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Grossmann, Volker - 2010

Previous research on optimal R&D subsidies has focussed on the long run. This paper characterizes the optimal time path of R&D subsidization in a semi-endogenous growth model, by exploiting a recently developed numerical method. Starting from the steady state under current R&D subsidization in...

Persistent link: https://www.econbiz.de/10013139245

A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth

Funke, Michael - 2009

In this paper, we apply a convex hull approach to counterfactual analysis of trade openness and growth. The experiments we choose evaluate the importance of trade openness for growth across African countries. Specifically, we ask the question “what would happen if African countries were more...

Persistent link: https://www.econbiz.de/10013158311

Regime Shifts and Uncertainty in Pollution Control

Zeeuw, Aart de; Zemel, Amos - 2021

We develop a simple model of managing a system subject to pollution damage under risk of an abrupt and random jump in …

Persistent link: https://www.econbiz.de/10013315940

Forecasting Tail Risks

De Nicolo, Gianni - 2015

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

Persistent link: https://www.econbiz.de/10013024363

A Tale of Two Debt Crises : A Stochastic Optimal Control Analysis

Stein, Jerome L. - 2021

Banks should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities sides. The...

Persistent link: https://www.econbiz.de/10013316580

United States Current Account Deficits : A Stochastic Optimal Control Analysis

Stein, Jerome L. - 2021

mechanism. The optimal ratio depends upon the risk adjusted net return and risk aversion both at home and abroad. On the basis …

Persistent link: https://www.econbiz.de/10013317398

Mean Univariate-GARCH VaR Portfolio Optimization : Actual Portfolio Approach

Rankovic, Vladimir - 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …

Persistent link: https://www.econbiz.de/10012997323

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

Gronwald, Marc - 2013

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of … dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments …

Persistent link: https://www.econbiz.de/10013093522

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Persistent link: https://www.econbiz.de/10012955198

Dynamic Incentives and Markov Perfection : Putting the 'Conditional' in Conditional Cooperation

Vespa, Emanuel - 2015

This paper experimentally examines the selection of equilibria in dynamic games. Our baseline treatment is a two-state extension of an indefinitely repeated prisoner's dilemma, which we modify in series of treatments to study the focality of efficiency and symmetry, the effect dynamic and static...

Persistent link: https://www.econbiz.de/10013019850