Search results for "Mathematical Economics"
showing 10 items of 240 documents
The closed-form solution for a family of four-dimension nonlinear MHDS
2008
In this article we propose a method for solving a general class of four-dimension nonlinear modified Hamiltonian dynamic systems in closed form. This method may be used to study several intertemporal optimization problems sharing a common structure, which involves unbounded technological constraints as well as multiple controls and state variables. The method is developed by solving the first-order conditions associated with the planner's problem corresponding to the Lucas [1988. On the mechanics of economic development. Journal of Monetary Economics 22, 3-42] two-sector model of endogenous growth, and allows for explicitly showing the transitional dynamics of the model. Despite the externa…
Multiproduct trading with a common agent under complete information: Existence and characterization of Nash equilibrium
2014
This paper focuses on oligopolistic markets in which indivisible goods are sold by multiproduct firms to a continuum of homogeneous buyers, with measure normalized to one, who have preferences over bundles of products. Our analysis contributes to the literature on private, delegated agency games with complete information, extending the insights by Chiesa and Denicolò (2009) to multiproduct markets with indivisibilities and where the agent's preferences need not be monotone. By analyzing a kind of extended contract schedules -mixed bundling prices- that discriminate on exclusivity, the paper shows that efficient equilibria always exist in such settings. There may also exist inefficient equil…
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
2010
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility p…
Noise-induced transitions in a stochastic Goodwin-type business cycle model
2017
Abstract We motivate and specify a stochastic Goodwin-type business cycle model. Our analysis focusses on a subset of the parameter space where several attractors coexist. Applying a semi-numerical approach based on the stochastic sensitivity function and confidence domains due to Milstein and Ryashko (1995) , we study random transitions between stable attractors in the context of the Goodwin-type economy embedded in an uncertain environment. Relying on a mix of analytical considerations and simulations we demonstrate that under weak noise levels regime switching is a prominent feature in the presence of low saving rates. Moreover, we explain how increased uncertainty can induce an essentia…
On the world distribution of income
2015
In this paper we demonstrate that the size distribution of the world income may be reasonably approximated by a log-normal distribution rather then by a power law, as has previously been believed. This result has been shown to be quite persistent as we move from 1985 to 2011.
Empirical definition of social types in the analysis of inequality of opportunity: a latent classes approach
2014
The empirical analysis of inequality of opportunity centres on disparities between social types, defined by the exposure to circumstances beyond individual control. Despite this, its main theoretical foundation—the Roemer model—does not indicate how to carry out, in practice, the required partition of the population into such types. This paper operationalises this definition of social types using a latent classes approach. Our specification is embedded in a probabilistic extension of the canonical Roemer model, which assumes that the relevant population consists of a finite number of latent types, from which each individual can be treated as a random draw. This makes possible the use of the…
Unawareness and bankruptcy: A general equilibrium model
1998
International audience; We present a consistent pure-exchange general equilibrium model where agents may not be able to foresee all possible future contingencies. In this context, even with nominal assets and complete asset markets, an equilibrium may not exist without appropriate assumptions. Specific examples are provided. An existence result is proved under the main assumption that there are sufficiently many states that all the agents foresee. An intrinsic feature of the model is bankruptcy, which agents may involuntarily experience in the unforeseen states.
Unawareness and Partitional Information Structures
1999
Abstract We claim first that simple uncertainty is not an adequate model of a subject's ignorance, because a major component of it is the inability to give a complete description of the states of the world, and we provide a formal model of unawareness. In Modica and Rustichini (1994) we showed a difficulty in the project, namely that without weakening of the inference rules of the logic one would face the unpleasant alternative between full awareness and full unawareness. In this paper we study a logical system where non full awareness is possible, and prove that a satisfactory solution to the problem can be found by introducing limited reasoning ability of the subject. A determination theo…
Stochastic monotonicity in intergenerational mobility tables
2010
SUMMARY The aim of this paper is to test for stochastic monotonicity in intergenerational socio-economic mobility tables. In other words, we question whether having a parent from a high socio-economic status is never worse than having one with a lower status. Using existing inferential procedures for testing unconditional stochastic monotonicity, we first test a set of 149 intergenerational mobility tables in 35 different countries and find that monotonicity cannot be rejected in hardly any table. In addition, we propose new testing procedures for testing conditional stochastic monotonicity and investigate whether monotonicity still holds after conditioning on a number of covariates such as…