Showing papers in "Journal of Economic Dynamics and Control in 2018"

TL;DR: In this article, a surrogate meta-model is proposed for parameter space exploration and calibration of agent-based models (ABM) combining supervised machine learning and intelligent sampling to reduce computation time.

TL;DR: In this article, the authors estimate a nonlinear VAR model to study the real effects of monetary policy shocks in regimes characterized by high vs. low macroeconomic uncertainty and find unexpected monetary policy moves to exert a substantially milder impact in presence of high uncertainty.

TL;DR: This article found that the labor income share decline was more pronounced in manufacturing than in services in the U.S. and in a broad set of other industrialized economies, and showed that a model with cross-sectoral differences in productivity growth and in the degree of capital-labor substitutability is consistent with these trends.

TL;DR: In this paper, a derivative-based optimal investment strategy for an ambiguity-adverse pension investor who faces not only risks from time-varying income and market return volatility but also uncertain economic conditions over a long time horizon is presented.

TL;DR: In this article, the authors propose a new method for computing equilibria in heterogeneous-agent models with aggregate uncertainty, which relies on an assumption that linearization offers a good approximation; they share this assumption with existing linearization methods.

TL;DR: In this article, a particle filter is used to numerically approximate the conditional densities that enter into the likelihood function of the problem and obtain parameter estimates and filtered state probabilities for the unobservable variables.

TL;DR: This paper revisited the implications of the FTPL in a world where the rate of return on government debt may be below the growth rate of the economy, considering different sources for the low returns: dynamic inefficiency, the liquidity premium of government debt, or its favorable risk profile.

TL;DR: In this paper, the authors developed a model in which investors can participate in stock, bond and housing markets, and they showed that endogenous stock and housing market dynamics emerge, countercyclical to each other, if investors react strongly to the markets' price trends.

TL;DR: In this article, a unified framework based on spatial econometrics was developed to address the following questions: (i) what are the effective transmission channels (real linkages and informational channels) of international risk spillovers across countries and/or regions, (ii) which countries are most at risk for their environment and which are suffering the most from international exposure.

TL;DR: This method is proved to be a good candidate for risk management in terms of the speed of and the complexity of computing the annual dollar deltas, VaRs and CVaRs for a large variable annuity portfolio whose contracts are over a period of 25 years.

TL;DR: The major boom-bust period of 1997-2003 is commonly viewed as an expectations-driven episode in which overly optimistic expectations about information and communications technology were followed by their downward revision as mentioned in this paper.

TL;DR: In this paper, the authors analyzed the divers of business cycle synchronization within and between advanced and emerging economies at the sector level by analyzing international co-movements of value added growth in a multi-sector dynamic factor model.

TL;DR: In this article, the portfolio selection problem of a finite-lived agent who does not tolerate a decline in standard of living is studied, where the preference can be regarded as exhibiting extreme-form of habit formation and also related to loss aversion in the prospect theory.

TL;DR: In this paper, the authors developed a dynamic model of price and quality competition in order to analyze the effects of competition on quality provision and to which extent an unregulated market is able to provide a socially optimal quality level.

TL;DR: In this article, the authors developed a continuous-time asset price model, derived the optimal investment strategy theoretically, and test the strategy empirically, and showed that, by combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and out-of-sample, the S&P 500 and pure strategies based on either time-series momentum or reversal only.

TL;DR: In this article, the authors consider systemic risk due to fire sales spillovers and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015) and show that it is possible to assess aggregated and single bank's systemicness and vulnerability, using only the information on the size of each bank and the capitalization of each investment asset.

TL;DR: In this paper, the authors introduce a dynamic network model of interbank lending and estimate the parameters by indirect inference using network statistics of the Dutch interbank market from February 2008 to April 2011, finding that credit-risk uncertainty and peer monitoring are significant factors in explaining the sparse core-periphery structure of the market and the presence of relationship lending.

TL;DR: In this article, the authors investigate whether eliciting future price forecasts influences market outcomes and whether differences in the way in which subjects are incentivized to submit " accurate " price forecasts influence market outcomes as well as the forecasts in an experimental asset market.

TL;DR: In this paper, the existence of a systemic risk-taking channel (SRTC) in the Eurozone, through an original macroeconomic perspective based on causality measures, is investigated. But the authors make a distinction between short and long-term causality, following the methodology proposed by Dufour and Taamouti.

TL;DR: This paper developed a unified framework in which various types of catastrophic shocks can be simultaneously considered within a standard model of economic growth, and applied the framework to an endogenous growth model to consider the influence of disasters on the long-term equilibrium and the transition phase.

TL;DR: In this article, the authors explore the extent to which these empirical regularities can be explained by a calibrated micro-founded, nonlinear growth model with normalized CES technology and endogenous labor and capital augmenting technical change driven by purposeful directed R&D investments.

TL;DR: In this article, the authors developed a macroeconomic agent-based model that consists of firms, banks, unions and households who interact on labour, goods, credit and interbank markets, and found that while the flow of funds from surplus banks to firms can be increased, the latter effect is soon dominated by increasing instability in the real sector as firms default at higher rates.

TL;DR: In this article, the authors analyzed the implications of hysteresis for fiscal policy in a DSGE model and showed that the welfare multiplier is larger in the presence of hystresis.

TL;DR: In this paper, a cross-country investigation of the relation between a firm's growth volatility and its size was carried out using comparable and representative sets of data sourced by official business registers of an important number of countries.

TL;DR: In this article, the authors build a general equilibrium model of plant-level dynamics to quantitatively analyze the entry and exit of manufacturing plants over the business cycle, and they also show that this pattern of entry costs can arise from an endogenous mechanism.

TL;DR: In this article, a dynamic adjustment mechanism based on replicator dynamics in discrete time is used to study the time evolution of a population of players facing a binary choice game with social influence, characterized by payoff curves that intersect at two interior points, also denoted as thresholds.

TL;DR: In this paper, a closed-form solution to the investment problem of an ambiguity averse investor in complete and incomplete markets with stochastic changes in volatility and interest rates was obtained.

TL;DR: In this article, the authors developed a multi-regime global VAR model to study the spillover effects in financial markets, in goods markets, and between financial markets and goods markets across countries, which are assumed to be either in a high financial stress regime or in a low monetary stress regime.

TL;DR: In this paper, the authors study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously, and deviate from affine models by specifying a flexible Wishart jump-diffusion for the co-precision (the inverse of the covariance matrix).