Wieland, Volker
oai:RePEc:eee:dyncon:v:35:y:2011:i:2:p:229-2392011-03-25RePEc:eee:dyncon
article
Solving the multi-country real business cycle model using a Smolyak-collocation method
We describe a sparse-grid collocation method to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method can be in applications by computing the non-linear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy, the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with up to 10 countries (i.e., up to 20 continuous-valued state variables).
Sparse grids Collocation International real business cycles
2
2011
35
2
229
239
http://www.sciencedirect.com/science/article/B6V85-514P5RX-6/2/cbce27c8dc59efddf50ccc02fd600e67
Malin, Benjamin A.
Krueger, Dirk
Kubler, Felix
oai:RePEc:eee:dyncon:v:35:y:2011:i:5:p:730-7452011-03-25RePEc:eee:dyncon
article
Durable goods, inter-sectoral linkages and monetary policy
Durable goods pose a challenge for standard sticky-price models because the near constancy of their shadow value and their apparent price flexibility lead to perverse and counterfactual economic implications, such as the tendency of the durables and nondurables sectors to move in opposite directions following a monetary policy shock. This paper introduces input-output interactions and limited input mobility into an otherwise standard sticky-price model with durable and nondurable goods. The extended model generates substantial aggregate effects and positive sectoral comovement following a monetary policy shock, even when durable goods have flexible prices. The latter result is consistent with empirical evidence on the sectoral effects of monetary policy.
Durability Input-output interactions Roundabout production Sectoral comovement Monetary policy
5
2011
35
5
730
745
http://www.sciencedirect.com/science/article/B6V85-51YYNVF-2/2/dcef3fb370d8b50265f703cd7049f9ec
Bouakez, Hafedh
Cardia, Emanuela
Ruge-Murcia, Francisco J.
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:2074-20882011-03-25RePEc:eee:dyncon
article
The method of endogenous gridpoints with occasionally binding constraints among endogenous variables
We show how the method of endogenous gridpoints can be extended to solve models with occasionally binding constraints among endogenous variables very efficiently. We present the method for a consumer problem with occasionally binding collateral constraints and non-separable utility in durable and non-durable consumption. This problem allows for a joint analysis of durable and non-durable consumption in models with uninsurable income risk which is important to understand patterns of consumption, saving and collateralized debt. We illustrate the algorithm and its efficiency by calibrating the model to US data.
Endogenous gridpoints method Occasionally binding constraints Collateralized debt Durables
10
2010
34
10
2074
2088
http://www.sciencedirect.com/science/article/B6V85-501FPFH-1/2/99844cbee168fa77aeed7d060eb58a8e
Hintermaier, Thomas
Koeniger, Winfried
oai:RePEc:eee:dyncon:v:35:y:2011:i:3:p:253-2562011-03-25RePEc:eee:dyncon
article
Comment on "A dynamic portfolio choice model of tax evasion: Comparative statics of tax rates and its implication for economic growth"
3
2011
35
3
253
256
http://www.sciencedirect.com/science/article/B6V85-50S8PGC-1/2/665169c5aa0eae4eb3ff7d12e08a77c4
Dzhumashev, Ratbek
Gahramanov, Emin
oai:RePEc:eee:dyncon:v:35:y:2011:i:3:p:312-3292011-03-25RePEc:eee:dyncon
article
Dividends and leverage: How to optimally exploit a non-renewable investment
In this paper we model the situation where a non-renewable investment is given, for instance a resource reservoir, and show how to optimally trade-off between dividends and leverage, in order to maximize a performance indicator for shareholders, up to the bankruptcy time. We then study the way market risk (the volatility of the market price of the resource) impacts the optimal policies and the default risk of the company. The moments when the policies are rebalanced are analyzed and we give a measure of the agency costs which appear between the shareholders and the debt-holders.
