Download or read book Essays in Dynamic Uncertainty written by Steven E. Scroggin and published by . This book was released on 2005 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Time Uncertainty and Conflict written by Rolando Moises Guzman-Garcia and published by . This book was released on 1997 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Dynamic Optimization Under Uncertainty written by Gerhard Hambusch and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Uncertainty and Profit written by Frank H. Knight and published by Cosimo, Inc.. This book was released on 2006-11-01 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.

Download or read book Dynamic Timing Decisions Under Uncertainty written by Manh Hung Nguyen and published by . This book was released on 1991 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Economic Dynamics and Uncertainty written by Martin Dumav and published by . This book was released on 2012 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a systematic investigation of two topics. One is in stochastic dynamic general equilibrium. It incorporates private information into dynamic general equilibrium framework. An existence of competitive equilibrium is established. Quantitative analysis is provided for health insurance problem. The other topic is in decision problems under ambiguity. Lack of precise information regarding a decision problem is represented by a set of probabilities. Descriptive richness of the set of probabilities is defi ned. It is used to generalize Skorohod's theorem to sets of probabilities. The latter is used to show the constancy of the coefficient in alpha-maximin multiple prior preferences. Examples illustrate: the implications of this representation; and the restrictions arising from the failure of descriptive richness.

Download or read book Essays on Risk and Uncertainty in Economics and Finance written by Jorge Mario Uribe Gil and published by Ed. Universidad de Cantabria. This book was released on 2022-11-22 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.

Download or read book Essays on Uncertainty and Macroeconomic Dynamics written by Jeffrey A. Levy and published by . This book was released on 2021 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation I examine economic uncertainty, particularly from the perspective of disaggregation below the national level. In part one I outline the building of news-based uncertainty measures for all 50 US states plus Washington DC. I analyze different search specifications, finding that the simplest set of terms involving one group for "economy" and one group for "uncertainty" has the highest resolution, while yielding similar results to more focused news searches, including one similar to the ubiquitous policy search from Baker et al. (2016), and an alternative specification designed to eliminate false positives. I also explore the differences between two other national uncertainty measures - the VIX stock market volatility index from the Chicago Board Options Exchange, and the unforecastable macroeconomic factors from Jurado et al. (2015). In part two, I build upon the analysis of the state uncertainty measures begun in part one. I show that analyzing uncertainty at the national level obscures significant state-level variation, with state-to-national uncertainty correlations ranging from 0.124 to 0.913, while some inter-state uncertainty correlations even turn negative. I then show that VAR analysis using state-level unemployment figures yields impulse response functions that are remarkably similar to existing national-level uncertainty research, with 92% of states exhibiting a rise in unemployment that peaks near 12 months after an uncertainty shock, then overshoots the starting point for a time. Finally, in part three I attempt to get at the causal effects of an uncertainty shock, as VAR analysis is unable to do, by applying a difference-in-difference framework to the natural experiment of military base closures. I look at the 1991, 1993, 1995, and 2005 rounds of the Base Realignment and Closure (BRAC) process, whereby the government moves military jobs in and out of bases through a process that is, at least initially, heavily insulated from confounding economic indicators and political influence. This creates asymmetric and exogenous uncertainty shocks in places with different military employment, which I use to show that a one-percentage point higher military share of employment causes a tenth of a percentage point higher unemployment rate in a given Metropolitan Statistical Area (MSA) during a BRAC round.

Download or read book Essays on Dynamic Regulation Under Uncertainty with Learning written by Jiangfeng Zhang and published by . This book was released on 2001 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Dynamic Macroeconomics written by Sang Seok Lee and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in the Economics of Uncertainty written by Oliver Simon d'Arcy Hart and published by . This book was released on 1974 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Timing Decisions Under Uncertainty written by Nguyen M. Hung and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: Jay Forrester's Economic Dynamics was published in 1971 and The Limits to Growth by Dennis Meadows and his associates appeared a year later. The publication of those two books gave rise to twenty years of intense research into the economics of exhaustible resources, research which everywhere has had a substantial impact both on public debate and on academic curricula. And now, just as that line of research is losing steam, economists are focussing on problems associated with the degradation of the natural environment, problems which call for models which, in their formal structure, are quite similar to those already developed in resource economics. This is therefore an appropriate moment for the appearance of a thorough exposition of the economics of exhaustible resources. For that is what Nguyen Manh Hung and Nguyen Van Quyen have provided. Their splendid new book covers equally well the older Hotelling-inspired theory of cake-eating and the economics of search and R&D designed to uncover new and cheaper sources of supply. It provides an entree to the whole subject of resource economics, as well as many new discoveries which will be of interest to experienced researchers.

Download or read book Economic Uncertainty Instabilities And Asset Bubbles Selected Essays written by Anastasios G Malliaris and published by World Scientific. This book was released on 2005-10-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.

Download or read book Uncertainty Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.

Download or read book Essays in the Economics of Uncertainty microform written by Michel Demers and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1985 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Dynamic Economics written by Xiaodong Huang and published by . This book was released on 1998 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Theory of Macro economic Dynamics Under Uncertainty written by Sheri M. Markose and published by . This book was released on 1985 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: