ERN: Forecasting & Simulation (Consumption) (Topic)最新文献

{"title":"Precautionary Liquidity Shocks, Excess Reserves and Business Cycles","authors":"George J. Bratsiotis, Konstantinos Theodoridis","doi":"10.2139/ssrn.3744361","DOIUrl":"https://doi.org/10.2139/ssrn.3744361","url":null,"abstract":"This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to \"lend\" to the real economy induced by an exogenous change in financial intermediaries' preference for \"high\" liquid assets. The identified shock has sizeable and state (volatility) dependent effects on the real economy. To understand the transmission of the shock, we develop a DSGE model of financial intermediation with credit and liquidity frictions. The precautionary liquidity shock is shown to work through two channels: it increases the level of reserves and the deposit rate. The former is a balance sheet effect, which reduces the loan-to-deposit ratio. The higher deposit rate affects the intertemporal decisions of households and the cost of borrowing to firms. The overall effect is a downward co-movement in output, consumption, investment and prices, which is amplified the higher are the long-run risk in the economy and the responsiveness of banks to potential risk.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124189164","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}

{"title":"A Complete Analysis of Comparisons between Velocities with and Without the Mixed Savings","authors":"Constantinos Challoumis Κωνσταντίνος Χαλλουμής","doi":"10.2139/ssrn.3160326","DOIUrl":"https://doi.org/10.2139/ssrn.3160326","url":null,"abstract":"This paper is about the complete representation between the velocity of escaped savings and the velocity of the financial liquidity. This analysis is based on the cycle of money in combination with the velocity of escaped savings with the velocity of financial liquidity with and without the mixed savings. This means that used the escaped savings, the enforcement savings and tin some cases he mixed savings, as those are parts of these velocities. Thence, we compare the velocity of the financial liquidly with the velocity of the escaped savings, using and the mixed savings in some cases and in other cases we avoid the mixed savings. Then, we extract conclusions between these velocities. The method which used is the Q.E. method.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122031374","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}

{"title":"Comparisons of Cycle of Money","authors":"Constantinos Challoumis Κωνσταντίνος Χαλλουμής","doi":"10.2139/ssrn.3153510","DOIUrl":"https://doi.org/10.2139/ssrn.3153510","url":null,"abstract":"This paper is about the cycle of money comparing the case the cycle of money in the case that there exist all the magnitudes of cycle of money and the case that there are avoided the escaping savings, and the case that are avoided the enforcement savings. The same comparisons are made for the velocity of the escaping savings, and the same procedure is followed for the case of the enforcement savings. For the purposes of this analysis is used the Q.E. method.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127899942","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}

{"title":"Risky Choices: Simulating Public Pension Funding Stress with Realistic Shocks","authors":"J. Farrell, D. Shoag","doi":"10.2139/ssrn.2887672","DOIUrl":"https://doi.org/10.2139/ssrn.2887672","url":null,"abstract":"State and local government pension funds in the United States collectively manage a very large and diverse pool of assets to meet the even large sum of accrued liabilities. Recent research has emphasized that widely-used accounting practices, like matching discount rates to expected asset returns, understate the market value of these liabilities. Less work has explored the risks inherent in existing diverse set asset allocations, and the accounting practices used by most state and local pensions do not capture or report this risk at all. To explore the effect of asset market risk, we build and simulate a dynamic model of pension funding using a realistic return generating process. We find that the range of potential outcomes is very large, meaning that state and local governments need to prepare for an extremely wide range of possible funding shocks in the next few decades. Moreover, this wide range of outcomes makes the ultimate impact of policy choices – such as changing the discount rate or failing to sufficiently contribute to the fund – nonlinear and difficult to anticipate. Together, these findings suggest the need for more attention and reporting of these risks and the attendant range of possible outcomes by public plans.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124935109","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}

