Dissertations / Theses: 'ECONOMIC DYNAMICS MODEL'

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Toni. "Economic model of mine closure and its potential for economic transformation." Doctoral thesis, Technische Universitaet Bergakademie Freiberg Universitaetsbibliothek "Georgius Agricola", 2015. http://nbn-resolving.de/urn:nbn:de:bsz:105-qucosa-162978.

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In Indonesia, the various mining commodities and the amount of resources and reserves are promising, as evidence there are numerous large-scale mining companies and small-scale mines in operation. In 2014 there were 41 companies that held the CoW (mineral contract of work) and 13 companies active in production; and 76 CCoW (coal contract of work) holders, and 57 companies active in production. As well as this, there are more than a thousand small-scale mining companies active for mining commodities. However, mining commodities provide a resource that is not renewable. This will potentially lead to prolonged problems when mining companies do not adhere to good mining practices, particularly in the closing stages of the mine. Mine closure is the final stage in the process of mining activity. In certain circumstances, closure activities can take a long time and of course can have huge costs. In fact, at this stage, the company is no longer making profit, only incurring costs for the project closure. To prevent problems that may arise after the mine is closed, such as abandoned post-mining land, and the bankruptcy of the company at the end of mining operations, etc., then through specific rules, ie rules of the Minister of Energy and Mineral Resources No. 18 of 2008, the mining company in Indonesia must provide a certain amount of money as a financial guarantee to finance the planned closure project; it must be approved by the government before entering this phase. However, problems are encountered in practice. The government may become overloaded because they have to quickly make a decision on the closure plan submitted by the company. So a tool is needed that can be used to assess the feasibility as soon as the mine closure plan is proposed by a company, these tools can provide an overview and a variety of options for decision making. In this dissertation methodology was developed to create a systems dynamic model of mine closure. The model developed can be applied to a variety of mining methods and for various mining commodities. The model can be used to determine the closure costs, to choose the closure project-financing scenario, and up to micro and macro economic analysis of mining activities in the region. In the case studies conducted in this dissertation, the best scenario of the mine closure planning is to include the everlasting fund in the form of time deposits, and convert the post-mining land for agriculture. The amount of deposit money is about USD 358,986,500 should be spare at the end of mine production, and the total of mine closure cost to be approximately USD 440,757,384. Agriculture, the economic sector as a substitute for the mining sector, the added value to the GRDP (Gross Regional Domestic Product) is about 0.25 % / a for the province, and 1.68 % for the regency, but the contribution of the mining sector to GRDP was 30% / a at province scale, and 90% / a at regency scale. So that the substitution value is less significant to GRDP growth. However, this scenario is the best scenario among others, due to consideration is the certainty of ecological and economic sustainability. it is the best goal of corporate social responsibility to the environment in the post- mining land.

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Schmidt, Gordon W. "Dynamics of endogenous economic growth : a case study of the "Romer model" /." Amsterdam [u.a.] : Elsevier, 2003. http://www.loc.gov/catdir/enhancements/fy0614/2003043910-d.html.

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Reda, Hussein Murad Ali. "A theory for national industrial development presented in a system dynamics model." Diss., Virginia Polytechnic Institute and State University, 1985. http://hdl.handle.net/10919/76481.

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The dissertation presents a system dynamics model for national industrial development in developing economies. A development system is defined by national boundary, components and activities. The system is represented by ten activity sectors grouped into three functional classes: (1) Two driving sectors comprising population and investment capital sectors; (2) Seven industrial sectors: resources, manufacturing, agriculture, physical infrastructure, services, technology, and social infrastructure; and (3) An outlet sector represented by a trade sector. The model's general theory of industrial development dynamics is described by causal feedback loops. A causal feedback loop consists of two or more interrelated variables where a change in one of the loop's variables causes all others to change as well. The industrial development model's specific structure evolved by applying the causal feedback theory to the system activity sectors. The model is written in DYNAMO, a continuous system, computer simulation language. A prototype model run illustrated the basic development process and possible effects of alternative policies. Several conclusions were drawn regarding sensitive system parameters and various development policies. In addition, three developing-country examples representing low, middle, and high income groups were evaluated. Recommendations about model use and system analysis were presented. The industrial development model is intended to aid during development analysis and planning phases.
Ph. D.

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Schmidt, Gordon 1946. "Dynamics of endogenous economic growth theory and related issues : a case study of the "Romer model"." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/8832.

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Erdogan, Ezgi. "A Complex Dynamical Systems Model Of Education, Research, Employment, And Sustainable Human Development." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/3/12612138/index.pdf.

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Economic events of this era reflect the fact that the value of information and technology has surpassed the value of physical production. This motivates countries to focus on increasing the education levels of citizens. However, policy making about education system and its returns requires dynamical analyses in order to be sustainable. The study aims to investigate the dynamic characteristics of a country-wide education system, in particular, that of Turkey. System Dynamics modeling, which is one of the most commonly referred tools for understanding the complex social structures, is used. Our model introduces dynamic relationships among different classes of labor forces with varying education levels, university admissions, research quality, and the investments made in education, research and other sectors. Model experimentation provides new insights into the investment and capacity-related aspects of the education system environment.

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Kellie-Smith, Owen. "Relating forced climate change to natural variability and emergent dynamics of the climate-economy system." Thesis, University of Exeter, 2010. http://hdl.handle.net/10036/115194.

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This thesis is in two parts. The first part considers a theoretical relationship between the natural variability of a stochastic model and its response to a small change in forcing. Over a large enough scale, both the real climate and a climate model are characterised as stochastic dynamical systems. The dynamics of the systems are encoded in the probabilities that the systems move from one state into another. When the systems’ states are discretised and listed, then transition matrices of all these transition probabilities may be formed. The responses of the systems to a small change in forcing are expanded in terms of the eigenfunctions and eigenvalues of the Fokker-Planck equations governing the systems’ transition densities, which may be estimated from the eigenvalues and eigenvectors of the transition matrices. Smoothing the data with a Gaussian kernel improves the estimate of the eigenfunctions, but not the eigenvalues. The significance of differences in two systems’ eigenvalues and eigenfunctions is considered. Three time series from HadCM3 are compared with corresponding series from ERA-40 and the eigenvalues derived from the three pairs of series differ significantly. The second part analyses a model of the coupled climate-economic system, which suggests that the pace of economic growth needs to be reduced and the resilience to climate change needs to be increased in order to avoid a collapse of the human economy. The model condenses the climate-economic system into just three variables: a measure of human wealth, the associated accumulation of greenhouse gases, and the consequent level of global warming. Global warming is assumed to dictate the pace of economic growth. Depending on the sensitivity of economic growth to global warming, the model climate-economy system either reaches an equilibrium or oscillates in century-scale booms and busts.

