Search results for "Econometric"

On the Conditions of Price Consistency in the Input-Output Model

2013

The input-ouput model remains the basis of most SAM or CGE models. It actually uses two periods: the prices indexes solve it with the current period coefficients; the corresponding physical model is monoperiodic: the current prices solve it with the base period coefficients. The Leontief model is not consistent --- both models diverge generally --- unless the interindustry matrix of direct and indirect quantities of labor is stable over time. This implies that the vertically integrated labor coefficients are stable. This assumption is satisfied when the physical production coefficients and the physical labor coefficients are stable over time, two very strong assumptions.

KLUM@GTAP: Introducing Biophysical Aspects of Land-Use Decisions into a Computable General Equilibrium Model a Coupling Experiment

2008

In this paper, the global agricultural land use model Kleines Land Use Model is coupled to an extended version of the computable general equilibrium model (CGE) Global Trade Analysis Project in order to consistently assess the integrated impacts of climate change on global cropland allocation and its implication for economic development. The methodology is innovative as it introduces dynamic economic land-use decisions based also on the biophysical aspects of land into a state-of-the-art CGE; it further allows the projection of resulting changes in cropland patterns on a spatially more explicit level. A convergence test and illustrative future simulations underpin the robustness and potenti…

On the Fučík spectrum of the p-Laplacian with no-flux boundary condition

2023

In this paper, we study the quasilinear elliptic problem \begin{align*} \begin{aligned} -\Delta_{p} u&= a\l(u^+\r)^{p-1}-b\l(u^-\r)^{p-1} \quad && \text{in } \Omega,\\ u & = \text{constant} &&\text{on } \partial\Omega,\\ 0&=\int_{\partial \Omega}\left|\nabla u\right|^{p-2}\nabla u\cdot \nu \,\diff \sigma,&& \end{aligned} \end{align*} where the operator is the $p$-Laplacian and the boundary condition is of type no-flux. In particular, we consider the Fu\v{c}\'{\i}k spectrum of the $p$-Laplacian with no-flux boundary condition which is defined as the set $\fucik$ of all pairs $(a,b)\in\R^2$ such that the problem above has a nontrivial solution. It turns out…

The windowed scalogram difference: A novel wavelet tool for comparing time series

2017

Abstract We introduce a new wavelet-based tool called windowed scalogram difference (WSD), which has been designed to compare time series. This tool allows quantifying if two time series follow a similar pattern over time, comparing their scalograms and determining if they give the same weight to the different scales. The WSD can be seen as an alternative to another tool widely used in wavelet analysis called wavelet squared coherence (WSC) and, in some cases, it detects features that the WSC is not able to identify. As an application, the WSD is used to examine the dynamics of the integration of government bond markets in the euro area since the inception of the euro as a European single c…

Mobile phone data statistics as a dynamic proxy indicator in assessing regional economic activity and human commuting patterns

2020

Financial Fragility and Interacting Units: an Exercise

2010

This paper assumes that financial fluctuations are the result of the dynamic interaction between liquidity and solvency conditions of individual financial units. The framework is designed as a heterogeneous agent model which proceeds through discrete time steps within a finite time horizon. The interaction at the microlevel between financial units and the market maker, who is in charge of clearing the market, produces interesting complex dynamics. The model is analyzed by means of numerical simulations and agent-based computational economics (ACE) approach. The behaviour and evolution of financial units are studied for different parameter regimes in order to show the importance of the param…

The shape of small sample biases in pricing kernel estimations

2016

AbstractNumerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In the first step, we analyse theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader regarding potential computational issues coupled with statistical techniques. In the second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that est…

Market reaction to a bid-ask spread change: a power-law relaxation dynamics.

2009

We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden variation of the spread in a double auction financial market. We find that the spread decays as a power law to its normal value. We measure the price reversion dynamics and the permanent impact, i.e., the long-time effect on price, of a generic event altering the spread and we find an approximately linear relation between immediate and permanent impact. We hypothesize that the power-law decay of the spread is a consequence of the strategic limit order placement of liquidity providers. We support this hypothesis by investigating several quantities, such as order placement rates and distribution of price…

Collusion constrained equilibrium

2018

We study collusion within groups in non-cooperative games. The primitives are the preferences of the players, their assignment to non-overlapping groups and the goals of the groups. Our notion of collusion is that a group coordinates the play of its members among different incentive compatible plans to best achieve its goals. Unfortunately, equilibria that meet this requirement need not exist. We instead introduce the weaker notion of collusion constrained equilibrium. This allows groups to put positive probability on alternatives that are suboptimal for the group in certain razor's edge cases where the set of incentive compatible plans changes discontinuously. These collusion constrained e…

Collusion Constrained Equilibrium

2018

First published: 01 February 2018 This is an open access article licensed under the Creative Commons Attribution-NonCommercial License 4.0 (http://econtheory.org) We study collusion within groups in noncooperative games. The primitives are the preferences of the players, their assignment to nonoverlapping groups, and the goals of the groups. Our notion of collusion is that a group coordinates the play of its members among different incentive compatible plans to best achieve its goals. Unfortunately, equilibria that meet this requirement need not exist. We instead introduce the weaker notion of collusion constrained equilibrium. This allows groups to put positive probability on alternatives …