Dissertations / Theses on the topic 'Dynamic economics'
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Monticini, Andrea. "Dynamic economics." Thesis, University of Exeter, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535908.
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Ishii, Yuhta. "Essays in Dynamic Games." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11474.
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This dissertation presents three independent essays. Chapter 1, which is joint work with Mira Frick, studies a model of innovation adoption by a large population of long-lived consumers who face stochastic opportunities to adopt an innovation of uncertain quality. We study how the potential for social learning in an economy affects consumers' informational incentives and how these in turn shape the aggregate adoption dynamics of an innovation. For a class of Poisson learning processes, we establish the existence and uniqueness of equilibria. In line with empirical findings, equilibrium adoption patterns are either S-shaped or feature successions of concave bursts. In the former case, our analysis predicts a novel saturation effect: Due to informational free-riding, increased opportunities for social learning necessarily lead to temporary slow-downs in learning and do not produce welfare gains.Economics
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Wolf, Holger C. "Essays on dynamic economics." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/13213.
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Eyigungor, Burcu. "Essays in dynamic economics." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786291&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Clements, Michael P. "Cointegration and dynamic econometric modelling." Thesis, University of Oxford, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334980.
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Steinbach, Max Rudibert. "Essays on dynamic macroeconomics." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86196.
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Thesis (PhD)--Stellenbosch University, 2014.ENGLISH ABSTRACT: In the first essay of this thesis, a medium scale DSGE model is developed and estimated for the South African economy. When used for forecasting, the model is found to outperform private sector economists when forecasting CPI inflation, GDP growth and the policy rate over certain horizons. In the second essay, the benchmark DSGE model is extended to include the yield on South African 10-year government bonds. The model is then used to decompose the 10-year yield spread into (1) the structural shocks that contributed to its evolution during the inflation targeting regime of the South African Reserve Bank, as well as (2) an expected yield and a term premium. In addition, it is found that changes in the South African term premium may predict future real economic activity. Finally, the need for DSGE models to take account of financial frictions became apparent during the recent global financial crisis. As a result, the final essay incorporates a stylised banking sector into the benchmark DSGE model described above. The optimal response of the South African Reserve Bank to financial shocks is then analysed within the context of this structural model.
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Sung, Joo-Ho. "Dynamic programming approaches to pension funding." Thesis, City University London, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.361860.
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Lamba, Rohit. "Essays in dynamic mechanism design." Thesis, Princeton University, 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3626800.
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Questions of design in real economic situations are often dynamic. Managerial compensation, repeated auctions, and taxation are good examples. These demand the economic theory of mechanism design to be adept to changing underlying environments and evolving information. Adjusting existing static results to the dynamic models and introducing new ones is thus what the doctor orders. This collection of essays is a contribution to the theory and applications of dynamic mechanism design.
Chapter 1 asks the question: when can efficient institutions be made self enforcing? To answer it, the setting of bargaining with two sided asymmetric information is chosen– a buyer has a hidden valuation for a good and a seller can produce the good at a hidden cost, both of which can change over time. The essay provides necessary and sufficient conditions for efficiency in this bilateral trading problem. In the process of establishing this result, a new notion of budget balance is introduced that allows the budget to be balanced dynamically, borrowing from the future but in a bounded fashion. Through a set of simple examples the comparative statics of the underlying economics forces of discounting and level of asymmetric information are explored.
In chapter 2, a dynamic and history dependent version of the payoff equivalence result is established. It provides an equivalence class of all mechanisms that are incentive compatible. Given two mechanisms that implement the same allocation, expected utility of an agent after any history in one must differ from the other through a history dependent constant. This result is then exploited to unify a host of existing results in efficient dynamic mechanism design. In particular a mechanism, and necessary and sufficient conditions are provided for the implementation of the efficient allocation in a general N-player dynamic mechanism design problem under participation constraints and budget balance.
Finally, in chapter 3 (coauthored with Marco Battaglini), we explore the applicability and limitations of the first-order approach in solving dynamic contracting models, and the nature of contracts when local constraints are not sufficient to characterize the optimum. A dynamic principal-agent model in which the agent's types are serially correlated forms the backbone of the analysis. It is shown that the first-order approach is violated in general environments; when the time horizon is long enough and serial correlation is sufficiently high, global incentive compatibility constraints generically bind. By fully characterizing a simple two period example, we uncover a number of interesting features of the optimal contract that cannot be observed in special environments in which the standard approach works. Finally, we show that even in complex environments, approximately optimal allocations can be easily characterized by focusing on a class of contracts in which the allocation is forced to be monotonic.
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Krichel, Thomas. "Growth and fiscal policy in dynamic optimising models." Thesis, University of Surrey, 1999. http://epubs.surrey.ac.uk/844562/.
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This PhD thesis considers the dynamics of fiscal policy in a two-country world when growth is driven by the accumulation of private capital and public infrastructure. I study permanent growth differentials, the dynamics of optimal and time-consistent policies, the issue of policy coordination, as well as the accumulation of debt.
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Kwon, Suehyun. "Essays in dynamic contracting." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72933.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis examines three models of dynamic contracting. The first model is a model of dynamic moral hazard with partially persistent states, and the second model considers relational contracts when the states are partially persistent. The last model studies preference for delegation with learning. In the first chapter, the costly unobservable action of the agent produces a good outcome with some probability, and the probability of the good outcome corresponds to the state. The states are unobservable and follow an irreducible Markov chain with positive persistence. The chapter finds that an informational rent arises in this environment. The second best contract resembles a tenure system: the agent is paid nothing during the probationary period, and once he is paid, the principal never takes his outside option again. The second best contract becomes stationary after the agent is tenured. For discount factors close to one, the principal can approximate his first best payoff with review contracts. The second chapter studies relational contracts with partially persistent states, where the distribution of the state depends on the previous state. When the states are observable, the optimal contracts can be stationary, and the self-enforcement leads to the dynamic enforcement constraint as with i.i.d. states. The chapter then applies the results to study the implications for the markets where the principal and the agent can be matched with new partners. The third chapter studies preference for delegation when there is a possibility of learning before taking an action. The optimal action depends on the unobservable state. After the principal chooses the manager, one of the agents may receive a private signal about the world. The agent decides whether to disclose the signal to the manager, and the manager chooses an action. In an equilibrium, the agents' communication strategies depend on the manager's prior. The principal prefers a manager with some difference in prior belief to a manager with the same prior.
by Suehyun Kwon.
Ph.D.
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Tilley, Luke Alan. "Dynamic Energy Models and Carbon Mitigation Policies." Diss., Temple University Libraries, 2012. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/201311.
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EconomicsPh.D.
In this dissertation I examine a specific class of energy models and their implications for carbon mitigation policies. The class of models includes a production function capable of reproducing the empirically observed phenomenon of short run rigidity of energy use in response to energy price changes and long run flexibility of energy use in response to energy price changes. I use a theoretical model, parameterized using empirical data, to simulate economic performance under several tax regimes where taxes are levied on capital income, investment, and energy. I also investigate transitions from one tax regime to another. I find that energy taxes intended to reduce energy use can successfully achieve those goals with minimal or even positive impacts on macroeconomic performance. But the transition paths to new steady states are lengthy, making political commitment to such policies very challenging.
Temple University--Theses
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Hu, Wanhong. "Estimation of dynamic heterogeneous panel data models." Connect to resource, 1996. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1266934002.
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Tan, Lin Yeok. "An analysis of Singapore's dynamic comparative advantage, 1970-83." Thesis, University of Sussex, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.305163.
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Gieczewski, Germán Sergio. "Essays in dynamic political economy." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107316.
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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2016.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 167-171).
The dissertation consists of three essays on dynamic problems in political economy. The first essay studies motivated communication on networks. Agents have some hard information about the world and choose whether to tell their neighbors. Information received from other agents can be shared in later meetings. Agents' preferences are mis-aligned, tempting senders to lie by omission. The model yields three main conclusions. First, there is incomplete learning. Second, signals that are close to the mean are more likely to propagate. The reason is that moderate signals travel in both directions, whereas extreme signals are communicated in a predictable direction, which stifles their propagation. Third, if agents are forward-looking, concerns about informational cascades lead to segmentation: agents with close preferences hide information from each other to prevent it from traveling further. The second essay analyzes the evolution of organizations that allow free entry and exit of members, such as cities, trade unions, religious organizations and cooperatives. The organization chooses a policy, which influences the set of agents who want to become members, but current members decide policy in the next period. This generates feedback effects: an organization with a policy x may attract a population with a median-preferred policy higher than x, so a higher policy will be chosen in the next period; but the new policy will attract members wanting an even higher policy, and so on. The set of steady states is pinned down by the preference distribution; equilibrium paths converge to these steady states depending on the starting position. Unlike in models with a fixed population, a small change in the preference distribution can cause dramatic changes in the long-run policy. The third essay studies the impact of term limits on elections where biased candidates compete through ability investments and platform choice. Good politicians facing weak competition extract policy rents, which lowers welfare. Moreover, incumbents exacerbate rent extraction by deterring challenger entry. Term limits alleviate this problem by creating open elections. However, they also lower incumbent quality, so their overall impact is ambiguous. Strong limits are better when politicians are more biased, and challengers' entry cost is intermediate.
by Germán Sergio Gieczewski.
Ph. D.
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Chen, Chia-Hui Ph D. Massachusetts Institute of Technology. "Essays on dynamic sales mechanisms." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/49715.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2009.Includes bibliographical references.
This thesis is a collection of three essays on dynamic sales mechanisms. The first chapter analyzes the Name Your Own Price (NYOP) mechanism adopted by Priceline.com. Priceline.com, a website helping travelers obtain discount rates for travel-related items, gained prominence for its Name Your Own Price system. Under Name Your Own Price, a traveler names his price for airline tickets, hotel rooms, or car rentals. Priceline then checks if there is any seller willing to accept the offer. If no one accepts, the buyer has to wait for a certain period of time (the lockout period) before rebidding. This paper builds a one-to-many dynamic model without commitment to examine the buyer's and the sellers' equilibrium strategies. I show that without a lockout period, in equilibrium, the sellers with different costs are either almost fully discriminated or pooled in intervals except the one with the lowest possible cost. In the latter case, the buyer does not raise the bids much until the very end, so the price pattern is convexly increasing, consistent with the empirical finding, and most transactions occur just before the day of the trip, which illustrates the deadline effect that is observed in many negotiation processes. The lockout period restriction, which limits the buyer's bidding chances and seems to hurt the buyer, thus moves the transactions forward and can actually benefit a buyer in some circumstances. The second chapter studies a one-to-many negotiation process in which a seller with an indivisible object negotiates with two asymmetric buyers to determine who gets the object and at what price.
