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Hysteresis in the fundamentals of macroeconomics
Cross, R.; McNamara, H.; Pokrovskii, A.V.; Kalachev, L. - Scottish Institute for Research in Economics (SIRE) - 2010
the economic environment matters. This paper presents tractable approach for introducing hysteresis into models of how …
Persistent link: https://www.econbiz.de/10010553599
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Dynamic hysteresis effects
Li, Mengheng; Mendieta-Muñoz, Ivan - 2024
We study how the output gap affects potential output over time-i.e., the dynamic hysteresis effect. To do so, we … introduce novel unobserved components (UC) models that consider hysteresis as a sequence of lagged effects, thus separating the … hysteresis effects after the 1970s, with the negative long-run effect of the Global Financial Crisis and the COVID-19 recessions …
Persistent link: https://www.econbiz.de/10014483593
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Inequality in models with a competition for market shares
Hefti, Andreas; Teichgräber, Julian - 2021
This paper develops a framework to systematically study how changes in market conditions affect the equilibrium inequality between heterogeneous agents. By stating our setting as a "competition for market shares", we can derive inequality predictions for vastly different competition models. This...
Persistent link: https://www.econbiz.de/10012420689
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Generalized stochastic gradient learning
Evans, George W.; Honkapohja, Seppo; Williams, Noah - 2005
We study the properties of generalized stochastic gradient (GSG) learning in forward-looking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related to E-stability, which governs stability under least squares learning. SG...
Persistent link: https://www.econbiz.de/10010261355
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Escape Dynamics : A Continuous-Time Approximation
Kolyuzhnov, Dmitri - 2008
We extend a continuous-time approach to the analysis of escape dynamics in economic models with adaptive learning with constant gain. This approach is based on applying results of continuous time version of large deviations theory to the diffusion approximation of the original discrete-time...
Persistent link: https://www.econbiz.de/10012723984
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Stochastic Gradient Versus Recursive Least Squares Learning
Slobodyan, Sergey - 2008
In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...
Persistent link: https://www.econbiz.de/10012724434
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Inequality in Models with a Competition for Market Shares
Hefti, Andreas; Teichgräber, Julian - 2021
This paper develops a framework to systematically study how changes in market conditions affect the equilibrium inequality between heterogeneous agents. By stating our setting as a "competition for market shares", we can derive inequality predictions for vastly different competition models. This...
Persistent link: https://www.econbiz.de/10013250822
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Generalized Stochastic Gradient Learning
Evans, George W.; Honkapohja, Seppo; Williams, Noah - 2021
We study the properties of generalized stochastic gradient (GSG) learning in forward-looking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related to E-stability, which governs stability under least squares learning. SG...
Persistent link: https://www.econbiz.de/10013318147
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The E-Correspondence Principle
Evans, George W.; Honkapohja, Seppo - 2021
We introduce the E-correspondence principle for stochastic dynamic expectations models as a tool for comparative dynamics analysis. The principle is applicable to equilibria that are stable under least squares and closely related learning rules. With this technique it is possible to study,...
Persistent link: https://www.econbiz.de/10013319530
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Inequality in models with a competition for market shares
Hefti, Andreas; Teichgräber, Julian - 2021
This paper develops a framework to systematically study how changes in market conditions affect the equilibrium inequality between heterogeneous agents. By stating our setting as a "competition for market shares", we can derive inequality predictions for vastly different competition models. This...
Persistent link: https://www.econbiz.de/10012420243