Download or read book Optimal Savings with Stochastic Income and Habit Formation written by Jody Overland and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption and Savings with Stochastic Income written by Chong Wang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an analytically tractable consumption-savings model for a liquidity-constrained agent who faces both permanent and transitory income shocks. We find that risk aversion and intertemporal substitution have very different effects on both consumption and the steady-state savings target. Moderate changes in risk aversion have large effects on consumption and buffer-stock savings. With permanent shocks, it takes many years to reach the steady-state savings target. We also find that large discrete income shocks (jumps) occurring at low frequencies can be very costly. Unlike conventional wisdom, transitory shocks can generate very large precautionary savings demand, especially for low transitory income states.
Download or read book Optimal Consumption and Savings with Stochastic Income and Recursive Utility written by Chong Wang and published by . This book was released on 2015 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a tractable continuous-time consumption-savings model for a liquidity-constrained agent who faces both permanent and transitory income shocks under incomplete markets. We derive an explicitly-solved consumption function and show that the marginal (certainty equivalent) value of liquidity measures the effects of financial frictions on welfare. We further analytically characterize steady-state target savings and demonstrate that risk aversion and inter-temporal substitution have very different effects on savings and the dispersions of wealth and consumption.
Download or read book Optimal Investment and Consumption Under a Habit Formation Constraint written by Bahman Angoshtari and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Saving and Growth with Habit Formation written by Christopher D. Carroll and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard growth models take the form of a representative consumer maximizing an intertemporally separable utility function. We explore the implications of one kind of nonseparability by allowing utility to depend on a comparison of consumption to a quot;habit stockquot; determined by past consumption. Our model is consistent with some empirical findings which are problematic for standard models. For example, Carroll and Weil (1994) find that aggregate saving rates increase after increases in the aggregate growth rate, even though growth rates are positively serially correalated; the standard model would predict a decline in saving as consumers spent part of their anticipated higher future income.
Download or read book Working Paper Series written by and published by . This book was released on 1997 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2005 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook in Monte Carlo Simulation written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2014-06-17 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
Download or read book Unemployment Expectations Jumping S s Triggers and Household Balance Sheets written by Chris Carroll and published by . This book was released on 1997 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Structure of the Japanese Economy written by Mitsuaki Okabe and published by Springer. This book was released on 2016-07-14 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illuminates the characteristics of the Japanese economy comprehensively and analyses how and why they have been changing. The contributors to this fifteen-paper volume are internationally-known and leading researchers of the Japanese economy. Following the overview chapter, the book covers such areas as the Japanese firm, the labour market, consumption and saving patterns, financial markets, macroeconomic policies and international economic relations.
Download or read book Economics Letters written by and published by . This book was released on 2001 with total page 926 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 1999-12-13 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation Part 6: Financial Markets and the Macroeconomy. 19. Asset prices, consumption, and the business cycle (J.Y. Campbell). 20. Human behavior and the efficiency of the financial system (R.J. Shiller). 21. The financial accelerator in a quantitative business cycle framework (B. Bernanke, M. Gertler and S. Gilchrist). Part 7: Monetary and Fiscal Policy. 22. Political economics and macroeconomic policy (T. Persson, G. Tabellini). 23. Issues in the design of monetary policy rules (B.T. McCallum). 24. Inflation stabilization and BOP crises in developing countries (G.A. Calvo, C.A. Vegh). 25. Government debt (D.W. Elmendorf, N.G. Mankiw). 26. Optimal fiscal and monetary policy (V.V. Chari, P.J. Kehoe).
Download or read book Accessions Checklist Colorado State Publications written by and published by . This book was released on 1998 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Models for Dynamic Macroeconomics written by Fabio-Cesare Bagliano and published by OUP Oxford. This book was released on 2004-02-05 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Approaches to Macroeconomics provides the advanced student with key methodological tools for the dynamic analysis of a core selection of macroeconomic phenomena, including consumption and investment choices, employment and unemployment outcomes, and economic growth. The technical treatment of these tools will enable the student to handle current journal literature, while not assuming any particular familiarity with advanced analytical tools or mathematical notions. As these tools are introduced, they are related to particular applications to illustrate their use. Chapters are linked by various formal and substantive threads. Discrete-time optimization under uncertainty, introduced in Chapter 1, is motivated and discussed by applications to consumption theory, with particular attention to empirical implementation. Chapter 2 focuses on continuous-time optimization techniques, and discusses the relevant insights in the context of partial-equilibrium investment models. Chapter 3 revisits many of the previous chapters' formal derivations with applications to dynamic labour demand, in comparison to optimal investment models, and characterizes labor market equilibrium when not only individual firms' labor demand, but also individual labor supply by workers, is subject to adjustment costs. Chapter 4 proposes broader applications of methods introduced in the previous chapters and studies continuous-time equilibrium dynamics of representative agent economies, featuring both consumption and investment choices, with applications to long-run growth frameworks of analysis. Chapter 5 illustrates the role of decentralized trading in determining aggregate equilibria, and characterizes aggregate labor market dynamics in the presence of frictional unemployment. Chapters 4 and 5 pay particular attention to strategic interactions and externalities: even when each agent correctly solves his or her individual dynamic problem, modern microfounded macroeconomic models recognize that macroeconomic equilibrium need not have unambiguously desirable properties. By bridging the gap between undergraduate economics and modern microfounded macroeconomic research, this book will be of interest to graduate students in economics, and as a technical reference for economic researchers.
Download or read book Bulletin written by Université catholique de Louvain (1835-1969). Centre de recherches économiques and published by . This book was released on 1996 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS
Download or read book Economic Dynamics in Discrete Time written by Jianjun Miao and published by MIT Press. This book was released on 2014-09-12 with total page 737 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified, comprehensive, and up-to-date introduction to the analytical and numerical tools for solving dynamic economic problems. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. The book first introduces the theory of dynamical systems and numerical methods for solving dynamical systems, and then discusses the theory and applications of dynamic optimization. The book goes on to treat equilibrium analysis, covering a variety of core macroeconomic models, and such additional topics as recursive utility (increasingly used in finance and macroeconomics), dynamic games, and recursive contracts. The book introduces Dynare, a widely used software platform for handling a range of economic models; readers will learn to use Dynare for numerically solving DSGE models and performing Bayesian estimation of DSGE models. Mathematical appendixes present all the necessary mathematical concepts and results. Matlab codes used to solve examples are indexed and downloadable from the book's website. A solutions manual for students is available for sale from the MIT Press; a downloadable instructor's manual is available to qualified instructors.