(cont.) The seller repeatedly submits take-it-or-leave-it offers to the two buyers until one of them accepts. Unlike a Dutch auction, the seller has the discretion to offer two different prices to the two buyers. I show that when committing to some price paths is possible, the optimal outcome for the seller stated by Myerson (1981) is achievable. When commitment is impossible, the optimal outcome is no longer attainable. Instead, there exists an equilibrium in which the seller's equilibrium payoff is the same as that in a second-price auction, which implies that the seller's payoff might be lower than in a Dutch auction. The result thus illustrates the value of a simple institution like a Dutch auction, which seems to restrict a player's freedom but actually benefits the player by providing a commitment tool. The analysis also sheds light on the procurement literature. The third chapter provides a rationale for why a seller may package goods in bundles that are too large for a consumer to consume all by himself. I show that selling in bulk packages is an alternative way for the seller to discriminate buyers when resale cannot be excluded among buyers. When bulk packages are offered, buyers who value the product more usually have stronger incentive to buy the package, and buyers who value the product less tend to buy from resale. Moreover, the seller can make more profit by selling bulk packages than by selling single-unit packages when the buyers' values of the product are more negatively correlated.
by Chia-Hui Chen.
Ph.D.
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Cao, Dân (Dân Vuʺ). "Essays in dynamic general equilibrium." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/58202.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2010.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 195-202).
This thesis consists of three chapters studying dynamic economies in general equilibrium. The first chapter considers an economy in business cycles with potentially imperfect financial markets. The second chapter investigates an economy in its balanced growth path with heterogeneous firms. The third chapter analyzes dynamic competitions that these firms are potentially engaged in. The first chapter, "Asset Price and Real Investment Volatility with Heterogeneous Beliefs," sheds light on the role of imperfect financial markets on the economic and financial crisis 2007-2008. This crisis highlights the role of financial markets in allowing economic agents, including prominent banks, to speculate on the future returns of different financial assets, such as mortgage-backed securities. I introduce a dynamic general equilibrium model with aggregate shocks, potentially incomplete markets and heterogeneous agents to investigate this role of financial markets. In addition to their risk aversion and endowments, agents differ in their beliefs about the future aggregate states of the economy. The difference in beliefs induces them to take large bets under frictionless complete financial markets, which enable agents to leverage their future wealth. Consequently, as hypothesized by Friedman (1953), under complete markets, agents with incorrect beliefs will eventually be driven out of the markets. In this case, they also have no influence on asset prices and real investment in the long run. In contrast, I show that under incomplete markets generated by collateral constraints, agents with heterogeneous (potentially incorrect) beliefs survive in the long run and their speculative activities drive up asset price volatility and real investment volatility permanently. I also show that collateral constraints are always binding even if the supply of collateralizable assets endogenously responds to their price. I use this framework to study the effects of different types of regulations and the distribution of endowments on leverage, asset price volatility and investment. Lastly, the analytical tools developed in this framework enable me to prove the existence of the recursive equilibrium in Krusell and Smith (1998) with a finite number of types. This has been an open question in the literature. The second chapter, "Innovation from Incumbents and Entrants," is a joint work with Daron Acemoglu. We propose a simple modification of the basic Schumpeterian endogenous growth models, by allowing incumbents to undertake innovations to improve their products. This model provides a tractable framework for a simultaneous analysis of entry of new firms and the expansion of existing firms, as well as the decomposition of productivity growth between continuing establishments and new entrants. One lesson we learn from this analysis is that, unlike in the basic Schumpeterian models, taxes or entry barriers on potential entrants might increase economic growth. It is the outcome of the greater productivity improvements by incumbents in response to reduced entry, which outweighs the negative effect of the reduction in creative destruction. As the model features entry of new firms and expansion and exit of existing firms, it also generates an equilibrium firm size distribution. We show that the stationary firm size distribution is Pareto with an exponent approximately equal to one (the so-called "Zipf distribution"). The third chapter, "Racing: when should we handicap the advantaged competitor?" studies dynamic competitions, for example R&D competitions used in the second chapters. Two competitors with different abilities engage in a winner-take-all race; should we handicap the advantaged competitor in order to reduce the expected completion time of the race? I show that if the discouragement effect is strong, i.e., both competitors are discouraged from exerting effort when it becomes more certain who will win the race, we should handicap the advantaged. We can handicap him either by reducing his ability or by offering him a lower reward if he wins. Doing so induces higher effort not only from the disadvantaged competitor because of his higher incentive from a higher chance of winning the race but also from the advantaged competitor because of their strategic interactions. Therefore, the expected completion time is strictly shortened. To prove the existence and uniqueness of the equilibria (including symmetric and asymmetric equilibria) that leads to the conclusion, I use a boundary value problem formulation which is novel to the dynamic competition literature. In some cases, I obtain closed-form solutions of the equilibria.
by Dan Cao.
Ph.D.
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Pearson, Neil D. (Neil David). "Essays on dynamic models in financial economics." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/14082.
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Bazzazan, Fatemeh. "A dynamic input-output price model with application to Iran." Thesis, University of Liverpool, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.250332.
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Arellano, Gomez Manuel. "Estimation and testing of dynamic econometric models from panel data." Thesis, London School of Economics and Political Science (University of London), 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261293.
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Aloi, Marta. "Macroeconomics and imperfect competition : a static and a dynamic approach." Thesis, University of York, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298386.
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Burke, Jonathan Lewis. "Essays on equilibria in dynamic economies." Thesis, Massachusetts Institute of Technology, 1985. http://hdl.handle.net/1721.1/15138.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1985.MICROFICHE COPY AVAILABLE IN ARCHIVES AND SCIENCE.
Vita.
Bibliography: leaves 187-189.
by Jonathan Lewis Burke.
Ph.D.
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Scroggin, Steven E. "Essays in dynamic uncertainty : behavioral economics, investment theory and law and economics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2005. http://wwwlib.umi.com/cr/ucsd/fullcit?p3208637.
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Jung, Yong-Gook. "Essays on the specification of New Keynesian dynamic stochastic general equilibrium model." Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2007. http://wwwlib.umi.com/cr/ucsd/fullcit?p3273810.
