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Population Ageing and Pension Reform in a Small Open Economy with Non-Traded Goods
Bettendorf, Leon; Heijdra, Ben - Tinbergen Institute - 2005
In this paper we study the implications of population ageing in an economy with a sizeable non-traded goods sector. To this effect a highly stylized micro-founded macro model is constructed in which the age structure of the population plays a non-trivial role. The model distinguishes separate...
Persistent link: https://www.econbiz.de/10005144537
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The Sustainability of the Pay-as-you-go System with Falling Birth Rates
Praag, Bernard M.S. van; Cardoso, Pedro - Tinbergen Institute - 2002
, technological growth, the time-preference discount rate, the relative risk aversion, the production function, and the degree of …
Persistent link: https://www.econbiz.de/10005144543
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Optimal Sharing of Labor Productivity Risks and Mix of Pay-As-You-Go and Savings
Bilard, Debora Kusmerski - Tinbergen Institute - 2008
has a lifetime perspective of the risk exposure. In addition, the government may induce a higher saving rate, due to the …
Persistent link: https://www.econbiz.de/10005137323
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Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations
Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars; … - Tinbergen Institute
The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...
Persistent link: https://www.econbiz.de/10005016263
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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Institute - 2006
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...
Persistent link: https://www.econbiz.de/10005795568
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A Dynamic Analysis of Moving Average Rules
Chiarella, Carl; He, Tony; Hommes, Cars H. - Tinbergen Institute - 2005
The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...
Persistent link: https://www.econbiz.de/10005136922
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Vanity in Politics: A Problem?
Suurmond, Guido; Swank, Otto H.; Visser, Bauke - Tinbergen Institute - 2002
reputational concerns lead agents e.g. to ignore valuable information, to herd, and to become overly risk averse. We explore how …
Persistent link: https://www.econbiz.de/10005450753
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - Tinbergen Institute - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...
Persistent link: https://www.econbiz.de/10008484069
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Vulnerability in a Stochastic Dynamic Model
Elbers, Chris; Gunning, Jan Willem - Tinbergen Institute - 2003
Most measures of vulnerability are a-theoretic and essentially static. In this paper we use a stochastic Ramsey model to find a household's optimal welfare and we measure vulnerability as the shortfall from the welfare attained if the household consumed permanently at the poverty line. The...
Persistent link: https://www.econbiz.de/10005136956
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Growth and Risk: Methodology and Micro Evidence
Elbers, Chris; Gunning, Jan Willem; Kinsey, Bill - Tinbergen Institute - 2003
There has been a revival of interest in the effect of risk on economic growth. We quantify both ex ante and ex post … effects of risk using a stochastic version of the Ramsey model. We develop a simulation-based econometric methodology which … allows us to estimate the model in the structural form suggested by theory. The methodology is applied to micro data from a …
Persistent link: https://www.econbiz.de/10005137127