the partial differential equations for water flow and solute transport in a two-dimensional saturated domain are rendered discrete using the finite difference technique; the resulting system of algebraic equations is solved using a dynamic programming (dp) method. the advantage of the dp algorithm is that the problem is converted from solving an algebraic system of order nc(nl-1) nc(nl-1) into...

I analyze the risk of nominal assets within an external habit model supplemented with novel macroeconomic dynamics. Despite featuring flexible non-Gaussian fundamental processes, the model can be solved in closed-form. The estimation identifies time-varying ”demand-like” and ”supply-like” macroeconomic shocks directly linked to the risk of nominal assets. In addition to matching standard proper...

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, parent-sectoral for the intermediate loan sectors and sector-specific for the individual loan sectors. The aggrega...

In this paper we investigate the link between optimal level of leverage and macroeconomic uncertainty. Using the model of firm’s value maximization, we show that as macroeconomic uncertainty increases, captured by an increase in the variability of industrial production or inflation, firms decrease their optimal levels of borrowing. We test this prediction on a panel of non–financial US firms dr...

in recent years, it has become increasingly important to incorporate explicit dynamics in economic analysis. these two tools that mathematicians have developed, differential equations and optimal control theory, are probably the most basic for economists to analyze dynamic problems. in this paper i will consider the linear differential equations on the plane (phase diagram) and elements of nonl...

This paper surveys the treatment of expectations in estimated Dynamic Stochastic General Equilibrium (DSGE) macroeconomic models. A recent notable development in the empirical macroeconomics literature has been the rapid growth of papers that build structural models, which include a number of frictions and shocks, and which are confronted with the data using sophisticated full-information econo...

On the basis of Dunning’s Investment Development Path (IDP) hypothesis, this paper tests the macroeconomic determinants of Chinese Offshore Direct Investment (ODI) from a home-country perspective. We review the recent firmand country-level studies on determinants of Chinese ODI. We propose a model and test seven home-country macroeconomic variables as determinants of Chinese ODI. Our results re...

Developing economies share both microeconomic and macroeconomic characteristics which are often unique relative to their more developed counterparts. Indeed, many authors (e.g. Parente and Prescott 2000) have emphasized the role of institutional frictions within developing nations as a major determinant of economic growth (or the lack thereof). We examine one type of institutional friction, con...

BACKGROUND Recent increases in life expectancy may greatly expand future Alzheimer's Disease (AD) burdens. China's demographic profile, aging workforce and predicted increasing burden of AD-related care make its economy vulnerable to AD impacts. Previous economic estimates of AD predominantly focus on health system burdens and omit wider whole-economy effects, potentially underestimating the fu...

Many recent papers have investigated whether data from internet search engines such as Google can help improve nowcasts or short-term forecasts of macroeconomic variables. These papers construct variables based on Google searches and use them as explanatory variables in regression models. We add to this literature by nowcasting using dynamic model selection (DMS) methods which allow for model s...