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Thesis (Ph. D.)--University of California, San Diego, 2007.Title from first page of PDF file (viewed October 3, 2007). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 60-64).
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Tomiura, Eiichi 1961. "Three essays on dynamic export competition." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12888.
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Waldinger, Daniel Cane. "Empirical essays on dynamic allocation mechanisms." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118065.
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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 305-314).
This thesis contains three chapters which empirically study how dynamic decision making affects the allocation of public resources. In the first chapter, I study the problem of allocating public housing. In the U.S., public housing authorities (PHAs) allocate apartments using a wide range of choice and priority rules. I evaluate how these allocation mechanisms affect the efficiency and redistribution achieved through assignments. Using waiting list data from Cambridge, MA, I estimate a structural model of public housing preferences, finding substantial heterogeneity in applicant outside options and preferred apartment types. Counterfactual simulations suggest that the range of mechanisms used by PHAs involves a significant trade-off between efficiency and redistribution. However, some commonly used mechanisms are never optimal. In the second chapter, joint with Nikhil Agarwal, Itai Ashlagi, Michael Rees, and Paulo Somaini, I study the allocation of deceased donor kidneys. In the U.S., patients on the kidney waiting list are offered organs in order of priority, and may decline an offer without penalty. This paper establishes an empirical framework for analyzing the design of these waiting lists. We model the decision to accept an organ as an optimal stopping problem and use waiting list data to estimate the value of accepting various kidneys. We then show how to solve for counterfactual equilibria under different priority rules, and search for mechanisms that improve the match quality of transplants and reduce organ waste. In the third paper, joint with Sydnee Caldwell and Scott Nelson, I investigate how beliefs about risky future income influence households' financial decisions. We quantify one contributor to income uncertainty by surveying low-income tax filers' expectations of and uncertainty about their tax refunds, and link the survey with administrative tax and credit report data. Households face substantial refund uncertainty, and both refund expectations and surprises influence financial behavior. Households borrow in anticipation of their tax refunds, and this pattern is less pronounced for more uncertain households, consistent with precautionary behavior. Surprisingly, positive refund surprises induce higher debt levels by relaxing down-payment collateral constraints.
by Daniel Cane Waldinger.
Ph. D.
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Pei, Di Ph D. Massachusetts Institute of Technology. "Essays on dynamic games and reputations." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/117824.
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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2018.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 183-189).
This thesis consists of three essays on dynamic games with incomplete information. In Chapter 1, I study reputation effects when individuals have persistent private information that matters for their opponents' payoffs. I examine a repeated game between a patient informed player and a sequence of myopic uninformed players. The informed player privately observes a persistent state, and is either a strategic type who can flexibly choose his actions or is one of the several commitment types that mechanically plays the same action in every period. Unlike the canonical models on reputation effects, the uninformed players' payoffs depend on the state. This interdependence of values introduces new challenges to reputation building, namely, the informed player could face a tradeo between establishing a reputation for commitment and signaling favorable information about the state. My results address the predictions on the informed player's payoff and behavior that apply across all Nash equilibria. When the stage game payoffs satisfy a monotone-supermodularity condition, I show that the informed long-run player can overcome the lack-of-commitment problem and secure a high payoff in every state and in every equilibrium. Under a condition on the distribution over states, he will play the same action in every period and maintain his reputation for commitment in every equilibrium. If the payoff structure is unrestricted and the probability of commitment types is small, then the informed player's return to reputation building can be low and can provide a strict incentive to abandon his reputation. In Chapter 2, I study the dynamics of an agent's reputation for competence when the labor market's information about his performance is disclosed by an intermediary who cannot commit. I show that this game admits a unique Markov Perfect Equilibrium (MPE). When the agent is patient, his effort is inverse U-shaped, while the rate of information disclosure is decreasing over time. I illustrate the inefficiencies of the unique MPE by comparing it with the equilibrium in the benchmark scenario where the market automatically observes all breakthroughs. I characterize a tractable subclass of non-Markov Equilibria and explain why allowing players to coordinate on payoff-irrelevant events can improve eciency on top of the unique MPE and the exogenous information benchmark. When the intermediary can commit, her optimal Markov disclosure policy has a deadline, after which no breakthrough will be disclosed. However, deadlines are not incentive compatible in the game without commitment, illustrating a time inconsistency problem faced by the intermediary. My model can be applied to professional service industries, such as law and consulting. My results provide an explanation to the observed wage and promotion patterns in Baker, Gibbs and Holmström (1994). In Chapter 3, I study repeated games in which a patient long-run player (e.g. a rm) wishes to win the trust of some myopic opponents (e.g. a sequence or a continuum of consumers) but has a strict incentive to betray them. Her benet from betrayal is persistent over time and is her private information. I examine the extent to which persistent private information can overcome this lack-of-commitment problem. My main result characterizes the set of payoffs a patient long-run player can attain in equilibrium. Interestingly, every type's highest equilibrium payoff only depends on her true benet from betrayal and the lowest possible benet in the support of her opponents' prior belief. When this lowest possible benet vanishes, every type can approximately attain her Stackelberg commitment payoff. My finding provides a strategic foundation for the (mixed) Stackelberg commitment types in the reputation models, both in terms of the highest attainable payoff and in terms of the commitment behaviors. Compared to the existing approaches that rely on the existence of crazy types that are either irrational or have drastically dierent preferences, there is common knowledge of rationality in my model, and moreover, players' ordinal preferences over stage game outcomes are common knowledge.
by Di Pei.
Ph. D.
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Jeong, Hanbat. "Spatial dynamic models with intertemporal optimization." The Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1556308178720915.
