Showing 1 - 10 of 70
Non-stationary income processes are standard in quantitative life-cycle models, prompted by the observation that within-cohort income inequality increases with age. This paper generalizes Tauchen (1986) and Rouwenhorst's (1995) discretization methods to non-stationary AR(1) processes. We...
Persistent link: https://www.econbiz.de/10011927994
The issue of the impact of trade on specialisation structures and the effects of trade liberalisation on employment and labour markets has been intensively discussed in the recent literature on trade liberalisation and globalisation. In Europe this debate has gained new momentum in the...
Persistent link: https://www.econbiz.de/10010294509
This paper analyzes the impact of model complexity on the net present value distribution and the expected default probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and forecast complexity. We aim to identify model...
Persistent link: https://www.econbiz.de/10010305715
Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from...
Persistent link: https://www.econbiz.de/10011310190
In facility layout problems, a major concern is the optimal design or remodeling of the facilities of an organization. The decision maker's objective is to arrange the facility in an optimal way, so that the interaction among functions (i.e. machines, inventories, persons) and places (i.e....
Persistent link: https://www.econbiz.de/10010321747
The purpose of this paper is to advance in the construction and calibration/estimation of an intermediate DSGE model with two policy rules for Argentina and explore to what extent two policy rules can be better than one. The BCRA´s research department currently uses a very small and non-micro...
Persistent link: https://www.econbiz.de/10010325083
Dynamic and Stochastic General Equilibrium (DSGE) models have become a frequent choice of modeling methodology for complex dynamic and stochastic phenomena in different branches of economics. They are increasingly used by decision-makers to analyze various policy decisions or to generate...
Persistent link: https://www.econbiz.de/10010325102
Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...
Persistent link: https://www.econbiz.de/10010352163
In this paper we introduce a stochastic network formation model where agents choose both actions and links. Neighbors in the network benefit from each other's action levels through local complementarities and there exists a global interaction effect reflecting a strategic substitutability in...
Persistent link: https://www.econbiz.de/10011663176
This paper examines multi-battle contests whose extensive form can be represented in terms of a finite state machine. We start by showing that any contest that satisfies our assumptions decomposes into two phases, a principal phase (in which states cannot be revisited) and a concluding...
Persistent link: https://www.econbiz.de/10011993811