Macroeconomics eJournal最新文献_第10页

Habit Formation and Keeping Up with the Joneses: Evidence from Micro Data 习惯形成与攀比:来自微数据的证据

Macroeconomics eJournal Pub Date : 2007-11-01 DOI: 10.2139/ssrn.928248

Enrichetta Ravina

引用次数: 64

The General Equilibrium Effects of Fiscal Policy: Estimates for the Euro Area 财政政策的一般均衡效应:对欧元区的估计

Macroeconomics eJournal Pub Date : 2007-11-01 DOI: 10.2139/ssrn.1075266

L. Forni, Libero Monteforte, L. Sessa

{"title":"The General Equilibrium Effects of Fiscal Policy: Estimates for the Euro Area","authors":"L. Forni, Libero Monteforte, L. Sessa","doi":"10.2139/ssrn.1075266","DOIUrl":"https://doi.org/10.2139/ssrn.1075266","url":null,"abstract":"This paper describes a dynamic stochastic general equilibrium model featuring a fraction of non-Ricardian agents in order to estimate the effects of fiscal policy in the Euro area. The model takes into account distortionary taxation on labor and capital income and on consumption, while expenditures are broken down into purchases of goods and services, compensation of public employees and transfers to households. A newly computed quarterly data set of fiscal variables is used. Our results point to the prevalence of mild Keynesian effects of public expenditures. In particular, although innovations in fiscal policy variables tend to be rather persistent, government purchases of goods and services and compensations for public employees have small and short-lived expansionary effects on private consumption, while innovations in transfers to households show a slightly more sizeable and lasting effect. The effects are more significant on the revenue side: decreases in labor income and consumption tax rates have sizeable effects on consumption and output, while a reduction in capital income tax favors investment and output in the medium run. Finally our estimates suggest that fiscal policy variables contribute little to the cyclical variability of the main macro variables.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114510323","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: 644

Self-Confirming Equilibrium and the Lucas Critique 自我确认均衡与卢卡斯批判

Macroeconomics eJournal Pub Date : 2007-11-01 DOI: 10.2139/ssrn.1030298

D. Fudenberg, D. Levine

引用次数: 46

Foreign Direct Investment in China: Reward or Remedy? 外商直接投资中国:奖励还是补救?

Macroeconomics eJournal Pub Date : 2007-11-01 DOI: 10.1111/j.1467-9701.2007.01076.x

Sandra Poncet, Olena Havrylchyk

引用次数: 63

Start-Up Financing: Outside Equity 创业融资:外部股权

Macroeconomics eJournal Pub Date : 2007-10-23 DOI: 10.2139/ssrn.1023942

Hans K. Hvide, Aksel Mjøs

引用次数: 1

Monte Carlo Methods and Path-Generation Techniques for Pricing Multi-Asset Path-Dependent Options 多资产路径依赖期权定价的蒙特卡罗方法和路径生成技术

Macroeconomics eJournal Pub Date : 2007-10-03 DOI: 10.2139/ssrn.1020151

P. Sabino

{"title":"Monte Carlo Methods and Path-Generation Techniques for Pricing Multi-Asset Path-Dependent Options","authors":"P. Sabino","doi":"10.2139/ssrn.1020151","DOIUrl":"https://doi.org/10.2139/ssrn.1020151","url":null,"abstract":"We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable is the average price of given assets sampled over a period of time. Due to this structure, Asian options display a lower volatility and are therefore cheaper than their standard European counterparts. This paper is a survey of some recent enhancements to improve efficiency when pricing Asian options by Monte Carlo simulation in the Black-Scholes model. We analyze the dynamics with constant and time-dependent volatilities of the underlying asset returns. We present a comparison between the precision of the standard Monte Carlo method (MC) and the stratified Latin Hypercube Sampling (LHS). In particular, we discuss the use of low-discrepancy sequences, also known as Quasi-Monte Carlo method (QMC), and a randomized version of these sequences, known as Randomized Quasi Monte Carlo (RQMC). The latter has proven to be a useful variance reduction technique for both problems of up to 20 dimensions and for very high dimensions. Moreover, we present and test a new path generation approach based on a Kronecker product approximation (KPA) in the case of time-dependent volatilities. KPA proves to be a fast generation technique and reduces the computational cost of the simulation procedure.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128421284","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: 8

Fiscal Reaction Functions in the CFA Zone: An Analytical Perspective CFA区域的财政反应功能:一个分析视角

Macroeconomics eJournal Pub Date : 2007-10-01 DOI: 10.5089/9781451867961.001

Olumuyiwa S. Adedeji, Oral H. Williams

引用次数: 31

From Separate Accounting to Formula Apportionment: Analysis in a Dynamic Framework 从单独核算到公式分摊:动态框架下的分析

Macroeconomics eJournal Pub Date : 2007-10-01 DOI: 10.2139/ssrn.1022503

Doina Radulescu

引用次数: 68

Expected Social Security Wealth Simulations and Generational Fairness of the Turkish PAYG System 预期社会保障财富模拟与土耳其现收现付制的代际公平

Macroeconomics eJournal Pub Date : 2007-10-01 DOI: 10.2139/ssrn.1060461

Yigit Aydede

{"title":"Expected Social Security Wealth Simulations and Generational Fairness of the Turkish PAYG System","authors":"Yigit Aydede","doi":"10.2139/ssrn.1060461","DOIUrl":"https://doi.org/10.2139/ssrn.1060461","url":null,"abstract":"As it evolves around the world, Social Security financed on pay-as-you-go (PAYG) basis increasingly becomes a Ponzi scheme due to aging populations. The main objective of Social Security is to insure seniors against an uncertain life span. However, as the probability of being a net loser rises for coming generations, this objective receives questions with increasing public confusion: how does Social Security affect lifetime wealth? How could one calculate financial terms of Social Security for households in different generations? This paper calculates the aggregate social security wealth (SSW) series for the first time for an emerging country, Turkey. The simulations cover the period between 1970 and 2003 and the results show that the anticipated SSW is the biggest part of household wealth in Turkey and therefore it should not be ignored in economic studies. This paper also analyzes the redistributive characteristics of the system to understand its generational fairness by calculating its implicit internal rate of return and the net gains and losses from participating in the system for representative individuals in different age cohorts. The principal finding is that Social Security in Turkey constitutes significant wealth transfers among different age cohorts.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114331588","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: 4

An Asset-Pricing View of External Adjustment 外部调整的资产定价观

Macroeconomics eJournal Pub Date : 2007-10-01 DOI: 10.2139/ssrn.1012962

A. Pavlova, R. Rigobón

引用次数: 60