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Giesecke, James Andrew David. "FEDERAL-F : a multi-regional multi-sectoral dynamic model of the Australian economy /." Title page, appendix, contents and abstract only, 2000. http://web4.library.adelaide.edu.au/theses/09PH/09phg4554.pdf.
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Toche, Patrick. "Essays in dynamic economics : growth, unemployment and taxes." Thesis, University of Oxford, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.365650.
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Ghadimi, Hodjatollah. "Economic development in economies with an exhaustible resource : a dynamic computable general equilibrium analysis for the case of Iran /." The Ohio State University, 1993. http://rave.ohiolink.edu/etdc/view?acc_num=osu1389273708.
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Eryuruk, Gunce. "Three Essays on Dynamic Panel Data Estimation." NCSU, 2009. http://www.lib.ncsu.edu/theses/available/etd-07312009-023153/.
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This dissertation consists of three essays, first two of which consider a new estimation method of dynamic panel data models and the last one considers an application of these models. The first essay (Chapter 1) offers empirical likelihood (EL) estimation of dynamic panel data models, which provide great flexibility to empirical researchers. EL estimation method is shown to have great advantages in usual settings, however little is known on the relative merits of these estimators in panel data models. With this essay, we try to fill that gap by establishing the asymptotic properties of the EL estimator for a dynamic panel model with individual effects when both the time and the cross-section dimensions tend to infinity. We give the conditions under which this estimator is consistent and asymptotically normal. In the second essay (Chapter 2), via a Monte Carlo study, we assess the relative finite sample performances of EL, generalized method of moments, and limited information maximum likelihood estimators for an autoregressive panel data model when there are many moment conditions. We also extend our results to the many weak moments settings. Our results suggest that when the overall performances are concerned, in terms of median, interquartile range and median absolute error of the estimators, in both strong and weak moments settings, EL is more reliable. In the final essay (Chapter 3) we consider an application of dynamic panel data models to examine the determinants of the allocation of state highway funds using panel data for North Carolina's 100 counties for the years 1990 to 2005. We make two main contributions with this essay. First, although there have been numerous studies of highway funding at the state level, to our knowledge, there is no analysis at the sub-state or county levels. Second, by using dynamic panel data models and sophisticated methods to estimate them, we account for any potential persistence in the process of adjustment toward an equilibrium, besides, unlike most of the previous studies, we control for the unobserved county heterogeneity and time effects that explain spatial differences, which may cause omitted variable problem if ignored.
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Amaya, Kenichi 1973. "Dynamic analysis of equilibrium selection in games." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17622.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2003.Includes bibliographical references.
Chapter 1 analyzes how pre-play communication and evolution together do or do not lead to socially efficient equilibria in 2 x 2 symmetric coordination games. In our evolutionary dynamics, there are committed players who can choose only one particular action of the base game, as well as those players who can choose message contingent actions, and the evolution in the choice of message is faster than the evolution in actions. We show the Pareto efficient equilibria are selected if and only if the base game satisfies the self-signalling condition, which means that a player has an incentive to convince the opponent that he is going to play the Pareto efficient equilibrium strategy if and only if he is actually planning to play that strategy. Chapter 2 analyzes a stochastic evolutionary dynamics of Kandori-Mailath-Rob (1993) in Spence's job-market signaling model. In contrast to Nldeke and Samuelson's (1997) analysis which showed the Riley equilibrium is selected only if it is undefeated, we show that the Riley equilibrium is always selected. The key which makes this difference is how mutations affect players' behavior. While Noldeke and Samuelson allow a single mutation to change players' actions drastically, we consider a model where players change behavior only slightly if the number of mutations is small. Chapter 3 analyzes pure strategy Markov perfect equilibria in two player asynchronous choice repeated games where the stage game is a 2 x 2 game. We show that Markov perfect equilibrium leads players to behave differently from the static Nash equilibrium in some environments, while in other environment it gives equilibrium selection results.
by Kenichi Amaya.
Ph.D.
33
Lang, Ruitian. "Essays on dynamic games and mechanism design." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90125.
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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2014.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 149-152).
The dissertation considers three topics in dynamic games and mechanism design. In both problems, asymmetric information causes inefficiency in production and allocation. The first chapter considers the inefficiency from the principal's inability to observes the agent's effort or cost of effort, and explores its implication to the principal's response to the combination of the output and the signal about the cost of effort. For example, the principal may punish the agent more harshly for low output when signals suggest that cost of effort is high when the effort is of high value for the principal. This chapter also classifies the long-run behavior of the relationship between the principal and the agent. Depending on whether the agent is strictly risk-averse and whether he is protected by limited liability, the state of the relationship may or may not converge to a stationary state and the stationary state may nor may not depend on the initial condition. The second chapter considers the re-allocation of assets among entrepreneurs with different matching qualities, which contributes to the growth of the whole economy. Due to reasons that are not explicitly modeled, assets are not automatically allocated to entrepreneurs who are best at operating them from the beginning, and this inefficiency is combined with inefficiency in the asset market and potential imperfection of labor contracting. When asset re-allocation can become a main source of economic growth, this chapter argues that imperfection in the labor contracting environment may boost the economic growth. The third chapter assumes that the agent's output is contractible but he can privately acquire more information about his cost of production prior to contracting. Compared to the optimal screening contract, the principal's contract in this case must not only induce the agent to "tell the truth", but also to give the agent the incentive to acquire appropriate amount of information. This may create distortion of allocation to the most efficient type and whether this happens is related to the marginal loss incurred by the principal from the cost of information acquisition.
by Ruitian Lang.
Ph. D.
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Sun, Ching-Jen. "Essays on Price Dispersion and Dynamic Pricing." The Ohio State University, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=osu1211975406.