{"title":"Can the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?","authors":"Narayan Bulusu, J. Duarte, Carles Vergara-Alert","doi":"10.2139/ssrn.2708105","DOIUrl":"https://doi.org/10.2139/ssrn.2708105","url":null,"abstract":"The common-factor hypothesis is one possible explanation for the strong observed housing wealth effect. Under this hypothesis, house price appreciation is statistically related to changes in consumption as long as the available proxies for the common driver of housing and non-housing demand are noisy and housing supply is not perfectly elastic. We simulate a model in which a common factor drives the relation between house prices and consumption to examine the extent to which the common-factor hypothesis can explain the observed housing wealth effect estimated with U.S. state-level data. Our results indicate that the common-factor hypothesis can easily explain the observed housing wealth effect even when the proxies for the common factor have small measurement errors.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"34 38","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120865540","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}

{"title":"General Information Product Theory in Economics Science","authors":"D. Ledenyov, Viktor O. Ledenyov","doi":"10.2139/ssrn.2617310","DOIUrl":"https://doi.org/10.2139/ssrn.2617310","url":null,"abstract":"The information, including the knowledge in the science, business and society, is being generated, transmitted, received and analyzed by the humans in the various countries over the centuries. The information is a most valuable asset in possession by the economic agents in the modern economies of the scales and scopes in the information societies in an information age. The authors introduce a notion on the general information product (GIP) in the macroeconomics, thoughtfully defining the GIP in the frames of the Ledenyov theory on the GIP(t) in the economies of scales and scopes for the first time. The multiple possible origins of the fluctuations of the dependence of the general information product on the time GIP(t) in the economies of scales and scopes are researched comprehensively. Authors consider the GIP(t) as a main parameter, which evaluates the performance of the economies of the scales and scopes from macroeconomics perspective. Authors assume that the accurate characterization of the dependence GIP(t) can be made in agreement with the Ledenyov theory on the GIP(t) in the economies of scales and scopes. Authors believe that the Ledenyov indicator GIP(t) instead of the Kuznets indicator GDP(t), can be successfully used to accurately measure the state/performance by any economy of scale and scope in the time domain. Authors think that the GIP(t) is a discrete-time digital signal (the Ledenyov digital wave), but it is not the continuous-time signals (the continuous waves), because of the discrete digital nature of information generation process. The article considers the empirical theoretical approaches and reveals the possible practical technical limitations in relation to the modeling of the new types of the discrete-time digital signals generators for the Ledenyov digital waves generation in the economies of the scales and scopes at the time of globalization.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122216351","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}

{"title":"Real Term Structure Forecasts of Consumption Growth","authors":"E. Argyropoulos, Elias Tzavalis","doi":"10.2139/ssrn.2211092","DOIUrl":"https://doi.org/10.2139/ssrn.2211092","url":null,"abstract":"This paper employs an empirically tractable affine term structure model of real interest rates to examine the predictive ability of the real short-term interest rate and its term spread with a longer-term interest rate to predict future real consumption growth. The estimates of the model provide support of the consumption smoothing hypothesis. The paper shows that the real term structure is spanned by two mean-reverting state variables. The mean-reverting property of these variables can consistently explain the forecasting ability of the short-term real rate and term spread to forecast future consumption growth rate, over different horizons ahead. Although the risks associated with changes in these variables are both priced in the market, they are not volatile enough to obscure the information of the real term structure about future real consumption growth.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129867828","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}