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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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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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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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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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Economics
Ph.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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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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Maldoom, Daniel. "Dynamics and coordination in models of economic growth with economies of scale and scope." Thesis, University of Oxford, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.386526.

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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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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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Saguatti, Annachiara <1984&gt. "Modeling the spatial dynamics of economic models." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2013. http://amsdottorato.unibo.it/5978/.

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The advances that have been characterizing spatial econometrics in recent years are mostly theoretical and have not found an extensive empirical application yet. In this work we aim at supplying a review of the main tools of spatial econometrics and to show an empirical application for one of the most recently introduced estimators. Despite the numerous alternatives that the econometric theory provides for the treatment of spatial (and spatiotemporal) data, empirical analyses are still limited by the lack of availability of the correspondent routines in statistical and econometric software. Spatiotemporal modeling represents one of the most recent developments in spatial econometric theory and the finite sample properties of the estimators that have been proposed are currently being tested in the literature. We provide a comparison between some estimators (a quasi-maximum likelihood, QML, estimator and some GMM-type estimators) for a fixed effects dynamic panel data model under certain conditions, by means of a Monte Carlo simulation analysis. We focus on different settings, which are characterized either by fully stable or quasi-unit root series. We also investigate the extent of the bias that is caused by a non-spatial estimation of a model when the data are characterized by different degrees of spatial dependence. Finally, we provide an empirical application of a QML estimator for a time-space dynamic model which includes a temporal, a spatial and a spatiotemporal lag of the dependent variable. This is done by choosing a relevant and prolific field of analysis, in which spatial econometrics has only found limited space so far, in order to explore the value-added of considering the spatial dimension of the data. In particular, we study the determinants of cropland value in Midwestern U.S.A. in the years 1971-2009, by taking the present value model (PVM) as the theoretical framework of analysis.

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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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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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Ziramba, Emmanuel. "Essays on public finance and economic growth using dynamic general equilibrium models." Thesis, Pretoria : [s.n.], 2009. http://upetd.up.ac.za/thesis/available/etd-03282009-125923/.

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Schäfer, Andreas. "Economic Development and Economic Integration." Doctoral thesis, Universitätsbibliothek Leipzig, 2013. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-128100.

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Macroeconomists dedicated substantial efforts to clarify the puzzle of growing incomes in some regions of the world and rising differences in standards of living across the globe. Although the question of why economies perform differently is as old as the theory of economic thought itself, it is only since recent times that economists integrate development patterns over the very long-run into formal dynamic general equilibrium models. The models we present here consider development patterns observed in advanced economies since the Industrial Revolution. The objective of this study is to shed light on the mechanics of economic development within the frame of (dynamic) general equilibrium models. Since this requires the solution of multi-dimensional and non-linear systems of difference or differential equations that govern the evolution of the model economy over time (in some cases with heterogeneous agents) analytical solutions are in general not obtainable. Therefore, this work relies on numerical and computational methods at large, in order to visualize the development path of economies over time.

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Khalil, Dalia. "Dynamic pension funding models." Thesis, City University London, 2006. http://openaccess.city.ac.uk/8464/.

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Achieving an adequate income in the old age to maintain the standard level of living after retirement has been a challenge to pension schemes for a long time. In fact, approaching this goal has led to a global pension crisis considering all the economic and demographic changes and the conflicting interests of employers and employees over time. This research aims to deriving different deterministic and stochastic dynamic pension funding models for defined benefit schemes within the mathematical framework of optimal control theory and dynamic programming. The practical implementation of these dynamic models into one of the largest Egyptian defined, benefit occupational pension schemes - as a case study - is a tool to examine how they act in the reality, and provide the management of the pension fund with a dynamic plan instead of the static ones that have been used in such a volatile market. Taking into consideration the optimal contribution rate of the mutual interests of both the employer and the employees by including a mixed middle term in the dynamic pension funding models. This represents both the contribution rate risk and the solvency risk and could provide a solution for one of the pension schemes problems.

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Dindo, Pietro Dino Enrico. "Bounded rationality and heterogeneity in economic dynamic models." [Amsterdam] : Amsterdam : Thela Thesis ; Universiteit van Amsterdam [Host], 2007. http://dare.uva.nl/document/44334.

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DUARTE, ANDRE SENNA. "THE ECONOMIC VALUE OF CONSTANT AND DYNAMIC CONDITIONAL CORRELATION MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10613@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
Em Fleming, Kirby e Ostdiek (2001), encontram-se evidências de que a utilização de modelos de previsão da volatilidade, possui valor econômico significante quando se compara simplesmente com a matriz de variância incondicional, num arcabouço de otimização de portfólio. Indo além, este trabalho propõem averiguar se os modelos mais complexos de Correlação Condicional Constante (CCC) e Dinâmica (DCC) sugeridos respectivamente por Bollerslev (1990) e Engle (2002) podem oferecer melhores resultados. Os resultados encontrados são dependentes da preferência do investidor. Um investidor mais avesso ao risco, terá maior utilidade ao empregar o modelo DCC e CCC quando comparado ao simples modelo da média móvel com decaimento exponencial, popularizados por RiskMetrics. Isso ocorre porque os modelos DCC e CCC apresentam desvio padrão e retorno geralmente inferiores. Ainda, não é possível afirmar como em Fleming, Kirby e Ostdiek (2001) que a utilização de modelos de previsão da volatilidade, possui valor econômico significante.
At Fleming, Kirby e Ostdiek (2001), evidences are found that volatility timming models, have signicant economic value when comparing with the simple unconditional variance matrix, in a framework of portfolio optimization. Going further, this work analyze if the more complex Constant (CCC) and Dynamic (DCC) Conditional Corrrelation models, suggested respectivily by Bollerslev (1990) and Engle (2002) can have a higher performance. The results found depend on the investor´s preference. A more risk averse investor has a higher utility level employing the DCC and CCC models when comparing with the simple exponencial moving avarage model, popularized by RiskMetrics. This happens because the DCC and CCC models usually have smaller standard deviation and return. Futhermore, it is not possible to assert, like at Fleming, Kirby e Ostdiek (2001), that volatility timming models have higher economic value.

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Molin, Simon. "House Price Dynamics in Sweden : Vector error-correction model." Thesis, Umeå universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172367.

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Movements in house prices can have effects on individuals, financial markets, and the whole economy. After the rapid increase in house prices worldwide since the mid-1990s and after the financial crisis in 2008, many studies have investigated house price dynamics. Furthermore, real house prices in Sweden have increased by more than 200 % since the mid-1990s up until today. This study takes a closer look at the fundamental determinants of house prices to investigate both the long- and short-run dynamics of Swedish house prices. The method of use includes a vector error-correction model, which exposes both long- and short-run dynamics of house prices. The long-run results show that Swedish house prices are currently not overvalued. Furthermore, in the short-run, the results suggest that house prices adjust to their equilibrium level with 7,9 % in each quarter.

