Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.

Convergence of Probability Measures

I develop a general equilibrium model with sticky prices, credit constraints, nominal loans and asset prices. Changes in asset prices modify agents’ borrowing capacity through collateral value; changes in nominal prices affect real repayments through debt deflation. Monetary policy shocks move asset and nominal prices in the same direction, and are amplified and propagated over time. The “financial accelerator” is not constant across shocks: nominal debt stabilises supply shocks, making the economy less volatile when the central bank controls the interest rate. I discuss the role of equity, debt indexation and household and firm leverage in the propagation mechanism. Finally, I find that monetary policy should not target asset prices as a means of reducing output and inflation volatility.

/pdf/house-prices-borrowing-constraints-and-monetary-policy-in-53saibtjbe.pdf

House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle

This paper tests two of the simplest and most popular trading rules—moving average and trading range break—by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall, our results provide strong support for the technical strategies. The returns obtained from these strategies are not consistent with four popular null models: the random walk, the AR(1), the GARCH-M, and the Exponential GARCH. Buy signals consistently generate higher returns than sell signals, and further, the returns following buy signals are less volatile than returns following sell signals, and further, the returns following buy signals are less volatile than returns following sell signals. Moreover, returns following sell signals are negative, which is not easily explained by any of the currently existing equilibrium models.

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

This paper presents an overview of multi-agent system models of land-use/cover change (MAS/LUCC models). This special class of LUCC models combines a cellular landscape model with agent-based representations of decisionmaking, integrating the two components through specification of interdependencies and feedbacks between agents and their environment. The authors review alternative LUCC modeling techniques and discuss the ways in which MAS/LUCC models may overcome some important limitations of existing techniques. We briefly review ongoing MAS/LUCC modeling efforts in four research areas. We discuss the potential strengths of MAS/LUCC models and suggest that these strengths guide researchers in assessing the appropriate choice of model for their particular research question. We find that MAS/LUCC models are particularly well suited for representing complex spatial interactions under heterogeneous conditions and for modeling decentralized, autonomous decision making. We discuss a range of possible roles for MAS/LUCC models, from abstract models designed to derive stylized hypotheses to empirically detailed simulation models appropriate for scenario and policy analysis. We also discuss the challenge of validation and verification for MAS/LUCC models. Finally, we outline important challenges and open research questions in this new field. We conclude that, while significant challenges exist, these models offer a promising new tool for researchers whose goal is to create fine-scale models of LUCC phenomena that focus on human-environment interactions.

http://www.dpi.inpe.br/cursos/tutoriais/modelagem/referencias/agents_lucc_overview.pdf

Multi-Agent Systems for the Simulation of Land-Use and Land-Cover Change: A Review

Heterogeneous beliefs and routes to chaos in a simple asset pricing model

Money as a medium of exchange in an economy with artificially intelligent agents

We study a general equilibrium model in which entrepreneurs finance investment with optimal financial contracts. Because of enforceability problems, contracts are constrained efficient. We show that limited enforceability amplifies the impact of technological innovations on aggregate output. More generally, we show that lower enforceability of contracts will be associated with greater aggregate volatility. A key assumption for this result is that defaulting entrepreneurs are not excluded from the market.

/pdf/aggregate-consequences-of-limited-contract-enforceability-4nt76crv26.pdf

Aggregate Consequences of Limited Contract Enforceability

We develop an equilibrium search-matching model with risk-neutral agents and two-sided ex-ante heterogeneity. Unemployment insurance has the standard effect of reducing employment, but also helps workers to get a suitable job. The predictions of our simple model are consistent with the contrasting performance of the labor market in Europe and US in terms of unemployment, productivity growth and wage inequality. To show this, we construct two fictitious economies with calibrated parameters which only differ by the degree of unemployment insurance and assume that they are hit by a common technological shock which enhances the importance of mismatch. This shock reduces the proportion of jobs which workers regards as acceptable in the economy with unemployment insurance (Europe). As a result, unemployment doubles in this economy. In the laissez-faire economy (US), unemployment remains constant, but wage inequality increases more and productivity grows less due to larger mismatch. The model can be used to address a number of normative issues.

Unemployment vs. mismatch of talents: Reconsidering unemployment benefits

From the Publisher:
Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of particular models requires solving the model using a computer. This volume brings together leading contributors in the field who explain in detail how to implement the computational techniques needed to solve dynamic economics models. A broad spread of techniques are covered, and their application in a wide range of subjects discussed. The book provides the basics of a toolkit which researchers and graduate students can use to solve and analyse their own theoretical models.

Computational Methods for the Study of Dynamic Economies

We develop an equilibrium search-matching model with risk-neutral agents and two-sided ex-ante heterogeneity. Unemployment insurance has the standard effect of reducing employment, but also helps workers to get a suitable job. We show, through calibrations, how the mere difference on unemployment insurance, when countries experience a common skilled-biased technological shock, may result in differences in unemployment, productivity growth and wage inequality. These results are consistent with the contrasting performance of the labour market in Europe and the United States in the last twenty-five years. The model is used to address some political economy issues.

/pdf/unemployment-vs-mismatch-of-talents-reconsidering-2h6i3cet9z.pdf

Ramon Marimon

Papers

Money as a medium of exchange in an economy with artificially intelligent agents

Aggregate Consequences of Limited Contract Enforceability

Unemployment vs. mismatch of talents: Reconsidering unemployment benefits

Computational Methods for the Study of Dynamic Economies

Unemployment vs. Mismatch of Talents: Reconsidering Unemployment Benefits