There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...

This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

The stability of the financial system at higher loss levels is either characterized by asymptotic dependence or asymptotic independence. If asymptotically independent, the dependency, when present, eventually dies out completely at the more extreme quantiles, as in case of the multivariate...

These notes review two simple heterogeneous agent models in economics and finance. The first is a cobweb model with rational versus naive agents introduced in Brock and Hommes (1997). The second is an asset pricing model with fundamentalists versus technical traders introduced in Brock and...

Today’s global world is characterized not only by a high volume of international trade and foreign investment relative to national income, but also by a changed composition of that trade towards a greater fraction of trade in inputs and capital goods and outsourcing of production.. Emphasized...

The paper considers a two-country model of overlapping generations heterogenous

The paper studies the determinants of income distribution and growth in an overlapping generations economy with heterogenous households. Our framework has the following main features: <OL> <LI>heterogeneity of consumers with respect to wealth and parental human capital; <LI>intergenerational transfers,...</li></li></ol>

This study aims to explain the variation in empirical estimates in the literature on the elasticity of foreign direct investment with respect to company tax levels. To that end, we extend the meta analysis of De Mooij and Ederveen (2003) by considering an alternative classification of the...

This paper presents suggestive evidence of income shifting in response to differences in corporate tax rates for a large selection of OECD countries. We use a new method to disentangle the income shifting effects from the effects of tax rates on real activity. Our baseline estimates suggest that...

In this era of globalization we see an increase in specialization: the production chain is