Results 101 to 110 of about 3,881 (223)
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
A Model of Strategic Sustainable Investment
Mathematical Finance, EarlyView.ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis +2 more
wiley +1 more source
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
Mathematical Finance, EarlyView.ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović +4 more
wiley +1 more source
Capital Composition and the Declining Labor Share
The Manchester School, EarlyView.ABSTRACT There are two problems with the view that cheaper capital caused a decline in the labor share: first, aggregate capital and labor are gross complements; second, the price of capital is roughly constant, worldwide. Taking seriously the composition of capital resolves both challenges.
Maya Eden, Paul Gaggl
wiley +1 more source
Estimation of the Solow-Cobb-Douglas economic growth model with a Kalman filter: An observability-based approach. [PDF]
Heliyon, 2019 Munguía R, Davalos J, Urzua S.
europepmc +1 more source
Employee Fraud and the Statute of Limitations in a Search and Matching Model
The Manchester School, EarlyView.ABSTRACT This paper integrates employee fraud into a Mortensen‐Pissarides search and matching model to analyze labor market dynamics under imperfect legal enforcement. We introduce a time‐dependent punishment structure where the offender's effective liability is governed by the statute of limitations. We characterize both short‐ and long‐run equilibria,
Mauricio Benegas, José Freire Júnior
wiley +1 more source
Stochastic Frontier-Based Analysis of Energy Efficiency in Russian Open-Pit Mining Enterprises
EnergiesThis article is devoted to the study of the possibilities for improvAzing the quality of energy management systems adopted at open-pit mining enterprises in the Russian Federation.
Ulvi Rzazade +3 more
doaj +1 more source
Output Gap Uncertainty, Sovereign Risk Premia and the Contingent Importance of the Bond Vigilantes
Metroeconomica, EarlyView.ABSTRACT This paper investigates the implications of output gap uncertainty for the conduct of fiscal policy using a small‐scale macroeconomic model with boundedly rational agents. Specifically, agents use an adaptive updating mechanism to approximate the unobservable potential output that suffers, similarly to the Hodrick and Prescott (1997) filter ...
Christian R. Proaño, Jonas Dix
wiley +1 more source
Accounting for Cross‐Country Differences in Output Per Worker: A Sectoral CES Perspective
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT The standard macroeconomic literature suggests that richer countries employ more productive technologies. Removing technological disparities between countries would hence narrow the substantial variation in output per worker across countries.
Jan Trenczek, Konstantin M. Wacker
wiley +1 more source
Pension Systems (Un)sustainability and Fiscal Constraints: A Comparative Analysis
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Using an overlapping generations model, two new indicators of public pension system sustainability are proposed: the pension space, which measures the capacity to pay for pension expenditures out of labour taxation, and the pension space exhaustion probability reflecting demographic uncertainties.
Burkhard Heer +2 more
wiley +1 more source