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A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables

Chatelain, Jean-Bernard - 2019

This article presents an algorithm that extends Ljungqvist and Sargent's (2012) dynamic Stackelberg game to the case of dynamic stochastic general equilibrium models including forcing variables. Its first step is the solution of the discounted augmented linear quadratic regulator as in Hansen...

Persistent link: https://www.econbiz.de/10012901171

Risk Measures and Financial Innovation with Backward Stochastic Difference Equations

Antar, Ezequiel - 2019

equilibria is a novel theory of backward stochastic difference equations (BSΔEs) in discrete time, which we develop in analogy to … the currently incomplete theory of backward stochastic differential equations (BSDEs) in continuous time. The new tool is … and the implications for real-life financial market structures which elude the continuous time BSDE theory. A simple …

Persistent link: https://www.econbiz.de/10012903656

Super-Inertial Interest Rate Rules Are Not Solutions of Ramsey Optimal Monetary Policy

Chatelain, Jean-Bernard - 2019

Giannoni and Woodford (2003) found that the equilibrium determined by commitment to a super-inertial rule (where the sum of the parameters of lags of interest rate exceed ones and does not depend on the auto-correlation of shocks) corresponds to the unique bounded solution of Ramsey optimal...

Persistent link: https://www.econbiz.de/10012898486

'Quantum Equilibrium-Disequilibrium' : Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Halperin, Igor - 2019

produce both defaults and divergence of perturbation theory in a small market friction parameter …

Persistent link: https://www.econbiz.de/10012898637

Risk Arbitrage Opportunities for Stock Index Options

Post, Thierry - 2019

To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for...

Persistent link: https://www.econbiz.de/10012899380

A Theory of Portfolio Choice and Partial Default

Walsh, Kieran James - 2018

I develop a portfolio choice model that allows for partial default and accommodates trade in a rich set of assets. I characterize the solution to an infinite horizon, consumption/portfolio problem with Markov shocks and many assets. The characterization facilitates a simple solution algorithm...

Persistent link: https://www.econbiz.de/10012935548

The Dynamics of Single- and Multi-Sided Platform Monopolies

Abrantes-Metz, Rosa M. - 2020

In this paper we develop a general model of one-sided and two-sided platform businesses and apply it to a monopolist framework. We have a particular interest in how the social loss and other metrics depend on the strength of the network (direct or indirect) effect. We study how network effects...

Persistent link: https://www.econbiz.de/10012823174

On the Complex Dynamics of a Bounded Rational Monopolist Model

Sarafopoulos, Georges - 2015

maximizes profits, as can be seen in the classic microeconomic theory. However, complex dynamics can arise.Research limitations …

Persistent link: https://www.econbiz.de/10013013351

Optimal Management of Groundwater Under Uncertainty : A Unified Approach

Chandra, Kiran - 2014

Discrete-time stochastic models of groundwater management have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of extraction cost (remarked in many papers in the...

Persistent link: https://www.econbiz.de/10013051680

Stability and Identification with Optimal Macroprudential Policy Rules

Chatelain, Jean-Bernard - 2014

This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values) and minimizing the volatility of the policy interest...

Persistent link: https://www.econbiz.de/10013055547