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EDGE-M3: a dynamic general equilibrium micro-macro model for the EU member states

D'Andria, Diego; DeBacker, Jason; Evans, Richard W.; … - 2020

This paper provides a technical description of the overlapping generations model used by the Joint Research Centre to analyse tax policy reforms, including in particular pension and demographic issues. The main feature of the EDGE-M3 model lies in its high level of disaggregation and the close...

Persistent link: https://www.econbiz.de/10012241664

Solving stochastic OLG models using Chebyshev parameterized expectations

Ozbilgin, Murat; Kirkby, Robert - 2024

This paper presents an efficient solution method for solving stochastic overlapping generations (S-OLG) models. We use the Chebyshev parameterized expectation algorithm (C-PEA) developed by Christiano and Fisher (2000) to solve the life cycle block of S-OLGs. The method is well suited for this...

Persistent link: https://www.econbiz.de/10014578231

The optimal spending rate versus the expected real return of a sovereign wealth fund

Aase, Knut K.; Bjerksund, Petter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-35

We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...

Persistent link: https://www.econbiz.de/10012628390

Measuring price risk aversion through indirect utility functions : a laboratory experiment

Zeytoon-Nejad, Ali - In: Games 13 (2022) 4, pp. 1-43

under the expected utility theory (EUT) are somewhat subject to context. Other findings imply that the risk premium (RP), as … prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the paper … introduces the main elements of the duality theory (DT) in economics. Next, it proposes the context of IUFs as a suitable …

Persistent link: https://www.econbiz.de/10013368182

How do adaptive learning expectations rationalize stronger monetary policy response in Brazil?

Dizioli, Allan; Wang, Hou - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-16

This paper estimates a standard Dynamic Stochastic General Equilibrium (DSGE) model that includes a wage and price Phillips curves with different expectation formation processes for Brazil and the USA. Other than the standard rational expectation process, we also use a limited rationality...

Persistent link: https://www.econbiz.de/10015055065

Demographic changes and asset prices in an overlappig generations model

Simo-Kengne, Beatrice D.; Riedel, Frank; … - 2022 - This version: December 15, 2022

We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...

Persistent link: https://www.econbiz.de/10013466466

Imperfect competition, real estate prices and new stylized facts

Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-17

In this paper, we develop an overlapping generation model with imperfect competition and land to provide a theoretical foundation for some empirical observations made since the end of the 1970s. The problem is that these new “stylized facts” do not coincide with Kaldor’s stylized facts and...

Persistent link: https://www.econbiz.de/10013161577

External habits formation and the environment

Safi, Fatma - In: Naše gospodarstvo : NG 67 (2021) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10012584381

Taxing income or consumption: macroeconomic and distributional effects for Italy

D'Andria, Diego; DeBacker, Jason; Evans, Richard W.; … - 2021

We study a set of tax reforms introducing a budget-neutral tax shift in Italy, from labour income to consumption taxes. To this end we use a microsimulation model to provide the output with which to estimate the parameters of tax functions in an overlapping-generations computable general...

Persistent link: https://www.econbiz.de/10012705235

A historical welfare analysis of Social Security : whom did the program benefit?

Peterman, William B.; Sommer, Kamila - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1357-1399

A well‐established result in the literature is that Social Security reduces steady state welfare in a standard life cycle model. However, less is known about the historical quantitative effects of the program on agents who were alive when the program was adopted. In a computational life cycle...

Persistent link: https://www.econbiz.de/10012202816