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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/10012466125

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/10012466268

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/10012466295

Financial Constraints, Asset Tangibility, and Corporate Investment

Almeida, Heitor - 2006

between capital spending and cash flows is non-monotonic in the firm's asset tangibility. Our theory allows us to use a …

Persistent link: https://www.econbiz.de/10012466582

Environmental Investment and Policy with Distortionary Taxes and Endogenous Growth

Fullerton, Don - 2006

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/10012466599

Optimal Dynamic R&D Programs

Grossman, Gene M. - 1985

We study the optimal pattern of outlays for a single firm pursuing an R&D program over time. In the deterministic case, (a) the amount of progress required to complete the project is known, and (b) the relationship between outlays and progress is known. In this case, it is optimal to increase...

Persistent link: https://www.econbiz.de/10012477422

A Conic Algorithm for the Group Minimization Problem

Simeone, Bruno - 1976

A new algorithm for the group minimization problem (GP) is proposed. The algorithm can be broadly described as follows. A suitable relaxation of(GP) is defined, in which any feasible point satisfies the group equation but may have negative components. The feasible points of the relaxation are...

Persistent link: https://www.econbiz.de/10012478970

Optimal Adaptive Control Methods for Structurally Varying Systems

Sarris, Alexander H. - 1973

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/10012479101

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/10012480284

Optimal Illiquidity

Beshears, John - 2020

We calculate the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias (Amador, Werning, and Angeletos 2006). The government chooses mandatory contributions to respective spending/savings accounts, each with a different pre-retirement...

Persistent link: https://www.econbiz.de/10012481314

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