This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin, 1989, Epstein and Zin, 1991 and stochastic volatility. Models with these two features have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that perturbations are competitive in terms of accuracy with Chebyshev polynomials and value function iteration while being several orders of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems. 相似文献
We analyze capital requirements if banks compete for loans and deposits. Banks and firms are subject to a risk-shifting problem. The ambiguous effect of competition on banks’ risk-taking translates into an ambiguous effect of capital requirements on financial stability. 相似文献
In this paper, we give an example in which the price of tradable emission permits increases despite firms’ adoption of less
polluting technology, a result that is in contrast with Montero (J Environ Econ 44:23–44, 2002) and Parry (J Regul Econ 14:229–254,
1998), among others. If two Cournot players switch to a cleaner technology, the price for permits may increase due to an increase
in the net demand for permits and a decrease in the net supply of permits after the clean technology is adopted. This is only
the case when output demand is quite elastic. 相似文献
Firms increasingly rely upon external actors for their innovation process. Interaction with these actors may occur formally
(i.e. through a collaboration agreement) or informally (i.e. external actors acts as sources of information). We analyze the
reasons why firms consider it to be important to develop formal and informal external linkages in the innovation process by
looking at the role played by firms’ innovative strategies and by taking into account the possibility that a complementarity
or substitutive relationship might exist between formal and informal linkages. Data are from the Third Community Innovation
Survey (CIS 3), where we have access to firm level micro-data from Sweden, Norway, the Netherlands and the UK. 相似文献
This paper investigates the financial market´s perception regarding the effectiveness of the Single Supervisory Mechanism in Europe. Do investors believe that centralized supervision adds value compared to multiple supervision? . Do they feel uncertain about the supervisory role of the ECB? To answer these questions, a sample of 118 European Banks has been used finding that whereas in early dates the market reaction was positive reflecting the expectation of greater stability, it turned negative at the time the scope of the supervision was limited to only a group of banks. As might be expected, the reaction is significantly more negative for the directly supervised entities, anticipating a different and more demanding style of supervision that could lead to higher cost. This negative wealth effect is intensified for banks with higher price-to-book ratios or those located in countries with more developed financial systems and better investor protection. However, solvency and productivity firm indicators or low levels of perceived corruption moderate it. This research not only highlights the doubts and uncertainty of investors about the final applications of the SSM, but it could be also useful for policy makers and regulators in order to achieve a more harmonized supervision that improves the credibility of the systems and promote financial stability.
Technological innovations have been investigated by means of substitution and diffusion as well as evolution models, each of them dealing with different aspects of the innovation problem. In this paper we follow the well known research traditions on self-organisation models of complex systems. For the first time in the literature we show the existence of a specific niche effect, which may occur in the first stage of establishment of a new technology. Using a stochastic Master equation approach, we obtain analytical expressions for the survival probabilities of a new technology in smaller or larger ensembles. As a main result we demonstrate how a hyperselection situation might be removed in a stochastic picture and thresholds against the prevailing of a new technology in a step-by-step process can be overcome. 相似文献
Using a detailed survey on Spanish workers, this paper investigates the relationship between firm size and working conditions, the extent to which firm size differences in workers' job satisfaction can be accounted for by differences in their work environment and the impact of firm size on workers' quit intentions. The results indicate that: (1) employees in larger firms face a worse work environment; (2) working in large firms significantly reduces job satisfaction when no controls for working conditions are included, but taking them into account makes differentials across size categories statistically insignificant; and (3) no systematic differences exist in intentions to quit across firm size categories, irrespective of conditioning on wages. 相似文献
We consider a pure exchange economy with a finite set of types of agents which have incomplete and asymmetric information
on the states of nature. Our aim was to describe the equilibrium price formation and analyze how the lack of information may
affect the allocation of resources. To do so, we adapt to an asymmetric information scenario a variant of the Shapley–Shubik
game introduced by Dubey and Geanakoplos (J Math Econ 39:391–400, 2003 ). 相似文献
In the field of territorial economic growth, it is possible to identify important characteristics in the entrepreneurial structure,
such as the structure of the size of firms, main activity sectors, or the degree of innovation. However, other lesser known
characteristics are important also, such as functional dependency, which considers the relationship between small and medium
enterprises (SMEs), and suppliers and clients belonging to any territorial field or productive dependency, which considers
the level of concentration in terms of buying and selling in connection with the main suppliers and clients, respectively.
In order to empirically contrast the importance of these entrepreneurial characteristics and try to relate them with territorial
economic growth, a sample of 400 enterprises in the province of Seville (Spain) is used.
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