Dividend policy Capital structure Non-renewable investment Default risk Bankruptcy costs Agency costs
3
2011
35
3
312
329
http://www.sciencedirect.com/science/article/B6V85-51JPWMD-1/2/d90caf73b5f8782bb9af5b201f4fc952
Coculescu, Delia
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:2141-21582011-03-25RePEc:eee:dyncon
article
Anticipated tax reforms and temporary tax cuts: A general equilibrium analysis
Macroeconomic studies of tax policy in dynamic general equilibrium usually assume that reforms hit the economy unexpectedly and last forever. Here, we explore how previous results change when we allow policy changes to be pre-announced and of finite duration and when these facts are anticipated by households and firms. Quantitatively we demonstrate a headstart advantage from pre-announcement that is never caught up by a surprising reform. The welfare gain stemming from a 5-year announcement phase of a corporate tax cut, for example, is estimated to be around 10 percent of the total gain from the reform. We show that impulse responses of important variables like firm value, dividends, and investment differ qualitatively depending on whether the reform comes expected or not. We are also able to demonstrate a genuine welfare gain from temporary tax cuts. Impulse responses generated by our numerical method can be retraced by phase diagram analysis, which facilitates explanation and interpretation of the produced results.
Tax reform Anticipation effects Investment Economic growth Welfare Corporate finance Capital taxation
10
2010
34
10
2141
2158
http://www.sciencedirect.com/science/article/B6V85-505NRX4-5/2/d495cb8eb2d07fe10b774f9d9bdcfad2
Strulik, Holger
Trimborn, Timo
oai:RePEc:eee:dyncon:v:34:y:2010:i:12:p:2391-24062011-03-25RePEc:eee:dyncon
article
Dynamics of brand competition: Effects of unobserved social networks
Brand competition is modelled using an agent based approach in order to examine the long run dynamics of market structure and brand characteristics. A repeated game is designed where myopic firms choose strategies based on beliefs about their rivals and consumers. Consumers are heterogeneous and can observe neighbour behaviour through social networks. Although firms do not observe them, the social networks have a significant impact on the emerging market structure. Presence of networks tends to polarize market share and leads to higher volatility in brands. Yet convergence in brand characteristics usually happens whenever the market reaches a steady state. Scale-free networks accentuate the polarization and volatility more than small world or random networks. Unilateral innovations are less frequent under social networks.
Dynamic oligopoly Evolutionary game Social network
12
2010
34
12
2391
2406
http://www.sciencedirect.com/science/article/B6V85-509W721-2/2/5250b4fae9b87a895eee9e241f5919f8
Sengupta, Abhijit
Greetham, Danica Vukadinovic
oai:RePEc:eee:dyncon:v:34:y:2010:i:9:p:1531-15492011-03-25RePEc:eee:dyncon
article
The parameter set in an adaptive control Monte Carlo experiment: Some considerations
Comparisons of various methods for solving stochastic control economic models can be done with Monte Carlo methods. These methods have been applied to simple one-state, one-control quadratic-linear tracking models; however, large outliers may occur in a substantial number of the Monte Carlo runs when certain parameter sets are used in these models. Building on the work of Mizrach (1991) and (Amman and Kendrick, 1994) and (Amman and Kendrick, 1995), this paper tracks the source of these outliers to two sources: (1) the use of a zero for the penalty weights on the control variables and (2) the generation of near-zero initial estimate of the control parameter in the systems equations by the Monte Carlo routine. This result leads to an understanding of why both the unsophisticated optimal feedback (certainty equivalence) and the sophisticated dual methods do poorly in some Monte Carlo comparisons relative to the moderately sophisticated expected optimal feedback method.
Active learning Dual control Optimal experimentation Stochastic optimization Time-varying parameters Numerical experiments
9
2010
34
9
1531
1549
http://www.sciencedirect.com/science/article/B6V85-50DYH0H-2/2/c36bf2647755195326d2d2934c6c7af4
Tucci, Marco P.
Kendrick, David A.
