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Utility functions that are additively-separable in goods consumption and leisure are often used in dynamic stochastic general equilibrium (DSGE) models. This paper illustrates how the use of an elliptical functional form for the utility of leisure can be substituted for the more common constant...
Persistent link: https://www.econbiz.de/10011273935
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...
Persistent link: https://www.econbiz.de/10005086597
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/10005086661
The Conflict Analysis approach by Hipel and Fraser (1984) is well equipped to model repeated games. Players are assumed to posses a sequential reasoning that allows them to ( not necessarily correctly) anticipate the reaction of other players to their strategies. An individual's best response...
Persistent link: https://www.econbiz.de/10009493836
We extend a continuous-time approximation approach to the analysis of escape dynamics in economic models with constant gain adaptive learning. This approach is based on the application of the results of continuous-time version of large deviations theory to the linear diffusion approximation of...
Persistent link: https://www.econbiz.de/10010730088
In this note, departing from the traditional static and fully rational economic agent setting, I study a dynamic model of a boundedly rational monopolist who, in a partially known environment, follows a rule of thumb learning process. Instead of considering the classical differential model with...
Persistent link: https://www.econbiz.de/10012999478
In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard Lipschitz and monotonicity conditions, and by means of...
Persistent link: https://www.econbiz.de/10012982366
The Conflict Analysis approach by Hipel and Fraser (1984) is well equipped to model repeated games. Players are assumed to posses a sequential reasoning that allows them to (not necessarily correctly) anticipate the reaction of other players to their strategies. An individual’s best response...
Persistent link: https://www.econbiz.de/10014157070
We propose a general approach to study the differential effects of exogenous shocks in economic models with heterogeneous agents. Our setting applies to models that can be stated as ``competition for market shares'' in a broad sense. Examples that fit our type of structure are ubiquitous in...
Persistent link: https://www.econbiz.de/10014124140
There are three types of "Anything Goes" results: two of them from economic theory and one from the realms of dynamical systems. The study considers the implications of such results and tries to identify conditions under which certain types of conclusions may be implied: convergence, cycles or...
Persistent link: https://www.econbiz.de/10014076082