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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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Carro, Patiño Adrián. "Individual-based models of collective dynamics in socio-economic systems." Doctoral thesis, Universitat de les Illes Balears, 2016. http://hdl.handle.net/10803/396311.

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The main purpose of this thesis is to contribute to the understanding of how complex collective behaviors emerge in social and economic systems. To this end, we use a combination of mathematical analysis and computational simulations along the lines of the agent- or individual-based modeling paradigm. In particular, we focus on three main topics: opinion dynamics, herding behavior in financial markets, and language competition. Opinion dynamics models focus on the processes of opinion formation within a society consisting of an ensemble of interacting individuals with diverse opinions. One of the main problems addressed by these models is whether these processes of opinion formation will eventually lead to the emergence of a consensus within the society or to the fragmentation of its constituent individuals into different opinion groups. We are interested here in situations where the particular issue under consideration allows for opinions to vary continuously, and thus opinions are modeled as real variables. In particular, we focus on a model consisting of two mechanisms or rules for the evolution of the agents' opinions: a mechanism of social influence, by which two interacting agents reach a compromise at the midpoint opinion, and a mechanism of homophily, by which two agents do only interact if their opinion difference is less than a given threshold value. In this context, we study the influence of the initial distribution of opinions in the asymptotic solution of the model. Financial time series are characterized by a number of stylized facts or non-Gaussian statistical regularities found across a wide range of markets, assets and time periods, such as volatility clustering or fat-tailed distributions of returns. A growing number of contributions based on heterogeneous interacting agents have interpreted these stylized facts as the macroscopic outcome of the diversity among the economic actors, and the interplay and connections between them. In particular, we focus here on a stochastic model of information transmission in financial markets based on a competition between pairwise copying interactions between market agents (herding behavior) and random changes of state (idiosyncratic behavior). On the one hand, we develop a generalization of this herding model accounting for the arrival of information from external sources, and study the influence of this incoming information on the market. On the other hand, we study a network-embedded version of the herding model and focus on the influence of the underlying topology of interactions on the asymptotic behavior of the system. Language competition models address the dynamics of language use in multilingual social systems due to social interactions. The main goal of these models is to distinguish between the interaction mechanisms that lead to the coexistence of different languages and those leading to the extinction of all but one of them. While traditionally conceptualized as a property of the speaker, it has been recently proposed that the use of a language can be more clearly described as a feature of the relationship between two speakers ---a link state--- than as an attribute of the speakers themselves ---a node state---. Inspired by this link-state perspective, we first develop a coevolving model that couples a majority rule dynamics of link states with the evolution of the network topology due to random rewiring of links in a local minority. Finally, we develop a model where the coupled dynamics of language use, as a property of the links between speakers, and language preference, as a property of the speakers themselves, are considered in a fixed network topology.
El propósito principal de esta tesis es el de contribuir a la comprensión del modo en el que comportamientos colectivos complejos emergen en sistemas sociales y económicos. En particular, nos centramos en tres temas principales: dinámica de opiniones, comportamiento gregario en mercados financieros y competición lingüística. Los modelos de dinámica de opiniones se centran en los procesos de formación de opiniones en el seno de una sociedad compuesta por un conjunto de individuos en interacción y con opiniones diversas. Uno de los principales problemas abordados por estos modelos es el de determinar si estos procesos de formación de opiniones llevan a la emergencia de un consenso en la sociedad, o si llevan a la segregación de los individuos en diferentes grupos. Nos interesamos aquí por situaciones en las que el asunto que se discute permite la existencia de un contínuo de opiniones y por tanto las opiniones pueden ser modeladas como variables reales. En particular, nos centramos en un modelo consistente en dos mecanismos para la evolución de las opiniones: un mecanismo de influencia social, por el cual dos agentes interaccionantes llegan a un compromiso en el punto medio entre sus opiniones, y un mecanismo de homofilia, por el cual dos agentes interaccionan únicamente si la diferencia entre sus opiniones es inferior a un cierto umbral. En este contexto, estudiamos la influencia de la distribución inicial de opiniones. Las series temporales financieras están caracterizadas por una serie de hechos estilizados o regularidades estadísticas no gaussianas observadas en un amplio rango de mercados, activos y períodos temporales, como el agrupamiento de la volatilidad o las distribuciones de retornos con colas pesadas. Un número creciente de contribuciones basadas en agentes heterogéneos en interacción han venido a ofrecer una interpretación de estos hechos estilizados como el resultado emergente de la diversidad entre actores económicos y de las interacciones y conexiones entre ellos. En particular, nos centramos aquí en un modelo estocástico de transmisión de información en mercados financieros basado en una competición entre interacciones de copia a pares entre agentes de mercado (comportamiento gregario) y cambios de estado aleatorios (comportamiento idiosincrático). Por un lado, desarrollamos una generalización de este modelo de comportamiento gregario para tener en cuenta la llegada de información desde fuentes externas y estudiamos la influencia de esta información entrante en el mercado. Por otro lado, estudiamos una versión en red del modelo de comportamiento gregario y nos centramos en la influencia de la topología subyacente en el comportamiento asintótico del sistema. Los modelos de competición lingüística abordan la dinámica del uso de lenguas en sistemas sociales multilingües debida a interacciones sociales. El principal objetivo de estos modelos es el de diferenciar entre aquellos mecanismos de interacción que llevan a la coexistencia de diferentes lenguas y aquellos que llevan a la extinción de todas menos una. Aunque tradicionalmente se ha conceptualizado como una propiedad del hablante, recientemente se ha propuesto que el uso de una lengua puede ser más claramente descrito como una propiedad de la relación entre dos hablantes ---un estado del enlace--- que como una propiedad de los hablantes ---un estado del nodo---. Inspirados por esta perspectiva, desarrollamos primero un modelo de coevolución que acopla una dinámica de estados en los enlaces basada en una regla de mayoría con la evolución de la topología de la red debida al re-enlace aleatorio de enlaces en una minoría local. Finalmente, desarrollamos un modelo en el que las dinámicas acopladas de uso de la lengua, como propiedad de los enlaces entre hablantes, y preferencia lingüística, como propiedad de los hablantes mismos, son consideradas en una topología de red fija.

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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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Bañbura, Marta. "Essays in dynamic macroeconometrics." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210294.

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The thesis contains four essays covering topics in the field of macroeconomic forecasting.

