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Economic Integration, Industrial Specialization, and the Asymmetry of Macroeconomic Fluctuations
Economic integration EMU risk sharing
2015/9/21
We show empirically that regions with a more specialized production structure exhibit output °uctuations that are less correlated with those of other regions (less \symmetric" °uctuations). Combined w...
New Econometric Approaches to Stabilization Policy in Stochastic Models of Macroeconomic Fluctuations
Stochastic Models Macroeconomic Fluctuations
2015/8/4
During the last 15 years econometric techniques for evaluating macroeconomic
policy using dynamic stochastic models in which expectations are consistent, or
rational, have been developed extensively...
Differences in Economic Fluctuations in Japan, the U.S. and Europe: The Role of Nominal Rigidities
Economic Fluctuations Nominal Rigidities
2015/8/4
This paper examines the differences between economic fluctuations in the
United States and Japan during the period from 1972 through 1986. During this
period the size of the fluctuations in real out...
We explore empirically models of aggregate fluctuations in which consumers form anticipations about the future based on noisy sources of information and these anticipations affect output in the short ...
In addressing the precipitous drop in trade volumes in the recent crisis, the real and financial explanations have sometimes been juxtaposed as competing explanations. However, they can be recon...
In addressing the precipitous drop in trade volumes in the recent
crisis, the real and financial explanations have sometimes been juxtaposed as competing explanations. However, they can be reco...
Relations between allometric scalings and fluctuations in complex systems: The case of Japanese firms
Relations between allometric scalings fluctuations complex systems Japanese firms
2012/9/14
To elucidate allometric scaling in complex systems, we investigated the underlying scaling rela-tionships between typical three-scale indicators for approximately 500,000 Japanese firms; namely,annual...
Critical Analysis of Electronic Simulation of Financial Market Fluctuations
financial market fluctuations risk estimations exhaustive analysis stability conditions
2011/9/16
An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power la...
Monetary and Exchange Rate Policy under Remittance Fluctuations
exchange rate regimes remittances small open economy
2011/8/21
Using data for the Philippines, I develop and estimate a heterogeneous agent model to analyze the role of monetary policy in a small open economy subject to sizable remittance fluctuations. I include ...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
Nonlinear Inflation Expectations and Endogenous Fluctuations
Monetary policy Taylor rule inflation expectations
2010/12/6
The standard new Keynesian monetary policy problem is presentable as a set of linearized equations, for values of endogenous variables relatively close to their steady-state. As a result, only three p...
Universal Fluctuations of AEX index
Econophysics Interdisciplinary Statistics Financial Market
2010/10/19
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the...
We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define ...
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily ret...
Universal Fluctuations of AEX index
Econophysics Interdisciplinary Statistics Financial Market BHP Universal fluctuations
2010/4/28
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the...