Operations Research
http://lists.repec.org/mailman/listinfo/nep-ore
Operations Research
2020-02-17
Optimal Dynamic Incentive Contracts between a Principal and Multiple Agents in Controlled Markov Processes: A Constructive Approach
http://d.repec.org/n?u=RePEc:was:dpaper:2001&r=ore
This paper investigates an optimal dynamic incentive contract between a risk-averse principal (system operator) and multiple risk-averse agents (subsystems) with independently local controllers in continuous-time controlled Markov processes, which can represent various cyber-physical systems. The principal fs incentive design and the agents f decision-makings under asymmetric information structure are known as the principal-agent (PA) problems in economic field. However, the standard framework in economics cannot be directly applied to the realistic control systems including large-scale cyber-physical systems and complex networked systems due to some unrealistic assumptions for an engineering perspective. In this paper, using a constructive approach based on the techniques of the classical stochastic control theory, we propose and solve a novel dynamic control/incentive synthesis for the PA problem under moral hazard.
Yasuaki Wasa
Ken-Ichi Akao
Kenko Uchida
Principal-agent problems, Moral hazard, Cyber-physical systems, Multi-agent systems, Dynamic programming, Risk-sensitive stochastic control, Differential games
2020-02
Diffusion Copulas: Identification and Estimation
http://d.repec.org/n?u=RePEc:liv:livedp:20184&r=ore
We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed processes are nonparametric transformations of underlying parametric diffusions (UPDs). This modelling strategy yields a general class of semiparametric Markov diffusion models with parametric dynamic copulas and nonparametric marginal distributions. We provide primitive conditions for the identification of the UPD parameters together with the unknown transformations from discrete samples. Semiparametric likelihood-based estimators of the UPD parameters are developed and we show that under regularity conditions both the parametric and nonparametric components converge with parametric rate towards Normal distributions. Kernel-based drift and diffusion estimators are also proposed and shown to be normally distributed in large samples. A simulation study investigates the Önite sample performance of our estimators in the context of modelling US short-term interest rates.
Ruijun Bu
Kaddour Hadri
Dennis Kristensen
Continuous-time model; diffusion process; copula; transformation model; identification; nonparametric; semiparametric; maximum likelihood; sieve; kernel smoothing
2018-07
Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices
http://d.repec.org/n?u=RePEc:rim:rimwps:20-03&r=ore
We propose a novel estimation approach for the covariance matrix based on the l_1-regularized approximate factor model. Our sparse approximate factor (SAF) covariance estimator allows for the existence of weak factors and hence relaxes the pervasiveness assumption generally adopted for the standard approximate factor model. We prove consistency of the covariance matrix estimator under the Frobenius norm as well as the consistency of the factor loadings and the factors. Our Monte Carlo simulations reveal that the SAF covariance estimator has superior properties in finite samples for low and high dimensions and different designs of the covariance matrix. Moreover, in an out-of-sample portfolio forecasting application the estimator uniformly outperforms alternative portfolio strategies based on alternative covariance estimation approaches and modeling strategies including the 1/N-strategy.
Maurizio Daniele
Winfried Pohlmeier
Aygul Zagidullina
Approximate Factor model, weak factors, l1-regularization, high dimensional covariance matrix, portfolio allocation
2020-02
Nowcasting in Real Time Using Popularity Priors
http://d.repec.org/n?u=RePEc:tow:wpaper:2020-01&r=ore
We construct a "Google Recession Index" (GRI) using Google Trends data on internet search popularity, which tracks the publicâ€™s attention to recession-related keywords in real time. We then compare nowcasts made with and without this index using both a standard dynamic factor model and a Bayesian approach with alternative prior setups. Our results indicate that using the Bayesian model with GRI-based "popularity priors" we could identify the 2008Q3 turning point in real time, without sacrificing the accuracy of the nowcasts over the rest of the sample periods.
George Monokroussos
Yongchen Zhao
Gibbs Sampling, Factor Models, Kalman Filter, Real-Time Data, Google Trends Monetary Policy, Great Recession.
2020-02
A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures
http://d.repec.org/n?u=RePEc:liv:livedp:20183&r=ore
Transformed diffusions (TDs) have become increasingly popular in financial modelling for their model flexibility and tractability. While existing TD models are predominately one-factor models, empirical evidence often prefers models with multiple factors. We propose a novel distribution-driven nonlinear multi-factor TD model with latent components. Our model is a transformation of a underlying multivariate Ornstein Uhlenbeck (MVOU) process, where the transformation function is endogenously specified by a flexible parametric stationary distribution of the observed variable. Computationally efficient exact likelihood inference can be implemented for our model using a modified Kalman filter algorithm and the transformed affline structure also allows us to price derivatives in semi-closed form. We compare the proposed multi-factor model with existing TD models for modelling VIX and pricing VIX futures. Our results show that the proposed model outperforms all existing TD models both in the sample and out of the sample consistently across all categories and scenarios of our comparison.
Ruijun Bu
Fredj Jawadi
Yuyi Li
Transformation Model; Nonlinear Diffusion; Latent Factor; Kalman Filter; Volatility Index
2018-08
Model uncertainty, nonlinearities and out-of-sample comparison: evidence from international technology diffusion
http://d.repec.org/n?u=RePEc:srt:wpaper:0120&r=ore
This paper reconsiders the international technology diffusion model. Because the high degree of uncertainty surrounding the Data Generating Process and the likely presence of nonlinearities and latent common factors, it considers alternative nonparametric panel specifications which extend the Common Correlated Effects approach and then contrasts the out-of-sample performance of them with those of more common parametric models. To do so, we adopt an approach recently proposed within the literature of nonparametric regression. This approach is based on a pseudo Monte Carlo experiment that takes its roots on cross validation and aims at testing whether two competing approximate models are equivalent in terms of their expected true error. Our results indicate that the adoption of a nonparametric approach provides better performances. This work also refines previous results by showing threshold e ects, nonlinearities and interactions, which are obscured in parametric specifications and which have relevant implications for policy.
Georgios Gioldasis
Antonio Musolesi
Michel Simioni
large panels; cross-sectional dependence; factor models; nonparametric regression; spline functions; approximate model; predictive accuracy, international technology diffusion
2020-01
Partial Identification and Inference for Dynamic Models and Counterfactuals
http://d.repec.org/n?u=RePEc:tor:tecipa:tecipa-655&r=ore
We provide a general framework for investigating partial identification of structural dynamic discrete choice models and their counterfactuals, along with uniformly valid inference procedures. In doing so, we derive sharp bounds for the model parameters, counterfactual behavior, and low-dimensional outcomes of interest, such as the average welfare effects of hypothetical policy interventions. We characterize the properties of the sets analytically and show that when the target outcome of interest is a scalar, its identified set is an interval whose endpoints can be calculated by solving well-behaved constrained optimization problems via standard algorithms. We obtain a uniformly valid inference procedure by an appropriate application of subsampling. To illustrate the performance and computational feasibility of the method, we consider both a Monte Carlo study of firm entry/exit, and an empirical model of export decisions applied to plant-level data from Colombian manufacturing industries. In these applications, we demonstrate how the identified sets shrink as we incorporate alternative model restrictions, providing intuition regarding the source and strength of identification.
