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Scalas, Enrico; Garibaldi, Ubaldo - 2008

In this paper, we explore a dynamical version of by Aoki and Yoshikawa model (AYM) for an economy driven by demand. We show that when an appropriate Markovian dynamics is taken into account, AYM has different equilibrium distributions depending on the form of transition probabilities. In the...

Persistent link: https://www.econbiz.de/10010298574

A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model

Scalas, Enrico; Garibaldi, Ubaldo - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-15, pp. 1-10

In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an appropriate Markovian dynamics is taken into account, the AYM has different equilibrium distributions depending on the form of transition...

Persistent link: https://www.econbiz.de/10010298634

Productivity, energy prices, and the great moderation: A new link

Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2008

volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 … percent of the moderation in output volatility. …

Persistent link: https://www.econbiz.de/10010292361

Output dynamics, flow equilibria and structural change: a prolegomenon to evolutionary macroeconomics

Witt, Ulrich; Brenner, Thomas - 2007

In an evolutionary approach to macroeconomics, the market disequilibrium dynamics resulting from structural change need to be properly represented at the aggregate level. As suggested by the late F.A.Hayek, a suitable equilibrium concept required to this end as a frame of reference, is that of a...

Persistent link: https://www.econbiz.de/10010266723

Preisträgheit und reale Wechselkursdynamik. Die Persistenz realer Wechselkurse in dynamischen stochastischen Gleichgewichtsmodellen

Heil, Volker - 2003

Dieses Arbeitspapier untersucht Erklärungen für das hohe Mass an Persistenz und Volatilität des realen Wechselkurses. Dabei wird dem Ansatz gefolgt, dass die Schwankungen des realen Wechselkurses zurückzuführen sind auf exogene Schocks in Interaktion mit trägen Güterpreisen. Der Fokus...

Persistent link: https://www.econbiz.de/10010323721

Business Cycle Volatility in Germany

Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - 2002

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …

Persistent link: https://www.econbiz.de/10010260526

Government size and business cycle volatility: How important are credit constraints?

Leibrecht, Markus; Scharler, Johann - 2012

In this paper we analyze how the availability of credit influences the relationship between government size as a proxy for fiscal stabilization policy and the amplitude of business cycle fluctuations in a sample of advanced OECD countries. Interpreting relatively low loan-tovalue ratios as an...

Persistent link: https://www.econbiz.de/10010294478

Land prices and unemployment

Liu, Zheng; Miao, Jianjun; Zha, Tao - 2013

business cycle. Second, a shock that moves the land price is capable of generating large volatility in unemployment. Our …

Persistent link: https://www.econbiz.de/10010397671

A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10010293743

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012

We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

Persistent link: https://www.econbiz.de/10010326396