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Journal of Economic Interaction and Coordination最新文献

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Macroeconomic dynamics under bounded rationality: on the impact of consumers’ forecast heuristics 有限理性下的宏观经济动力学：消费者预测启发式的影响
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2022-03-05 DOI: 10.1007/s11403-022-00348-7
Tae-Seok Jang, Stephen Sacht
{"title":"Macroeconomic dynamics under bounded rationality: on the impact of consumers’ forecast heuristics","authors":"Tae-Seok Jang, Stephen Sacht","doi":"10.1007/s11403-022-00348-7","DOIUrl":"https://doi.org/10.1007/s11403-022-00348-7","url":null,"abstract":"","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"17 1","pages":"849 - 873"},"PeriodicalIF":1.1,"publicationDate":"2022-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41848298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The complex nature of financial market microstructure: the case of a stock market crash. 金融市场微观结构的复杂性：股市崩盘案例。
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2022-01-04 DOI: 10.1007/s11403-021-00343-4
Feng Shi, John Paul Broussard, G Geoffrey Booth
{"title":"The complex nature of financial market microstructure: the case of a stock market crash.","authors":"Feng Shi, John Paul Broussard, G Geoffrey Booth","doi":"10.1007/s11403-021-00343-4","DOIUrl":"10.1007/s11403-021-00343-4","url":null,"abstract":"<p><p>This paper uses multivariate Hawkes processes to model the transactions behavior of the US stock market as measured by the 30 Dow Jones Industrial Average individual stocks before, during and after the 36-min May 6, 2010, Flash Crash. The basis for our analysis is the excitation matrix, which describes a complex network of interactions among the stocks. Using high-frequency transactions data, we find strong evidence of self- and asymmetrically cross-induced contagion and the presence of fragmented trading venues. Our findings have implications for stock trading and corresponding risk management strategies as well as stock market microstructure design.</p>","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":" ","pages":"1-40"},"PeriodicalIF":1.1,"publicationDate":"2022-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8724601/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39889927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Autonomous demand, multiple equilibria and unemployment dynamics. 自主需求、多重均衡与失业动态。
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2022-01-01 Epub Date: 2020-10-31 DOI: 10.1007/s11403-020-00306-1
Piero Ferri, Fabio Tramontana
{"title":"Autonomous demand, multiple equilibria and unemployment dynamics.","authors":"Piero Ferri,&nbsp;Fabio Tramontana","doi":"10.1007/s11403-020-00306-1","DOIUrl":"https://doi.org/10.1007/s11403-020-00306-1","url":null,"abstract":"<p><p>The paper presents a medium-run growth model driven by autonomous demand, where aggregate demand and supply interact and unemployment is present and plays different roles. In particular, it generates a feedback from supply to aggregate demand rooted in the presence of heterogeneous consumers and an uncertain environment. Two are the main consequences of this approach. The first is that multiple equilibria can be generated. The second is that equilibria may have different stability properties. In this perspective, growth becomes a dynamic process where initial conditions matter and history plays an important role.</p>","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"17 1","pages":"209-223"},"PeriodicalIF":1.1,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11403-020-00306-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"38580430","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Economic policy uncertainty, investor sentiment and financial stability-an empirical study based on the time varying parameter-vector autoregression model. 经济政策不确定性、投资者情绪与金融稳定——基于时变参数-向量自回归模型的实证研究。
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2022-01-01 Epub Date: 2021-12-28 DOI: 10.1007/s11403-021-00342-5
Xin-Zhou Qi, Zhong Ning, Meng Qin
{"title":"Economic policy uncertainty, investor sentiment and financial stability-an empirical study based on the time varying parameter-vector autoregression model.","authors":"Xin-Zhou Qi,&nbsp;Zhong Ning,&nbsp;Meng Qin","doi":"10.1007/s11403-021-00342-5","DOIUrl":"https://doi.org/10.1007/s11403-021-00342-5","url":null,"abstract":"<p><p>This paper applies the time varying parameter-vector autoregression model to explore the dynamic relationship between economic policy uncertainty, investor sentiment and financial stability in China in different periods and at different time points. The empirical results show that economic policy uncertainty has an obvious negative impact on investor sentiment before 2012 and financial stability in the short term, and the influence of economic policy uncertainty on investor sentiment is greater than that of economic policy uncertainty on financial stability. These influences were more significant during the period of the global financial crisis in 2008. Moreover, investor sentiment had a positive and gradually increasing effect on financial stability, while after 2010, the positive impact gradually weakened. Furthermore, economic policy uncertainty is negatively affected by financial stability, and the effect of financial stability on investor sentiment is positive. In terms of mediating effects, economic policy uncertainty has an indirect impact on financial stability through investor sentiment and vice versa. This paper provides a new solution to economic problems explored in behavioral finance research. Additionally, Chinese government agencies can achieve the goal of preventing financial crises and maintaining financial stability by monitoring investor sentiment and implementing targeted economic policies.</p>","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"17 3","pages":"779-799"},"PeriodicalIF":1.1,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8713736/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39892106","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Local environmental quality and heterogeneity in an OLG agent-based model with spatial externalities. 具有空间外部性的OLG agent模型中的局部环境质量和异质性。