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Eliseeva, Irina, and O. Borozdina. "Dynamic typology of investment activity of oil companies." Universität Potsdam, 2011. http://opus.kobv.de/ubp/volltexte/2012/5842/.
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Oil and gas are the most important gains for the russian economy. So the improvement of these industries is very important and should be analyzed very well. In this paper we analyze the tendency in the development of these industries for the past ten years. We use a factor-analysis for the identification of determinants which have positive and negative effects on the development of the performance of these companies. Some of these determinants are the investment activities or the influence by the government. As result we get three types of firms related to their performances. There are the leaders, the middle and the outsiders.
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Hole, Alison. "Dynamic non-price strategy and competition : models of R&D, advertising and location." Thesis, London School of Economics and Political Science (University of London), 1997. http://etheses.lse.ac.uk/1999/.
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The dependence on past choices of present opportunities, costs, and benefits is pervasive in industrial markets. Each of the three chapters of this thesis considers a different example of such dependence affecting dynamic behaviour. In the first chapter a single firm's present choices depend on what it has learnt from past experience. The firm is searching for the best outcome of many multi-stage projects and learns as stages are completed. The branching structure of the search environment is such that the payoffs to various actions are correlated; nevertheless, it is shown that the optimal strategy is given by a simple reservation price rule. The chapter provides a simple model of R&D as an example. In the central model of the second chapter firms slowly build up stocks of goodwill through advertising. While many firms start to advertise in a new market, over time a successful set emerges and the others exit. The chapter explores the relative growth of firms and the determination of the number of successful ones. The chapter compares the results to those of a model in which a firm must complete all of a given number of R&D stages before being able to produce. The final chapter considers one of the effects of urban bus deregulation in the UK: bus arrival times are changed very frequently. It is assumed that passengers do not know the timetable and once at a stop board the first bus to arrive. There can be no equilibrium in which an operator's bus arrival times are never revised: otherwise those of a rival would arrive just before and take all the waiting passengers. The chapter considers the pattern of revisions when they are costly. The chapter also shows that fares can be higher with two competing operators than with a single monopolist.
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Kenc, Turalay. "Dynamic general equilibrium tax modelling : a study of the UK in the 1980's." Thesis, University of York, 1992. http://etheses.whiterose.ac.uk/9807/.
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Ho, Ruay Lian 1957. "The stability of dynamic economic systems." Thesis, The University of Arizona, 1993. http://hdl.handle.net/10150/291425.
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Both static and dynamic aspects of oligopoly are discussed in the beginning of this thesis and four expectation schemes of dynamic oligopolies have been investigated and tested. Some modifications have also been added to an earlier computer program developed originally by Wu (1991) to improve the stability of the models. Computer simulation results are reported at the end of this thesis.
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Rhinesmith, Jonathan. "Essays on the Dynamic Strategies and Skill of Institutional Investors." Thesis, Harvard University, 2016. http://nrs.harvard.edu/urn-3:HUL.InstRepos:33493543.
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This dissertation studies the behavior of institutional investors, who control a large share of the world's investment capital, with the goal of shedding light on when and how those investors reveal information. Guided by economic intuition, I highlight instances in which the trades of fund managers are particularly informative. I focus on hedge funds and present evidence that in these instances funds' decisions predict future asset price movements.
These results demonstrate that fund managers possess valuable information. At the same time, my findings support a view of the world in which fund managers have more capital than what they allocate to opportunities with high expected returns. Hedge funds may be “smart” -- they may be able to identify mispriced securities -- while still delivering poor returns to their investors.
Chapter 1 presents evidence that price impact is an important consideration even at the quarterly time horizon of the trades I observe. If fund trades generate price impact, and if price impact is a function of volume, then funds should only be willing to trade a large share of volume when their information is compelling. Indeed, I find that hedge funds predict future stock returns when they purchase a large share of volume. I also provide evidence that the price impact of fund trades incorporates information into stock prices. If informative prices impact real economic decision making then these findings support the welfare relevance of the active management industry.
Chapter 2 shows that funds avoid adding to losing positions. When they do, however, they predict future stock-level outperformance. These results are consistent with a career risks mechanism, as adding to a losing position corresponds to reverse window dressing. They also suggest a position-level limits-to-arbitrage effect.
Chapter 3 demonstrates that hedge funds frequently buy back into stocks they have held in the past. This phenomenon occurs much more often than it would by chance. I use these findings to argue that fund managers develop company-specific expertise that persists over time. When funds establish expert positions after poor past stock-level performance, they predict future stock-level excess returns.Economics
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Makki, Shiva S. "A Dynamic Equilibrium Analysis of Storage-Trade Interactions in Commodity Markets." The Ohio State University, 1995. http://rave.ohiolink.edu/etdc/view?acc_num=osu1393346349.
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Lee, Sang Seok. "Essays in dynamic macroeconomics." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:cb12abc2-6b8c-4e77-9aeb-fc0b617cdc48.
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This thesis is concerned with macroeconomic dynamics under various forms of uncertainty. Chapter 2 recognizes that the information flow from the interest rate is impeded when the nominal interest rate hits the zero lower bound. This impediment can (a) increase the duration of zero lower bound episodes and (b) bring about more persistent deflationary pressure. Moreover, it can make the exit from the zero lower bound disorderly. Chapters 3 and 4 are concerned with dynamics of aggregate variables under Knightian Uncertainty. To overcome difficulties with expectations formation under Knightian Uncertainty, the agents follow Interactive Trial and Error Learning (ITEL) (Young, 2009; Pradelski and Young, 2012) to choose investment portfolios. This involves learning by occasionally experimenting with new actions even when the current action proves to be good. Two applications of ITEL are presented. Chapter 3 deals with the growth of aggregate variables. The growth model can match several business cycle features of the US real aggregate wealth data. Chapter 4 considers a portfolio choice problem. The portfolio choice model can match the first two moments of the US real excess return of equity over bonds almost perfectly. Chapter 5 explores “This Time Is Different Syndrome” of Reinhart and Rogoff (2009) in a setting where the agents are learning under Knightian Uncertainty. The agents are grouped into different generations and their models compete in terms of forecasting power. The predecessor’s model is discarded together with the data set when its forecasting power is worse than the current generation’s model. This loss of relevant data is rooted in focusing only on forecasting well in the short-run. By shifting the weight towards finding the true model of the economy, this problem can be substantially reduced.