{"title":"Market Inefficiency, Insurance Mandate and Welfare: U.S. Health Care Reform 2010","authors":"Juergen Jung, C. Tran","doi":"10.2139/ssrn.1713536","DOIUrl":"https://doi.org/10.2139/ssrn.1713536","url":null,"abstract":"We quantify the effects of the Affordable Care Act (ACA) using a stochastic general equilibrium overlapping generations model with endogenous health capital accumulation calibrated to match U.S. data on health spending and insurance take-up over the lifecycle. We find that the introduction of an insurance mandate and the expansion of Medicaid which are at the core of the ACA increase the insurance take-up rate of workers to almost universal coverage but decrease capital accumulation, labor supply and aggregate output. Penalties for not having insurance as well as subsidies to assist low income individuals' purchase of insurance via health insurance market places do reduce the adverse selection problem in private health insurance markets and do counteract the crowding-out effect of the Medicaid expansion. The redistributional measures embedded in the ACA result in welfare gains for low income individuals in poor health and welfare losses for high income individuals in good health. The overall welfare effect depends on the size of the ex-post moral hazard effect, tax distortions and general equilibrium price adjustments. (Copyright: Elsevier)","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122590673","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}

{"title":"Forecasting Aggregate Demand: Analytical Comparison of Top-Down and Bottom-Up Approaches in a Multivariate Exponential Smoothing Framework","authors":"G. Sbrana, A. Silvestrini","doi":"10.2139/ssrn.2358398","DOIUrl":"https://doi.org/10.2139/ssrn.2358398","url":null,"abstract":"Forecasting aggregate demand is a crucial matter in all industrial sectors. In this paper, we provide the analytical prediction properties of top-down (TD) and bottom-up (BU) approaches when forecasting aggregate demand, using multivariate exponential smoothing as demand planning framework. We extend and generalize the results obtained by Widiarta, Viswanathan and Piplani (2009) by employing an unrestricted multivariate framework allowing for interdependency between the variables. Moreover, we establish the necessary and sufficient condition for the equality of mean squared errors (MSEs) of the two approaches. We show that the condition for the equality of MSEs also holds even when the moving average parameters of the individual components are not identical. In addition, we show that the relative forecasting accuracy of TD and BU depends on the parametric structure of the underlying framework. Simulation results confirm our theoretical findings. Indeed, the ranking of TD and BU forecasts is led by the parametric structure of the underlying data generation process, regardless of possible misspecification issues.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128753370","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}

{"title":"Uncovering Audience Preferences for Concert Features from Single-Ticket Sales with a Factor-Analytic Random-Coefficients Model","authors":"W. Kamakura, Carl Schimmel","doi":"10.2139/ssrn.2161950","DOIUrl":"https://doi.org/10.2139/ssrn.2161950","url":null,"abstract":"To better plan their programs, producers of performing arts events need forecasting models that relate ticket sales to the multiple features of a program. The framework we develop, test and implement uncovers audience preferences for the features of an event program from single-ticket sales, while accounting for interactions among program features and for preference heterogeneity across markets. We develop a factor-analytic random-coefficients model that overcomes four major methodological challenges. First, the historical data available from each market is limited, preventing the estimation of models at the market level, and requiring some form of shrinkage estimator that also takes into account the diversity in preferences across markets, as well as the fact that preferences for the many (26 in our application) program features are correlated across markets, requiring the estimation of a large covariance matrix for these preferences across markets. Our proposed factor-analytic regression formulation parsimoniously captures the principal components of the correlated preferences and provides shrinkage estimates at the individual market level. The second challenge we face is the fact that orchestras differ on how they sell season subscriptions, leading to substantial unobserved effects on ticket sales across orchestras; an added benefit of our random-coefficients approach is that it incorporates a random effect that captures any shift in the dependent variable caused by unobservable factors across all events in each individual market, such as the unobservable effect of season subscriptions on single-ticket sales. The third methodological challenge is that program features are likely to interact requiring the estimation of a large set of pair-wise interactions. We solve this problem by mapping the interactions on a reduced space, arriving at a more parsimonious model formulation. The fourth methodological challenge relates to implementation of the model results beyond the relatively small sample of markets for which historical data was available. To overcome this limitation, we demonstrate how our model can be applied to markets not included in our sample, first using only managerial insight regarding the similarity between the focal market and the ones in our sample and by updating this subjective prior as ticket sales data become available.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123611964","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}