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2022-01-01 Epub Date: 2022-02-03 DOI: 10.1007/s11403-022-00346-9
Andrea Caravaggio, Mauro Sodini
{"title":"Local environmental quality and heterogeneity in an OLG agent-based model with spatial externalities.","authors":"Andrea Caravaggio,&nbsp;Mauro Sodini","doi":"10.1007/s11403-022-00346-9","DOIUrl":"https://doi.org/10.1007/s11403-022-00346-9","url":null,"abstract":"<p><p>Most of the theoretical contributions on the relationship between economy and environment assume the environment as a good distributed homogeneously among agents. The aim of this work is to relax this hypothesis and to consider that the environment can have a local character even if conditioned through externalities by the choices made at the global level. In this article, we adapt the classical framework introduced in John and Pecchenino (Econ J 104(427):1393-1410, 1994) to analyze the dynamic relationship between environment and economic process, and we propose an OLG agent-based model where each agent perceives her own level of environmental quality determined by her own decisions, and by the decisions of those living around her. Despite the attention devoted to local environmental aspects, network externalities (determined through the scheme of Moore neighborhoods) play a fundamental role in defining environmental dynamics and they may induce the emergence of cyclical dynamics. The occurrence of oscillations in the local environmental quality is partially mitigated by the presence of heterogeneity in individuals' preferences. Finally, when a centralized planner is introduced, the dynamics converge to stationary values regardless of the assumption on heterogeneity of agents.</p>","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"17 1","pages":"287-317"},"PeriodicalIF":1.1,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8810287/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39602083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Foreword of the Special Issue: Nonlinear Economic Dynamics (2019) 《非线性经济动力学》特刊前言(2019)
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2021-12-25 DOI: 10.1007/s11403-021-00339-0
L. Gardini, D. Radi, F. Tramontana
{"title":"Foreword of the Special Issue: Nonlinear Economic Dynamics (2019)","authors":"L. Gardini, D. Radi, F. Tramontana","doi":"10.1007/s11403-021-00339-0","DOIUrl":"https://doi.org/10.1007/s11403-021-00339-0","url":null,"abstract":"","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"17 1","pages":"1 - 2"},"PeriodicalIF":1.1,"publicationDate":"2021-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42013799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint 期望的巨大和不确定异质性:从政策制定者的角度看均衡的稳定性
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2021-11-26 DOI: 10.1007/s11403-021-00335-4
Colucci, Domenico, Del Vigna, Matteo, Valori, Vincenzo
{"title":"Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint","authors":"Colucci, Domenico, Del Vigna, Matteo, Valori, Vincenzo","doi":"10.1007/s11403-021-00335-4","DOIUrl":"https://doi.org/10.1007/s11403-021-00335-4","url":null,"abstract":"<p>We study the dynamic behavior of heterogeneous markets with many types of agents. In particular this paper aims at studying the effects of a change in the number <i>n</i> of agents, who are possibly different in terms of the rule they employ to forecast, on the long-run value of a relevant state variable. On the one hand we show that a heterogeneous agents model cannot be by and large traced back to an equivalent average representative-agent model. This complicates the possibility of easily reducing large and complex models to simpler and analytically tractable ones. On the other hand, under fairly general conditions, we characterize a class of models in which the probability of convergence to the steady state becomes either one or zero as <i>n</i> grows. This fact has positive implications for a policy maker committed to the goal of stabilizing the economy.</p>","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":" 27","pages":""},"PeriodicalIF":1.1,"publicationDate":"2021-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138514403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A multi-agent description of the influence of higher education on social stratification 高等教育对社会分层影响的多主体描述
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2021-10-15 DOI: 10.1007/s11403-022-00358-5
G. Dimarco, G. Toscani, M. Zanella
{"title":"A multi-agent description of the influence of higher education on social stratification","authors":"G. Dimarco, G. Toscani, M. Zanella","doi":"10.1007/s11403-022-00358-5","DOIUrl":"https://doi.org/10.1007/s11403-022-00358-5","url":null,"abstract":"","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":" ","pages":""},"PeriodicalIF":1.1,"publicationDate":"2021-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46449925","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Bank demand for central bank liquidity and its impact on interbank markets 银行对央行流动性的需求及其对银行间市场的影响
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2021-10-10 DOI: 10.1007/s11403-021-00336-3
Di Xiao, Andreas Krause
{"title":"Bank demand for central bank liquidity and its impact on interbank markets","authors":"Di Xiao, Andreas Krause","doi":"10.1007/s11403-021-00336-3","DOIUrl":"https://doi.org/10.1007/s11403-021-00336-3","url":null,"abstract":"","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"17 1","pages":"639 - 679"},"PeriodicalIF":1.1,"publicationDate":"2021-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45860517","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Poverty traps across levels of aggregation 不同聚合水平的贫困陷阱
IF 1.1 4区 经济学
Journal of Economic Interaction and Coordination Pub Date : 2021-09-02 DOI: 10.1007/s11403-021-00333-6
Dylan Fitz, Shyam Gouri Suresh
{"title":"Poverty traps across levels of aggregation","authors":"Dylan Fitz, Shyam Gouri Suresh","doi":"10.1007/s11403-021-00333-6","DOIUrl":"https://doi.org/10.1007/s11403-021-00333-6","url":null,"abstract":"","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":"16 1","pages":"909 - 953"},"PeriodicalIF":1.1,"publicationDate":"2021-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49361678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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