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Collado-Vindel, Maria Dolores. "Dynamic econometric models for cohort and panel data : methods and applications to life-cycle consumption." Thesis, London School of Economics and Political Science (University of London), 1994. http://etheses.lse.ac.uk/2829/.
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The purpose of this research is to analyze dynamic models for cohort and panel data, with special emphasis in the applications to life-cycle consumption. In the second chapter of the thesis we analyze the estimation of dynamic models from time-series of independent cross-sections. The population is divided in groups with fixed membership (cohorts) and the cohort sample means are used as a panel subject to measurement errors. We propose measurement error corrected estimators and we analyze their asymptotic properties. We also calculate the asymptotic biases of the non-corrected estimators to check up to what extent the measurement error correction is needed. Finally, we carry out Monte Carlo simulations to get an idea of the performance of our estimators in finite samples. The purpose of the second part is to test the life-cycle permanent income hypothesis using an unbalanced panel from the Spanish family expenditure survey. The model accounts for aggregate shocks and within period non-separability in the Euler equation among consumption goods, contrary to most of the literature in this area. The results do not indicate excess sensitivity of consumption growth to income. In the last chapter, we specify a system of nonlinear intertemporal (or Frisch) demands. Our choice of specification is based on seven criteria for such systems. These criteria are in terms of consistency with the theory, flexibility and econometric tractability. Our specification allows us to estimate a system of exact Euler equations in contrast to the usual practice in the literature. We then estimate the system on Spanish panel data. This is the first time that a Frisch demand system has been estimated on panel data. We do not reject any of the restrictions derived from theory. Our results suggest strongly that the intertemporal substitution elasticity is well determined.
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Rodríguez-Meza, Jorge Luis. "Group and individual microcredit contracts : a dynamic numerical analysis /." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1488203857249165.
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Jones, Wyatt. "The effectiveness of numerical approximation for dynamic programming problems." Diss., University of Iowa, 2019. https://ir.uiowa.edu/etd/6968.
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The motivation of this thesis is the study of numerical methods for solving dynamic programming problems. In the first chapter, I present methods for reducing the computational cost imposed by the curse of dimensionality in the action and state space that occurs when solving for a Markov perfect equilibrium (MPE). These methods circumvent the computational problems for Markov perfect models in which the size of the state space or action space is large. This is because these methods are able to overcome the issue with approximating a highly non-linear or even discontinuous value function and thus allow the algorithm to use a small subset of the state space to approximate the rest of the value function. I use a model from the dynamic IO literature which is a dynamic oligopoly model with heterogeneous firms to evaluate the difference between using multidimensional Chebyshev polynomials and using artificial neural nets (ANN) for approximation, and present issues that arise when trying to use the gradient of the value function for approximations with Hermite interpolation. I also discuss how value function approximation with continuous functions can be used to find the optimal action quickly through the use of gradient based optimization techniques.
In the second chapter I examine the use of reinforcement learning to solve a high dimensional operations research problem. This methodology expands upon the value function approximation used in the first chapter through the use of an algorithm that uses both a value function approximation and a policy function approximation. I focus on the traveling salesman problem (TSP) and train recurrent neural networks (RNN) that, given a set of city coordinates, output a probability distribution over the next city to visit in a route. Using route labels provided by Google’s OR-Tools TSP solver I train multiple network architectures using supervised learning. I compare the performance of these architectures to the performance when using the route length as a reward signal to train the networks using reinforcement learning. I show that supervised learning is a useful tool for the optimization of hyperparameters that will be used in reinforcement learning, and to evaluate the performance improvement of an architecture change. I also provide evidence that while reinforcement learning is a more general optimization framework than using handcrafted heuristics, in practice it is necessary to build a neural network architecture specific to the problem of interest and that a network architectures ability to be trained using supervised learning does not guarantee the ability to be trained using reinforcement learning.
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Arcalean, Calin. "Essays on the dynamic effects of public policies in regional economies." [Bloomington, Ind.] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3331256.
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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.Title from HTML (viewed on Jul 23, 2009). Source: Dissertation Abstracts International, Volume: 69-11, Section: A, page: 4445. Adviser: Gerhard Glomm.
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Jin, Xisong. "Four essays on dynamic dependence in large portfolios." Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=95047.