Amman, Hans M.
oai:RePEc:eee:dyncon:v:35:y:2011:i:4:p:565-5782011-03-25RePEc:eee:dyncon
article
Transmission lags and optimal monetary policy
The credibility problems of monetary policy are enlarged by transmission lags whenever the welfare criterion consists of arguments with differing transmission lags. If, as usually argued, prices react to monetary policy with a longer lag than output, the discretionary bias is substantially increased under a consumer welfare maximizing policy criterion (flexible inflation targeting) in the prototype New Keynesian model. Money growth targeting can significantly reduce the discretionary bias, but is not robust to other specifications of welfare with higher valuation of output stability.
Discretion and stabilization bias Monetary policy Transmission lags Inflation targeting Money targeting
4
2011
35
4
565
578
http://www.sciencedirect.com/science/article/B6V85-51TGG0W-1/2/d86f89813b29b57d2b0f1c263e778746
Kilponen, Juha
Leitemo, Kai
oai:RePEc:eee:dyncon:v:35:y:2011:i:1:p:52-662011-03-25RePEc:eee:dyncon
article
Monetary policy and learning from the central bank's forecast
We examine the expectational stability (E-stability) of rational expectations equilibrium (REE) in a standard New Keynesian model in which private agents refer to the central bank's forecast in the process of adaptive learning. To satisfy the E-stability condition in this environment, the central bank must respond more strongly to the expected inflation rate than the extent to which the Taylor principle suggests. However, the central bank's strong reaction to the expected inflation rate raises the possibility of indeterminacy of the REE. In considering these problems, a robust policy requires responding to the current inflation rate to a certain degree.
Adaptive learning E-stability New Keynesian model Monetary policy Taylor principle
1
2011
35
1
52
66
http://www.sciencedirect.com/science/article/B6V85-50PCM69-3/2/274859ddc8984ae88e96523b30d47d46
Muto, Ichiro
oai:RePEc:eee:dyncon:v:35:y:2011:i:1:p:148-1622011-03-25RePEc:eee:dyncon
article
An analysis of the effect of noise in a heterogeneous agent financial market model
Heterogeneous agent models (HAMs) in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems. Because of the complexity of the interaction between the nonlinearities and noise, a commonly used, often called indirect, approach to the study of HAMs combines theoretical analysis of the underlying deterministic skeleton with numerical analysis of the stochastic model. However, it is well known that this indirect approach may not properly characterise the nature of the stochastic model. This paper aims to tackle this issue by developing a direct and analytical approach to the analysis of a stochastic model of speculative price dynamics involving two types of agents, fundamentalists and chartists, and the market price equilibria of which can be characterised by the stationary measures of a stochastic dynamical system. Using the stochastic method of averaging and stochastic bifurcation theory, we show that the stochastic model displays behaviour consistent with that of the underlying deterministic model when the time lag in the formation of price trends used by the chartists is far away from zero. However, when this lag approaches zero, such consistency breaks down.
Heterogeneous agents Speculative behaviour Stochastic bifurcations Stationary measures Chartists
1
2011
35
1
148
162
http://www.sciencedirect.com/science/article/B6V85-511TN83-1/2/2553dcdb2868cfc1c1a2d09beeb6e599
Chiarella, Carl
He, Xue-Zhong
Zheng, Min
oai:RePEc:eee:dyncon:v:35:y:2011:i:3:p:295-3112011-03-25RePEc:eee:dyncon
article
Invertible and non-invertible information sets in linear rational expectations models
Rational expectations solutions are usually derived by assuming that all state variables relevant to forward-looking behaviour are directly observable, or that they are "...an invertible function of observables" (Mehra and Prescott, 1980). Using a framework that nests linearised DSGE models, we give a number of results useful for the analysis of linear rational expectations models with restricted information sets. We distinguish between instantaneous and asymptotic invertibility, and show that the latter may require significantly less information than the former. We also show that non-invertibility of the information set can have significant implications for the time series properties of economies.
