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

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Optimal Division of Effort between Working and Learning Information About the Financial Market 金融市场信息学习与工作的最优分工
ERN: Forecasting & Simulation (Consumption) (Topic) Pub Date : 2011-06-14 DOI: 10.2139/ssrn.1864369
G. Luo
{"title":"Optimal Division of Effort between Working and Learning Information About the Financial Market","authors":"G. Luo","doi":"10.2139/ssrn.1864369","DOIUrl":"https://doi.org/10.2139/ssrn.1864369","url":null,"abstract":"This paper studies the investor's optimal lifetime working and financial-market investing effort-used strategy in a discrete-time consumption and investment model with wage incomes. The financial market contains a risk-free asset and a risky asset whose excess return (compared to risk-free asset) is not known. An investor is endowed with a fixed effort every period which can be used either to work harder to earn higher current and future wages, or to learn a more precise signal of the risky asset's excess return. The results show that the investor's optimal lifetime working effort strategy is hump-shaped: he works harder in the early part of his career life, but exerts more effort on learning information about the financial market later on; and the optimal risky asset investment has a peak near retirement.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"6 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123633212","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
A Generalized Endogenous Grid Method for Non-Concave Problems 非凹问题的广义内生性网格法
ERN: Forecasting & Simulation (Consumption) (Topic) Pub Date : 2011-04-21 DOI: 10.2139/ssrn.1818643
Giulio Fella
{"title":"A Generalized Endogenous Grid Method for Non-Concave Problems","authors":"Giulio Fella","doi":"10.2139/ssrn.1818643","DOIUrl":"https://doi.org/10.2139/ssrn.1818643","url":null,"abstract":"This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernandez-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable consumption. The durable choice is discrete and subject to non-convex adjustment costs. The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for non-concave problems.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"23 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120836438","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
Deconstructing the ‘Rosenfeld Curve’: Why is Per Capita Residential Energy Consumption in California so Low? 解构“罗森菲尔德曲线”:为什么加州人均住宅能耗如此之低?
ERN: Forecasting & Simulation (Consumption) (Topic) Pub Date : 2010-12-04 DOI: 10.2139/ssrn.1720229
Anant Sudarshan
{"title":"Deconstructing the ‘Rosenfeld Curve’: Why is Per Capita Residential Energy Consumption in California so Low?","authors":"Anant Sudarshan","doi":"10.2139/ssrn.1720229","DOIUrl":"https://doi.org/10.2139/ssrn.1720229","url":null,"abstract":"Over the last three decades, California has implemented a variety of regulatory and legislative measures aimed at reducing the demand for energy, through encouraging more efficient consumption. These programs have attracted widespread interest because state electricity consumption per capita has stayed relatively steady since 1970, in contrast to a national trend of steady growth. In this paper I examine the determinants of residential energy consumption with a view to determining the fraction of the state-nation difference in electricity consumption intensity that might reasonably be attributed to policy. I present an econometric model of household demand for energy and estimate that policy and price effects can explain only about 20 percent of the state nation difference in consumption intensities. Additionally, the model suggests that split incentive considerations may have resulted in inefficiently high energy consumption in rented dwellings and that program interventions may have been particularly effective in reducing the energy needed for heating and cooling end uses.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125111062","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: 3
Crises and Recoveries in an Empirical Model of Consumption Disasters 消费灾难经验模型中的危机与复苏
ERN: Forecasting & Simulation (Consumption) (Topic) Pub Date : 2010-04-01 DOI: 10.1257/MAC.5.3.35
Emi Nakamura, J. Steinsson, R. Barro, J. Ursúa
{"title":"Crises and Recoveries in an Empirical Model of Consumption Disasters","authors":"Emi Nakamura, J. Steinsson, R. Barro, J. Ursúa","doi":"10.1257/MAC.5.3.35","DOIUrl":"https://doi.org/10.1257/MAC.5.3.35","url":null,"abstract":"We estimate an empirical model of consumption disasters using a new panel data set on personal consumer expenditure for 24 countries and more than 100 years, and study its implications for asset prices. The model allows for permanent and transitory effects of disasters that unfold over multiple years. It also allows the timing of disasters to be correlated across countries. Our estimates imply that the average disaster reaches its trough after 6 years, with a peak-to-trough drop in consumption of about 30%, but that roughly half of this decline is reversed in a subsequent recovery. Uncertainty about consumption growth increases dramatically during disasters. Our estimated model generates a sizable equity premium from disaster risk, but one that is substantially smaller than in models in which disasters are permanent and instantaneous. It yields new predictions for the dynamics of risk-free interest rates, the term structure of interest rates, and the pricing of short-term versus long-term risky assets. The persistence of consumption declines in our model implies that a large value of the intertemporal elasticity of substitution is necessary to explain stock-market crashes at the onset of disasters.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130857437","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: 362
Self-Fulfilling Expectations and Fluctuations in Aggregate Demand 自我实现预期与总需求波动
ERN: Forecasting & Simulation (Consumption) (Topic) Pub Date : 1990-05-01 DOI: 10.7916/D8F769H6
M. Woodford
{"title":"Self-Fulfilling Expectations and Fluctuations in Aggregate Demand","authors":"M. Woodford","doi":"10.7916/D8F769H6","DOIUrl":"https://doi.org/10.7916/D8F769H6","url":null,"abstract":"The paper presents an intertemporal general equilibrium model with rationing in the product market, in which stationary sunspot equilibria are shown to exist, indicating the possibility of fluctuations in economic activity simply due to self-fulfilling variations in economic agents' expectations. Specifically, revised expectations about future aggregate demand change current investment demand, which (amplified by a multiplier\" process) then affects current aggregate demand. Parameter values required for endogenous fluctuations are discussed, as well as quantitative properties of the fluctuations predicted. Countercyclical stabilization policies are shown to rule out such equilibria.","PeriodicalId":404679,"journal":{"name":"ERN: Forecasting & Simulation (Consumption) (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1990-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128698197","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: 85
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