The first two chapters consider factor models in the context of real-time forecasting with many indicators. Using a large number of predictors offers an opportunity to exploit a rich information set and is also considered to be a more robust approach in the presence of instabilities. On the other hand, it poses a challenge of how to extract the relevant information in a parsimonious way. Recent research shows that factor models provide an answer to this problem. The fundamental assumption underlying those models is that most of the co-movement of the variables in a given dataset can be summarized by only few latent variables, the factors. This assumption seems to be warranted in the case of macroeconomic and financial data. Important theoretical foundations for large factor models were laid by Forni, Hallin, Lippi and Reichlin (2000) and Stock and Watson (2002). Since then, different versions of factor models have been applied for forecasting, structural analysis or construction of economic activity indicators. Recently, Giannone, Reichlin and Small (2008) have used a factor model to produce projections of the U.S GDP in the presence of a real-time data flow. They propose a framework that can cope with large datasets characterised by staggered and nonsynchronous data releases (sometimes referred to as “ragged edge”). This is relevant as, in practice, important indicators like GDP are released with a substantial delay and, in the meantime, more timely variables can be used to assess the current state of the economy.

The first chapter of the thesis entitled “A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP” is based on joint work with Gerhard Rünstler and applies the framework of Giannone, Reichlin and Small (2008) to the case of euro area. In particular, we are interested in the role of “soft” and “hard” data in the GDP forecast and how it is related to their timeliness.

The soft data include surveys and financial indicators and reflect market expectations. They are usually promptly available. In contrast, the hard indicators on real activity measure directly certain components of GDP (e.g. industrial production) and are published with a significant delay. We propose several measures in order to assess the role of individual or groups of series in the forecast while taking into account their respective publication lags. We find that surveys and financial data contain important information beyond the monthly real activity measures for the GDP forecasts, once their timeliness is properly accounted for.

The second chapter entitled “Maximum likelihood estimation of large factor model on datasets with arbitrary pattern of missing data” is based on joint work with Michele Modugno. It proposes a methodology for the estimation of factor models on large cross-sections with a general pattern of missing data. In contrast to Giannone, Reichlin and Small (2008), we can handle datasets that are not only characterised by a “ragged edge”, but can include e.g. mixed frequency or short history indicators. The latter is particularly relevant for the euro area or other young economies, for which many series have been compiled only since recently. We adopt the maximum likelihood approach which, apart from the flexibility with regard to the pattern of missing data, is also more efficient and allows imposing restrictions on the parameters. Applied for small factor models by e.g. Geweke (1977), Sargent and Sims (1977) or Watson and Engle (1983), it has been shown by Doz, Giannone and Reichlin (2006) to be consistent, robust and computationally feasible also in the case of large cross-sections. To circumvent the computational complexity of a direct likelihood maximisation in the case of large cross-section, Doz, Giannone and Reichlin (2006) propose to use the iterative Expectation-Maximisation (EM) algorithm (used for the small model by Watson and Engle, 1983). Our contribution is to modify the EM steps to the case of missing data and to show how to augment the model, in order to account for the serial correlation of the idiosyncratic component. In addition, we derive the link between the unexpected part of a data release and the forecast revision and illustrate how this can be used to understand the sources of the

latter in the case of simultaneous releases. We use this methodology for short-term forecasting and backdating of the euro area GDP on the basis of a large panel of monthly and quarterly data. In particular, we are able to examine the effect of quarterly variables and short history monthly series like the Purchasing Managers' surveys on the forecast.

The third chapter is entitled “Large Bayesian VARs” and is based on joint work with Domenico Giannone and Lucrezia Reichlin. It proposes an alternative approach to factor models for dealing with the curse of dimensionality, namely Bayesian shrinkage. We study Vector Autoregressions (VARs) which have the advantage over factor models in that they allow structural analysis in a natural way. We consider systems including more than 100 variables. This is the first application in the literature to estimate a VAR of this size. Apart from the forecast considerations, as argued above, the size of the information set can be also relevant for the structural analysis, see e.g. Bernanke, Boivin and Eliasz (2005), Giannone and Reichlin (2006) or Christiano, Eichenbaum and Evans (1999) for a discussion. In addition, many problems may require the study of the dynamics of many variables: many countries, sectors or regions. While we use standard priors as proposed by Litterman (1986), an

important novelty of the work is that we set the overall tightness of the prior in relation to the model size. In this we follow the recommendation by De Mol, Giannone and Reichlin (2008) who study the case of Bayesian regressions. They show that with increasing size of the model one should shrink more to avoid overfitting, but when data are collinear one is still able to extract the relevant sample information. We apply this principle in the case of VARs. We compare the large model with smaller systems in terms of forecasting performance and structural analysis of the effect of monetary policy shock. The results show that a standard Bayesian VAR model is an appropriate tool for large panels of data once the degree of shrinkage is set in relation to the model size.

The fourth chapter entitled “Forecasting euro area inflation with wavelets: extracting information from real activity and money at different scales” proposes a framework for exploiting relationships between variables at different frequency bands in the context of forecasting. This work is motivated by the on-going debate whether money provides a reliable signal for the future price developments. The empirical evidence on the leading role of money for inflation in an out-of-sample forecast framework is not very strong, see e.g. Lenza (2006) or Fisher, Lenza, Pill and Reichlin (2008). At the same time, e.g. Gerlach (2003) or Assenmacher-Wesche and Gerlach (2007, 2008) argue that money and output could affect prices at different frequencies, however their analysis is performed in-sample. In this Chapter, it is investigated empirically which frequency bands and for which variables are the most relevant for the out-of-sample forecast of inflation when the information from prices, money and real activity is considered. To extract different frequency components from a series a wavelet transform is applied. It provides a simple and intuitive framework for band-pass filtering and allows a decomposition of series into different frequency bands. Its application in the multivariate out-of-sample forecast is novel in the literature. The results indicate that, indeed, different scales of money, prices and GDP can be relevant for the inflation forecast.

Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Lauri, Pekka. "Human capital, dynamic inefficiency and economic growth /." Helsinki : Helsinki School of Economics, 2004. http://helecon3.hkkk.fi/pdf/diss/a237.pdf.

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García-Cobián, Jáuregui Ramón. "Compleción del modelo del overshooting de Dornsbusch." Economía, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/117640.

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The article tries to complete the “overshooting” model of Dornsbusch, explicitly including a dynamic equation for the money market, because he treats this only in an intuitive way, as if there was an infinite speed of adjustment. After pointing out some errors in the original work, it is showed that the hypotheses made by Dornsbusch are sufficient for the completed model to exhibit the wanted “overshooting”.
El artículo intenta completar el modelo del overshooting de Dornsbusch incluyendo explícitamente una ecuación dinámica para el mercado de dinero, pues este es tratado solo de manera intuitiva por Dornsbusch como si se diera allí una velocidad de ajuste infinita. Luego de hacer notar algunos errores del trabajo original, se demuestra que las hipótesis hechas por Dornsbusch bastan para que el modelo completado exhiba el overshooting deseado.

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Pizzinelli, Carlo. "Essays on labor market dynamics with worker heterogeneity." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:28323577-c33e-4df9-80ec-f2506e42b473.

