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Individual expectations and aggregate behavior in learning to forecast experiments

Hommes, Cars (contributor); Lux, Thomas (contributor) - 2008

Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations...

Persistent link: https://www.econbiz.de/10003777257

Equal split in the informal market for group train travel

Waichman, Israel; Korzhenevych, Artem; Requate, Tilman - 2010

is used by individual proposers who search for co-travelers to share the ride with shortly before the train departure …

Persistent link: https://www.econbiz.de/10003983147

Contagion risk in the interbank market : a probabilistic approach to cope with incomplete structural information

Montagna, Mattia; Lux, Thomas - 2014

Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important...

Persistent link: https://www.econbiz.de/10010373653

Emergence of a core-periphery structure in a simple dynamic model of the interbank market

Lux, Thomas - 2014

This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections 3merges from idiosyncratic liquidity shocks....

Persistent link: https://www.econbiz.de/10010347389

Identification of animal spirits in a bounded rationality model : an application to the euro area

Jang, Tae-seok; Sacht, Stephen - 2012

In this paper we empirically examine a heterogenous bounded rationality version of a hybrid New-Keynesian model. The model is estimated via the simulated method of moments using Euro Area data from 1975Q1 to 2009Q4. It is generally assumed that agents’ beliefs display waves of optimism and...

Persistent link: https://www.econbiz.de/10009671972

A model of the topology of the bank-firm credit network and its role as channel of contagion

Lux, Thomas - 2014

This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts fond in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiment with this mode, we...

Persistent link: https://www.econbiz.de/10010394343

Multinational firms and heterogeneous labor

Larch, Mario (contributor); Lechthaler, Wolfgang (contributor) - 2008

In the presence of increasing specialization of workers it becomes more and more difficult for firms to find the most suitable workers. In such an environment a multinational corporation has an advantage because it can exchange workers between plants in different countries. In this way it can...

Persistent link: https://www.econbiz.de/10003757817

Capital, endogenous separations, and the business cycle

Roye, Björn van; Wesselbaum, Dennis - 2009

, there is almost no difference for monetary policy shocks. -- Capital ; Endogenous Separations ; Search and Matching …We implement capital in an endogenous separations New Keynesian matching model. In contrast to the vintage capital … the performance of the matching model to generate stylized facts in response to an aggregate productivity shock. However …

Persistent link: https://www.econbiz.de/10003884840

Unemployment in an interdependent world

Felbermayr, Gabriel; Larch, Mario; Lechthaler, Wolfgang - 2009

We introduce search and matching unemployment into a model of trade with differentiated goods and heterogeneous firms …-over effects of labor market institutions ; unemployment ; international trade ; search frictions ; heterogeneous firms …

Persistent link: https://www.econbiz.de/10003872021

Vacancies, unemployment, and the Phillips curve

Ravenna, Federico (contributor); Walsh, Carl E. (contributor) - 2007

of the labor market such as the matching technology that pairs vacancies with unemployed workers. We estimate on US data …

Persistent link: https://www.econbiz.de/10003486556