Showing papers in "Journal of Economic Dynamics and Control in 2015"

TL;DR: In this article, the problem of interacting channels of contagion in financial networks is studied and a stylized model for the Austrian interbank network is proposed to analyze the effect of overlapping portfolio exposures.

TL;DR: In this paper, the authors present a Macroeconomic Agent-Based Model with Capital and Credit (CC-MABM) which builds upon the framework put forward by Delli Gatti et al. (2011) and shows that the interaction of upstream and downstream firms and the evolution of their financial conditions are essential ingredients of a "crisis" ie a sizable slump followed by a long recovery.

TL;DR: In this article, the authors explore the possible types of phenomena that simple macroeconomic agent-based models (ABMs) can reproduce and propose a methodology, inspired by statistical physics, that characterizes a model through its phase diagram in the space of parameters.

TL;DR: In this article, the authors show how to consistently estimate ergodic models by simulated minimum distance techniques, both in a long-run equilibrium and during an adjustment phase, under a variety of conditions.

TL;DR: This article assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel and build a macroeconomic model where banks subject to runs endogenously choose their funding structure (deposits vs. capital).

TL;DR: By formulating models for herding and order splitting, as well as models for brokerage choice, this work is able to overcome the distortion introduced by brokerage.

TL;DR: In this article, the authors introduce a model of interbank trading with memory, which reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks.

TL;DR: In this paper, the authors employ an agent-based model to study the economic and financial ramifications of three highly relevant crisis resolution mechanisms, and find that for an economy characterized by low unemployment and high productivity, the optimal crisis resolution with respect to financial stability and economic productivity is to close the distressed institution.

TL;DR: In this article, the authors pointed out that the combined effect of aging of the baby-boomer generation and low fertility rates have produced very rapid aging in Japan and that Japan now has the oldest population among the Group of 6 and its population will continue to age at a rapid pace.

TL;DR: In this paper, a nonlinear model predictive control (NMPC) approach is proposed to solve dynamic decision models in economics, which is based on the iterative solution of optimal control problems on finite time horizons.

TL;DR: In this paper, the authors used panel data of 19 OECD countries observed over 40 years and data on specific labor market reform episodes to conclude that labor market institutions matter for business cycle fluctuations.

TL;DR: In this article, the authors study the properties of a monetary economy with an essential role for risky bank lending and find that a countercyclical capital buffer leads to a significant increase in welfare.

TL;DR: In this article, a simple dynamic model of interbank credit relationships is proposed, where banks initially choose potential trading partners randomly, but over time form preferential relationships via an elementary reinforcement learning algorithm.

TL;DR: In this article, the authors extend the behavioral macroeconomic model to include a banking sector and find that the existence of banks intensifies these movements, creating a greater scope for booms and busts.

TL;DR: The stochastic neoclassical growth model, the workhorse of modern macroeconomics, is solved using C++14, Fortran 2008, Java, Julia, Python, Matlab, Mathematica, and R.

TL;DR: In this paper, the authors quantified the fiscal cost of demographic transition that Japan is projected to experience over the next several decades, in a life-cycle model with endogenous saving, consumption, and labor supply in both intensive and extensive margins.

TL;DR: In this article, a calibration procedure for validating of agent-based models is introduced, based on the Brock and Hommes model, which can be solved numerically via a gradient-based method.

TL;DR: In this paper, the authors propose a multi-period clearing framework, where the level of systemic risk is mitigated through the provision of liquidity assistance, and they find that policies targeting systemically important banks are more effective in core-periphery network structures, whereas those maximizing the total liquidity in the system are preferred in random network configurations.

TL;DR: In this article, the authors evaluate quantitatively how interbank and corporate cross-border flows shape business cycles in a monetary union and find evidence of the key role of this crossborder channel as an amplifying mechanism in the diffusion of asymmetric shocks.

TL;DR: In this article, a method for solving and estimating linear rational expectations models that exhibit indeterminacy is proposed and implemented in the Matlab-based packages Dynare and Gensys.

TL;DR: In this paper, the effect of bank lending relationships in the interbank market was empirically explored using data from the e-MID market that represents the only transparent electronic platform in Europe and USA.

TL;DR: In this article, the authors study a dynamic model of opinion formation in social networks, where boundedly rational agents update opinions by averaging over their neighbors' expressed opinions, but may misrepresent their own opinion by conforming or counter-conforming with their neighbors.

TL;DR: In this paper, complete subset regression (CSR) is applied to out-of-sample predictability of U.S. unemployment, GDP growth and inflation, and the results show that CSR combinations produce more accurate point forecasts than a dynamic factor approach or univariate regressions that do not exploit the information in the cross-section of predictors.

TL;DR: In this article, the authors investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States.

TL;DR: In this article, a new survey data on subjective survival probabilities was used to estimate a model incorporating cohort- and target age-varying beliefs in scaling factors, and illustrate their effects on the perceived value of annuities and on retirement phase consumption plans.

TL;DR: In this paper, a simple dynamic model of managing a polluting process subject to the risk of abrupt occurrences of harmful events is considered, where the occurrence hazard can be mitigated by reducing the polluting emissions while the occurrence damage can be controlled via investments in adaptation activities.

TL;DR: The authors investigate the effect of oil price innovations on U.S. manufacturing job flows using a simultaneous equation model that nests symmetric and asymmetric responses and show that positive innovations lead to a decline in net employment and an increase in job reallocation, possibly due to search and matching issues.

TL;DR: In this paper, the authors focus on public investment as a key determinant of the relationship between growth and inequality and show that the impact of government investment on growth and income inequality is complex.

TL;DR: A model to study optimal land use, encompassing land use activities, pollution and climate change, is built and it is proved that the social optimum problem is well-posed, i.e., the solution exists and is unique.

TL;DR: In this article, the authors present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices.