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Building on The Dynamics of Keynesian Monetary Growth by Chiarella and Flaschel (2000), this 2005 book is a key contribution to business cycle theory, setting out a disequilibrium approach with gradual adjustments of the key macroeconomic variables. Its analytic study of a deterministic model of economic activity, inflation and income distribution integrates elements in the tradition of Keynes, Metzler and Goodwin (KMG). After a qualitative analysis of the basic feedback mechanisms, the authors calibrate the KMG model to the stylized facts of the business cycle in the U.S. economy, and then undertake a detailed numerical investigation of the local and global dynamics generated by the model. Finally, topical issues in monetary policy are studied in small macromodels as well as for the KMG model by incorporating an estimated Taylor-type interest rate reaction function. The stability features of this enhanced model are also compared to those of the original KMG model.
Business cycles --- Equilibrium (Economics) --- DGE (Economics) --- Disequilibrium (Economics) --- DSGE (Economics) --- Dynamic stochastic general equilibrium (Economics) --- Economic equilibrium --- General equilibrium (Economics) --- Partial equilibrium (Economics) --- SDGE (Economic theory) --- Economics --- Statics and dynamics (Social sciences) --- Econometric models. --- Business, Economy and Management
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DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets, and what major theoretical and practical differences distinguish futures from forward contracts. The book proposes an approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework. The main ingredients that are used are the assumed absence of frictions and arbitrage opportunities in financial and real markets, the uniqueness of the economic general equilibrium, when such an equilibrium is required and the tools of continuous time finance, namely martingale theory and stochastic dynamic programming. The scope of DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is essentially theoretical, with emphasis on economic meaning and financial interpretation. Regarding investment and/or hedging, focus is on optimal strategies rather than on actual practice. Simulations, however, are performed when important insights can be delivered as to the practical relevance of some theoretical results. Also, optimal strategies using futures are shown to differ markedly from those using forwards. The following issues are examined: pure hedging, investment and hedging in complete or incomplete markets, currency risk, optimal spreading, presence of stochastic dividend or convenience yields, pricing of non-redundant futures or forwards by means of general equilibrium analysis, and revisiting of existing Capital Asset Pricing Models.
Capital assets pricing model. --- Hedging (Finance) --- Equilibrium (Economics) --- DGE (Economics) --- Disequilibrium (Economics) --- DSGE (Economics) --- Dynamic stochastic general equilibrium (Economics) --- Economic equilibrium --- General equilibrium (Economics) --- Partial equilibrium (Economics) --- SDGE (Economic theory) --- Economics --- Statics and dynamics (Social sciences) --- Options (Finance) --- Speculation --- Financial futures --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Investments --- Mathematical models --- Finance. --- Macroeconomics. --- Economic theory. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Economic theory --- Political economy --- Social sciences --- Economic man --- Funding --- Funds --- Currency question
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This collection of essays honors David Cass on the 30th anniversary of his joining the faculty of the Department of Economics at the University of Pennsylvania. Prof. Cass’s work has spawned a number of important lines of research in Economics, including the study of dynamic general equilibrium, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. These essays, by his students and co-authors, celebrate his work and his influence on the profession.
Equilibrium (Economics) --- Economics, Mathematical. --- Cass, David. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- DGE (Economics) --- Disequilibrium (Economics) --- DSGE (Economics) --- Dynamic stochastic general equilibrium (Economics) --- Economic equilibrium --- General equilibrium (Economics) --- Partial equilibrium (Economics) --- SDGE (Economic theory) --- Statics and dynamics (Social sciences) --- Methodology --- Cass, Davis --- Economic theory. --- Economics. --- Mathematics. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Economics, general. --- Game Theory, Economics, Social and Behav. Sciences. --- Math --- Science --- Economic theory --- Political economy --- Social sciences --- Economic man --- Economics, Mathematical --- 330.01 --- AA / International- internationaal --- Theorie van het economisch evenwicht --- Management science. --- Game theory. --- Games, Theory of --- Theory of games --- Mathematical models --- Quantitative business analysis --- Management --- Problem solving --- Operations research --- Statistical decision
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Foreign exchange rates --- Taux de change --- EEU / Central & Eastern Europe --- 333.825 --- 333.451.1 --- 333.450 --- -Equilibrium (Economics) --- -332.4560947 --- Disequilibrium (Economics) --- Economic equilibrium --- General equilibrium (Economics) --- Partial equilibrium (Economics) --- Economics --- Stagnation (Economics) --- Statics and dynamics (Social sciences) --- Exchange rates --- Fixed exchange rates --- Flexible exchange rates --- Floating exchange rates --- Fluctuating exchange rates --- Foreign exchange --- Rates of exchange --- Deviezenpolitiek. Interventies. --- Wisselkoersen. --- Theorie van het deviezenverkeer. Theorie van de koopkrachtpariteit. --- Rates --- DGE (Economics) --- DSGE (Economics) --- Dynamic stochastic general equilibrium (Economics) --- SDGE (Economic theory) --- 332.4560947 --- Deviezenpolitiek. Interventies --- Wisselkoersen --- Theorie van het deviezenverkeer. Theorie van de koopkrachtpariteit
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