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This thesis is comprised of three chapters which discuss topics related to labor market dynamics from a macroeconomic perspective. Although each chapter is self-standing in terms of research question and methodology, they are united by a common interest for the macroeconomic implications of worker heterogeneity. The chapters vary with respect to the time horizon over which they study aggregate dynamics, covering business cycle frequency, the economy's long run steady state, and households' life cycle. Furthermore, they develop the concept of heterogeneity across different dimensions: stages of the life cycle, households' income and wealth, observed worker characteristics, and worker-firm productivity levels. The overall purpose of this thesis is therefore to contribute to the study of labor markets and labor policies through a multi-faceted approach.

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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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32

Yin, Xiaopeng 1963. "Endogenous growth, international trade and dynamics." Thesis, McGill University, 2001. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=37914.

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This PhD. dissertation consists of three essays to fill some gaps in the recent research in international trade and endogenous growth theory. The first essay explores the dynamic effect of interaction of research and development (R&D) activities among countries on endogenous economic growth. It attempts to fill the gap between the current endogenous growth research focused on independent R&D activities and decision-making in the international competition and the interdependent R&D competition in reality. This paper finds that the growth rates, welfare, and investment on R&D in the world do differ between independent R&D activity and interdependent R&D activities among countries. The welfare for each country in the open-loop Nash equilibrium is higher than that of the Markov-perfect Nash equilibrium, and both are lower than that in the cooperative game. The model shows that the ability to commit turns out to make every country better off. The interesting results are that when an increase in the number of countries does increase the growth rate in the open-loop Nash equilibrium, it is very possible to have the negative effect on the growth rate in the Markov-perfect equilibrium. Particularly, the model shows that the tendency of free-ride rises with more countries in the competition. The more general models with durable physical capital, and with the endogenous rate of time preference following Uzawa-Epstein tradition, also prove these conclusions.
The second essay turns to the Samuelson-Diamond overlapping generation paradigm, a finite-horizon overlapping generations model with education proposed by Michel (1993). The focus is shifted to the effect of trade on growth. It turns out that when trade affects the formation of human capital, endogenous growth is possible even in the simplest economy with a single sector and constant returns to scale technologies, which is opposite from Boldrin's (1992) and Jones and Manuelli's (1992) results.
While the existing theory of trade under oligopolistic competition is mostly static in nature, the third essay fills this gap by modeling international trade under oligopoly in a dynamic setting. This essay adopts the dynamics in the model provided by allowing the demand curve to shift over time as a result of "habit formation". It shows that when the importing country is committing to a policy of voluntary import expansions (VIEs), in the certain condition (i.e. k > 1), VIEs can improve the global welfare, the welfare of the importing country, and the profit of both firms. So, in a sense, voluntary import expansion is truly voluntary.

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Maynou, Pujolràs Laia. "Health and economic convergence in the European Union (1990-2010): an econometric approach." Doctoral thesis, Universitat de Girona, 2013. http://hdl.handle.net/10803/127304.

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The main aim of this thesis is to evaluate the reduction of economic and health disparities in the European Union from 1990-2010. Through different dynamic panel models, we show that in simple economics terms there has been a catching-up process within the eurozone and that the distance between the core-periphery has been reduced. However, in terms of disparities, significant economic differences across the eurozone regions still exist. In an attempt to go beyond economic terms, we show that the EU countries also catch-up in terms of health, while in terms of disparities there are still significant inconsistencies among the EU regions. Consequently, if the reduction of dispersion is the ultimate measure of convergence, as various authors have agreed (e.g. Quah, 1993), then our overall study shows a lack of convergence across EU regions in terms of economics and health
L’objectiu principal d’aquesta tesi és avaluar la reducció de les disparitats econòmiques i en salut en la Unió Europea des de 1990-2010. A través a diferents models de panell dinàmics, mostrem que en termes merament econòmics hi ha hagut un procés d’aproximació entre els membre de l’euro zona i que la distància entre centre-perifèria s’ha reduït. No obstant, en termes de disparitats, encara existeixen diferències econòmiques significatives entre les regions de l’euro zona. Per anar més enllà de simples termes econòmics, mostrem que els països de la UE també s’han aproximat en termes de salut, mentre que en termes de disparitats, encara hi ha inconsistències significatives entre les regions de la UE. Conseqüentment, si la reducció de les disparitats és la mesura definitiva de la convergència, com diversos autors han assenyalat (ex. Quah, 1993), llavors, el nostre estudi mostra una manca de convergència econòmica i en salut entre les regions de la UE

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Neugebauer, Felix Sebastian. "Tayloring Brazil: a system dynamics model for monetary policy feedback." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/9098.

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The thesis introduces a system dynamics Taylor rule model of new Keynesian nature for monetary policy feedback in Brazil. The nonlinear Taylor rule for interest rate changes con-siders gaps and dynamics of GDP growth and inflation. The model closely tracks the 2004 to 2011 business cycle and outlines the endogenous feedback between the real interest rate, GDP growth and inflation. The model identifies a high degree of endogenous feedback for monetary policy and inflation, while GDP growth remains highly exposed to exogenous eco-nomic conditions. The results also show that the majority of the monetary policy moves during the sample period was related to GDP growth, despite higher coefficients of inflation parameters in the Taylor rule. This observation challenges the intuition that inflation target-ing leads to a dominance of monetary policy moves with respect to inflation. Furthermore, the results suggest that backward looking price-setting with respect to GDP growth has been the dominant driver of inflation. Moreover, simulation exercises highlight the effects of the new BCB strategy initiated in August 2011 and also consider recession and inflation avoid-ance versions of the Taylor rule. In methodological terms, the Taylor rule model highlights the advantages of system dynamics with respect to nonlinear policies and to the stock-and-flow approach. In total, the strong historical fit and some counterintuitive observations of the Taylor rule model call for an application of the model to other economies.

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Christie, Tamoya A. L. "Essays on Fiscal Policy and Economic Growth." Digital Archive @ GSU, 2011. http://digitalarchive.gsu.edu/econ_diss/75.

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This dissertation comprises two essays. The first essay explores how the size of government, as measured by the level of spending, affects growth. Theoretical models suggest a nonlinear relationship; however, testing this hypothesis empirically in cross-country studies is complicated by the endogeneity of government spending and the accurate identification of turning points. This paper examines the nonlinear hypothesis by incorporating threshold analysis in a cross-country growth regression. Using a broad panel of countries over the period 1971-2005, the results show evidence in favor of a nonlinear effect, but not of the form predicted by theory. When total government spending is low, there is no statistically significant effect on economic growth. However, after passing a certain threshold government spending exhibits a negative effect on growth. The second essay develops a dynamic macroeconomic model to explore how variations in the composition and financing of government expenditures affect economic growth in the long-run. The model is used to analyze how public investment spending funded by taxes or borrowing affects long-term output growth. The model is calibrated to reflect economic conditions in the seven largest Latin American economies during the period 1990 to 2008. We find that, where tax rates are not already high, funding public investment by raising taxes may increase long-run growth. If existing tax rates are high, then public investment is only growth-enhancing if funded by restructuring the composition of public spending. Interestingly, using debt to finance new public investment compromises growth, regardless of the initial fiscal condition.

