نتایج جستجو برای: b41 c63

تعداد نتایج: 418  

Journal: :J. Economic Theory 2000
David L. Kelly Jamsheed Shorish

In this paper we examine a representative agent forecasting prices in a first-order self-referential overlapping generations model. We first consider intermediate stage learning, where agents update the forecasting rule every m periods. We show that, in theory and simulations, the learning rule does not converge to the rational expectations equilibrium (REE). We next consider two stage learning...

2000
Marc-André Letendre Dan Bernhardt Martin Boileau

Most quantitative studies of international real business cycle (IRBC) models require the use of approximate solution methods. We solve an IRBC model with incomplete asset markets using King, Plosser and Rebelo’s (1988) linear approximation method. We quantify the additional approximation error brought about by the existence of a unit root in the linear dynamic system and demonstrate that the sy...

2005
Christoph Böhringer Andreas Löschel Thomas F. Rutherford

We present a decomposition approach for integrated assessment modeling of climate policy based on a linear approximation of the climate system. Our objective is to demonstrate the usefulness of decomposition for integrated assessment models posed in a complementarity format. First, the complementarity formulation cum decomposition permits a precise representation of post-terminal damages thereb...

2000
G. Silverberg

The Santa Fe Institute’s economics program has nurtured some of the discipline’s most highly innovative forml theorizing and interdisciplinary brainstorming since its inception in the late 1980s. This proceedings volume provides the occasion for a review of ten-year’s progress by researchers associated with the Institute. The initial programmatic proposals of the first volume have indeed ben fl...

2006
Robert E. Marks Yaneer Bar-Yam Ian Wilkinson Shayne Gary

This paper provides a framework for discussing the empirical validation of computer simulation models of market phenomena. It considers first a simulation model of a market of competing coffee brands to ask some questions about the purposes and practices of simulation modeling. It defines functional complexity and derives measures of this for Schelling’s Segregation model. It refers to the Ener...

2004
Ana Bermudez Nick Webber

We describe a two factor valuation model for convertible bonds when the firm may default. We endogenize both default and the recovery value of a defaulted bond. A sophisticated numerical framework enables us to specify numerically and financially consistent boundary conditions and inequality constraints. We investigate the affect of changing the default, recovery and loss specification. The aff...

2000
Sjur Didrik Flåm

We consider financial contracts that are tradable in any quantities at fixed prices. A bundle of such contracts constitutes an arbitrage if it offers non-negative payoff in any future state, but commands negative present cost. This article brings together fairly recent results on how to find an arbitrage provided some exists. Otherwise, a state-contingent, non-profit price vector will be identi...

2009
Noah Myung Julian Romero

Using a computational testbed, we theoretically predict and experimentally show that in the minimum effort coordination game, as the cost of effort increases, 1) the game converges to lower effort levels, 2) the convergence speed increases, and 3) the average payoff is not monotonically decreasing. In fact, the average profit is an U-shaped curve as a function of cost. Therefore, contrary to th...

1997
Harald Lang Stephan Maier Paul Klein

In this paper, I show how to use the generalized Schur form to solve a system of linear expectational di!erence equations (a multivariate linear rational expectations model). The method is simple to understand and to use, and is applicable to a large class of rational expectations models. The only hard part is taken care of by just two standard algorithms, both of which are available as freewar...

2008
Serguei Kaniovski

This paper proves two theorems for homogeneous juries that arise from different solutions to the problem of aggregation of dichotomous choice. In the first theorem, negative correlation increases the competence of the jury, while positive correlation has the opposite effect. An enlargement of the jury with positive correlation can be detrimental up to a certain size, beyond which it becomes ben...

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