Similar Search Results

Monopoly with local knowledge of demand function

Naimzada, Ahmad; Ricchiuti, Giorgio - In: Economic Modelling 28 (2011) 1, pp. 299-307

that quantity. Given this information and through a learning process the firm estimates a linear subjective demand curve …

Persistent link: https://www.econbiz.de/10010573382

Limited information minimal state variable learning in a medium-scale multi-country model

Dieppe, Alistair; Pandiella, Alberto González; Hall, … - In: Economic Modelling 33 (2013) C, pp. 808-825

realistic assumption of boundedly rational learning where agents are assumed to use only a limited set of information to form …

Persistent link: https://www.econbiz.de/10011048693

Inflation targeting in a learning economy: An ABM perspective

Salle, Isabelle; Yıldızoğlu, Murat; Sénégas, … - In: Economic Modelling 34 (2013) C, pp. 114-128

This paper investigates the performances of an inflation targeting regime in a learning economy framed as an Agent … rules of thumb – or heuristics – while a continuous learning process governs the evolution of those rules. Under these … learning mechanisms operating at the individual level and the features and performances of the inflation targeting regime. Our …

Persistent link: https://www.econbiz.de/10011048696

Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis

Aloui, Chaker; Hkiri, Besma - In: Economic Modelling 36 (2014) C, pp. 421-431

This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the...

Persistent link: https://www.econbiz.de/10010729811

Are securitised real estate markets efficient?

Su, Jen-Je; Cheung, Adrian; Roca, Eduardo - In: Economic Modelling 29 (2012) 3, pp. 684-690

We re-examine the efficiency of real estate markets based on the Escanciano-Lobato (2009) autocorrelation test which we improved by means of wild bootstrapping. Through Monte Carlo simulation, we find that the wild bootstrap-based autocorrelation test has very good performance even in small...

Persistent link: https://www.econbiz.de/10011048857

Conditional market beta for REITs: A comparison of modeling techniques

Zhou, Jian - In: Economic Modelling 30 (2013) C, pp. 196-204

There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample...

Persistent link: https://www.econbiz.de/10011048940

The price stability under inflation targeting regime: An analysis with a new intermediate approach

Ftiti, Zied; Hichri, Walid - In: Economic Modelling 38 (2014) C, pp. 23-32

This paper analyzes the relevance of the inflation targeting (IT) policy in achieving its primary goal of medium-term price stability. Contrary to previous studies, we propose, in this work, a new approach; an intermediate approach that consists in conducting a time-series analysis (employed in...

Persistent link: https://www.econbiz.de/10010753360

On the relationship between oil price and exchange rates: A wavelet analysis

Uddin, Gazi Salah; Tiwari, Aviral Kumar; Arouri, Mohamed; … - In: Economic Modelling 35 (2013) C, pp. 502-507

We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by...

Persistent link: https://www.econbiz.de/10010719357

A new interpretation of known facts: The case of two-way causality between trading and volatility

Müller, Christian - In: Economic Modelling 29 (2012) 3, pp. 664-670

Efficient price setting implies that news create volatility since traders flock to the market in order to re-optimise their portfolios. In due course of the price finding process volatility should decline once the asset price approaches its new, efficient level. In this note I present evidence...

Persistent link: https://www.econbiz.de/10011048711

The ECB's New Multi-Country Model for the euro area: NMCM — Simulated with rational expectations

Dieppe, Alistair; González Pandiella, Alberto; … - In: Economic Modelling 29 (2012) 6, pp. 2597-2614

The model presented here is an estimated medium-scale New Multi-Country Model (NMCM) which covers the five largest euro area countries and is used for forecasting and scenario analysis at the European Central Bank. The model has a tight theoretical structure which allows for non-unitary...

Persistent link: https://www.econbiz.de/10011048790