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A mean-field model of optimal investment

Calvia, Alessandro; Federico, Salvatore; Ferrari, Giorgio; … - 2024

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...

Persistent link: https://www.econbiz.de/10014511695

Countercyclical versus Procyclical Taylor Principles

Chatelain, Jean-Bernard - 2016

Assuming inflation is a forward variable in Taylor (1999) model, this paper finds opposite policy rule recommendations with countercyclical policy rule parameters (Taylor principle: inflation rule larger than one and bounded upwards) in the case of optimal policy under commitment versus...

Persistent link: https://www.econbiz.de/10012996200

Slow Arbitrage

Blatt, Julien - 2018

This paper develops a dynamic model in which financially constrained agents search for markets which are subject to decreasing returns to scale. In equilibrium, agents only invest in markets with total capital below an endogenous threshold that depends on the equilibrium distribution of capital...

Persistent link: https://www.econbiz.de/10012915373

Ramsey Optimal Policy versus Multiple Equilibria with Fiscal and Monetary Interactions

Chatelain, Jean-Bernard - 2020

We consider a frictionless constant endowment economy based on Leeper (1991). In this economy, it is shown that, under an ad-hoc monetary rule and an ad-hoc fiscal rule, there are two equilibria. One has active monetary policy and passive fiscal policy, while the other has passive monetary...

Persistent link: https://www.econbiz.de/10012847979

How Do Future Expectations Affect the Financial Sector? Expectations Modeling, Infinite Horizon (Controlled) Random FBSDEs and Stochastic Viscosity Solutions

Kartala, Xanthi-Isidora - 2016

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

Indeterminacy of Ramsey Model Under Heterogeneous Time Preference, Transversality Condition Issues, Theories of Price Level and Uniform Rate of Interest

Kim, Bryce - 2016

different theories of price level, with possible monetary theory dominance when legal barrier of monetary policy is reduced. The …

Persistent link: https://www.econbiz.de/10012982564

Two Stages of Economic Development

Gong, Gang - 2017

that drive economic growth. The two stages of economic development have been indicated in the growth theory of … macroeconomics and in the various “turning point” theories in development economics, including Lewis's dual economy theory, Kuznets … reveals these two stages. Using the two-stage theory of economic development, we find that the People's Republic of China …

Persistent link: https://www.econbiz.de/10012966411

Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations

van der Laan, Gerard; Talman, Dolf; Yang, Zaifu - 2007

Tucker's well-known combinatorial lemma states that for any given symmetric triangulation of the n-dimensional unit cube and for any integer labeling that assigns to each vertex of the triangulation a label from the set {1,2,...n,-1,-2,....-n} with the property that antipodal vertices on the...

Persistent link: https://www.econbiz.de/10014222902

History versus Expectations in Economic Geography Reconsidered

Oyama, Daisuke - 2008

This paper studies global stability of spatial configurations in a dynamic two-region model with quadratic adjustment costs where rational migrants make migration decisions so as to maximize their discounted future utilities. A global analysis is conducted to show that, except for knife-edge...

Persistent link: https://www.econbiz.de/10014224790

Optimal Management of Groundwater under Uncertainty : A Unified Approach

Krishnamurthy, Chandra Kiran - 2014

Discrete-time stochastic models of management of groundwater resources 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 the cost of water extraction (remarked...

Persistent link: https://www.econbiz.de/10014162783