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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …
Persistent link: https://www.econbiz.de/10012605250
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The high-yield segment of the corporate bond market: a diffusion modelling approach for the United States, the United Kingdom and the euro area
de Bondt, Gabe; Marqués-Ibáñez, David - 2004
This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer...
Persistent link: https://www.econbiz.de/10011604359
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On the application of Machine Learning in telecommunications forecasting: A comparison
Petre, Konstantin; Varoutas, Dimitris - 2022
Over the past few decades, a large number of research papers has published focused on forecasting ICT products using various diffusion models like logistic, Gompertz, Bass, etc. Much less research work has been done towards the application of time series forecasting in ICT such as ARIMA model...
Persistent link: https://www.econbiz.de/10013421016
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Financial markets diffusion patterns. The case of Mexican investment funds
Marszk, Adam; Lechman, Ewa; Kaur, Harleen - 2016
Exchange traded funds (ETFs) are one of the most influential financial innovations, reshaping the investment funds market in many countries, including Mexico. Due to their similar investment objectives, ETFs are considered substitutes for mutual funds. This paper examines the changes of the...
Persistent link: https://www.econbiz.de/10011783033
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their neighbors and on a random signal about the...
Persistent link: https://www.econbiz.de/10010310419
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Welfare analysis of HIV/AIDS: Formulating and computing a continuous time overlapping generations policy model
Shorish, Jamsheed - 2007
We introduce a continuous time overlapping generations demographic model, in which a social planner seeks to generate an optimal policy for influencing the demographic change of the underlying population in a neoclassical growth model. The model has the notable feature that the underlying state...
Persistent link: https://www.econbiz.de/10010294015
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Evaluating Inflation Targeting Using a Macroeconometric Model
Fair, Ray C. - 2007
This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing weights on inflation and output, and various optimal control problems are solved using differing...
Persistent link: https://www.econbiz.de/10010295222
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Evaluating Inflation Targeting Using a Macroeconometric Model
Fair, Ray C. - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-8, pp. 1-52
This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing weights on inflation and output, and various optimal control problems are solved using differing...
Persistent link: https://www.econbiz.de/10010295291
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Optimal Choice of Health and Retirement in a Life-Cycle Model
Kuhn, Michael; Wrzaczek, Stefan; Prskawetz, Alexia; … - 2011
We examine within a life-cycle set-up the choice of health and retirement. Health care contributes to a reduction in both mortality, determining the need to accumulate retirement wealth, and in morbidity, determining the disutility of work. The retirement age affects health through the value of...
Persistent link: https://www.econbiz.de/10010305917
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Catastrophes and expected marginal utility: How the value of the last fish in a lake is infinity and why we shouldn't care (much)
Nævdal, Eric - 2015
Catastrophic risk is currently a hotly debated topic. This paper contributes to this debate by showing two results. First it shown that the value function in dynamic optimization can have an infinite derivative at some point even if the model specification has functional forms that are finite...
Persistent link: https://www.econbiz.de/10011335602