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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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SPREAFICO, MARTA. "Institutions and Growth: The Experience of the Former Soviet Union Economies." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/1113.

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Organizzata in tre saggi, questa tesi si pone l’obiettivo di consentire una migliore comprensione del legame tra crescita e istituzioni, e dei meccanismi attraverso cui gli assetti istituzionali possono condizionare i sentieri economici. Riconoscendo, sulla base di considerazioni storiche, il potere esemplificativo delle ex Repubbliche Socialiste Sovietiche e della loro comune esperienza passata, questo lavoro fornisce, da un lato, una struttura empirica di riferimento per esaminare l’impatto sulla performance economica di un insieme di istituzioni, concretamente legate al funzionamento dell’attività economica; dall’altro, approfondisce lo studio degli effetti e delle determinanti delle azioni di policy. Il primo saggio offre una disamina della letteratura riguardante il legame crescita e istituzioni, fornendo un quadro esaustivo degli sviluppi teorici ed empirici, e illustra diversi aspetti che possono essere concepiti come obiettivi per la ricerca futura; il secondo, attraverso la costruzione di un modello statico e di un modello dinamico, quantifica l’impatto delle istituzioni economiche sui sentieri di crescita di questi paesi, impiegando e analizzando numerose tecniche di stima; il terzo saggio formula diverse specificazioni e affronta il tema rilevante del ruolo degli interventi di policy sullo sviluppo economico e dell’effetto delle istituzioni politiche su comportamenti e decisioni del governo.
Organized in three essays, this thesis aims at achieving a better understanding of the link between growth and institutions, and of the mechanisms through which the institutional arrangements affect the economic paths. Exploiting the past common experience of the Former Soviet Union economies, this work provides an empirical framework to examine the impact on the economic performance of a set of institutions concretely related to the “functioning” of the economic activity and offers a first attempt to include in this research program the study of the consequences of the government actions. The first essay offers a thorough review of the literature researching on the link between economic growth and institutions, and elucidates several issues that deserve further attention; the second develops a static and a dynamic approach to assess, using multiple estimation techniques, the impact of a set of economic institutions on the growth paths of these countries; the third essay, through several formal specifications, deals with the relevant issue of the role of policy measures and of the effect of the political institutions on the governments behaviour.

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Tsener, Inna. "Numerical methods for analyzing nonstationary dynamic economic models and their applications." Doctoral thesis, Universidad de Alicante, 2015. http://hdl.handle.net/10045/50216.

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Povoledo, Laura. "Dynamic stochastic general equilibrium models for the study of economic fluctuations." Thesis, University College London (University of London), 2005. http://discovery.ucl.ac.uk/1445796/.

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The thesis applies a variety of DSGE models to a set of problems whose common link is the analysis of economic fluctuations. The DSGE methodology is applied first to the analysis of economic fluctuations in Italy. After documenting' the crucial features of economic fluctuations in Italy (high volatility of hours worked and low volatility of employment), the thesis explains why the standard RBC model cannot reproduce them. Therefore, a modified RBC model with labour adjustment costs and an underground sector is introduced, and its performance analysed. Then, the thesis utilizes DSGE theory to study how fluctuations are transmitted within and between countries. Using a two-country general equilibrium model with monopolistic competition and sticky prices, it examines first the relative effects of a wide range (money, supply and demand) of shocks, and then the aggregate effects separately. The relative effects are the consequences of shocks for the relative price and quantities of domestic tradeables versus nontradeables. The main finding is that not only sector- specific shocks affect these relative prices and allocations, but also aggregate monetary shocks, thus contributing to explain why money has sectoral effects, as in the empirical literature. The aggregate effects are the consequences of shocks for the main macroeconomic variables. The analysis of the aggregate effects differs from the most recent literature because: 1) the role of critical parameters in the transmission is analysed simultaneously 2) the analysis is not confined to monetary shocks 3) supply and demand shocks are disaggregated by sector 4) the assumptions that the marginal productivity of labour may be decreasing, and that individuals cannot work in both sectors, are introduced. The aggregate effects of the shocks depend on the choice of parameters. The assump tion that individuals cannot work in both sectors leads to a lower elasticity of marginal costs with respect to output.

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Keller-Herzog, Angela (Angela B. ). Carleton University Dissertation Economics. "A dynamic economic model of global warming; fossil fuel depletion and CO2 accumulation." Ottawa, 1993.

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Li, Guangjie. "Essays on economic and econometric applications of Bayesian estimation and model comparison." Thesis, University of Leicester, 2009. http://hdl.handle.net/2381/4792.

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This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR) panel data model with fixed effect. The first chapter investigates the problem from a model comparison perspective. The major finding in the first chapter is that consistency in parameter estimation and model selection are interrelated. The reparameterization of the fixed effect parameter proposed by Lancaster (2002) may not provide a valid solution to the incidental parameter problem if the wrong set of exogenous regressors are included. To estimate the model consistently and to measure its goodness of fit, the Bayes factor is found to be more preferable for model comparson than the Bayesian information criterion based on the biased maximum likelihood estimates. When the model uncertainty is substantial, Bayesian model averaging is recommended. The method is applied to study the relationship between financial development and economic growth. The second chapter proposes a correction function approach to solve the incidental parameter problem. It is discovered that the correction function exists for the linear AR panel model of order p when the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter estimation and to calculate the Bayes factor for model comparison. The last chapter studies how stock return's predictability and model uncertainty affect a rational buy-and-hold investor's decision to allocate her wealth for different lengths of investment horizons in the UK market. The FTSE All-Share Index is treated as the risky asset, and the UK Treasury bill as the riskless asset in forming the investor's portfolio. Bayesian methods are employed to identify the most powerful predictors by accounting for model uncertainty. It is found that though stock return predictability is weak, it can still affect the investor's optimal portfolio decisions over different investment horizons.

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Lee, Dongwoo. "Essays on Economic Decision Making." Diss., Virginia Tech, 2019. http://hdl.handle.net/10919/89564.

