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Indeterminacy in a Forward Looking Regime Switching Model
Farmer, Roger E. A. - 2006
This paper is about the properties of Markov switching rational expectations (MSRE) models. We present a simple monetary policy model that switches between two regimes with known transition probabilities. The first regime, treated in isolation, has a unique determinate rational expectations...
Persistent link: https://www.econbiz.de/10012779321
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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
Barberis, Nicholas - 2006
explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …
Persistent link: https://www.econbiz.de/10012779644
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Evaluating Welfare with Nonlinear Prices
Reiss, Peter C. - 2006
This paper examines how to evaluate consumer welfare when consumers face nonlinear prices. This problem arises in many settings, such as devising optimal pricing strategies for firms, assessing how price discrimination affects consumers, and evaluating the efficiency costs of many transfer...
Persistent link: https://www.econbiz.de/10012779746
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Environmental Investment and Policy with Distortionary Taxes and Endogenous Growth
Fullerton, Don; Kim, Seung-Rae - 2021
Recent studies consider public R&D spending that affects abatement knowledge and endogenous growth, distortionary taxes that affect physical and human capital formation, pollution taxes that affect environmental degradation, and regeneration that restores natural capital. Our model combines all...
Persistent link: https://www.econbiz.de/10013222070
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Nonlinear Programming Method for Dynamic Programming
Cai, Yongyang - 2013
the linear approach to dynamic programming by using ideas from approximation theory to avoid inefficient discretization …
Persistent link: https://www.econbiz.de/10013082154
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Solving Dynamic Programming Problems on a Computational Grid
Cai, Yongyang - 2013
We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...
Persistent link: https://www.econbiz.de/10013088396
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Bliss Points in Mean-Variance Portfolio Models
Jones, David S - 2010
When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...
Persistent link: https://www.econbiz.de/10012762598
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Benchmarking Global Optimizers
Arnoud, Antoine - 2019
We benchmark seven global optimization algorithms by comparing their performance on challenging multidimensional test functions as well as a method of simulated moments estimation of a panel data model of earnings dynamics. Five of the algorithms are taken from the popular NLopt open-source...
Persistent link: https://www.econbiz.de/10012861735
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Optimal Automatic Stabilizers
McKay, Alisdair - 2016
Should the generosity of unemployment benefits and the progressivity of income taxes depend on the presence of business cycles? This paper proposes a tractable model where there is a role for social insurance against uninsurable shocks to income and unemployment, as well as inefficient business...
Persistent link: https://www.econbiz.de/10012988499
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Optimal Adaptive Control Methods for Structurally Varying Systems
Sarris, Alexander H.; Athans, Michael - 2021
The problem of simultaneously identifying and controlling a time-varying, perfectly-observed linear system is posed. The parameters are assumed to obey a Markov structure and are estimated with a Kalman filter. The problem can be solved conceptually by dynamic programming, but even with a...
Persistent link: https://www.econbiz.de/10013218125