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Inventories
Ramey, Valerie A. - 1997
second is that inventory movements are quite persistent, even conditional on sales. To consider explanations for the two …, or some third, alternative provides a satisfactory explanation of inventory behavior. We suggest several directions for … future research that promise to improve our understanding of inventory behavior and thus of business cycles …
Persistent link: https://www.econbiz.de/10012472499
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A Model of Stochastic Process Switching
Flood, Robert P. - 1981
In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the agents know with certainty both the initial exogenous process and the new process to be adopted...
Persistent link: https://www.econbiz.de/10012478497
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Cash burns : An inventory model with a cash-credit choice
Alvarez, Fernando - 2015
We present a model that characterizes the relationship between optimal dynamic cash management and the choice of the means of payment. The novel feature of the model is the sequential nature of the payments choice: in each instant the agent can choose to pay with either cash or credit. This...
Persistent link: https://www.econbiz.de/10012457556
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Measuring Noise in Inventory Models
Durlauf, Steven N. - 1993
This paper has two purposes. One is to assess different models of inventory behavior in terms of their ability to well … inventory movements. We find that the basic production level smoothing model of inventories, augmented by buffer stock motives … inventory data …
Persistent link: https://www.econbiz.de/10012474458
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Optimal Price and Inventory Adjustment in an Open-Economy Model of the Business Cycle
Flood, Robert P. - 1983
optimal response of inventory-holding firms rather than ad hoc price dynamics …
Persistent link: https://www.econbiz.de/10012478013
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Robust Aggregate Implications of Stochastic Discount Factor Volatility
Mulligan, Casey B. - 2004
The stochastic discount factor seems volatile, but is this observation of any consequence for aggregate analysis of consumption, capital accumulation, output, etc.? I amend the standard frictionless model of aggregate consumption and capital accumulation with time-varying subjective probability...
Persistent link: https://www.econbiz.de/10012468484
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Disentangling Volatility from Jumps
Ait-Sahalia, Yacine - 2003
Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle...
Persistent link: https://www.econbiz.de/10012468781
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Regime-Switching and the Estimation of Multifractal Processes
Calvet, Laurent - 2003
We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...
Persistent link: https://www.econbiz.de/10012468859
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Notes on the Economics of Energy Storage
Heal, Geoffrey - 2016
The increasing importance of intermittent renewable energy sources suggests a growing importance for energy storage as a way of smoothing the variable output. In this paper I investigate factors affecting the amount of energy storage needed, including the degree of intermittency and the...
Persistent link: https://www.econbiz.de/10012455928
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Heterogeneous Wealth Dynamics : On the Roles of Risk and Ability
Santos, Paulo - 2016
This paper studies the causal mechanisms behind persistent poverty. Using original data on Boran pastoralists of southern Ethiopia, we find that heterogeneous and nonlinear wealth dynamics arise purely in adverse states of nature. In favorable states, expected herd grow is quasi-linear and...
Persistent link: https://www.econbiz.de/10012456054