Imperfect information Invertibility Rational expectations Fundamental versus nonfundamental time series representations Kalman filter Dynamic stochastic general equilibrium
3
2011
35
3
295
311
http://www.sciencedirect.com/science/article/B6V85-51G9BVP-1/2/21c4da514474efaaf2b5573ef8f53caa
Baxter, Brad
Graham, Liam
Wright, Stephen
oai:RePEc:eee:dyncon:v:34:y:2010:i:9:p:1596-16092011-03-25RePEc:eee:dyncon
article
Out-of-sample comparison of copula specifications in multivariate density forecasts
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler information criterion (KLIC). The test is valid under general conditions on the competing copulas: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student-t copula is favored over Gaussian, Gumbel and Clayton copulas.
Copula-based density forecast Empirical copula Kullback-Leibler information criterion Out-of-sample forecast evaluation Semi-parametric statistics
9
2010
34
9
1596
1609
http://www.sciencedirect.com/science/article/B6V85-50DYH0H-3/2/f4a53951a4f527bb4c804cb56053fe8d
Diks, Cees
Panchenko, Valentyn
van Dijk, Dick
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:2126-21402011-03-25RePEc:eee:dyncon
article
Women's lifetime labor supply and labor market experience
The pattern of joining the labor force only at an advanced stage of the life-cycle was widespread among American women in the 1960s and 1970s, but not since the 1980s. To explain this change we conduct a theoretical analysis of the interrelation between women's lifetime labor supply choices and the dynamic macroeconomic environment. In our model women choose the late-entry pattern only at early stages of the growth process when wages are sufficiently low and grow sufficiently rapidly. As the economy grows, this lifetime labor profile vanishes and women either join the labor force either early in life or not at all.
Experience Labor Force Participation
10
2010
34
10
2126
2140
http://www.sciencedirect.com/science/article/B6V85-50CV7T1-2/2/77e635849522431bb01bfb423712cf50
Hazan, Moshe
Maoz, Yishay D.
oai:RePEc:eee:dyncon:v:34:y:2010:i:11:p:2259-22722011-03-25RePEc:eee:dyncon
article
Bayesian analysis of structural credit risk models with microstructure noises
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact finite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion (DIC) which is straightforwardly obtained from the MCMC output. The method is implemented on the basic structural credit risk model with pure microstructure noises and some more general specifications using daily equity data from US and emerging markets. We find empirical evidence that microstructure noises are positively correlated with the firm values in emerging markets.
MCMC Credit risk Microstructure noise Structural models Deviance information criterion
11
2010
34
11
2259
2272
http://www.sciencedirect.com/science/article/B6V85-5033XPS-1/2/174c0427e70ec54fdfb78cab4850bce4
Huang, Shirley J.
Yu, Jun
oai:RePEc:eee:dyncon:v:35:y:2011:i:5:p:676-6932011-03-25RePEc:eee:dyncon
article
Formal education and public knowledge
In this paper, I examine the transitional dynamics of an economy populated by individuals who split their time between acquiring a formal education, producing final goods, and innovating. The paper has two objectives: (i) uncovering the macroeconomic circumstances that favored the rise of formal education; (ii) to reconcile the remarkable growth of the education sector with the constancy of other key macroeconomic variables, such as the interest rate, the consumption-output ratio, and the growth rate of per capita income (Kaldor facts). The transitional dynamics of human capital growth models, such as Lucas (1998), would attribute the arrival of education to the diminishing marginal productivity of physical capital. Conversely, the model proposed here suggests that it is the rate of learning that catches up with the rate of return on physical capital. As technical knowledge expands, the rate of return on education increases, inducing individuals to stay longer in school. The model's transitional paths are matched with long run U.S. educational and economic data.
Public knowledge Learning rate Transitional dynamics Calibration
5
2011
35
5
676
693
http://www.sciencedirect.com/science/article/B6V85-51XR3DH-2/2/e23354fae7e3673e3b728775d0c1083f
Iacopetta, Maurizio
oai:RePEc:eee:dyncon:v:35:y:2011:i:5:p:764-7752011-03-25RePEc:eee:dyncon
article
Fast delta computations in the swap-rate market model
We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative to different underlying rates in the co-terminal swap-rate market model. The order of computation per step of the new method is shown to be proportional to the number of rates times the number of factors, which is the same as the order in the LIBOR market model.
