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Joseph Plasmans Jacob Engwerda Bas van Aarle Tomasz Michalak Giovanni Di Bartolomeo 《Scottish journal of political economy》2006,53(4):461-484
This paper studies the institutional design of the coordination of macroeconomic stabilization policies within a monetary union in the framework of linear quadratic differential games. A central role in the analysis plays the partitioned game approach of the endogenous coalition formation literature. The specific policy recommendations in the European Economic and Monetary Union (EMU) context depend on the particular characteristics of the shocks and the economic structure. In the case of a common shock, fiscal coordination or full policy coordination is desirable. When anti‐symmetric shocks are considered, fiscal coordination improves the performance but full policy coordination does not produce further gains in policymakers' welfare. 相似文献
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Van Aarle Bas Engwerda Jacob C. Plasmans Joseph E.J. Weeren Arie 《Open Economies Review》2001,12(1):29-60
In this article, we study macroeconomic stabilization in the Economic and Monetary Union (EMU) using a dynamic game approach. With the aid of a stylized macroeconomic model, this article analyzes the transmission and interaction of national fiscal policies and monetary policy of the European Central Bank (ECB) in the EMU. A special focus is on the effects of labor market institutions in the participating countries and of the introduction of fiscal stringency criteria like those imposed in the Stability and Growth Pact. 相似文献
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This paper analyzes some pros and cons of a monetary union for the ASEAN1 countries, excluding Myanmar. We estimate a stylized open-economy dynamic general equilibrium model for the ASEAN countries. Using the framework of linear quadratic differential games, we contrast the potential gains or losses for these countries due to economic shocks, in case they maintain their status-quo, they coordinate their monetary and/or fiscal policies, or form a monetary union. Assuming for all players open-loop information, we conclude that there are substantial gains from cooperation of monetary authorities. We also find that whether a monetary union improves upon monetary cooperation depends on the type of shocks and the extent of fiscal policy cooperation. Results are based both on a theoretical study of the structure of the estimated model and a simulation study. 相似文献
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COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS 总被引:1,自引:0,他引:1
The framework of coherent risk measures has been introduced by Artzner et al. (1999; Math. Finance 9, 203–228) in a single-period setting. Here, we investigate a similar framework in a multiperiod context. We add an axiom of dynamic consistency to the standard coherence axioms, and obtain a representation theorem in terms of collections of multiperiod probability measures that satisfy a certain product property. This theorem is similar to results obtained by Epstein and Schneider (2003; J. Econ. Theor. 113, 1–31) and Wang (2003; J. Econ. Theor. 108, 286–321) in a different axiomatic framework. We then apply our representation result to the pricing of derivatives in incomplete markets, extending results by Carr, Geman, and Madan (2001; J. Financial Econ. 32, 131–167) to the multiperiod case. We present recursive formulas for the computation of price bounds and corresponding optimal hedges. When no shortselling constraints are present, we obtain a recursive formula for price bounds in terms of martingale measures. 相似文献
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Bas?van AarleEmail author Giovanni Di?Bartolomeo Jacob?Engwerda Joseph?Plasmans 《Journal of Economics》2004,81(1):1-24
A highly integrated area like the EMU features a large amount of interactions between the participating countries. In this context the interactions of monetary and fiscal policies are a crucial issue. This paper focuses on how coalitions among policymakers are formed and discusses their effects on the stabilization of output and price. We emphasize the role played by the institutional design of cooperation forums (as, e.g., the ECOFIN). If the coalition formation game is played without communication among the policymakers, full cooperation is an unlikely outcome. On the other hand, if policymakers can communicate, full cooperation becomes a possible equilibrium, while the complete non-cooperative solution is, in general, not a stable equilibrium. This supports the view that institutions for discussions can play a crucial role in achieving international cooperation even when these institutions are not endowed with enforcement powers.revised version received August 1, 2003 相似文献
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Joseph Plasmans Jacob Engwerda Bas van Aarle Tomasz Michalak 《International Economics and Economic Policy》2009,6(2):135-156
This paper studies the effects of a monetary union enlargement using the techniques and outcomes from an extensive research
project on macroeconomic policy coordination in the EMU. Our approach is characterized by two main pillars: (i) linear-quadratic
differential games to capture externalities, spillovers and strategic behaviour of (fiscal and monetary) players; and (ii)
endogenous coalition formation concepts which enable us to study a creation and stability of different cooperation arrangements.
In this paper we focus on the first pillar and construct a multi-player linear-quadratic continuous-time model of 5 countries
and 4 central banks to evaluate effects of accession of a new member to an existing MU. Our findings stress the importance
of an asymmetric shock confirming basic results of the OCA theory. It comes out that in our setting it is never profitable
to enlarge the monetary union when there is a risk of an asymmetric shock. What is more, the potential losses from accession
are so high that it can be barely possible to design a transfer system to compensate for a worse situation of some countries.
相似文献
Joseph PlasmansEmail: |
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Jacob Engwerda Bas van Aarle Joseph Plasmans Arie Weeren 《Journal of Economic Dynamics and Control》2013,37(12):2525-2546
As a result of the recent financial crisis and the ensuing economic recession, fiscal deficits have soared in many OECD countries. As a consequence, government debt has been on the rise again after a period of stable or declining government debt. In this paper we analyze debt stabilization in a country that features endogenous risk premia, imposed by financial markets that evaluate the probability of debt default by governments. Endogenous risk premia arise by assuming, e.g., simple linear relations between risk premia and the level of debt. As a result the real interest rate on government debt can be written as a constant (measuring the risk-free real interest rate corrected for real output growth) plus an endogenous risk premium that depends on the debt level. We bring such an endogenous risk premium into Tabellini (1986) model and analyze the impact of it. This gives rise to a non-linear differential game. We solve this game for both a cooperative setting and a non-cooperative setting. The non-cooperative game is solved under an open-loop information structure. We present a bifurcation analysis w.r.t. the risk premium parameter. 相似文献
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In this paper we derive an algorithm that yields, for a discrete-time system, a control minimizing a quadratic cost functional. The system considered is linear and possesses an exogenous component. The cost functional is a quadratic tracking equation over an infinite time horizon with positive semi-definite weighting matrices such that a weighted sum of these matrices is positive definite. The infinite planning horizon Minimum Variance cost criterion and the Linear Quadratic regulator are special cases. For stabilizable systems we give a characterization of the asymptotically admissible reference trajectories. 相似文献