Journal of Economic Interaction and Coordination最新文献_第9页

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

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

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, Zhong Ning, Meng Qin","doi":"10.1007/s11403-021-00342-5","DOIUrl":"https://doi.org/10.1007/s11403-021-00342-5","url":null,"abstract":"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.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"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, Mauro Sodini","doi":"10.1007/s11403-022-00346-9","DOIUrl":"https://doi.org/10.1007/s11403-022-00346-9","url":null,"abstract":"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.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"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

A simulation of the insurance industry: the problem of risk model homogeneity. 保险业模拟:风险模型同质性问题。

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2022-01-01 Epub Date: 2021-03-12 DOI: 10.1007/s11403-021-00319-4

Torsten Heinrich, Juan Sabuco, J Doyne Farmer

{"title":"A simulation of the insurance industry: the problem of risk model homogeneity.","authors":"Torsten Heinrich, Juan Sabuco, J Doyne Farmer","doi":"10.1007/s11403-021-00319-4","DOIUrl":"https://doi.org/10.1007/s11403-021-00319-4","url":null,"abstract":"We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from clients in return for insuring them against intermittent, heavy-tailed risks. Firms manage their capital and pay dividends to their investors and use either reinsurance contracts or cat bonds to hedge their tail risk. The model generates plausible time series of profits and losses and recovers stylized facts, such as the insurance cycle and the emergence of asymmetric firm size distributions. We use the model to investigate the problem of risk model homogeneity. Under the European regulatory framework Solvency II, insurance companies are required to use only certified risk models. This has led to a situation in which only a few firms provide risk models, creating a systemic fragility to the errors in these models. We demonstrate that using too few models increases the risk of nonpayment and default while lowering profits for the industry as a whole. The presence of the reinsurance industry ameliorates the problem but does not remove it. Our results suggest that it would be valuable for regulators to incentivize model diversity. The framework we develop here provides a first step toward a simulation model of the insurance industry, which could be used to test policies and strategies for capital management.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11403-021-00319-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"25485323","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

Preying on beauty? The complex social dynamics of overtourism. 以美为食?过度旅游的复杂社会动态。

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2022-01-01 Epub Date: 2021-02-23 DOI: 10.1007/s11403-020-00311-4

Angelo Antoci, Paolo Russu, Pier Luigi Sacco, Giorgio Tavano Blessi

引用次数: 3

Endogenous viral mutations, evolutionary selection, and containment policy design. 内源性病毒突变、进化选择和遏制政策设计。

IF 0.8 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2022-01-01 Epub Date: 2022-01-07 DOI: 10.1007/s11403-021-00344-3

Patrick Mellacher

{"title":"Endogenous viral mutations, evolutionary selection, and containment policy design.","authors":"Patrick Mellacher","doi":"10.1007/s11403-021-00344-3","DOIUrl":"10.1007/s11403-021-00344-3","url":null,"abstract":"How will the novel coronavirus evolve? I study a simple epidemiological model, in which mutations may change the properties of the virus and its associated disease stochastically and antigenic drifts allow new variants to partially evade immunity. I show analytically that variants with higher infectiousness, longer disease duration, and shorter latent period prove to be fitter. \"Smart\" containment policies targeting symptomatic individuals may redirect the evolution of the virus, as they give an edge to variants with a longer incubation period and a higher share of asymptomatic infections. Reduced mortality, on the other hand, does not per se prove to be an evolutionary advantage. I then implement this model as an agent-based simulation model in order to explore its aggregate dynamics. Monte Carlo simulations show that a) containment policy design has an impact on both speed and direction of viral evolution, b) the virus may circulate in the population indefinitely, provided that containment efforts are too relaxed and the propensity of the virus to escape immunity is high enough, and crucially c) that it may not be possible to distinguish between a slowly and a rapidly evolving virus by looking only at short-term epidemiological outcomes. Thus, what looks like a successful mitigation strategy in the short run, may prove to have devastating long-run effects. These results suggest that optimal containment policy must take the propensity of the virus to mutate and escape immunity into account, strengthening the case for genetic and antigenic surveillance even in the early stages of an epidemic.","PeriodicalId":45479,"journal":{"name":"Journal of Economic Interaction and Coordination","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8739737/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39812520","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

Testing the convergence hypothesis: a longitudinal and cross-sectional analysis of the world trade web through social network and statistical analyses 趋同假说的检验:基于社会网络与统计分析的世界贸易网络纵向与横向分析

IF 1.1 4区经济学

Journal of Economic Interaction and Coordination Pub Date : 2021-12-26 DOI: 10.1007/s11403-021-00341-6

L. Biggiero, Roberto Urbani