Myrto Kalouptsidi
Yuichi Kitamura
Lucas Lima
Eduardo Souza-Rodrigues
Dynamic Discrete Choice, Counterfactual, Partial Identification, Subsampling, Uniform Inference, Structural Model
2020-02-06
What Does Forecaster Disagreement Tell Us about the State of the Economy?
http://d.repec.org/n?u=RePEc:gwc:wpaper:2020-001&r=ore
This paper shows in a simple model that the part of uncertainty measured by forecaster disagreement rises in advance of and during recessions. Subsequently, it is tested using the Survey of Professional Forecasters in a dynamic probit model. It is shown that increases in disagreement help predict recessions in an out of sample context for the US.
Constantin Bürgi
Tara M. Sinclair
Expectations, SPF, Uncertainty, Dynamic Probit
2020-02
Collusion via Information Sharing and Optimal Auctions
http://d.repec.org/n?u=RePEc:liv:livedp:20182&r=ore
This paper studies collusion via information sharing in the context of auctions. The model of collusion via information sharing builds on Aumann’s (1976) description of knowledge. Robustness of auction mechanisms to collusion via information sharing is defined as the impossibility of an agreement to collude. A cartel can agree to collude on a contract if it is common knowledge within that cartel that the contract is incentive compatible and individually rational. Robust mechanisms are characterized in a number of settings where some, all, or no bidders are bound by limited liability. Finally, the characterization is used in a simple IPV setting to design a mechanism that is both optimal and robust to collusion.
Olga Gorelkina
Bidder collusion, mechanism design, communication design, no-trade theorem
2018-08
Rational Bubbles in Non-Linear Business Cycle Models: Closed and Open Economies
http://d.repec.org/n?u=RePEc:pra:mprapa:98412&r=ore
This paper studies rational bubbles in non-linear dynamic general equilibrium models of the macroeconomy. The term ‘Rational bubble’ refers to multiple equilibria due to the absence of a transversality condition (TVC) for capital. The lack of TVC can be due to an OLG population structure. If a TVC is imposed, the macro models considered here have a unique solution. Bubbles reflect self-fulfilling fluctuations in agents’ expectations about future investment. In contrast to explosive rational bubbles in linearized models (Blanchard (1979)), the rational bubbles in non-linear models here are bounded. Bounded rational bubbles provide a novel perspective on the drivers and mechanisms of business cycles. I construct bubbles (in non-linear models) that feature recurrent boom-bust cycles characterized by persistent investment and output expansions which are followed by abrupt contractions in real activity. Both closed and open economies are analyzed. In a non-linear two-country model with integrated financial markets, bubbles must be perfectly correlated across countries. Global bubbles may, thus, help to explain the synchronization of international business cycles.
Kollmann, Robert
E1,E3,F3,F4, C6
2020-01-29
Bayesian Model Averaging for Autoregressive Distributed Lag (BMA_ADL) in gretl
http://d.repec.org/n?u=RePEc:pra:mprapa:98387&r=ore
This paper presents a software package that implements Bayesian Model Averaging for Autoregressive Distributed Lag models BMA_ADL ver.~0.9 in gretl. Gretl (the GNU regression, econometrics and time-series library) is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. Bayesian Model Averaging (BMA) incorporates model uncertainty into conclusions about the estimated parameters. It is an efficient tool for discovering the most likely models and variables by obtaining estimates of their posterior characteristics.
Blazejowski, Marcin
Kwiatkowski, Jacek
BMA, gretl, model selection
2020-01-17
Rational Addiction and Time Consistency: An Empirical Test
http://d.repec.org/n?u=RePEc:iza:izadps:dp12906&r=ore
This paper deals with one of the main empirical problems associated with the rational addiction theory, namely that its derived demand equation is not empirically distinguishable from models with forward looking behavior, but with time inconsistent preferences. The implication is that, even when forward looking behavior is supported by data, the standard rational addiction equation cannot distinguish between time consistency and inconsistency in preferences. We show that an encompassing general specification of the rational addiction model embeds the possibility of testing for time consistent versus time inconsistent naïve agents. We use a panel of Russian individuals to estimate a rational addiction equation for tobacco with time inconsistent preferences, where GMM estimators deal with errors in variables and unobserved heterogeneity. The results conform to the theoretical predictions and the proposed test for time consistency does not reject the hypothesis that Russian cigarettes consumers discount future utility exponentially. We further show that the proposed empirical specification of the Euler equation, whilst being indistinguishable from the general empirical specification of the rational addiction model, it allows to identify more structural parameters, such as an upper-bound for the parameter capturing present bias in time preferences.
Piccoli, Luca
Tiezzi, Silvia
rational addiction, general versus standard specification, time consistency, naïveté, GMM
2020-01
非自発的失業の存在について：世代重複完全競争モデルを用いて
http://d.repec.org/n?u=RePEc:pra:mprapa:98407&r=ore
We show the existence of involuntary unemployment without assuming wage rigidity. We derive involuntary unemployment by considering utility maximization of consumers and profit maximization of firms in an overlapping generations model under perfect competition with decreasing or constant returns to scale technology. We show that there exists involuntary unemployment even when labor supply is divisible. We consider homothetic utility functions of consumers including log-linear function.
Tanaka, Yasuhito
involuntary unemployment, perfect competition, divisible labor supply
2020-01-31
Progressive Participation
http://d.repec.org/n?u=RePEc:cwl:cwldpp:2189r&r=ore
A single seller faces a sequence of buyers with unit demand. The buyers are forward-looking and long-lived but vanish (and are replaced) at a constant rate. The arrival time and the valuation is private information of each buyer and unobservable to the seller. Any incentive compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We derive the optimal stationary mechanism, characterize its qualitative structure, and derive a closed-form solution. As the arrival time is private information, the buyer can choose the time at which he reports his arrival. The truth-telling constraint regarding the arrival time can be represented as an optimal stopping problem. The stopping time determines the time at which the buyer decides to participate in the mechanism. The resulting value function of each buyer cannot be too convex and must be continuously differentiable everywhere, reflecting the option value of delaying participation. The optimal mechanism thus induces progressive participation by each buyer: he participates either immediately or at a future random time.