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This dissertation focuses on exploring individual and strategic decision problems in Economics. I take a different approach in each chapter to capture various aspects of decision problems. An overview of this dissertation is provided in Chapter 1. Chapter 2 studies an individual's decision making in extensive-form games under ambiguity when the individual is ambiguous about an opponent's moves. In this chapter, a player follows Choquet Expected Utility preferences, since the standard Expected Utility cannot explain the situations of ambiguity. I raise the issue that dynamically inconsistent decision making can be derived in extensive-form games with ambiguity. To cope with this issue, this chapter provides sufficient conditions to recover dynamic consistency. Chapter 3 analyzes the strategic decision making in signaling games when a player makes an inference about hidden information from the behavioral hypothesis. The Hypothesis Testing Equilibrium (HTE) is proposed to provide an explanation for posterior beliefs from the player. The notion of HTE admits belief updates for all events including zero-probability events. In addition, this chapter introduces well-motivated modifications of HTE. Finally, Chapter 4 examines a boundedly rational individual who considers selective attributes when making a decision. It is assumed that the individual focuses on a subset of attributes that stand out from a choice set. The selective attributes model can accommodate violations of choice axioms of Independence from Irrelevant Alternative (IIA) and Regularity.
Doctor of Philosophy
This dissertation focuses on exploring individual and strategic decision problems in Economics. I take a different approach in each chapter to capture various aspects of decision problem. An overview of this dissertation is provided in Chapter 1. Chapter 2 studies an individual’s decision making in extensive-form games under ambiguity. Ambiguity describes the situation in which the information available to a decision maker is too imprecise to be summarized by a probability measure (Epstein, 1999). It is known that ambiguity causes dynamic inconsistency between ex-ante and interim decision making. This chapter provides sufficient conditions under which dynamic consistency is maintained. Chapter 3 analyzes the strategic decision making in signaling games in which there are two players: informed sender and uninformed receiver. The sender has a private information about his type and the receiver makes an inference about hidden information. This chapter suggests a notion of the Hypothesis Testing Equilibrium (HTE), which provides an alternative explanation for the receiver’s beliefs. The idea of the HTE can be used as a refinement of Perfect Bayesian Equilibrium (PBE) in signaling games to cope with the known limitations of PBE. Finally, Chapter 4 examines a boundedly rational individual who considers only salient attributes when making a decision. The individual considers an attribute only when it stands out enough in a choice set. The selective attribute model can accommodate violations of choice axioms of Independence from Irrelevant Alternative (IIA) and Regularity.

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Metzig, Cornelia. "A Model for a complex economic system." Thesis, Grenoble, 2013. http://www.theses.fr/2013GRENS038/document.

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Cette thèse s'inscrit dans le cadre de systèmes complexes appliqués aux systèmes économiques. Dans cette thèse, un modèle multi-agent a été proposé, qui modélise le cycle de production. Il est consitué d'entreprises, ouvirers/foyers, et une banque, et repecte la conservation de la monnaie. Son hypothèse centrale est que les entreprises se basent sur une marge espérée pour déterminer leur production. Un scénario simple de ce modèle, ou les marges espérées sont homogènes, a été analysé dans le cadre de models de croissance stochastique. Les résultats sont la distribution de tailles d'entreprises rassemblant des lois de puissance, et leur distribution du taux de croissance de forme 'tente', ainsi qu'une dépendence de taille de la variance de la croissance. Ces résultats sont proches aux faits stylisés issus d'études empiriques. Dans un scénario plus complet, le modèle contient des caractéristiques supplémentaires: des marges espérées hétérogèges, ainsi que des paiements d'intérêts, la possibilité de faire faillite. Cela ramène le modèle aux modèles macro-économiques multi-agents. Les extensions sont décrites de façon théorique par des équations de replicateur. Les résultats nouveaux sont la distribution d'age d'entreprises actives, la distribution de leur taux de profit, la distribution de dette, des statistiques sur les faillites, et des cycles de vie caractéristiques. Tout ces résultats sont qualitativement en accord avec des résultats d'études empiriques de plusieurs pays.Le modèle proposé génère des résultats prometteurs, en respectant le principe que des résultats qui apparaissent simultanément peuvent soit etre générés par un même processus, soit par plusieurs aui qui sont compatibles
The thesis is in the field of complex systems, applied to an economic system. In this thesis, an agent-based model has been proposed to model the production cycle. It comprises firms, workers, and a bank, and respects stock-flow consistency. Its central assumption is that firms plan their production based on an expected profit margin. A simple scenario of the model, where the expected profit margin is the same for all firms, has been analyzed in the context of simple stochastic growth models. Results are a firms' size distribution close to a power law, and tent-shaped growth rate distribution, and a growth rate variance scaling with firm size. These results are close to empirically found stylized facts. In a more comprehensive version, the model contains additional features: heterogeneous profits margins, as well as interest payments and the possibility of bankruptcy. This relates the model to agent-based macroeconomic models. The extensions are described theoretically theoretically with replicator dynamics. New results are the age distribution of active firms, their profit rate distribution, debt distribution, bankruptcy statistics, as well as typical life cycles of firms, which are all qualitatively in agreement with studies of firms databases of various countries.The proposed model yields promising results by respecting the principle that jointly found results may be generated by the same process, or by several ones which are compatible

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Foertsch, Tracy. "Business cycle measurement using a dynamic factor model with duration dependent transitions /." Connect to resource, 1997. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1269523416.

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Phongsanarakul, Wasana. "The dynamic behavior of household saving : a model for the economy of Thailand." Diss., Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/24582.

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Rios, Heron Marcos Teixeira. "Trade policy in a dynamic Heckscher-Ohlin model." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16659.

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The Import Substitution Process in Latin Amer ica was an attempt to enhance GDP growth and productivity by rising trade barriers upon capital-intensive products. Our main goal is to analyze how an increase in import tariff on a particular type of good affects the production choices and trade pattern of an economy. We develop an extension of the dynamic Heckscher-Ohlin model – a combination of a static two goods, two-factor Heckscher-Ohlin model and a two-sector growth model – allowing for import tariff. We then calibrate the closed economy model to the US. The results show that the economy will produce less of both consumption and investment goods under autarky for low and high levels of capital stock per worker. We also find that total GDP may be lower under free trade in comparison to autarky.

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47

Araujo, Jair Andrade de. "Poverty, inequality and economic growtw: essays in three models of dynamic panel." Universidade Federal do CearÃ, 2009. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=3278.

