Download or read book A Solution Method for Incomplete Asset Markets Wih Heterogeneous Agents written by Karl Schmedders and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines a dynamic, stochastic endowment economy with two agents and two financial securities. Markets are incomplete and agents can have heterogeneous tastes. We develop a new computational method to solve the dynamic general equilibrium model. We allow for various forms of portfolio constraints, transaction costs, and portfolio penalties.

Download or read book A Method for Solving General Equilibrium Models with Incomplete Markets and Many Financial Assets written by Martin D.D Evans and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new numerical method for solving stochastic general equilibrium models with dynamic portfolio choice over many financial assets. The method can be applied to models where there are heterogeneous agents, time-varying investment opportunity sets, and incomplete asset markets. We illustrate how the method is used by solving two versions of a two-country general equilibrium model with production and dynamic portfolio choice. We check the accuracy of our method by comparing the numerical solution to a complete markets version of the model against its known analytic properties. We then apply the method to an incomplete markets version where no analytic solution is available. In both models and for different degrees of risk aversion the standard accuracy tests confirm the effectiveness of our method.

Download or read book Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents written by Kenneth L. Judd and published by . This book was released on 2000 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing and Trading Volume in Heterogeneous Agent Models with Incomplete Markets written by Jean Paul Theler and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing and Trading Volumen in Heterogeneous Agent Models with Incomplete Markets written by Jean-Paul Theler and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long Run Heterogeneity in an Exchange Economy with Fixed Mix Traders written by Giulio Bottazzi and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main finding is that long-run coexistence of heterogeneous agents is a generic outcome of the market dynamics. We provide sufficient conditions for the latter, as well as sufficient conditions for the relative wealth of any given agent converging to zero or to one. Since we use a direct approach that combines the inter-temporal dynamics of wealth and prices via agents' portfolio rules, we can characterize when long-run heterogeneity occurs for both complete and incomplete asset markets.

Download or read book Asset Market Dynamics of Heterogeneous Agent Models with Learning written by Yuanying Guan and published by . This book was released on 2011 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard Lucas asset pricing model makes two common assumptions of homogeneous agents and rational expectations equilibrium. However, these assumptions are unrealistic for real financial markets. In this work, we relax these assumptions and establish a Lucas type agent-based asset pricing model. We create an artificial economy with a single risky asset and populate it with heterogeneous, boundedly rational, utility maximizing, infinitely lived and forward looking agents. We restrict agents' information by allowing them to use only available information when they make optimal choices. With independent, identically distributed market returns, agents are able to compute their policy functions and the equilibrium pricing function with Duffie's method (Duffie, 1988) without perfect information about the market. When agents are out of equilibrium, they simultaneously compute their policy functions with predictive pricing functions and use adaptive learning schemes to learn the motion of the correct pricing function. Agents are able to learn the correct equilibrium pricing function with certain risk and learning parameters. In some other cases, the market price has excess volatility and the trading volume is very high. Simulations of the market behavior show rich dynamics, including a whole cascade from period doubling bifurcations to chaos. We apply the full families theory (De Melo and Van Strien, 1993) to prove that the rich dynamics do not come from numerical errors but are embedded in the structure of our dynamical system.

Download or read book Solving Large Scale Rational Expectations Models written by Jess Gaspar and published by . This book was released on 1997 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore alternative approaches to numerical solutions of large rational expectations models. We discuss and compare several current alternatives, focussing on the tradeoffs in accuracy, space, and speed. The models range from representative agent models with many goods and capital stocks, to models of heterogeneous agents with complete or incomplete asset markets. The methods discussed include perturbation and projection methods. We show that these methods are capable of analyzing moderately large models even when we use only elementary, general purpose numerical methods

Download or read book Assets Beliefs and Equilibria in Economic Dynamics written by Charalambos D. Aliprantis and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 733 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of papers dealing with a broad range of topics in mathematical economics, game theory and economic dynamics. The contributions present both theoretical and applied research. The volume is dedicated to Mordecai Kurz. The papers were presented in a special symposium co-hosted by the Stanford University Department of Economics and by the Stanford Institute of Economic Policy Research in August 2002.

Download or read book Frontiers in Applied General Equilibrium Modeling written by Timothy J. Kehoe and published by Cambridge University Press. This book was released on 2005-01-17 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume brings together twelve papers by many of the most prominent applied general equilibrium modelers honoring Herbert Scarf, the father of equilibrium computation in economics. It deals with developments in applied general equilibrium, a field which has broadened greatly since the 1980s. The contributors discuss some traditional as well as some modern topics in the field, including non-convexities in economy-wide models, tax policy, developmental modeling and energy modeling. The book also covers a range of distinct approaches, conceptual issues and computational algorithms, such as calibration and areas of application such as macroeconomics of real business cycles and finance. An introductory chapter written by the editors maps out issues and scenarios for the future evolution of applied general equilibrium.

Download or read book Damped Asset Trading in the General Equilibrium Model with Incomplete Asset Markets written by Karl Schmedders and published by . This book was released on 1996 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Agents and Long Horizon Features of Asset Prices written by Blake LeBaron and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Agents in Financial Markets written by Remco C.J. Zwinkels and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Agents and Financial Markets written by Rodolfo Guillermo Campos and published by . This book was released on 2008 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneity in Decentralized Asset Markets written by Julien Hugonnier and published by . This book was released on 2014 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a search and bargaining model of an asset market, where investors' heterogeneous valuations for the asset are drawn from an arbitrary distribution. Our solution technique renders the analysis fully tractable and allows us to provide a full characterization of the equilibrium, in closed form, both in and out of steady state. We use this characterization for two purposes. First, we establish that the model can naturally account for a number of stylized facts that have been documented in empirical studies of over-the-counter asset markets. In particular, we show that heterogeneity among market participants implies that assets are reallocated through "intermediation chains," ultimately producing a core-periphery trading network and non-trivial distributions of prices and trading times. Second, we show that the model generates a number of novel results that underscore the importance of heterogeneity in decentralized markets. We highlight two: first, heterogeneity magnifies the price impact of search frictions; and second, search frictions have larger effects on price levels than on price dispersion. Hence, quantifying the price discount or premium created by search frictions based on observed price dispersion can be misleading.

Download or read book Handbook of Computational Economics written by Karl Schmedders and published by Newnes. This book was released on 2013-12-31 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. Samples different styles and approaches, reflecting the breadth of computational economics as practiced today Focuses on problems with few well-developed solutions in the literature of other disciplines Emphasizes the potential for increasing the value of computational modeling in economics

Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2003-01-20 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sample Text