Dirk Bergemann
Philipp Strack
Dynamic Mechanism Design, Observable Arrival, Unobservable Arrival, Repeated Sales, Interim Incentive Constraints, Interim Participation Constraints, Stopping Problem, Option Value, Progressive Participation
2019-08
The Average Tree value for Hypergraph Games
http://d.repec.org/n?u=RePEc:tiu:tiucen:331f101b-09ee-47d6-afdf-eccae8767583&r=ore
We consider transferable utility cooperative games (TU games) with limited cooperation introduced by hypergraph communication structure, the so-called hypergraph games. A hypergraph communication structure is given by a collection of coalitions, the hyperlinks of the hypergraph, for which it is assumed that only coalitions that are hyperlinks or connected unions of hyperlinks are able to cooperate and realize their worth. We introduce the average tree value for hypergraph games, which assigns to each player the average of the player's marginal contributions with respect to a particular collection of rooted spanning trees of the hypergraph. We also provide axiomatization of the average tree value for hypergraph games on the subclasses of cycle-free hypergraph games, hypertree games and cycle hypergraph games.
Kang, Liying
Khmelnitskaya, Anna
Shan, Erfang
Talman, A.J.J.
Zhang, Guang
TU game; hypergraph communication structure; average tree value; component fairness
2020
Decomposition of the Gender Wage Gap using the LASSO Estimator
http://d.repec.org/n?u=RePEc:jku:econwp:2020-03&r=ore
We use the LASSO estimator to select among a large number of explanatory variables in wage regressions for a decomposition of the gender wage gap. The LASSO selection with a one standard error rule removes about a quarter of the regressors. We use the LASSO-selected regressors for OLSbased gender wage decompositions. This approach results in a smaller error variance than in OLS without LASSO-selection. The explained gender wage gap is 1%-point greater than in the conventional OLS model.
René Böheim
Philipp Stöllinger
gender wage gap, LASSO, decomposition
2020-01
Blocked Clusterwise Regression
http://d.repec.org/n?u=RePEc:arx:papers:2001.11130&r=ore
A recent literature in econometrics models unobserved cross-sectional heterogeneity in panel data by assigning each cross-sectional unit a one-dimensional, discrete latent type. Such models have been shown to allow estimation and inference by regression clustering methods. This paper is motivated by the finding that the clustered heterogeneity models studied in this literature can be badly misspecified, even when the panel has significant discrete cross-sectional structure. To address this issue, we generalize previous approaches to discrete unobserved heterogeneity by allowing each unit to have multiple, imperfectly-correlated latent variables that describe its response-type to different covariates. We give inference results for a k-means style estimator of our model and develop information criteria to jointly select the number clusters for each latent variable. Monte Carlo simulations confirm our theoretical results and give intuition about the finite-sample performance of estimation and model selection. We also contribute to the theory of clustering with an over-specified number of clusters and derive new convergence rates for this setting. Our results suggest that over-fitting can be severe in k-means style estimators when the number of clusters is over-specified.
Max Cytrynbaum
2020-01
Patterns of Price Competition and the Structure of Consumer Choice
http://d.repec.org/n?u=RePEc:pra:mprapa:98346&r=ore
We explore patterns of price competition in an oligopoly where consumers vary in the set of suppliers they consider for their purchase. In the case of "nested reach" we find equilibria, unlike those in existing models, in which price competition is segmented: small firms offer only low prices and large firms only offer high prices. We characterize equilibria in the three-firm case using correlation measures of interaction between pairs of firms. We show how entry, merger and market expansion can affect patterns of price competition in novel ways.
Armstrong, Mark
Vickers, John
Bertrand competition, price dispersion, consideration sets, mixed strategies
2020-01
Collusion and delegation under information control
http://d.repec.org/n?u=RePEc:zbw:fubsbe:20203&r=ore
This paper studies how information control affects incentives for collusion and optimal organizational structures in principal-supervisor-agent relationships. I consider a model in which the principal designs the supervisor's signal on the productive agent's private information and the supervisor and agent may collude. I show that the principal optimally delegates the interaction with the agent to the supervisor if either the supervisor's budget is large or the value of production is small. The principal prefers direct communication with the supervisor and agent if the supervisor's budget is sufficiently small and the value of production is high.
Asseyer, Andreas
Collusion,Information design,Delegation
2020
Deep combinatorial optimisation for optimal stopping time problems and stochastic impulse control. Application to swing options pricing and fixed transaction costs options hedging
http://d.repec.org/n?u=RePEc:arx:papers:2001.11247&r=ore
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. Numerical tests are done on the pricing of American and swing options. An extension to impulse control problems is described and applied to options hedging under fixed transaction costs. The proposed algorithms seem to be competitive with the best existing algorithms both in terms of precision and in terms of computation time.
Thomas Deschatre
Joseph Mikael
2020-01
Divisibility and indivisibility of labor supply, and involuntary unemployment: A perfect competition model
http://d.repec.org/n?u=RePEc:pra:mprapa:98405&r=ore
We show the existence of involuntary unemployment without assuming wage rigidity. We derive involuntary unemployment by considering utility maximization of consumers and profit maximization of firms in an overlapping generations model under perfect competition with decreasing or constant returns to scale technology. Indivisibility of labor supply may be a ground for the existence of involuntary unemployment. However, we show that under some conditions there exists involuntary unemployment even when labor supply is divisible.
Tanaka, Yasuhito
involuntary unemployment, perfect competition, divisible labor supply
2020-01-31
On the Basis of Brain: Neural-Network-Inspired Change in General Purpose Chips
http://d.repec.org/n?u=RePEc:sru:ssewps:2020-01&r=ore
In this paper, we disentangle the changes that the rise of Artificial Intelligence Technologies (AITs) is inducing in the semiconductor industry. The prevailing von Neumann architecture at the core of the established “intensive” technological trajectory of chip production is currently challenged by the rising difficulty to improve product performance over a growing set of computation tasks. In particular, the challenge is exacerbated by the increasing success of Artificial Neural Networks (ANNs) in application to a set of tasks barely tractable for classical programs. The inefficiency of the von Neumann architecture in the execution of ANN-based solutions opens room for competition and pushes for an adequate response from hardware producers in the form of exploration of new chip architectures and designs. Based on an historical overview of the industry and on collected data, we identify three characteristics of a chip — (i) computing power, (ii) heterogeneity of computation, and (iii) energy efficiency — as focal points of demand interest and simultaneously as directions of product improvement for the semiconductor industry players and consolidate them into a techno– economic trilemma. Pooling together the trilemma and an analysis of the economic forces at work, we construct a simple model formalising the mechanism of demand distribution in the semiconductor industry, stressing in particular the role of its supporting services, the software domain. We conclude deriving two possible scenarios for chip evolution: (i) the emergence of a new dominant design in the form of a “platform chip” comprising heterogeneous cores; (ii) the fragmentation of the semiconductor industry into submarkets with dedicated chips. The convergence toward one of the proposed scenarios is conditional on (i) technological progress along the trilemma’s edges, (ii) advances in the software domain and its compatibility with hardware, (iii) the amount of tasks successfully addressed by this software, (iv) market structure and dynamics.
