Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of co-movement that is as high as in the data. In this paper, we consider models that produce business cycles endogenously, through...

The purpose of this work is to study the joint interaction of three founding elements of modern capitalism, namely endogenous technical change, income distribution and labour markets, within a low-dimensional nonlinear dynamic setup extending the Goodwin model. By going beyond the conservative...

This paper uses value functions to characterize the pure-strategy subgame-perfect equilibria of an arbitrary, possibly infinite-horizon game. It specifies the game's extensive form as a pentaform (Streufert 2023p, arXiv:2107.10801v4), which is a set of quintuples formalizing the abstract...

This paper uses value functions to characterize the pure-strategy subgame-perfect equilibria of an arbitrary, possibly infinite-horizon game. It specifies the game's extensive form as a pentaform (Streufert 2023p, arXiv:2107.10801v4), which is a set of quintuples formalizing the abstract...

Purpose The authors characterize the conditions under which a country may eventually split and when it splits within an infinite horizon multi-stage differential game. Design/methodology/approach In contrast to the existing literature, the authors do not assume that after splitting, players will...

We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company with a mass of identical and indistinguishable firms is...

We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company with a mass of identical and indistinguishable firms is...

German savings banks play a key role in financing German SMEs. Accordingly, the analysis of their efficiency is of economic importance. We apply data envelopment analysis to explore the influence of the financial crisis (2007 to 2008) as well as the Eurozone crisis (since the end of 2009) on the...

The interest rate is generally considered as an important driver of macroeconomic investment characterised by a particular form of path dependency, "hysteresis". At the same time, the interest rate channel is a central ingredient of monetary policy transmission. In this context, we shed light on...

In this paper we study a higher moment diversification measure, the so-called diversification delta (Vermorken et al. (2012)), in a dynamic portfolio optimization context. Particularly, we set up an investment strategy that dynamically maximizes the diversification delta for a given set of...