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CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior
A tese Ã composta de trÃs artigos e em todos eles utilizam-se modelos de estimaÃÃo para dados em painel dinÃmico. Os mÃtodos de estimaÃÃo empregados sÃo os Momentos Generalizado-sistema (MMG-sistema) desenvolvido por Arellano-Bond (1991), Arellano-Bover (1995) e Blundell e Bond (1998). O primeiro artigo intitulado âO Sistema de Seguridade Social e a Pobreza Rural no Brasilâ analisa o impacto da aposentadoria da seguridade social na pobreza. Os resultados indicaram que a aposentadoria rural nÃo tem impacto significativo na reduÃÃo da pobreza, nÃo corroborando assim a hipÃtese daqueles que afirmam que a seguridade social rural resolve significativamente a reduÃÃo da pobreza. O segundo artigo intitulado âDeterminantes da Desigualdade de Renda no Brasilâ propÃe-se analisar as contribuiÃÃes de diferentes determinantes para a reduÃÃo da desigualdade de renda no paÃs. Os resultados apontaram que as transferÃncias de renda do governo federal nÃo afetaram a dinÃmica da desigualdade de renda no perÃodo analisado. Em relaÃÃo aos outros determinantes, a educaÃÃo foi o fator preponderante na reduÃÃo da desigualdade. A segunda contribuiÃÃo mais importante foi a renda de todos os trabalhos. A carga tributÃria do governo contribuiu para aumentar a desigualdade de renda no Brasil. O terceiro artigo intitulado âCrescimento EconÃmico e ConcentraÃÃo de Renda: Seus Efeitos na Pobreza no Brasilâ verifica o impacto de variaÃÃes no crescimento econÃmico e da desigualdade de renda sobre as alteraÃÃes da pobreza no Brasil. Uma vez que somente o crescimento nÃo Ã capaz de explicar alteraÃÃes da pobreza, considera-se tambÃm a desigualdade de renda como fator complementar no estudo sobre esta Ãltima, buscando avaliar a hipÃtese de Bourguignon (2002) de que quanto mais desigual for o paÃs menor seria a efetividade do crescimento econÃmico em reduzir a pobreza. Os resultados mostram que a elasticidade desigualdade-pobreza Ã maior do que a elasticidade renda-pobreza e a elevada desigualdade e o baixo nÃvel de desenvolvimento inicial da maioria dos estados brasileiros sÃo empecilhos para a reversÃo do quadro de pobreza, via crescimento da renda.
This thesis is composed of three works, and they all use dynamic panel data estimation models. The estimation models used are the Generalized Moments system, developed by Arellano-Bond (1991), Arellano-Bover (1995) and Blundell and Bond (1998). The first work is entitled âThe Social Security system and Rural Poverty in Brazilâ, and it analyzes the impact of retirement through social security on poverty. The results indicate that rural retirement has no significant impact on poverty reduction, thus not corroborating the hypothesis which states that rural social security significantly decreases poverty. The second work is entitled âInequality Determinants in Brazilâ, and it aims to analyze the contribution of different determinants of income inequality reduction in the country. The results show that income transfers from the federal government do not affect the dynamics of income inequality in the period studied. When considering the other determinants, education was the main factor in reducing inequality. The second most important contribution was from income of all kinds of labor. The governmentâs tax burden contributes to increase income inequality in Brazil. The third work is entitled âEconomic Growth and Income Concentration: Its effects on Poverty in Brazilâ, and it considers the impact of variations in economic growth and income inequality on poverty alterations in Brazil. Since economic growth in itself is not capable of explaining alterations in poverty, the work takes income inequality into account as a complementary factor in analyzing poverty, aiming to evaluate Bourguignonâs (2002) hypothesis, which states that the higher the inequality in a country, the lesser the effectiveness of economic growth in reducing poverty will be. The results show that the inequality-poverty elasticity is greater than the income-poverty elasticity and the high inequality and low initial development levels of the majority of states are obstacles for reversing the poverty situation via income growth.

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48

Rui, Xiongwen. "Essays on the Solution, Estimation, and Analysis of Dynamic Nonlinear Economic Models /." The Ohio State University, 1995. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487928649987711.

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49

Mohora, Maria Christina. "RoMod: a dynamic CGE model for Romania a tool for policy analysis /." Rotterdam : Rotterdam : Erasmus Universiteit ; Erasmus University [Host], 2006. http://hdl.handle.net/1765/7455.

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50

Fujiwara, Ippei. "Three essays on dynamic general equilibrium models." Thesis, University of Oxford, 2009. http://ora.ox.ac.uk/objects/uuid:b963d031-cd68-4bee-91b7-4541e5d600d2.

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This thesis aims at contributing to the existing studies in the dynamic stochastic general equilibrium model, particularly in the new Keynesian models, on three aspects. It consists of three chapters. Chapter 2 is on “Dynamic new Keynesian Life-Cycle Model.” Chapter 3 is on “Re-thinking Price Stability in an Economy with Endogenous Firm Entry: Real Imperfections under Product Variety.” Chapter 4 is on “Growth Expectation.” Abstracts of each Chapter are as follows. In Chapter 2, we first construct a dynamic new Keynesian model that incorporates life-cycle behavior a la Gertler (1999), in order to study whether structural shocks to the economy have asymmetric effects on heterogeneous agents, namely workers and retirees. We also examine whether considerations of life-cycle and demographic structure alter the dynamic properties of the monetary business cycle model, specifically the degree of amplification in impulse responses. According to our simulation results, shocks indeed have asymmetric impacts on different households and the demographic structure does alter the size of responses against shocks by changing the trade-off between substitution and income effects. In Chapter 3, we re-think price stability in an economy with endogenous firm entry under possible distortions. We first demonstrate that endogenous entry causes real imperfections. Reflecting fluctuations in the number of varieties, the gap between the natural and the efficient level of output is no longer constant and variant to shocks. As a result, the central bank faces a trade-off between stabilizing inflation and welfare-relevant output gap. Then, we show that this results in the non-zero optimal rate of inflation. We further check whether welfare can be enhanced by targeting welfare-based inflation instead of cross-sectional average inflation contrary to the previous findings. Simulations even with such distortions as unknown natural interest rate or no fiscal remedy for efficient non-stochastic steady states, however, support cross-sectional average inflation targeting although there may exist some small gains by referring also to welfare-based inflation rates. Incomplete stabilization may enhance welfare in an economy when agents cannot internalize the externality on the love for variety. Chapter 4 is about the difficulty in producing reasonable business cycles for the expectation shock about higher future technology. For a long time, changes in expectations about the future have been thought to be significant sources of economic fluctuations, as argued by Pigou (1926). Although creating such an expectation-driven cycle (the Pigou cycle) in equilibrium business cycle models was considered to be a difficult challenge, as pointed out by Barro and King (1984), recently, several researchers have succeeded in producing the Pigou cycle by balancing the tension between the wealth effect and the substitution effect stemming from the higher expected future productivity. Seminal research by Christiano et al. (2007a) explains the “stock market boom-bust cycles,” characterized by increases in consumption, labor inputs, investment and the stock prices relating to high expected future technology levels, by introducing investment growth adjustment costs, habit formation in consumption, sticky prices and an inflation-targeting central bank. We, however, show that such a cycle is difficult to generate based on “growth expectation,” which reflect expectations of higher productivity growth rates. Thus, Barro and King’s (1984) prediction still applies.

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