Ekaterina Prytkova
Simone Vannuccini
neural network; Artificial Intelligence, technological trajectory; semiconductor industry; hardware; software
2020-02
How Do Households Allocate Risk?
http://d.repec.org/n?u=RePEc:liv:livedp:20186&r=ore
Individuals often have to decide to which degree of risk they want to expose others, or how much risk to accept if their choice has an externality on third parties. One typical application is a household. We run an experiment in the German Socio-Economic Panel with two members from 494 households. Participants have a good estimate of each other’s risk preferences, even if not explicitly informed. They do not simply match this preference when deciding on behalf of the other household member, but shy away from exposing others to risk. We model the situation, and we find four distinct types of individuals, and two distinct types of households.
Christoph Engel
Alexandra Fedorets
Olga Gorelkina
risk preference, household, reticence to expose others to risk, tradeoff between individual and foreign risk preference
2018-11
Automatic Stabilizers in the Federal Budget: 2020 to 2030
http://d.repec.org/n?u=RePEc:cbo:report:56095&r=ore
Federal revenues and outlays regularly respond to cyclical movements in the economy in ways that tend to dampen those movements; the budget mechanisms that drive that process are known as automatic stabilizers. Those mechanisms help stabilize the economy automatically, without any legislated changes in tax or spending policies.
Congressional Budget Office
2020-02-06
A global map of amenities: Public goods, ethnic divisions and decentralization
http://d.repec.org/n?u=RePEc:hhs:bergec:2019_005&r=ore
This paper presents a new global dataset on the geocode locations of public amenities, e.g., schools, hospitals or libraries, based on OpenStreetMap data. Volunteered geocoded information can be systematically incomplete; therefore, we develop and study two new proxies for the degree of completeness of OSM data in first-level administrative regions. Using our new data, we study the effects of decentralization and ethnic divisions on the provision of public amenities associated with various public goods. We find strong evidence for the existence of collective action failure at the subnational Level worldwide. More autonomous regions with high degrees of ethnic fractionalization provide significantly fewer public amenities than others.
Seidel, André
public goods; amenities; decentralization; ethnic fractionalization; OpenStreetMap
2019-09-20
Divisibility and indivisibility of labor supply, and involuntary unemployment: A monopolistic competition model with homothetic preferences
http://d.repec.org/n?u=RePEc:pra:mprapa:98406&r=ore
We show the existence of involuntary unemployment without assuming wage rigidity. We derive involuntary unemployment by considering utility maximization of consumers and profit maximization of firms in an overlapping generations model under monopolistic competition with increasing or constant returns to scale technology and homothetic preferences of consumers. Indivisibility of labor supply may be a ground for the existence of involuntary unemployment. However, we show that under some conditions there exists involuntary unemployment even when labor supply is divisible.
Tanaka, Yasuhito
involuntary unemployment, monopolistic competition, divisible labor supply.
2020-01-31
Not Much Bounce in the Springboard: On the Mobility of Low Pay Workers
http://d.repec.org/n?u=RePEc:iza:izadps:dp12896&r=ore
Estimating economic earnings mobility is imperative for understanding the degree to which low pay employment is a temporary or long-term position. The current literature estimates transition probabilities between low and higher pay. This study extends the focus to identify the underlying pecuniary wage change via construction of an intermediate pay zone marginally above low pay. Utilising monthly administrative data we find that individuals with a strong attachment to the low pay sector have a very low probability of shifting into higher pay. Further, these individuals also have a substantially greater risk of experiencing a low pay-no pay cycle relative to those who are intermediate or higher paid. Notably, this finding is only uncovered using within year variation in wages to reveal intensity of labour market attachment.
Pacheco, Gail
Plum, Alexander T.
Sloane, Peter J.
low pay dynamics, transition probability, state dependence, dynamic models, administrative data
2020-01
Financial Expectations and Household Consumption: Does Middle Inflation Matter?
http://d.repec.org/n?u=RePEc:shf:wpaper:2020002&r=ore
Using British panel data, we explore the finding that households often expect their financial position to remain unchanged compared to other alternatives, using a gener- alised middle inflated ordered probit (GMIOP ) model. In doing so we account for the tendency of individuals to choose 'neutral' responses when faced with attitudinal and opinion-based questions, which are a common feature of survey data. Our empirical analysis strongly supports the use of a GMIOP model to account for this response pattern. Expectations indices based on competing discrete choice models are then ex- ploited to explore the role that financial expectations play in driving the consumption of different types of durable goods and the amount of expenditure undertaken. Whilst financial optimism is significantly associated with consumption, indices which fail to take into account middle-inflation are found to overestimate the impact of financial expectations.
Sarah Brown
Mark N. Harris
Christopher Spencer
Karl Taylor
Survey data, financial expectations, generalised middle-inflated ordered probit model, household consumption
2020-02
Generalized Forecasr Averaging in Autoregressions with a Near Unit Root
http://d.repec.org/n?u=RePEc:pur:prukra:1318&r=ore
This paper develops a new approach to forecasting a highly persistent time series that employs feasible generalized least squares (FGLS) estimation of the deterministic components in conjunction with Mallows model averaging.
Mohitosh Kejriwal
Xuewen Yu
2019-12
On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns
http://d.repec.org/n?u=RePEc:hal:wpaper:hal-02433463&r=ore
Possibility, Necessity and Credibility measures are used in the literature in order to deal with imprecision. Recently, Yang and Iwamura [11] introduced a new measure as convex linear combination of possibility and necessity measures and they determined some of its axioms. In this paper, we introduce characteristics (parameters) of a fuzzy vari-able based on that measure, namely, Expected value, Variance, Semi-Variance, Skewness, Kurtosis and Semi-Kurtosis. We determine some properties of these characteristics and we compute them for trapezoidal and triangular fuzzy variables. We display their application for the determination of optimal portfolios when assets returns are described by triangular or trapezoidal fuzzy variables.
Justin Dzuche
Christian Deffo Tassak
Jules Sadefo Kamdem
Louis Aimé Fono
2019
Forecasts of the Lost Recovery
http://d.repec.org/n?u=RePEc:fip:fednls:87256&r=ore
The years following the Great Recession were challenging for forecasters for a variety of reasons, including an unprecedented policy environment. This post, based on our recently released working paper, documents the real-time forecasting performance of the New York Fed dynamic stochastic general equilibrium (DSGE) model in the wake of the Great Recession. We show that the model?s predictive accuracy was on par with that of private forecasters and proved to be quite a bit better, at least in terms of GDP growth, than that of the median forecasts from the Federal Open Market Committee?s (FOMC) Summary of Economic Projections (SEP).
Abhi Gupta
Pearl Li
Marco Del Negro
Michael Cai
Marc Giannoni
Great Recession; Real-time Forecasts; DSGE Models; Financial Frictions
Revisiting the Democracy-Growth Nexus:New Evidence from a Dynamic Common Correlated Effects Approach
http://d.repec.org/n?u=RePEc:pur:prukra:1317&r=ore
This paper presents new evidence on the nexus between democracy and growth employing the dynamic common correlated e§ects (DCCE) approach advanced by Chudik and Pesaran (2015) which is robust to both parameter heterogeneity and cross-section dependence.
Mohitosh Kejriwal
Haiqing Zhao
2019-12
Permit markets with political and market distortions
http://d.repec.org/n?u=RePEc:qld:uq2004:615&r=ore
This article investigates the cost effectiveness of cap-and-trade markets in the presence of both political and market distortions. We create a model where dominant firms have the ability to rent seek for a share of pollution permits as well as influence the market equilibrium with their choice of permit exchange because of market power. We derive the subgame-perfect equilibrium and show the interaction of these two distortions has consequences for the resulting allocative efficiency of the market. We find that if the dominant rent-seeking firms are all permit buyers (or a composition of buyers and sellers) then allocative efficiency is improved relative to the case without rent seeking; by contrast, if the dominant rent-seeking firms are all permit sellers then allocative efficiency reduces.
Alex Dickson
Ian A. MacKenzie
Pollution market, Market power, rent seeking.
2020-01-21
Prior Interaction, Identity and Coorperation in the Inter-Group Prisoner's Dilemma
http://d.repec.org/n?u=RePEc:pur:prukra:1320&r=ore
This paper studies theoretically and experimentally how success in prior interaction affects cooperation in the one-shot inter-group prisoner’s dilemma (IPD).
Timothy N. Cason
Sau-Him Paul Lau
Vai-Lam Mui
2019-12
The Class of 2015 Might Have a Little Better Luck Finding a Good Job
http://d.repec.org/n?u=RePEc:fip:fednls:87031&r=ore
With the college graduation season well under way, a new crop of freshly minted graduates is entering the job market and many bright young minds are hoping to land a good first job. It?s no wonder if they are approaching the job hunt with some trepidation. For a number of years now, recent college graduates have been struggling to find good jobs. However, the labor market for college graduates is improving. After declining for nearly two years, openings for jobs requiring a college degree have picked up since last summer. Not only has this increase in the demand for educated workers continued to push down the unemployment rate for recent graduates, but it has also finally started to help reduce underemployment, though the underemployment rate remains high. While successfully navigating the job market will likely remain a challenge, it appears that finding a good job has become just a little bit easier for the class of 2015.
Jaison R. Abel
Richard Deitz
demand; unemploymetn; underemployment; college graduates
What Can We Learn from the Timing of Interbank Payments?
http://d.repec.org/n?u=RePEc:fip:fednls:87315&r=ore
From 2008 to 2014 the Federal Reserve vastly increased the size of its balance sheet, mainly through its large-scale asset purchase programs (LSAPs). The resulting abundance of reserves affected the financial system in a number of ways, including by changing the intraday timing of interbank payments. In this post we show that (1) there appears to be a nonlinear relationship between the amount of reserves in the system and the timing of interbank payments, and (2) with the increase in reserves, smaller banks shifted their timing of payments more significantly than larger banks did. This result suggests that tracking the timing of payments sent by banks could provide an informative signal about the impact of the shrinking Federal Reserve balance sheet on the payments system.
Adam Copeland
Linsey Molloy
Anya Tarascina
intraday credit; balance sheet normalization; paymanets
Exogenous oil supply shocks in OPEC and non-OPEC countries
http://d.repec.org/n?u=RePEc:jku:econwp:2020-02&r=ore
This note expands Kilian’s (2008) original time series of exogenous oil supply shocks along two dimensions. First, we extend the sample period and include production shortfalls in OPEC member states during 2004:10–2018:12. Second, we also consider production shortfalls in non-OPEC countries. Our extended series of exogenous oil supply shocks displays statistically significant correlation with alternative estimates of oil supply shocks based on vector-autoregressive models. At the same time, it requires a limited number of assumptions about the counterfactual evolution of production in the countries under consideration rather than the hotly debated identifying restrictions inherent in multivariate structural models.
Jochen Güntner
Johannes Henßler
Counterfactual analysis, Crude oil production, Exogenous events, Oil supply shocks
2020-01
Pools or Schools or Both? Diversification and Specialisation in Public Services
http://d.repec.org/n?u=RePEc:brt:depwps:020&r=ore
We develop a model of two municipalities providing two public services. We show that in case of intermediate level of transferability of public services between two municipalities, Pareto-suboptimal Nash equilibrium exists. In this case, cooperation between municipalities or merging of two municipalities into one unit would improve welfare.
Tomas Cernenko
Oliver Rafaj
Daniel Dujava
diversification, game theory, public services, specialisation
2019-09-30
It could be worse...it could be raining: Ambulance response time and health outcomes
http://d.repec.org/n?u=RePEc:mib:wpaper:429&r=ore
Ambulance response time to emergency calls is a key indicator of a health system's efficiency although its impact on health is not precisely known. This causal relation is identified by exploiting rainfall at the time of the ambulance run as a shock to responsiveness. The elasticity of the likelihood of a severe cardiovascular condition with respect to response time is 0.9 and that of the likelihood of death before reaching the hospital is 5. Finally, the economic value of time is quantified, and it is shown that improving the ambulance's ability to locate the scene would substantially increase efficiency.
Elena, Lucchese
efficiency, response time, health, policy.
2020-02
Oligopolistic Upstream Competition with Differentiated Inputs
http://d.repec.org/n?u=RePEc:pdn:ciepap:129&r=ore
We consider a vertical supply chain that consists of a downstream final good producer and n >= 2 upstream intermediate good producers. The final good producer transforms the n differentiated inputs into an output good via a CES production function and sells the composed good to the final consumers. We study the impact of upstream price and upstream quantity competition on the supply chain. We find that the intermediate good producers prefer price over quantity competition when the inputs are complements and vice versa when they are substitutes. However, the final good producer and the consumers prefer price over quantity competition for all degrees of input differentiation. We additionally observe that the welfare optimal solution materializes when a horizontally integrated upstream market merges vertically with the downstream producer.
Joachim Heinzel
Simon Hoof
CES production function; Input competition; Product differentiation
2020-02
Online Estimation of DSGE Models
http://d.repec.org/n?u=RePEc:fip:fednls:87349&r=ore
The estimation of dynamic stochastic general equilibrium (DSGE) models is a computationally demanding task. As these models change to address new challenges (such as household and firm heterogeneity, the lower bound on nominal interest rates, and occasionally binding financial constraints), they become even more complex and difficult to estimate?so much so that current estimation procedures are no longer up to the task. This post discusses a new technique for estimating these models which belongs to the class of sequential Monte Carlo (SMC) algorithms, an approach we employ to estimate the New York Fed DSGE model. To learn more, check out this paper of ours.
