This book analyses decision-making in dynamic economic environments. By applying a wide range of methodological approaches, combining both analytical and computational methods, the contributors examine various aspects of optimal firm behaviour and relevant policy areas. Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation. This book is dedicated to Christophe Deissenberg, a well-known and distinguished scholar of economic dynamics and computational economics. It appeals to academics in the areas of optimal control, dynamic games and computational economics as well as to decision-makers working in policy domains such as environmental policy.
Author(s): Herbert Dawid, Jasmina Arifovic
Series: Dynamic Modeling and Econometrics in Economics and Finance, 26
Publisher: Springer
Year: 2020
Language: English
Pages: 244
City: Cham
Contents
Contributors
Introduction
References
Cross-Bidding in eBay-like Environments
1 Introduction
2 Related Literature
3 Model
4 Strategy Space
5 Analysis
5.1 Setting and Computation Time
5.2 Second Price Versus Nibbling
5.3 Morphology of Nibbling
5.4 Hard Versus Loose Nibblers
5.5 Robustness
6 Conclusion
References
Risk–Reward Ratio Optimisation (Revisited)
1 Introduction
1.1 Risk-Based Investing
1.2 Alternative Measures of Risk
1.3 Outline of the Study
2 Models
2.1 Constructive Rules
2.2 Optimisation Models
3 Data and Setup
3.1 Data
3.2 Setup
3.3 Algorithm
4 Empirical Results
4.1 Statistics
4.2 General Remarks
4.3 Results
4.4 Sensitivity Analysis
5 Conclusion
References
Optimal Investment–Consumption Decisions with Partially Observed Inflation: A Discrete-Time Formulation
1 Introduction
2 Discrete-Time Model
2.1 Evolution of Prices of Stocks
2.2 Risk-Neutral Probability
2.3 Evolution of Basket Price
2.4 Self-financing Wealth Process
3 Fully Observed Inflation Case
3.1 Dynamic Programming
3.2 Optimal Feedback Policy
3.3 Approximation for Small h
3.4 One-Period Problem
4 Partially Observed Inflation Case
4.1 Objective Function for Partially Observed Case
4.2 Dynamic Programming
5 Concluding Remarks
References
Dynamic Games of Common-Property Resource Exploitation When Self-image Matters
1 Introduction
2 Related Literature
3 Modeling Individual Tradeoff Between Self-image and Material Wellbeing
3.1 Specification of the Self-image Function and the Material Wellbeing Function
3.2 A Digression: Specification of the Individual-Specific Kantian Ideals
4 Renewable Resource Exploitation by Image-Conscious Agents
4.1 Cooperative Solution When Individuals Are Homogeneous
4.2 Non-cooperative Exploitation by Agents with Moral Scruples
5 A Discrete-Time Model of Renewable Resource Exploitation By Image-Conscious Agents
5.1 The Social Planner's Problem in Discrete Time
5.2 The Individual's Optimization Problem in Discrete Time
6 A Model of the Evolution of the Concern for Self-image
7 Conclusion
References
The Effects of Political Short-Termism on Transitions Induced by Pollution Regulations
1 Introduction
2 A Model of Pollution Control
2.1 The Economic Framework
2.2 The Policymakers’ Problem and Inattention
3 Inattention and Environmental Policies
3.1 Growth and Pollution Regulation
3.2 Obsolete Technologies and Pollution Abatement
4 Conclusions
Appendix
References
Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation
1 Introduction
2 Model
2.1 Households
2.2 Uncovered Interest Parity
2.3 Firms
3 Equilibrium
3.1 Demand Side
3.2 Supply Side
3.3 Equilibrium Dynamics in Output Gap
4 Capital Control, Exchange Rate Regime, and Monetary Policy: Four Cases
4.1 Capital Control, Flexible Exchange Rate, Current-Looking Monetary Policy
4.2 Capital Control, Fixed Exchange Rate, Current-Looking Monetary Policy
4.3 Capital Control, Flexible Exchange Rate, Forward-Looking Monetary Policy
4.4 Capital Control, Fixed Exchange Rate, Forward-Looking Monetary Policy
5 Indeterminacy Conditions
5.1 Capital Control, Flexible Exchange Rate, Current-Looking Monetary Policy
5.2 Capital Control, Fixed Exchange Rate, Current-Looking Monetary Policy
5.3 Capital Control, Flexible Exchange Rate, Forward-Looking Monetary Policy
5.4 Capital Control, Fixed Exchange Rate, Forward-Looking Monetary Policy
6 Bifurcation Conditions
6.1 Capital Control, Flexible Exchange Rate, Current-Looking Monetary Policy
6.2 Capital Control, Fixed Exchange Rate, Current-Looking Monetary Policy
6.3 Capital Control, Flexible Exchange Rate, Forward-Looking Monetary Policy
6.4 Capital Control, Fixed Exchange Rate, Forward-Looking Monetary Policy
7 Empirical Test for Indeterminacy
7.1 Model for Testing Indeterminacy: Four Cases
7.2 Data Description: China 1999(1) to 2004(4) and 2011(4) to 2017(3)
7.3 Parameter Estimation
7.4 Posterior Probability of the Determinate and the Indeterminate Regions
7.5 Impulse Responses
7.6 Variance Decomposition
8 Numerical Bifurcation Analysis
9 Conclusion
Appendix 1: Households Problem
Appendix 2: Backus-Smith Condition
Appendix 3: Uncovered Interest Parity
Appendix 4: Equilibrium of Demand Side
Appendix 5: Equilibrium of Supply Side
Appendix 6: Equilibrium Dynamics in Output Gap
Appendix 7: Proof of Proposition 1
Appendix 8: Proof of Proposition 2
Appendix 9: Proof of Proposition 3
Appendix 10: Proof of Proposition 4
Appendix 11: Proof of Propositions 5–8
References
A Multi-agent Methodology to Assess the Effectiveness of Systemic Risk-Adjusted Capital Requirements
1 Introduction
2 Related Literature
3 The Model
3.1 Macroeconomic Model
3.2 Distress Dynamics
3.3 Measuring Systemic Risk
3.4 Adjusted Capital Requirements
4 Results
4.1 SR Measures Over Time
4.2 Rank Correlation
4.3 Policy Experiments
5 Concluding Remarks
References
The Role of (De-)Centralized Wage Setting for Industry Dynamics and Economic Growth: An Agent-Based Analysis with the Eurace@Unibi Model
1 Introduction
2 The Model
2.1 Overall Structure
2.2 Agents, Markets, and Decisions
2.3 Parametrization and Validation
3 Policy Analysis
3.1 Experimental Setup
3.2 Results
4 Conclusions
References
Oracle and Interactive Computations, Post-turing Thesis and Man–Machine Interactions
1 Introduction
2 A Brief Note on Oracle Computations, Turing Reducibilities, Post-turing Thesis and Interactive—Trial and Error—Computation
3 Unsolvability of the Deissenberg Problem
4 Brief Concluding Notes
References
