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    Die Entwicklung des (Darlehens-)Zinses in Frankreich
    Production prices and dynamical processes of the gravitation of market prices
    Structural stochastic volatility in asset pricing dynamics
    Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation
    Financial Markets and the Macroeconomy
    Foundations for a Disequilibrium Theory of the Business Cycle
    • Foundations for a Disequilibrium Theory of the Business Cycle

      Qualitative Analysis and Quantitative Assessment

      • 550 stránok
      • 20 hodin čítania

      The book introduces a dynamic macroeconomic model designed to engage both theorists and policymakers. It emphasizes innovative approaches to understanding economic fluctuations and offers practical insights for effective policy-making. By bridging theoretical frameworks with real-world applications, it aims to enhance economic analysis and decision-making in various contexts.

      Foundations for a Disequilibrium Theory of the Business Cycle
    • Financial Markets and the Macroeconomy

      A Keynesian Perspective

      • 488 stránok
      • 18 hodin čítania

      Focusing on the intertemporal general equilibrium approach, this book presents insights from a collective of Keynesian economists with a technical perspective. It delves into a significant paradigm in financial economics, offering a critical examination of its principles and implications. The authors aim to bridge theoretical understanding with practical applications, making it a valuable resource for those interested in contemporary economic theories and their relevance in today's financial landscape.

      Financial Markets and the Macroeconomy
    • The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified.

      Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation
    • In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments (MSM), where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. In addition to the standard version of MSM with a quadratic loss function, we also take into account how often a great number of Monte Carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals. The model contest along these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so good that it may provide a standard for future research.

      Structural stochastic volatility in asset pricing dynamics
    • Since A. Smith classical economists have taken it for granted that production prices constitute «centers of gravity» towards which the market prices of commodities do converge, at least in the long run. Their reasoning, however, was not rigorous and in particular paid little attention to the interactions between industries. The present study - one among several recent approaches to the problem of economic stability from a classical perspective - undertakes to design well-defined dynamical processes of price adjustments and related capital movements between sectors. Special emphasis is laid on the introduction of inventories, which are an integral part of any disequilibrium analysis. Stability or instability of the proposed adjustment processes is considered in detail.

      Production prices and dynamical processes of the gravitation of market prices