Marco Del Negro
Frank Schorfheide
Michael Cai
Edward Herbst
Ethan Matlin
Reca Sarfati
Sequential Monte Carlo; DSGE models; Online
Coexistence of Physical and Crypto Assets in a Stochastic Endogenous Growth Model
http://d.repec.org/n?u=RePEc:cnb:wpaper:2019/7&r=ore
We study a stochastic dynamic model with risky real investment and a positive long-term growth rate. With growing wealth, the economy gets clogged with increasing complexity costs (the classical "Leviathanian" inefficiencies in the form of implicit taxation and abuse of power, red tape, outlays on conflict resolution between special interest groups, etc.). To escape the Leviathan, agents can, in addition to the usual investment in physical capital, access the universe of crypto assets outside the reach of the mainstream state-supported economy. Crypto assets enjoy no legal protection, so converting them back into the real life consumption good is risky (due to digital criminality, hacking, regulatory crackdowns, etc.). A global ergodic solution is found for this model, demonstrating that crypto and conventional assets are capable of long-term coexistence, although the use of crypto assets, far from being universal, tends to be the choice of the wealthier part of the population.
Alexis Derviz
Crypto assets, DSGE, ergodic distribution, full distribution solution, investment
2019-12
A Ranking over "More Risk Averse Than" Relations and its Application to the Smooth Ambiguity Model
http://d.repec.org/n?u=RePEc:kyo:wpaper:1019&r=ore
Given two pairs of expected utility functions, we formalize the notion that one expected utility function is more risk-averse than the other in the first pair to a greater extent than in the second pair. We do so by assuming that the utility functions are twice continuously differentiable and satisfy the Inada condition, and, in each of the two pairs, using the function that transforms the derivatives of one expected utility function to the derivatives of the other, rather than the function that transforms one expected utility function to the other. This definition allows us to interpret the quantitative results on the ambiguity aversion coefficients of the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005) in some cases not covered by the more-ambiguity-averse-than relation that they conceived.
Chiaki Hara
Expected utility functions, risk aversion, ambiguity aversion, smooth ambiguity model
2020-01
Technology and Big Data Are Changing Economics: Mining Text to Track Methods
http://d.repec.org/n?u=RePEc:nbr:nberwo:26715&r=ore
The last 40 years have seen huge innovations in computing technology and data availability. Data derived from millions of administrative records or by using (as we do) new methods of data generation such as text mining are now common. New data often requires new methods, which in turn can inspire new data collection. If history is any guide, some methods will stick and others will prove to be a flash in the pan. However, the larger trends towards demanding greater credibility and transparency from researchers in applied economics and a “collage” approach to assembling evidence will likely continue.
Janet Currie
Henrik Kleven
Esmée Zwiers
2020-01
The Burning Coalition Bargaining Model
http://d.repec.org/n?u=RePEc:bzn:wpaper:bemps69&r=ore
The paper presents a coalitional bargaining model with a peculiar type of partial breakdown: the Burning Coalition Bargaining Model. Rather than triggering the end of all negotiations or the exclusion of some players from the game, as already proposed in the literature, in this model the rejection of a proposal causes the possibility of the proposed coalition to vanish. Under this type of partial breakdown and adopting a standard rejecter-proposes protocol, 0-normalized, 3-players games are examined for extreme values of the breakdown probability. When such probability is equal to one, efficiency is more difficult to obtain than in models adopting discounting. Furthermore, when an efficient outcome is attained, the final pay-offs distribution reflects the strength of players in the game, with strength being defined by belonging to more valuable coalitions. The same feature is retained when considering a probability of breakdown approaching zero.
Marco Rogna
Bargaining Theory; Bargaining protocols; Coalition formation; Efficiency; Partial breakdown.
2020-02
K-DSGE: A Dynamic Stochastic General Equilibrium Model for Saudi Arabia
http://d.repec.org/n?u=RePEc:prc:mpaper:ks--2019-mp06&r=ore
This paper describes a dynamic stochastic general equilibrium (DSGE) model of the Saudi Arabian economy, developed by KAPSARC researchers. The K-DSGE model is to be used for simulations and experiments to assess the impact of economic reforms within the Saudi Vision 2030 framework. The model will also complement the suite of models currently used at KAPSARC for macroeconomic analysis, to assess the impact of the Kingdom’s public policies.
Jorge Blazquez
Marzio Galeotti
Baltasar Manzano
Axel Pierru
Shreekar Pradhan
Saudi Arabia, Economic Modeling, Saudi Vision 2030
2019-06-01
Why Do Turkish Firms Go Abroad to Invest?
http://d.repec.org/n?u=RePEc:ana:wpaper:19001&r=ore
The aim of this paper is to examine the determinants and localization of outward FDI (oFDI) of Turkish firms that differs from developed country MNEs with respect to firm size, technology, skills and access to information about global markets. This research is the first attempt aimed to explore especially the determinants of country/region selection of Turkish outward FDI at the firm level by using discrete choice models. The findings in this paper are based on the primary data collected by in-depth-interviews with 299 outward-investing Turkish firms operating in manufacturing, wholesale and retail trade, transportation and storage, and information and communication sectors. Our descriptive findings show that 60% of the investments are green-field. We found that 68% of the investments were made in developing countries while the developed countries attracted only 32% of Turkish investments. Our findings show that the main motivation of Turkish firms investing in other counties is willingness to reach to the larger markets (77%). Our econometric findings show that the size of the firm and the parent firm are significant factors in selecting developed countries as the host country for the investment. As the size of the firm increases, the possibility of Turkish investors to choose developed countries is diminishing, while as the size of the parent firm bets bigger, the possibility of locating the investment in developed countries is rising. The high share of foreign ownership in parent firms has a positive impact on choosing developing countries to locate the investment. It seems that foreign firms benefit from the experiences of Turkish firms operating in developing markets. Finally, while willingness to avoid from tariffs has no significant impact on the probability of investing in developed countries (including EU countries), it increases the probability of investment in the member countries of Shanghai Cooperation Organization.
Yilmaz Kilicaslan
Yesim Ucdogruk Gurel
Gokhan Onder
Zeynep Karal Onder
Outward Foreign Direct Investment, outward FDI, Probit, Logit, Turkey
2019-11
An analysis of the efficiency of Italian museums using a generalised conditional efficiency model
http://d.repec.org/n?u=RePEc:cue:wpaper:awp-06-2020&r=ore
Museums are among the most relevant cultural institutions and assume a central role from the cultural and the economic perspectives in a country having an outstanding cultural heritage, such as Italy, which makes the evaluation of their efficiency of primary importance. However, so far, the literature evaluating museumsâ€™ efficiency has often neglected the distinction between outputs under the direct control of museums and outcomes, which depend on usersâ€™ involvement, thus providing incorrect conclusions on museumsâ€™ performance. In this paper, we employ a generalised conditional efficiency model to assess the true efficiency of Italian museums, i.e. the efficiency in the provision of museumsâ€™ service potential, and to consistently deal with the impact on the efficiency of the socio-demographic and institutional environment in which museums operate. Results show that the operational environment matters. Among other aspects, conditional estimates suggest that higher income levels and larger hospitality sectors positively influence museums efficiency.
Calogero Guccio
Marco Martorana
Isidoro Mazza
Giacomo Pignataro
Ilde Rizzo
Cultural heritage; Museums; technical efficiency; Non-parametric Frontier; FDH; Conditonal estimates.
2020-02
Optimal portfolio choice with path dependent labor income: the infinite horizon case
http://d.repec.org/n?u=RePEc:arx:papers:2002.00201&r=ore
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This path-dependency is the novelty of the model, and leads to an infinite dimensional stochastic optimal control problem. We solve the problem completely, and find explicitly the optimal controls in feedback form. This is possible because we are able to find an explicit solution to the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if state constraints are present. To the best of our knowledge, this is the first infinite dimensional generalization of Merton's optimal portfolio problem for which explicit solutions can be found. The explicit solution allows us to study the properties of optimal strategies and discuss their financial implications.
Enrico Biffis
Fausto Gozzi
Cecilia Prosdocimi
2020-02
Agriculture urbaine, pratiques agricoles et impacts environnementaux et de santé publique
http://d.repec.org/n?u=RePEc:shr:wpaper:20-02&r=ore
Une revue de littérature des typologies de modèles d’agriculture urbaine (AU) et de leurs contextes de mise en place est présentée, ainsi que des besoins de production et des impacts de l’AU. Il décrit tout d’abord les différentes stratégies qui permettent de s’adapter aux spécificités de la géographie urbaine, au contexte local et aux objectifs des agriculteurs : niveau d’intégration aux bâtiments, cultures hors-sols ou dans le sol, taille, nouvelles technologies et régime foncier (légalité de la parcelle). La composition interne des parcelles, et notamment la diversité d’espèces, varie aussi selon le contexte biophysique et la finalité de l’exploitation (agriculture commerciale ou non). Le document s’attarde ensuite sur les limites pouvant impacter la productivité d’une parcelle en AU, particulièrement l’accès limité Ã des sols, de l’eau et de l’air de bonne qualité (non pollués). Certaines solutions peuvent être mises en place : usage de compost, différentes sources d’eau, plantes filtrantes, etc. L’AU peut avoir des impacts négatifs sur les écosystèmes et la santé humaine (pollution, maladies, etc.) mais elle peut aussi permettre des améliorations (réduction des ilots de chaleur, corridors verts, etc.), selon ses méthodes de gestion. Enfin, une analyse SWOT de l’AU est proposée, ainsi qu’une série de recommandations relatives aux modalités de mise en place de l’AU.
Maëlle Tripon
Dorothée Boccanfuso
Marie-Eve Yergeau
Agriculture urbaine, impacts environnementaux, typologie agronomique, pratiques de gestion, régime foncier, santé publique.
2020-02
Agriculture urbaine et péri-urbaine, pauvreté, sécurité alimentaire et environnement dans les pays en développement : une revue exploratoire des méthodologies et des impacts
http://d.repec.org/n?u=RePEc:shr:wpaper:20-03&r=ore
Face Ã la forte pression de l’urbanisation, 800 millions de citadins dans le monde pratiquent l’agriculture urbaine et péri-urbaine. Mais avec les effets du changement climatique et la concurrence entre les produits ruraux et urbains, les ménages urbains, surtout les plus pauvres, ont du mal Ã s’adapter. Il s’en suit donc la question du potentiel de l’agriculture urbaine et péri-urbaine Ã créer de la résilience face Ã la pauvreté, Ã l’insécurité alimentaire et aux défis environnementaux dans les pays en développement. À partir d’une synthèse de 35 rapports et articles publiés entre 1980 et 2019, ce document établit une revue des méthodologies utilisées pour évaluer les effets de cette activité agricole ainsi que des résultats obtenus. Bien que la littérature soit encore assez descriptive, plusieurs catégories d’approches empiriques se distinguent. En effet, tandis que les impacts sur la pauvreté sont évalués en comparant les marges de commerce aux seuils de pauvreté ou aux salaires minimums, ceux sur la sécurité alimentaire sont obtenus par le biais de modèles linéaires, probabilistes ou d’équations simultanées. Finalement, les effets sur l’environnement sont évalués en comparant des indicateurs d’efficience et de risque sur la santé aux standards de l’OMS. Il ressort que l’agriculture urbaine crée certes un emploi pour chaque tranche de 50 Ã 100 individus, mais qu’il est généralement saisonnier, et que l’accès au marché demeure une contrainte importante pour les agriculteurs.
Paule Olivia Akotto
Dorothée Boccanfuso
Marie-Eve Yergeau
Agriculture, Urbain et péri-urbain, Pauvreté, Sécurité alimentaire, Environnement, Pays en développement, Revue exploratoire.
2020-02
Insights on the Theory of Robust Games
http://d.repec.org/n?u=RePEc:arx:papers:2002.00225&r=ore
A robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players' payoff functions. The players are worst-case optimizers and a solution, called robust-optimization equilibrium, is guaranteed by standard regularity conditions. The paper investigates the sensitivity to the level of uncertainty of this equilibrium. Specifically, we prove that it is an epsilon-Nash equilibrium of the nominal counterpart game, where the epsilon-approximation measures the extra profit that a player would obtain by reducing his level of uncertainty. Moreover, given an epsilon-Nash equilibrium of a nominal game, we prove that it is always possible to introduce uncertainty such that the epsilon-Nash equilibrium is a robust-optimization equilibrium. An example shows that a robust Cournot duopoly model can admit multiple and asymmetric robust-optimization equilibria despite only a symmetric Nash equilibrium exists for the nominal counterpart game.
Giovanni Paolo Crespi
Davide Radi
Matteo Rocca
2020-02
The Transmission of Monetary Policy under the Microscope
http://d.repec.org/n?u=RePEc:fip:fedfwp:87419&r=ore
We investigate the transmission of monetary policy to household consumption using detailed administrative data on the universe of households in Norway. Based on a novel series of identified monetary policy shocks, we estimate the dynamic responses of consumption, income, and saving along the liquid asset distribution of households. We find that low-liquidity but also high-liquidity households show strong responses, interest rate changes faced by borrowers and savers feed into consumption, and indirect effects of monetary policy outweigh direct effects, albeit with a delay. Overall, the results support the importance of financial frictions, cash-flow channels, and heterogeneous effects of monetary policy.
Martin Holm
Pascal Paul
Andreas Tischbirek
Monetary policy; Household balance sheets; Liquidity constraints; Heterogeneous agent New Keynesian models
2020-01-31
Indeterminacy and imperfect information
http://d.repec.org/n?u=RePEc:zbw:bubdps:012020&r=ore
We study equilibrium determination in an environment where two kinds of agents have different information sets: The fully informed agents know the structure of the model and observe histories of all exogenous and endogenous variables. The less informed agents observe only a strict subset of the full information set. All types of agents form expectations rationally, but agents with limited information need to solve a dynamic signal extraction problem to gather information about the variables they do not observe. In this environment, we identify a new channel that leads to equilibrium indeterminacy: Optimal information processing of the less informed agent introduces stable dynamics into the equation system that lead to self-fulling expectations. For parameter values that imply a unique equilibrium under full information, the limited information rational expectations equilibrium is indeterminate. We illustrate our framework with a monetary policy problem where an imperfectly informed central bank follows an interest rate rule.
