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Author: Hiroshi Ochiai Publisher: ISBN: Category : Languages : en Pages :
Book Description
In the second chapter, we consider a mechanism of unstable fluctuations of aggregate investments by means of a global game approach. For this purpose, we extended a static global game to a dynamic one and paid attention to the effect of past aggregate investments on current profitability. Once this effect of aggregate investments between periods is taken into account, we can show that firms' equilibrium strategies of investments become highly volatile over time. Moreover, long persistence of high or low economic activity can be explained by this model as well. The third chapter examines the effect of firms' funding liquidity on macroeconomic dynamics and the role of liquidity markets. Here, we regard liquidity as firms' accumulated net worth and introduce heterogeneity between firms with regard to their productivities and accumulation of their net worth. From our analysis, we show that under existence of externality between probabilities of liquidity shocks 1) the economy without liquidity markets is highly volatile. 2) Liquidity markets insulate the economy from liquidity shocks. 3) During an unstable economic environment, the economic activity can sharply drop in the existence of liquidity markets. The fourth chapter aims at showing risk shifting behaviour of financial intermediaries in the context of an economic growth model to analyze financial crises. In the low capitalized economy in which a rate of return on safe assets is high and households' assets are scarce, investing in corporate sectors is more profitable than that of risky assets because the option value from investing in risky assets is low. However, as the economy grows, the rate of return on safe assets is decreasing whereas individual assets are increasing. In this situation, the option values of risky assets are increasing, which gives banks incentive to invest in risky assets leading some of the banks to be insolvent.
Author: Hiroshi Ochiai Publisher: ISBN: Category : Languages : en Pages :
Book Description
In the second chapter, we consider a mechanism of unstable fluctuations of aggregate investments by means of a global game approach. For this purpose, we extended a static global game to a dynamic one and paid attention to the effect of past aggregate investments on current profitability. Once this effect of aggregate investments between periods is taken into account, we can show that firms' equilibrium strategies of investments become highly volatile over time. Moreover, long persistence of high or low economic activity can be explained by this model as well. The third chapter examines the effect of firms' funding liquidity on macroeconomic dynamics and the role of liquidity markets. Here, we regard liquidity as firms' accumulated net worth and introduce heterogeneity between firms with regard to their productivities and accumulation of their net worth. From our analysis, we show that under existence of externality between probabilities of liquidity shocks 1) the economy without liquidity markets is highly volatile. 2) Liquidity markets insulate the economy from liquidity shocks. 3) During an unstable economic environment, the economic activity can sharply drop in the existence of liquidity markets. The fourth chapter aims at showing risk shifting behaviour of financial intermediaries in the context of an economic growth model to analyze financial crises. In the low capitalized economy in which a rate of return on safe assets is high and households' assets are scarce, investing in corporate sectors is more profitable than that of risky assets because the option value from investing in risky assets is low. However, as the economy grows, the rate of return on safe assets is decreasing whereas individual assets are increasing. In this situation, the option values of risky assets are increasing, which gives banks incentive to invest in risky assets leading some of the banks to be insolvent.
Author: Mukul Majumdar Publisher: Springer ISBN: 1349116963 Category : Business & Economics Languages : en Pages : 374
Book Description
Over the last 40 years, Professor David Gale has played a leading role in developing two themes of fundamental importance to economic theory. As a tribute to his creative research, this volume contains contributions from some leading researchers who explore different directions in these areas.
Author: Giovanni Dosi Publisher: Edward Elgar Publishing ISBN: 9781782541851 Category : Business & Economics Languages : en Pages : 728
Book Description
Conventional economic analysis of property rights in natural resources is too narrow and restrictive to allow for effective comparisons between alternative institutional structures. In this book, a conceptual framework is developed for the analysis of the
Author: Youngjin Hwang Publisher: ISBN: Category : Languages : en Pages : 256
Book Description
This thesis consists of three essays on aggregate and individual consumption fluctuations. Chapter 1 develops a quantitative model to explore aggregate and individual consumption dynamics when the income process exhibits regime-switching features, and compares its performance with the conventional linear model. For this purpose, I consider an economy populated by a large number of consumers whose incomes are subject to both aggregate and idiosyncratic shocks. The notable element of the model is that a latent regime-switching stochastic variable governs both the trend growth of the aggregate component and the counter-cyclical variances of the idiosyncratic components in individual earnings. I demonstrate that the model can provide a reasonable description of the cyclical behavior of actual consumption fluctuations, and can successfully replicate some key empirical properties of aggregate consumption growth, such as smaller volatility than income growth, greater volatility in recessions than in expansions, and a negatively skewed and leptokurtic distribution, while the typical linear model fails to do so.
Author: Hiroshi Ochiai
Author: Hiroshi Ochiai
Author: Weh-Sol Moon
Author: Alexander Hempfing
Author: Eran Alan Guse
Author: Edward Mitsuhiro Feasel
Author: R.M. Goodwin
Author: Mukul Majumdar
Author: Giorgio Fagiolo
Author: Giovanni Dosi
Author: Youngjin Hwang