Adjoint method Delta Computational order Market model Monte Carlo simulation
5
2011
35
5
764
775
http://www.sciencedirect.com/science/article/B6V85-51YYNVF-5/2/7115d4cec5fea4c299e605d93176224c
Joshi, Mark
Yang, Chao
oai:RePEc:eee:dyncon:v:35:y:2011:i:5:p:714-7292011-03-25RePEc:eee:dyncon
article
A network of options: Evaluating complex interdependent decisions under uncertainty
The present article provides a novel framework for analyzing option network problems, which is a general class of compound real option problems with an arbitrary combination of reversible and irreversible decisions. The present framework represents the interdependent structure of decisions by using a directed graph. In this framework, the option network problem is formulated as a singular stochastic control problem, whose optimality condition is then obtained as a dynamical system of generalized linear complementarity problems (GLCPs). This enables us to develop a systematic and efficient numerical method for evaluating the option value and the optimal decision policy.
Compound real options Managerial flexibility Graph theory Singular stochastic control problems Generalized complementarity problems
5
2011
35
5
714
729
http://www.sciencedirect.com/science/article/B6V85-51XR3DH-1/2/609086f3cd814a29916aea83cfca1a67
Akamatsu, Takashi
Nagae, Takeshi
oai:RePEc:eee:dyncon:v:34:y:2010:i:12:p:2485-24932011-03-25RePEc:eee:dyncon
article
The effects of the market structure on the adoption of evolving technologies
We study the speed at which technologies are adopted depending on how the market power is shared between the firms that sell technologies and the firms that buy them. Our results suggest that, because of a double marginalization problem, adoption is fastest when either sellers or buyers hold all the market power. Thus, competition between sides of the market may delay the adoption of technologies.
Market structures Technology adoption
12
2010
34
12
2485
2493
http://www.sciencedirect.com/science/article/B6V85-50CVPWB-1/2/d09df5e8c1fbf78e93f9cf9807a1ff59
Rivas, Javier
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:1907-19222011-03-25RePEc:eee:dyncon
article
Optimal irrational behavior in continuous time
Feigenbaum et al. (2009) showed in a two-period overlapping generations model that households can improve upon the rational, competitive equilibrium while maintaining competitive factor markets if agents coordinate upon an irrational consumption/saving rule. We generalize their findings to continuous time. The optimal consumption rule with coordination implies a U-shaped lifecycle consumption profile. Rational agents living in a standard competitive equilibrium would need a 4% increase of consumption in every period across the lifecycle to reach the level of utility that can be achieved under coordination. Most of this gain can be achieved with a linear saving rule.
Consumption Saving Coordination General equilibrium Rules of thumb Pecuniary externality Overlapping generations Optimal irrational behavior
10
2010
34
10
1907
1922
http://www.sciencedirect.com/science/article/B6V85-505NRX4-1/2/9c9e2150d488078c8948a8ce87d546c7
Feigenbaum, James
Caliendo, Frank N.
oai:RePEc:eee:dyncon:v:34:y:2010:i:10:p:1993-20092011-03-25RePEc:eee:dyncon
article
International capital flows and expectation-driven boom-bust cycles in the housing market
This paper analyzes the roles of credit market conditions in endogenous formation of housing-market boom-bust cycles in a business cycle model. When households are uncertain about the duration of a temporary high income growth period, expected future house prices rise during the high growth period and fall at the end of the period. But this development causes expectation-driven boom-bust cycles in current house prices only if the economy is open to international capital flows. It is also shown that high maximum loan-to-value ratios for residential mortgages per se do not cause boom-bust cycles without international capital flows in the model.
Informational overshooting House prices Boom-bust cycles Credit market frictions Financial liberalization
10
2010
34
10
1993
2009
http://www.sciencedirect.com/science/article/B6V85-4YWYYNH-3/2/905819781cff7f0dacdcf361155b2d2d
Tomura, Hajime
oai:RePEc:eee:dyncon:v:35:y:2011:i:1:p:1-242011-03-25RePEc:eee:dyncon
article
The heterogeneous expectations hypothesis: Some evidence from the lab
This paper surveys learning-to-forecast experiments (LtFEs) with human subjects to test theories of expectations and learning. Subjects must repeatedly forecast a market price, whose realization is an aggregation of individual expectations. Emphasis is given to how individual forecasting rules interact at the micro-level and which structure they cocreate at the aggregate, macro-level. In particular, we focus on the question wether the evidence from laboratory experiments is consistent with heterogeneous expectations.
