ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)最新文献_第5页

Price Discovery and Microstructure in Ether Spot and Derivative Markets 以太坊现货和衍生品市场的价格发现和微观结构

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-13 DOI: 10.2139/ssrn.3511533

C. Alexander, Jaehyuk Choi, H. Massie, S. Sohn

{"title":"Price Discovery and Microstructure in Ether Spot and Derivative Markets","authors":"C. Alexander, Jaehyuk Choi, H. Massie, S. Sohn","doi":"10.2139/ssrn.3511533","DOIUrl":"https://doi.org/10.2139/ssrn.3511533","url":null,"abstract":"Ethereum is an important blockchain, being the first and most popular public platform for the smart contracts underpinning financial transactions, time-stamping of supply chains, decentralized applications and initial coin offerings. Ethereum's cryptocurrency, ether, is actively traded on centralized exchanges, second only to bitcoin. It has attracted investor's interest primarily because of its intrinsic value – small units of ether called ‘gas’ are used, essentially, as the fuel driving smart contract transactions on the Ethereum blockchain. We ask whether off-chain trading on ether derivatives plays a dominant role in ether spot price discovery, thereby driving ether's utility value for on-chain activity. Using minute-by-minute data we find that the ether perpetual swap on BitMEX, an unregulated cryptocurrency derivative exchange, has dominant trading volume and price discovery over the major spot exchanges. Furthermore, we identify interesting hour-of-day and day-of-week effects in trading volume on the spot exchanges, and these indicate that more informed institutional players are trading ether spot and derivatives.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"39 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80229597","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 15

Option Skills 选择技能

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-08 DOI: 10.2139/ssrn.3078061

A. Anand, Jian Hua, A. Puckett

引用次数: 0

Solow to Becker-Lucas 索洛致贝克-卢卡斯

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-06 DOI: 10.2139/ssrn.3465369

Danxia Xie, Buyuan Yang

{"title":"Solow to Becker-Lucas","authors":"Danxia Xie, Buyuan Yang","doi":"10.2139/ssrn.3465369","DOIUrl":"https://doi.org/10.2139/ssrn.3465369","url":null,"abstract":"We provide a unified growth model to study the transition from the Solow economy which only uses labor and physical capital in production to the Becker-Lucas economy which uses an additional new accumulative factor, human capital, in production. The model starts with the Solow economy, with the Becker-Lucas technology of production available but not profitable at the beginning. Due to the diminishing returns to physical capital, the Becker-Lucas production becomes feasible and starts automatically after physical capital stock reaches a trigger point. We examine the full dynamics of main macroeconomic variables during this transformation process, including a remarkably long period when these two economies coexist. Our theory shows even if assuming a slightly lower TFP growth rate in the Becker-Lucas production than Solow, the transition could still happen due to the efficiency improvement from human capital accumulation. Model calibration shows the labor share will firstly drop during this economic transformation, therefore providing a potential new theoretical explanation for the phenomenon of labor share decline which has recently attracted broad attention. The accumulation of human capital together with the enlarging Becker-Lucas economy does have contributed to this dynamics. Moreover, our model also predicts a rebound of the labor share towards the end of the transformation from the Solow economy to the Becker-Lucas economy and provides a new explanation for skill premium change.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"13 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83604273","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

General Financial Economic Equilibria 一般金融经济均衡

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-06 DOI: 10.2139/ssrn.3570067

D. Madan

{"title":"General Financial Economic Equilibria","authors":"D. Madan","doi":"10.2139/ssrn.3570067","DOIUrl":"https://doi.org/10.2139/ssrn.3570067","url":null,"abstract":"When demands and supplies are uncertain, given the prices, equilibrium cannot be defined by equating them. New equilibria are then formed on modeling markets as the abstract risk taking agent. The theory of acceptable risks is applied to redefine economic equilibrium. The market sets two prices for each commodity, one at which it buys and the other at which it sells. The two prices are determined by requiring the random net inventory and net revenue exposures to be acceptable risks. For an n- commodity economy there are 2n equilibrium equations for the 2n prices. The introduction of a two price labor market naturally leads to the concept of both an equilibrium unemployment rate and an equilibrium unemployment insurance rate. It is shown that the unemployment rate rises with the productivity of the economy and can be mitigated by expanding the number of products. Technological innovation accompanied by product expansion can be employment neutral and socially acceptable. Similarly redistributive strategies from the upper end of the income scale towards the middle or lower end can lower equilibrium unemployment levels via their effects on aggregate demand. Productivity shocks like COVID lead to higher equilibrium unemployment support levels measured by the income ratios of the unemployed to the employed. The magnitude of the increase depends on the levels of labor market risk acceptability.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"58 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85974924","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Market Reaction to Large Transfers on the Bitcoin Blockchain - Do Size and Motive Matter? 市场对比特币区块链上大额交易的反应——规模和动机重要吗?

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-03-30 DOI: 10.2139/ssrn.3564085

Lennart Ante, Ingo Fiedler

引用次数: 13

MACGEM IT- A SAM based CGE model for Italian Economy MACGEM IT-基于SAM的意大利经济CGE模型

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-03-28 DOI: 10.2139/ssrn.3599168

F. Felici, C. Socci, M. Ciaschini, F. Severini, R. Pretaroli

引用次数: 1

How to Play Out of Equilibrium: Beating the Play 如何玩出平衡:打败游戏

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-03-18 DOI: 10.2139/ssrn.3556606

K. Schlag

引用次数: 0

Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility 具有随机波动率的宏观金融DSGE模型的贝叶斯估计

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-03-17 DOI: 10.2139/ssrn.3469356

D. Rapach, Fei Tan

引用次数: 0

Gross Worker Flows and Fluctuations in the Aggregate Labor Market 总劳动力流动和总劳动力市场波动

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-03-01 DOI: 10.3386/w26878

Per Krusell, Toshihiko Mukoyama, Richard Rogerson, A. Sahin

引用次数: 4

A Simple Economic Model with Interactions 具有相互作用的简单经济模型

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-02-25 DOI: 10.2139/ssrn.3552539

M. Gusev, Dimitri Kroujiline

引用次数: 1