Lubik, Thomas A.
Matthes, Christian
Mertens, Elmar
limited information,rational expectations,signal extraction,belief shocks
2020
Öffentliche Investitionen: Die Schuldenbremse ist nicht das Problem
http://d.repec.org/n?u=RePEc:zbw:svrwwp:012020&r=ore
Es gibt öffentliche Investitionsbedarfe in Deutschland, etwa zur Bewältigung des Strukturwandels, im Rahmen der Klimapolitik oder der öffentlichen Infrastruktur. Deren genaue Höhe ist jedoch äußerst unsicher. Einer Erhöhung der Investitionen stehen die ausgelasteten Kapazitäten in der Bauwirtschaft und den Planungsämtern, kommunale Finanzprobleme sowie Regulierungen und lange Verfahrensdauern entgegen. Die sprunghafte Erhöhung der Investitionsausgaben in künftigen Haushaltsplänen durch eine Änderung oder Umgehung der Schuldenbremse dürfte nicht zu entsprechend höheren realen Investitionen führen. Vielmehr ist davon auszugehen, dass wie in den vergangenen Jahren die Preise steigen und überschüssige Mittel von einem ins nächste Jahr verschoben werden. Die Schuldenbremse bietet derzeit genug Spielräume für eine schrittweise Steigerung der Investitionen, die angesichts der Hindernisse und Unsicherheiten angezeigt ist. Die Änderung oder Umgehung der Schuldenbremse ist in der Diskussion um öffentliche Investitionen derzeit fehlplatziert. Vielmehr besteht die Gefahr, die Glaubwürdigkeit der europäischen Fiskalregeln aufs Spiel zu setzen, die für das Funktionieren der Europäischen Währungsunion und die unabhängige Geldpolitik notwendig sind.
Feld, Lars P.
Reuter, Wolf Heinrich
Yeter, Mustafa
Schuldenbremse,öffentliche Verschuldung,öffentliche Investitionen,Kapazitätsengpässe
2020
External Sponsorship and Counter-Terrorism
http://d.repec.org/n?u=RePEc:pra:mprapa:98361&r=ore
We consider interaction of two terror outfits and study possible counter-terrorism (CT) measures, both in the absence and presence of external terror finance. In our paper, external sponsorship with proportional allocation rule, induces strategic interaction and incentivizes more attacks. We provide a theoretical foundation for the ubiquity of defensive counter-terrorism (CT) versus the limited applicability of offensive measures and confidence-building measures (CBMs). Curtailing external sponsorship is always effective in inhibiting terror activity. In fact, targeting external funding may be the most effective CT tool if terror activity is sufficiently low. While CBMs may be more effective in the absence of external sponsorship, defensive CT may be preferable in its presence. However, CBMs may not be as effective in the presence of external sponsorship, as in its absence.
Bhan, Aditya
Kabiraj, Tarun
Terror outfit; counter-terrorism; external sponsorship; defensive, offensive and confidence building measures.
2018-08-20
Rethinking error correction model in macroeconometric analysis : A relevant review
http://d.repec.org/n?u=RePEc:pra:mprapa:98202&r=ore
The cointégration methodology has bridged the growing gap between economists and econometricians in understanding dynamics, equilibrium and bias on the reliability of macroeconomic and financial analysis, which is subject to non-stationary behavior. This paper proposes a comprehensive literature review on the relevance of the error correction model. Econometricians and economists have shown that error-correction model is a powerful machine that provides the economic system and macroeconomic policy with a refinement in the econometric results
Pinshi, Christian
Cointegration, Error correction model, Macroeconomics
2020-01
Introducing Macro-Financial Variables into a Semi-Structural Model
http://d.repec.org/n?u=RePEc:cnb:wpaper:2019/6&r=ore
This paper outlines a flexible and consistent model-based framework suitable for forecasting selected macro-financial variables of the Czech economy and conducting policy analysis to support the decision-making process. We enhance an existing semi-structural model of the Czech economy in order to replicate some of the characteristics of the financial cycle, i.e. co-movement between credit and house prices, higher persistence of respective macro-financial variables and a pronounced impact of shocks on the business cycle.
Dominika Ehrenbergerova
Simona Malovana
Financial cycle, forecasting, macro-financial variables, semi-structural model
2019-12
The Stability of Demand for Money in the Proposed Southern African Monetary Union
http://d.repec.org/n?u=RePEc:abh:wpaper:19/025&r=ore
This study investigates the stability of demand for money in the proposed Southern African Monetary Union (SAMU). The study uses annual data for the period 1981 to 2015 from ten countries making-up the Southern African Development Community (SADC). A standard function of demand for money is designed and estimated using a bounds testing approach to co-integration and error-correction modeling. The findings show divergence across countries in the stability of money. This divergence is articulated in terms of differences in cointegration, CUSUM (cumulative sum) and CUSUMSQ (CUSUM squared) tests, short run and long-term determinants and error correction in event of a shock. Policy implications are discussed in the light of the convergence needed for the feasibility of the proposed SAMU. This study extends the debate in scholarly and policy circles on the feasibility of proposed African monetary unions.
Simplice A. Asongu
Oludele E. Folarin
Nicholas Biekpe
Stable; demand for money; bounds test
2019-01
Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump
http://d.repec.org/n?u=RePEc:hal:wpaper:hal-02417401&r=ore
In this paper, we focus on the farmer's risk income, by using commodity futures, when price and output processes are correlated random represented by jump-diffusion models. We evaluate the expected utility of the farmer's wealth and we determine, at each instant of time, the optimal consumption rate and hedge position at given the time to harvest and state variables. We find a closed form optimal position of consumption and position rate in case of CARA utility investor. This result (see table 1.5) is a generalization of Ho (1984) result who consider the particular case where price and output are diffusion models.
Nyassoke Titi Gaston Clément
Jules Sadefo Kamdem
Louis Aimé Fono
Jump-diffusion process,futures,stochastic dynamic programming,Lévy measure,risk management
2019-01
Inequality and the Economic Participation of Women in Sub-Saharan Africa: An Empirical Investigation
http://d.repec.org/n?u=RePEc:abh:wpaper:19/027&r=ore
This study investigates the effect of inequality on female employment in 42 countries in sub-Saharan Africa for the period 2004-2014. Three inequality indicators are used, namely, the: Gini coefficient, Atkinson index and Palma ratio. Two indicators of gender inclusion are also employed, namely: female employment and female unemployment rates. The empirical analysis is based on the Generalised Method of Moments (GMM).The following main findings are established. First, inequality increases female unemployment in regressions based on the Palma ratio. Second, from the robustness checks, inequality reduces female employment within the frameworks of the Gini coefficient and Palma ratio.
Simplice A. Asongu
Nicholas M. Odhiambo
Africa; Gender; Inclusive development
2019-01