1,721,204 research outputs found
Computational Methods in Economic Dynamics
Full text linkDawid H, Semmler W, eds. Computational Methods in Economic Dynamics. Berlin, Heidelberg: Springer; 2011
Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model
No full textLucidi FS, Semmler W. Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model. Journal of Macroeconomics. 2023;75: 103487.We build a small-scale nonlinear quadratic (NLQ) model in which credit feedback and regime switches in the output gap affect the adjustment path of the economy towards a steady state. The central bank solves a finite-horizon decision problem where the policy rate also can be zero or negative. We estimate this model by nonlinear seemingly unrelated regression method (NLSUR) and using the parameters to explore policy scenarios. The latter projects long-run dynamics after a large demand contraction leading to scarring effects on the economy. We point out three main results. First, while scars are dominant when the central bank follows a standard Taylor rule, unconventional monetary policy (UMP) – such as Quantitative Easing – mitigates the output decline in both the short and the long run. Second, a zero natural interest rate curtails the central bank’s ability to adjust the economy and mitigate scars. Third, financial constraints leave the deepest scars even if UMP is active
Wavelet Applications in Economics and Finance
No full textThis book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field
Fundamentals of Optical Imaging.
No full textOptical imaging techniques offer simplistic while highly sensitive modalities for molecular imaging research. In this chapter, the major instrumental necessities for microscopic and whole-animal imaging techniques are introduced. Subsequently, the resulting imaging modalities using visible or near-infrared light are presented and discussed. The aim is to show the current capabilities and application fields of optics
Limit pricing and entry game of renewable energy firms into the energy sector
No full textSemmler W, Di Bartolomeo G, Fard BM, Braga JP. Limit pricing and entry game of renewable energy firms into the energy sector. Structural Change and Economic Dynamics . 2022;61:179-190.Governments attempt to provide the energy sector with incentives to replace old technologies with new renewable energy ones as the most effective way to combat climate change. Yet, in the energy sector prevail fossil fuel incumbents that might inhibit renewable energy entrants. Our paper provides a game theoretic stylization of competition between those two types of firms. Incumbents set prices, and entrants respond with quantity adjustments. In the context of a dynamic limit pricing model, we study the entry dynamics in a market in which the dominant firms (fossil fuel energy suppliers) face the entry of a group of competitive fringe firms (renewable energy suppliers) when the dominant firms have easier access to financial markets but, the fringe firms fund their expansion with internal finance. We also investigate the effect of the public support for renewable energy firms through subsidies. Our model is built on Judd and Peterson (1986, JET ), but our solutions are obtained through a non-linear model predictive control (NMPC) algorithm. By this technique, we can predict the outcome of the competition between incumbents and entrants and the impact of financial and fiscal policies considering moving-horizon strategies.(c) 2022 Elsevier B.V. All rights reserved
Interest rate spreads and output: A time scale decomposition analysis using wavelets
No full textThe information content of several interest rate spreads for future output growth is analyzed using wavelet analysis. The ‘‘scale-by-scale’’ regression analysis shows that
standard indicators of the stance of monetary policy, such as the shape of the yield curve,
the real federal funds rate, and the credit spread have different information content for
future output at different time frames.
This is consistent with the idea that allowing
for different time scales of variation in the data can provide a deeper understanding of the complex dynamics between real and financial variables, certainly richer than those
obtainable using standard aggregate regression methods
A Nash equilibrium for differential games with moving-horizon strategies
No full textOur paper aims at introducing a moving-horizon interaction in a strategic context. We assume that, in each instant of time, players can predict the effects of their actions and those of their opponents on a finite moving horizon. We define an equilibrium concept, which is consistent in this setting, and develop an appropriate algorithm to compute it by using nonlinear model predictive control techniques. Focusing on the length of forecasting horizon, we propose two economic interpretations for our equilibrium, based on the limited rationality and political economy literature: a simple 2 players’ nonlinear policy game, and what happens to debt stabilization when policymakers have different values of the forecasting horizon. To provide some practical insights of our approach, we consider a debt stabilization game in a monetary union. We consider three players; two nonlinear differential constraints; and assume that one player controls one instrument which is not additive but has some multiplicative effects on the state variables
The decomposition of the inflation-unemployment relationship by time scale using wavelets
No full text
A high-dimensional model of real-financial market interaction: the cascade of stable matrices approach
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