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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models

Huang, Ji - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014345557

Resource Dependence, Recycling, and Trade

Egger, Peter H.; Keuschnigg, Christian - 2023

Recycling waste from used goods can substitute for scarce raw materials and reduce resource dependence. This paper … presents a model of waste collection, recycling and final goods production using raw and recycled materials. Non-recycled waste … recycling firms to compensate for the savings in disposal costs. We study trade between resource poor economies exporting final …

Persistent link: https://www.econbiz.de/10014346450

Stochastic Contracts and Subjective Evaluations

Lang, Matthias - 2021

Subjective evaluations are widely used, but call for different contracts from traditional moral-hazard settings. Previous literature shows that contracts require payments to third parties, which real-world contracts rarely use. I show that the implicit assumption of deterministic contracts makes...

Persistent link: https://www.econbiz.de/10013311715

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10010264124

Apportioning of risks via stochastic dominance

Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2008

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random wealth variable Xi dominates Yi via ith-order stochastic dominance for i = M,N. We show that the 50-50 lottery [XN + YM, YN + XM] dominates the lottery [XN + XM, YN + YM] via (N +...

Persistent link: https://www.econbiz.de/10010264492

Matching and saving in continuous time: Proofs

Bayer, Christian; Wälde, Klaus - 2010

This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations.

Persistent link: https://www.econbiz.de/10010270451

Global warming and extreme events: Rethinking the timing and intensity of environmental policy

Chen, Yu-Fu; Funke, Michael - 2010

The possibility of low-probability extreme events has reignited the debate over the optimal intensity and timing of climate policy. In this paper we therefore contribute to the literature by assessing the implications of low-probability extreme events on environmental policy in a continuous-time...

Persistent link: https://www.econbiz.de/10010270651

Multi-Factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10010271959

Numerical solution of dynamic equilibrium models under Poisson uncertainty

Posch, Olaf; Trimborn, Timo - 2011

We propose a simple and powerful numerical algorithm to compute the transition process in continuous-time dynamic equilibrium models with rare events. In this paper we transform the dynamic system of stochastic differential equations into a system of functional differential equations of the...

Persistent link: https://www.econbiz.de/10010274762

Computation of business-cycle models with the Generalized Schur Method

Heer, Burkhard; Maußner, Alfred - 2009

We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example.

Persistent link: https://www.econbiz.de/10010275804

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