Essays On Aggregate Dynamics
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| Author | : Hiroshi Ochiai |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
In the second chapter, we consider a mechanism of unstable fluctuations of aggregate investments by means of a global game approach. For this purpose, we extended a static global game to a dynamic one and paid attention to the effect of past aggregate investments on current profitability. Once this effect of aggregate investments between periods is taken into account, we can show that firms' equilibrium strategies of investments become highly volatile over time. Moreover, long persistence of high or low economic activity can be explained by this model as well. The third chapter examines the effect of firms' funding liquidity on macroeconomic dynamics and the role of liquidity markets. Here, we regard liquidity as firms' accumulated net worth and introduce heterogeneity between firms with regard to their productivities and accumulation of their net worth. From our analysis, we show that under existence of externality between probabilities of liquidity shocks 1) the economy without liquidity markets is highly volatile. 2) Liquidity markets insulate the economy from liquidity shocks. 3) During an unstable economic environment, the economic activity can sharply drop in the existence of liquidity markets. The fourth chapter aims at showing risk shifting behaviour of financial intermediaries in the context of an economic growth model to analyze financial crises. In the low capitalized economy in which a rate of return on safe assets is high and households' assets are scarce, investing in corporate sectors is more profitable than that of risky assets because the option value from investing in risky assets is low. However, as the economy grows, the rate of return on safe assets is decreasing whereas individual assets are increasing. In this situation, the option values of risky assets are increasing, which gives banks incentive to invest in risky assets leading some of the banks to be insolvent.
| Author | : Weh-Sol Moon |
| Publisher | : |
| Total Pages | : 212 |
| Release | : 2007 |
| Genre | : Business cycles |
| ISBN | : |
| Author | : Alexander Hempfing |
| Publisher | : |
| Total Pages | : |
| Release | : 2021 |
| Genre | : |
| ISBN | : |
| Author | : Eran Alan Guse |
| Publisher | : |
| Total Pages | : 284 |
| Release | : 2003 |
| Genre | : Business cycles |
| ISBN | : |
| Author | : R.M. Goodwin |
| Publisher | : Springer |
| Total Pages | : 186 |
| Release | : 1983-06-18 |
| Genre | : Business & Economics |
| ISBN | : 1349055077 |
| Author | : Edward Mitsuhiro Feasel |
| Publisher | : |
| Total Pages | : 256 |
| Release | : 1994 |
| Genre | : |
| ISBN | : |
| Author | : Mukul Majumdar |
| Publisher | : Springer |
| Total Pages | : 374 |
| Release | : 1992-06-18 |
| Genre | : Business & Economics |
| ISBN | : 1349116963 |
Over the last 40 years, Professor David Gale has played a leading role in developing two themes of fundamental importance to economic theory. As a tribute to his creative research, this volume contains contributions from some leading researchers who explore different directions in these areas.
| Author | : Giorgio Fagiolo |
| Publisher | : |
| Total Pages | : 111 |
| Release | : 2002 |
| Genre | : Macroeconomics |
| ISBN | : |
| Author | : Youngjin Hwang |
| Publisher | : |
| Total Pages | : 256 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
This thesis consists of three essays on aggregate and individual consumption fluctuations. Chapter 1 develops a quantitative model to explore aggregate and individual consumption dynamics when the income process exhibits regime-switching features, and compares its performance with the conventional linear model. For this purpose, I consider an economy populated by a large number of consumers whose incomes are subject to both aggregate and idiosyncratic shocks. The notable element of the model is that a latent regime-switching stochastic variable governs both the trend growth of the aggregate component and the counter-cyclical variances of the idiosyncratic components in individual earnings. I demonstrate that the model can provide a reasonable description of the cyclical behavior of actual consumption fluctuations, and can successfully replicate some key empirical properties of aggregate consumption growth, such as smaller volatility than income growth, greater volatility in recessions than in expansions, and a negatively skewed and leptokurtic distribution, while the typical linear model fails to do so.
| Author | : Julieta Caunedo |
| Publisher | : |
| Total Pages | : 158 |
| Release | : 2014 |
| Genre | : Electronic dissertations |
| ISBN | : |
"Essays on Heterogeneity, Irreversibility and Aggregate Fluctuations" explores the connections between micro structure and technologies available to the agents operating in the economy and the dynamic of aggregate output and productivity. The thesis aims at further understanding the linkages between investment decisions of heterogeneous firms, the industry structure, and the aggregate dynamic of the economy. The hypothesis explored in this dissertation is that the dynamic of the industry structure, the patterns of selection of firms and investment within an industry bear information as of the efficiency with which the economy operates. The thesis consist of three essays organized in chapters. Chapter I, "Efficiency with Equilibrium Marginal Product Dispersion and Firm Selection" investigates conditions under which reductions in marginal product of capital dispersion induce Pareto improving allocations. The main result is that it is possible for allocations that display higher marginal product dispersion to be closer to the efficient one than allocations with lower marginal product dispersion. Chapter II, "Industry Dynamics, Investment and Business Cycles" investigates the quantitative implications of irreversibilities in investment for aggregate productivity. The main result of the essay is that for a calibrated economy to the US manufacturing sector, efficiency losses associated to firm selection are quantitatively more important than those associated to lower equilibrium dispersion in marginal products, i.e. capital reallocation. Chapter III, "Aggregate Fluctuations and the Industry Structure of the US Economy" documents changes in the input matrix of the US economy, and analyzes its implications for the relevance of sector specific and neutral shocks in aggregate fluctuations. The main finding is that an economy where the input output entries are allowed to fluctuate as in the data generates larger amplification of shocks and a stronger role for neutral shocks than a comparable economy with a fixed input output structure.
