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Correlated income shocks and excess smoothness of consumption
Hryshko, Dmytro - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 41-62
In the literature, econometricians typically assume that household income is the sum of a random walk permanent component and a transitory component, with uncorrelated permanent and transitory shocks. Using data on realized individual incomes and individual expectations of future incomes from...
Persistent link: https://www.econbiz.de/10011077514
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Emergent dynamics of a macroeconomic agent based model with capital and credit
Assenza, Tiziana; Delli Gatti, Domenico; Grazzini, Jakob - In: Journal of Economic Dynamics and Control 50 (2015) C, pp. 5-28
ingredients of a “crisis” i.e. a sizable slump followed by a long recovery. …
Persistent link: https://www.econbiz.de/10011190667
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Post-mortem examination of the international financial network
Chinazzi, Matteo; Fagiolo, Giorgio; Reyes, Javier A.; … - In: Journal of Economic Dynamics and Control 37 (2013) 8, pp. 1692-1713
As the recent crisis has forcefully suggested, understanding financial-market interconnectedness is of a paramount … investigate whether the 2008 financial crisis has resulted in a significant change in the topological properties of the IFN. Our … findings suggest that the crisis caused not only a reduction in the amount of securities traded, but also induced changes in …
Persistent link: https://www.econbiz.de/10010679087
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Estimation of ergodic agent-based models by simulated minimum distance
Grazzini, Jakob; Richiardi, Matteo - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 148-165
Two difficulties arise in the estimation of AB models: (i) the criterion function has no simple analytical expression, (ii) the aggregate properties of the model cannot be analytically understood. In this paper we show how to circumvent these difficulties and under which conditions ergodic...
Persistent link: https://www.econbiz.de/10011190658
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Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J.; Leccadito, Arturo; Tunaru, Radu S. - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 125-141
equity investors were signalling an anomaly in the market well before the subprime prime mortgage crisis (August 2007) and … the crisis of confidence that followed, anticipating the downfall in equity markets in 2008, but then returning to normal …
Persistent link: https://www.econbiz.de/10010730086
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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yongwoong; Poon, Ser-Huang - In: Journal of Economic Dynamics and Control 41 (2014) C, pp. 69-92
This paper presents a dynamic portfolio credit model following the regulatory framework, using macroeconomic and latent risk factors to predict the aggregate loan portfolio loss in a banking system. The latent risk factors have three levels: global across the entire banking system,...
Persistent link: https://www.econbiz.de/10010779384
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Do institutional changes affect business cycles? Evidence from Europe
Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - In: Journal of Economic Dynamics and Control 36 (2012) 10, pp. 1520-1533
We study the effects that the Maastricht Treaty, the creation of the ECB, and the Euro changeover had on the dynamics of European business cycles using a panel VAR and data from 10 European countries—seven from the Euro area and three outside of it. There are changes in the features of...
Persistent link: https://www.econbiz.de/10011051910
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A structural model of firm and industry evolution: Evidence from Chile
Şeker, Murat - In: Journal of Economic Dynamics and Control 36 (2012) 6, pp. 891-913
Although there are many models that yield a simple interpretation of the basic features of firm and industry evolution, they are too stylized to confront the micro-level data in a formal quantitative analysis. By introducing heterogeneity to a stylized industry evolution model, I explain several...
Persistent link: https://www.econbiz.de/10011051927
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Do firms share the same functional form of their growth rate distribution? A statistical test
Lunardi, José T.; Miccichè, Salvatore; Lillo, Fabrizio; … - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 140-164
We propose a hypothesis testing procedure to investigate whether the same growth rate distribution is shared by all the firms in a balanced panel or, more generally, whether they share the same functional form for this distribution, without necessarily sharing the same parameters. We apply the...
Persistent link: https://www.econbiz.de/10010744179
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Equilibrium Heterogeneous-Agent models as measurement tools: Some Monte Carlo evidence
Cozzi, Marco - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 208-226
This paper discusses a series of Monte Carlo experiments designed to evaluate the empirical properties of Heterogeneous-Agent macroeconomic models in the presence of sampling variability. The calibration procedure leads to the welfare analysis being conducted with the wrong parameters. The...
Persistent link: https://www.econbiz.de/10010744182