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This thesis comprises four essays that explore large portfolio dynamic dependence risk related to defaults, risk management and asset allocation, international financial markets, and herding behavior. The first essay investigates the dependence between companies' defaults. We compare credit correlations implied by the prices of collateralized debt obligations with time-varying correlations estimated from equity returns and credit default swaps. We find that the correlations between default intensities from swap spreads are highly time-varying and persistent; the same finding obtains for equity returns. We also find that the correlation implied by structured products co-moves very strongly with the correlation extracted from credit spreads, but less strongly with the correlations between equity returns. Finally, we find that when risk is high in equity and credit markets and when interest rates are low, correlation measures tend to be high. This impedes diversification benefits and depresses prices for senior credit tranches. The second essay develops a new family of Dynamic Conditional Elliptical Copulas to model dynamic high dimensional multivariate distribution for risk management and asset allocation. I examine Value at Risk (VaR) and Expected Shortfall (ES) by Monte Carlo simulation for passive portfolios and dynamic optimal portfolios through Mean-Variance and ES criteria. I find that these copulas work very well for both VaR and ES, and the optimal portfolio by ES does a good job against the tail risk. The third essay studies dependence risk in international financial markets. We investigate patterns and trends in correlations over time for large sets of developed markets (DMs) and emerging markets (EMs). We find that correlations have been significantly trending upward for both the DMs and EMs. The tail dependence has also increased for both EMs and DMs, but its level is still very low for EMs as compared to DMs. Thus, our correlation analysis suggests thaCette thèse se compose de quatre essais qui explorent la dynamique du risque de dépendance pour les larges portefeuilles, en relation avec la gestion du risque, l'allocation d'actifs, les marchés financiers internationaux, et les comportements moutonniers des investisseurs. Le premier essai examine la dépendance entre les défauts des entreprises. Nous comparons les corrélations de crédit impliquées par les prix d'obligations adossées à des actifs avec des corrélations variables au cours du temps, estimées à partir des rendements des actions et des swaps sur défaillance de crédit. Nous constatons que les corrélations entre les intensités des défauts implicites dans les primes des swaps sont très variables dans le temps et persistantes; on obtient un résultat similaire pour les rendements des actions. Nous constatons également que les mouvements de la corrélation impliquées par les produits structurés sont fortement corrélés avec la corrélation extraite des primes de crédit, mais moins fortement avec les corrélations entre les rendements des actions. Enfin, nous constatons que lorsque le risque est élevé dans les marchés d'actions et de crédit et lorsque les taux d'intérêt sont bas, les mesures de corrélation ont tendance à être élevées. Ceci entrave la diversification et fait baisser les prix pour les tranches de crédit senior. Le deuxième essai développe une nouvelle famille de Copules Dynamiques Conditionnelles Elliptiques afin de modéliser la dynamique de distributions avec un nombre élevé de dimensions dans la gestion des risques et l'allocation d'actifs. J'examine la méthode de la valeur à risque (VaR or Value at Risk) et de la perte attendue (ES or Expected Shortfall) par simulation Monte-Carlo pour des portefeuilles passifs et des portefeuilles dynamiques optimaux en considérant les critères de moyenne variance (Mean-Variance) et la perte attendue (ES). Je trouve que ces copules fonctionnent très bien pour$
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Antwi, Shadrack Adu. "Dynamic social networks with beneficial and detrimental interactions." W&M ScholarWorks, 2015. https://scholarworks.wm.edu/etd/1563899055.
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The complex social relationships in society can be understood as a network. In recent years, complex networks have given researchers a more accurate picture of social interactions than aggregation models such as compartmental models had hitherto provided. Compartmental models which collect individuals into population classes based on infection state, for instance, had left out local interactions that could be important for understanding social relationships and attendant phenomena such as epidemics, rumors, etc., in the society. Topics of modeling for complex networks have included the dynamics of social relationships and how they affect disease and opinion spread. Different types of relationships, such as friendly or unfriendly, have been considered. In this dissertation we study social network models in which interactions can be beneficial or detrimental to the parties involved. Motivated by HIV, in which a person's infection status is not readily known to others, we implement a model where individual decisions may affect the disease transmission. Individuals in such a situation may use information about each other's behavior such as the number of connections (degree) to form a risk-benefit assessment for whether to engage in a relationship. We study this model for a single benefit case, and then a multiple benefit case. We also investigate the case where offspring may inherit the benefit of their parents to determine how this affects disease transmission. We find that human behavior and individual differences can affect infection transmission and that adaptation in behavior can mitigate the disease prevalence. Further, we study mutual ratings in a growing social network. We use two types of links, positive for favorable ratings between two nodes, and negative otherwise. We model a social network where positive and negative ratings are assigned preferentially based on existing positive and negative links. Extending previous ideas and analytical methods in the growing networks literature, we study the resulting network structure. For one of the preferential attachment mechanisms we consider, we derive an analytical expression for the joint distribution of positive and negative degrees in the limit of large networks. The insights gleaned in these studies will inform potential investigations of the impact of personal decisions on transmission of STIs such as HIV, and empirical studies of the evolution of friend-foe relationships on online social networks that have mechanisms for users to note or express opinions about other users or the contributions they made.
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Norets, Andriy. "Bayesian inference in dynamic discrete choice models." Diss., University of Iowa, 2007. http://ir.uiowa.edu/etd/148.
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Yen, Jerome Chih-Hung. "Stability and learning in dynamic market systems." Diss., The University of Arizona, 1992. http://hdl.handle.net/10150/185843.
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An Oligopoly is a special type of market system in which the number of producers is small and the interactions among them are significant. Since the interactions are significant, in order to reach higher profit it is very important for a producer to set up a prediction scheme to predict the decisions of the competitors and a good long-term strategy to occupy greater market share. To model and solve such problems, theoretical studies, field studies, and laboratory experiments (which include computer simulations), are the three major approaches. In this study, theoretical approach was used to develop four prediction schemes and study their stability conditions. Then laboratory experiments were conducted to study the decisions of the human subjects to identify the uses of these prediction schemes. The results of the experiments provided many important messages. In these experiments, not only the prediction schemes that developed by the theoretical approach have been actually used, but also from the strategies that developed by the experiment participants I saw the competitions have moved from the technical level to the psychological level. Based on the findings, I proposed some guidelines to develop a good decision model.
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Huang, Shuhui. "Target zones and dynamic properties of interest rates." Thesis, Georgia Institute of Technology, 1995. http://hdl.handle.net/1853/28665.
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