Heterogeneous expectations Bounded rationality Learning Heuristics switching
1
2011
35
1
1
24
http://www.sciencedirect.com/science/article/B6V85-516664W-1/2/fa8870b9280beea17538e420d0ddeaf0
Hommes, Cars
oai:RePEc:eee:dyncon:v:34:y:2010:i:9:p:1582-15952011-03-25RePEc:eee:dyncon
article
On the precision of Calvo parameter estimates in structural NKPC models
We study the extent of empirical information that can be obtained from alternative structural New Keynesian inflation equations concerning the average duration of prices in the United States, given that such specifications may be hard to identify. Using four different indexation and real-wage-rigidity-based models, in conjunction with identification-robust econometric methods, we evaluate the precision of Calvo parameter estimates. While results are sensitive to calibration and instrument selection, we find confidence bounds on the average duration of prices that line up with available micro-founded studies, statistically significant coefficients for the forcing variables, and non-zero estimates on the coefficient of lagged inflation.
Sticky-price Calvo model Structural estimation Weak identification Indexation Real wage
9
2010
34
9
1582
1595
http://www.sciencedirect.com/science/article/B6V85-50XTSXC-1/2/16051a124bef0d25355e492a314a2a99
Dufour, Jean-Marie
Khalaf, Lynda
Kichian, Maral
oai:RePEc:eee:dyncon:v:34:y:2010:i:9:p:1627-16502011-03-25RePEc:eee:dyncon
article
The financial accelerator in an evolving credit network
We model a credit network characterized by credit relationships connecting (i) downstream (D) and upstream (U) firms and (ii) firms and banks. The net worth of D firms is the driver of fluctuations. The production of D firms and of their suppliers (U firms) in fact, is constrained by the availability of internal finance--proxied by net worth--to the D firms. The structure of credit interlinkages changes over time due to an endogeneous process of partner selection, which leads to the polarization of the network. At the aggregate level, the distribution of growth rates exhibits negative skewness and excess kurtosis. When a shock hits the macroeconomy or a significant group of agents in the credit network a bankruptcy avalanche can follow if agents' leverage is critically high. In a nutshell we want to explore the properties of a network-based financial accelerator.
Business fluctuations Financial instability Bankruptcy chains
9
2010
34
9
1627
1650
http://www.sciencedirect.com/science/article/B6V85-50CDSG9-4/2/fcb6add120052321ce59b91285e82ead
Delli Gatti, Domenico
Gallegati, Mauro
Greenwald, Bruce
Russo, Alberto
Stiglitz, Joseph E.
oai:RePEc:eee:dyncon:v:35:y:2011:i:1:p:163-1742011-03-25RePEc:eee:dyncon
article
Optimal pricing of a conspicuous product during a recession that freezes capital markets
This paper considers the problem of how to price a conspicuous product when the economy is in a recession that disrupts capital markets. A conspicuous product in this context is a luxury good for which demand is increasing in brand image. Brand image here means the ability of a consumer to impress observers by conspicuously displaying consumption of the good. Brand image is built up when the good is priced high enough to make it exclusive, and eroded if the good is discounted. Recession is modeled as having two effects: it reduces demand and it freezes capital markets so borrowing is not possible. In pricing the conspicuous product the firm faces the following trade-off. Reducing price helps maintain sales volume and cash flow in the face of reduced demand, but it also damages brand image and thus long-term demand. The paper analyzes the firm's pricing policy facing scenarios of mild, intermediate and severe recessions, while taking the threat of bankruptcy into account. For an intermediate recession the optimal solution is history-dependent. The results have implications for policy interventions in capital ma