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Risk matters : breaking certainty equivalence

Parra-Alvarez, Juan Carlos; Polattimur, Hamza; Posch, Olaf - 2020

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...

Persistent link: https://www.econbiz.de/10012211025

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 … system of functional differential equations of the retarded type. We apply the Waveform Relaxation algorithm, i.e., we …

Persistent link: https://www.econbiz.de/10009124183

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/10003965877

Linking tax morale and personal income tax in Spain

Rey del Castillo, Pilar; Villanueva-Garcia, Jaime - 2018

The paper presents a study of the relationship between the tax morale and the individual payments of personal income tax using the statistical matching of opinion polls with a representative sample of the personal income tax returns in Spain. As an initial step, the method selected to execute...

Persistent link: https://www.econbiz.de/10011899059

Hospital treatment rates and spillover effects : does ownership matter?

Baltagi, Badi H.; Yen, Yin-fang - 2014

This paper studies the effect of hospital ownership on treatment rates allowing for spatial correlation among hospitals. Competition among hospitals and knowledge spillovers generate significant externalities which we try to capture using the spatial Durbin model. Using a panel of 2342 hospitals...

Persistent link: https://www.econbiz.de/10010250127

Policy implications of models of the spread of Coronavirus : perspectives and opportunities for economists

Avery, Christopher; Bossert, William H.; Clark, Adam Thomas - 2020

This paper provides a critical review of models of the spread of the coronavirus (SARS-CoV-2) that have been influential in recent policy discussions. It notes potentially important features of the real- world environment that the standard models do not incorporate and discusses reasons why...

Persistent link: https://www.econbiz.de/10012219345

Collusion by algorithm: the role of unobserved actions

Martin, Simon; Rasch, Alexander - 2022

We analyze the effects of better algorithmic demand forecasting on collusive profits. We show that the comparative statics crucially depend on the whether actions are observable. Thus, the optimal antitrust policy needs to take into account the institutional settings of the industry in question....

Persistent link: https://www.econbiz.de/10013093034

Financial contagion : evolutionary optimisation of a multinational agent-based model

Caporale, Guglielmo Maria (contributor); … - 2008

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants...

Persistent link: https://www.econbiz.de/10003779466

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

conditions under which the nested pseudo-likelihood (NPL) algorithm achieves convergence and derive its convergence rate. We find … that the NPL algorithm may not necessarily converge when the fixed point mapping does not have a local contraction property … convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more …

Persistent link: https://www.econbiz.de/10003805996

Modeling institutions, start-ups and productivity during transition

Brixiova, Zuzana; Égert, Balázs - 2010

The transition paths from plan to market have varied markedly across countries. Central and Eastern European and the Baltic countries, which opted for a fast and profound transformation of their institutions including business climates, rapidly narrowed the productivity gap with advanced...

Persistent link: https://www.econbiz.de/10003938148

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