Journal of Economic Dynamics & Control最新文献_第6页

Tax reforms and network effects 税收改革和网络效应

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-15 DOI: 10.1016/j.jedc.2024.104862

Bruno R. Delalibera , Pedro Cavalcanti Ferreira , Diego B.P. Gomes , Johann Soares

引用次数: 0

Exact simulation of the Hull and White stochastic volatility model 赫尔与怀特随机波动模型的精确模拟

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-12 DOI: 10.1016/j.jedc.2024.104861

Riccardo Brignone , Luca Gonzato

{"title":"Exact simulation of the Hull and White stochastic volatility model","authors":"Riccardo Brignone , Luca Gonzato","doi":"10.1016/j.jedc.2024.104861","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104861","url":null,"abstract":"<div><p>We show how to simulate exactly the asset price and the variance under the Hull and White stochastic volatility model. We derive analytical formulas for the Laplace transform of the time integral of volatility conditional on the variance level at the endpoint of the time interval and the Laplace transform of integrated variance conditional on both integrated volatility and variance. Based on these results, we simulate the model through a nested-conditional factorization approach, where Laplace transforms are inverted through the (conditional) Fourier-cosine (COS) method. Under this model, our approach can be used to generate unbiased estimates for the price of derivatives instruments. We propose some variants of the exact simulation scheme for computing unbiased estimates of option prices and sensitivities, a difficult task in the Hull and White model. These variants also allow for a significant reduction in the Monte Carlo simulation estimator's variance (around 93-98%) and the computing time (around 22%) when pricing options. The performances of the proposed algorithms are compared with various benchmarks. Numerical results demonstrate the faster convergence rate of the error in our method, which achieves an <span><math><mi>O</mi><mo>(</mo><msup><mrow><mi>s</mi></mrow><mrow><mo>−</mo><mn>1</mn><mo>/</mo><mn>2</mn></mrow></msup><mo>)</mo></math></span> convergence rate, where <em>s</em> is the total computational budget, largely outperforming the benchmark.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000538/pdfft?md5=bb7c8eabfc4735788307c8ca8aaeaf92&pid=1-s2.0-S0165188924000538-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140557997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Inflation targeting and firm performance in developing countries 发展中国家的通胀目标和公司业绩

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-12 DOI: 10.1016/j.jedc.2024.104854

Bao-We-Wal Bambe , Jean-Louis Combes , Kabinet Kaba , Alexandru Minea

引用次数: 0

Using a hyperbolic cross to solve non-linear macroeconomic models 利用双曲交叉求解非线性宏观经济模型

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-09 DOI: 10.1016/j.jedc.2024.104860

Richard Dennis

引用次数: 0

Gender specific distortions, entrepreneurship and misallocation 因性别而异的扭曲、创业和分配不当

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-08 DOI: 10.1016/j.jedc.2024.104858

Ashantha Ranasinghe

引用次数: 0

Pseudospectral methods for continuous-time heterogeneous-agent models 连续时间异质代理模型的伪谱方法

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-05 DOI: 10.1016/j.jedc.2024.104856

Constantin Schesch

引用次数: 0

On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux 论拉格朗日形式主义对连续时间随机最优控制的适应：拉格朗日-乔的翻版

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-05 DOI: 10.1016/j.jedc.2024.104855

Christian Oliver Ewald , Charles Nolan

{"title":"On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux","authors":"Christian Oliver Ewald , Charles Nolan","doi":"10.1016/j.jedc.2024.104855","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104855","url":null,"abstract":"<div><p>We show how the classical Lagrangian approach to solving constrained optimization problems from standard calculus can be extended to solve continuous time stochastic optimal control problems. Connections to mainstream approaches such as the Hamilton-Jacobi-Bellman equation and the stochastic maximum principle are drawn. Our approach is linked to the stochastic maximum principle, but more direct and tied to the classical Lagrangian principle, avoiding the use of backward stochastic differential equations in its formulation. Using infinite dimensional functional analysis, we formalize and extend the approach first outlined in <span>Chow (1992)</span> within a rigorous mathematical setting using infinite dimensional functional analysis. We provide examples that demonstrate the usefulness and effectiveness of our approach in practice. Further, we demonstrate the potential for numerical applications facilitating some of our key equations in combination with Monte Carlo backward simulation and linear regression, therefore illustrating a completely different and new avenue for the numerical application of Chow's methods.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0165188924000472/pdfft?md5=6fe46ccf8bd5aac962492fe7fcb5bbd6&pid=1-s2.0-S0165188924000472-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140539344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

How clean capital slows down disinvestment of carbon-intensive capital in the low-carbon transition 清洁资本如何在低碳转型中减缓碳密集型资本的撤资速度

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-04 DOI: 10.1016/j.jedc.2024.104857

Wei Jin , Frederick van der Ploeg , Lin Zhang

引用次数: 0

Heterogeneity in the effects of uncertainty shocks on labor market dynamics and extensive vs. intensive margins of adjustment 不确定性冲击对劳动力市场动态以及广泛调整边际与密集调整边际影响的异质性

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-04-03 DOI: 10.1016/j.jedc.2024.104859

Sangyup Choi , Davide Furceri , Seung Yong Yoo

引用次数: 0

Artificial neural networks to solve dynamic programming problems: A bias-corrected Monte Carlo operator 人工神经网络解决动态编程问题：偏差校正蒙特卡罗算子

IF 1.9 3区经济学

Journal of Economic Dynamics & Control Pub Date : 2024-03-28 DOI: 10.1016/j.jedc.2024.104853

Julien Pascal

{"title":"Artificial neural networks to solve dynamic programming problems: A bias-corrected Monte Carlo operator","authors":"Julien Pascal","doi":"10.1016/j.jedc.2024.104853","DOIUrl":"https://doi.org/10.1016/j.jedc.2024.104853","url":null,"abstract":"<div><p>Artificial Neural Networks (ANNs) are powerful tools that can solve dynamic programming problems arising in economics. In this context, estimating ANN parameters involves minimizing a loss function based on the model's stochastic functional equations. In general, the expectations appearing in the loss function admit no closed-form solution, so numerical approximation techniques must be used. In this paper, I analyze a bias-corrected Monte Carlo operator (bc-MC) that approximates expectations by Monte Carlo. I show that the bc-MC operator is a generalization of the all-in-one expectation operator, already proposed in the literature. I demonstrate that, under some conditions on the primitives of the economic model, the bc-MC operator is the unbiased estimator of the loss function with the minimum variance. I propose a method to optimally set the hyperparameters defining the bc-MC operator, and illustrate the findings numerically with well-known economic models. I also demonstrate that the bc-MC operator can scale to high-dimensional models. With just approximately a minute of computing time, I find a global solution to an economic model with a kink in the decision function and more than 100 dimensions.</p></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140347992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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