943 research outputs found
Computational Methods in Economic Dynamics
No full textDawid 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
Filtering Time Series with Penalized Splines
No full textKauermann G, Krivobokova T, Semmler W. Filtering Time Series with Penalized Splines. Studies in Nonlinear Dynamics and Econometrics. 2011;15(2): 2
The Structuralist Perspective on Real Exchange Rate, Share Price Level and Employment Path: What Role Is Left for Money?
No full textEdited by Willi Semmler</p
Greenhouse gases mitigation: global externalities and short-termism
No full textDi Bartolomeo G, Fard BM, Semmler W. Greenhouse gases mitigation: global externalities and short-termism. Environment and Development Economics. 2022: PII S1355770X22000249.Policies designed to control greenhouse gases imply domestic tradeoffs and international externalities, which lead to both domestic and international conflicts, influencing their feasibility and implementations. Our paper investigates two quantitative aspects within this debate. We intend to quantify the impact of: (a) the internalization of international externalities; and (b) the damage associated with a short-term view of climate policies. In this respect, we adopt the innovative (in this field) idea of model predictive control to formalize moving-horizon policy strategies and, thus, to build counterfactuals characterized by a different horizon for all policymakers
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
Thresholds in a credit market model with multiple equilibria
No full textGrüne L, Semmler W, Sieveking M. Thresholds in a credit market model with multiple equilibria. Diskussionspapier - Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Bielefeld: Fakultät für Wirtschaftswissenschaften, Universität Bielefeld; 2001.The paper studies a credit market model with endogenous credit cost and debt constraints in which multiple candidates for steady state equilibria arise. We use dynamic programming (DP) with exible grid size to locate thresholds that separate different domains of attraction. More specifically, we employ DP to (1) compute present value borrowing constraints and thus creditworthiness, (2) locate thresholds where the dynamics separate to different domains of attraction, (3) distinguish between optimal and non-optimal steady states and (5) demonstrate how the thresholds change with change of the credit cost function of the debtor and (6) explore the impact of debt ceilings and consumption paths on creditworthiness. The analytics is provided for a general model and some generic results are presented for a one state variable problem
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
Introduction to the special issue: Computational perspectives in economics and finance: Methods, dynamic analysis and policy modeling
No full textDawid H, Semmler W. Introduction to the special issue: Computational perspectives in economics and finance: Methods, dynamic analysis and policy modeling. Journal of Economic Dynamics & Control. 2010;34(9):1529-1530
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