Creator: Gintis, Herbert. Series: Monetary theory and financial intermediation Abstract:
This paper develops the Kiyotaki-Wright model of monetary general equilibrium in which trade is bilateral and enforced by requiring that transactions be quid pro quo, and studies which goods are chosen, and under what conditions, as media of exchange. We prove the existence of a rational expectations equilibrium in which agents' expectations concerning trading opportunities are realized in the present and all future periods. We also show that, exceptional cases aside, no rational expectations barter equilibrium exists; that an equilibrium generally supports multiple money goods; and that a fiat money (i.e., a good that is produced, has minimum storage costs, but is not consumed) cannot be traded in rational expectations equilibrium.
学科: C62 - Mathematical methods and programming - Existence and stability conditions of equilibrium and D51 - General equilibrium and disequilibrium - Exchange and production economies
Creator: Kareken, John H. and Wallace, Neil. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 153 Abstract:
In this paper we consider a particular international economic policy regime: the laissez-faire regime, the distinguishing features of which are unrestricted portfolio choice and floating exchange rates. And as we show, that regime, although favored by many economists, is not economically feasible. It does not have a determinate equilibrium. That is an implication of an over-lapping-generations model. But as we argue in the paper, that is no reason for doubting the indeterminacy of the laissez-faire regime equilibrium.
关键词: Overlapping generations, Laissez-faire regime, International economic policy, and Foreign exchange rate 学科: F31 - International finance - Foreign exchange and D53 - General equilibrium and disequilibrium - Financial markets
Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 175 Abstract:
Game theory is both at the heart of economics and without a definitive solution. This paper proposes a solution. It is argued that a dominance criterion generates a, and perhaps the, generalized equilibrium solution for game theory. First we provide a set theoretic perspective from which to view game theory, and then present and discuss the proposed solution.
关键词: Nash equilbrium, Equilibria, and Dominance 学科: C72 - Noncooperative Games, C68 - Computable General Equilibrium Models, and C70 - Game Theory and Bargaining Theory: General
Creator: Fernandez-Villaverde, Jesus. and Rubio-Ramírez, Juan Francisco. Series: Joint committee on business and financial analysis Abstract:
This paper presents a method to perform likelihood-based inference in nonlinear dynamic equilibrium economies. This type of models has become a standard tool in quantitative economics. However, existing literature has been forced so far to use moment procedures or linearization techniques to estimate these models. This situation is unsatisfactory: moment procedures suffer from strong small samples biases and linearization depends crucially on the shape of the true policy functions, possibly leading to erroneous answers. We propose the use of Sequential Monte Carlo methods to evaluate the likelihood function implied by the model. Then we can perform likelihood-based inference, either searching for a maximum (Quasi-Maximum Likelihood Estimation) or simulating the posterior using a Markov Chain Monte Carlo algorithm (Bayesian Estimation). We can also compare different models even if they are nonnested and misspecified. To perform classical model selection, we follow Vuong (1989) and use the Kullback-Leibler distance to build Likelihood Ratio Tests. To perform Bayesian model comparison, we build Bayes factors. As an application, we estimate the stochastic neoclassical growth model.
关键词: Likelihood-based inference, Dynamic equilibrium economies, Sequential Monte Carlo methods, and Nonlinear filtering 学科: C15 - Statistical Simulation Methods: General, C13 - Estimation: General, C10 - Econometric and Statistical Methods and Methodology: General, and C11 - Bayesian Analysis: General
Creator: Kahn, Charles M. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 266 Abstract:
In this article we use the techniques developed in examining optimal contracting with imperfect information to build a simple equilibrium model of a labor market with imperfect information. We then use the model to examine the effects that imperfect information imposes on labor markets, particularly when compared with full information and noncontractual base lines. We demonstrate that quits increase in periods of high output, without postulating exogenous price rigidity.
关键词: Spot markets, Information, Job change, Quitter, Job search, and Employment 学科: J24 - Demand and supply of labor - Human capital ; Skills ; Occupational choice ; Labor productivity and D80 - Information, knowledge, and uncertainty - General
Creator: Altug, Sumru. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 286 Abstract:
This paper characterizes the behavior of investment expenditures, optimal capital stocks, and real interest rates in the time-to-build model of investment. These results are used to show that the delivery lag model of investment fails to account for time lags in investment when constructing the cost of capital variable and hence, misspecifies the effects of interest rates on investment expenditures. Second, this paper derives equilibrium pricing relationships involving the prices of existing capital and uses these relationships to obtain simple tests of the underlying investment technology. Despite the widespread use of 'q' in the empirical investment literature, it is shown that the relationship between current investment and an appropriately defined measure of Tobin's 'q' contains no such testable implications. Finally, it is shown that the practice of using stock market data to measure the price of existing capital is invalid when time lags exist in the investment process.
关键词: Time lag, Equilibrium pricing, Capital stocks, and Lag 学科: E22 - Macroeconomics : Consumption, saving, production, employment, and investment - Capital ; Investment ; Capacity