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当家庭和其他投资者面临不完备金融市场和个体性冲击时，他们该如何调整消费、投资以及改变在不同种类的金融资产上的头寸呢？新古典宏观模型假设金融市场是完备的，因而无法对这个问题提供答案。但这个问题对于个体家庭决策具有重要的现实意义，同时对于公共保险政策、相关的税收调节政策等也有较强的参考价值。
Macroeconomic Dynamics Near the ZLB:A Tale of Two Countries
DSGE Models Government Spending Multiplier Japan Multiple Equilibria Nonlinear Filtering Nonlinear Solution Methods Sunspots
2015/9/18
We propose and solve a small-scale New-Keynesian model with Markov sunspotshocks that move the economy between a targeted-inflation regime and a deflationregime and fit it to data from the U.S. and Ja...
Aggregate Dynamics and Staggered Contracts.
Comments on ‘Microeconomic Rigidities and Aggregate Price Dynamics’ by Ricardo Caballero and Eduardo Engle
Microeconomic Rigidities Aggregate Price Dynamics
2015/8/4
Comments on ‘Microeconomic Rigidities and Aggregate Price Dynamics’ by Ricardo Caballero and Eduardo Engle.
The first scientific exploration of the Antarctic dates to the end of the seventeenth century, when Sir Edmund Halley ventured just south of the Polar Front (about 60°S). During the following century,...
On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
erm structure dynamics macroeconomic
2015/7/23
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a
term structure mod...
Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance.
In this paper the assumption of i...
Disability Insurance and the Dynamics of the Incentive-Insurance Tradeo§
disability social security savings behavior
2015/7/23
We provide a lifecycle framework for comparing the insurance value and the incentive cost of disability beneÖts. We estimate the risks that individuals face and the
parameters governing the disa...
Studies in Nonlinear Dynamics & Econometrics.
Retail Market Structure and Dynamics:A Three Country Comparison of Japan,the UK and the US
Industry Structures Market Entry and Exit Jobs and Positions Size Performance Productivity Japan United Kingdom United States
2015/4/21
This paper compares structure and dynamics of the Retail Trade Sectors in Japan, the U.K. and the U.S. This is done using confidential establishment and firm level data for each country. By using micr...
Human Development Dynamics: An Agent Based Simulation of Social Systems and Heterogeneous Evolutionary Games
Economic Development Cultural Shift Democratization Game Theory Agent Based Model System Dynamics
2014/8/8
Combining a system dynamics and agent based modeling approach, we formalize a simulation framework of the Human Development (HD) perspective. We first capture the core logic of HD theory in a asymmet...
Exploring the Dynamics of Global Liquidity
Liquidity core and noncore financial liabilities shadow banking growth
2014/3/18
This paper explores the concept of global liquidity, its measurement and macro-financial importance. We construct two sets of indicators for global liquidity: a quantity series distinguishing between ...
Global Inflation Dynamics: regularities & forecasts
global economic crisis the second wave inflation, US dollar consumer price index producer price index money supply M1 M2 US public debt crashes bubbles critical phenomena complexity power-law functions log-periodic oscillation
2012/9/14
The analysis of dollar inflation performed by the authors through the approximation of empirical data for 1913–2012 with a power-law function with an accelerating log-periodic osci...
The Rise of the SuperRich: Power Resources, Taxes, Financial Markets, and the Dynamics of the Top 1 Percent, 1949 to 2008
economy inequalities neo-liberalism social class
2013/12/9
The income share of the super-rich in the United States has grown rapidly since the early 1980s after a period of postwar stability. What factors drove this change? In this study, we investigate the i...