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Time-Varying Beta : A Boundedly Rational Equilibrium Approach

Chiarella, Carl - 2010

By taking into account conditional expectations and the dependence of the systematic risk of asset returns on micro …- and macro-economic factors, the conditional CAPM with time-varying betas displays superiority in explaining the cross … financial market with heterogeneous agents and obtain an explicit dynamic CAPM relation between the expected equilibrium returns …

Persistent link: https://www.econbiz.de/10013136820

Stabilizing an unstable economy : on the choice of proper policy measures

Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter; … - 2009

Currently, many monetary and fiscal policy measures are aimed at preventing the financial market meltdown that started in the US subprime sector and has spread worldwide as a great recession. Although some slow recovery appears to be on the horizon, it is worthwhile exploring the fragility and...

Persistent link: https://www.econbiz.de/10003905077

Stabilizing an unstable economy : on the choice of proper policy measures

Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter; … - 2010

In the last months, the world's economies were confronted with the largest economic recession since the Great Depression. The occurrence of a worldwide financial market meltdown as a consequence originally stemming from of the crisis in the US subprime housing sector was only prevented by...

Persistent link: https://www.econbiz.de/10003985522

A Reconsideration of the Formal Minskyan Analysis : Microfundations, Endogenous Money and the Public Sector

Chiarella, Carl - 2012

The paper presents a survey of the literature that has grown out of the work of Hyman Minsky and, in particular, of the main models which have mathematically formalized the cyclical dynamics of a capitalist economy implied by the Financial Fragility Hypothesis. We identify some of the issues...

Persistent link: https://www.econbiz.de/10013113923

The Financial Instability Hypothesis : A Stochastic Microfoundation Framework

Chiarella, Carl - 2010

This paper examines the dynamics of financial distress and in particular the mechanism of transmission of shocks from the financial sector to the real economy. The analysis is performed by representing the linkages between microeconomic financial variables and the aggregate performance of the...

Persistent link: https://www.econbiz.de/10013146523

Monetary Policy and Debt Deflation : Some Computational Experiments

Chiarella, Carl - 2013

The paper presents an agent based model to study the possible effects of different fiscal and monetary policies in the context of debt deflation. We introduce a modified Taylor rule which includes the financial position of firms as a target. Monte Carlo simulations show that an excessive...

Persistent link: https://www.econbiz.de/10013079548