Search Results - subject:"Difference equations"

Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

described by a system of coupled backward stochastic difference equations, which in the continuous-time limit becomes a multi …

Persistent link: https://www.econbiz.de/10010607138

Sticky Information and Determinacy

Meyer-Gohde, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

difference equations in order to directly assess determinacy in the model with demand given by the forward-looking IS equation …

Persistent link: https://www.econbiz.de/10008794464

External debt in macroeconomics : a review

Lee, Kelvin; Thampapillai, Dodo J. - In: International journal of economics and business research 12 (2016) 2, pp. 103-118

Persistent link: https://www.econbiz.de/10011630446

On approximating DSGE models by series expansions

Lombardo, Giovanni - European Central Bank - 2010

We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...

Persistent link: https://www.econbiz.de/10008694057

On approximating DSGE models by series expansions

Lombardo, Giovanni - 2010

Persistent link: https://www.econbiz.de/10011605310

The Volatility Costs of Procyclical Lending Standards; An Assessment Using a Dsge Model

Sgherri, Silvia; Gruss, Bertrand - International Monetary Fund (IMF) - 2009

The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the...

Persistent link: https://www.econbiz.de/10005826640

Maximums on trees

Jelenković, Predrag R.; Olvera-Cravioto, Mariana - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 217-232

We study the minimal/endogenous solution R to the maximum recursion on weighted branching trees given by R=D(⋁i=1NCiRi)∨Q, where (Q,N,C1,C2,…) is a random vector with N∈N∪{∞}, P(|Q|0)0 and nonnegative weights {Ci}, and {Ri}i∈N is a sequence of i.i.d. copies of R independent of...

Persistent link: https://www.econbiz.de/10011077904

The natural rate hypothesis and real determinacy

Meyer-Gohde, Alexander - 2008

The uniqueness of bounded local equilibria under interest rate rules is analyzed in a model with sticky information à la Mankiw and Reis (2002). The main results are tighter bounds on monetary policy than in sticky-price models, irrelevance of the degree of output-gap targeting for determinacy,...

Persistent link: https://www.econbiz.de/10010263742

Global Attractors of Non-autonomous Difference Equations

Cheban, David; Mammana, Cristiana; Michetti, Elisabetta - Dipartimento di Istituzioni Economiche e Finanziarie, … - 2008

of quasi-linear non-autonomous</span><span style="font-size: 9.5pt">difference equations, in particular we give the …

Persistent link: https://www.econbiz.de/10005403498

The Natural Rate Hypothesis and Real Determinacy

Meyer-Gohde, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

58; E61 Keywords: Nonautonomous difference equations; Indeterminacy; Taylor rule; Sticky information; Sticky prices I am … derivation of conditions for saddle-path stability in the system of nonautonomous homogenous linear difference equations that ….g., Theorem 3.15 of Elaydi (2005, p. 130), the solution to a system of difference equations can be split into a particu- lar and a …

Persistent link: https://www.econbiz.de/10005652783