Dynamic bank runs: an agent-based approach

Journal of Economic Interaction and Coordination - This paper simulates bank runs by using an agent-based approach to assess the depositors’ behavior under various scenarios in a...     

中国金融发展与经济增长经验分析

本文通过设计金融发展规模、金融结构、金融效率等变量,运用中国1981—2002年间的时间序列数据对中国金融发展与经济增长之间的关系进行了Granger因果检验。分析结果显示,在1981—1991年间,金融发展和经济增长之间的因果关系并不明显;而当金融体系发展到一定程度时,这种因果效果才明显地体现出来,即在1992～2002年期间,金融发展成为经济增长的直接原因。从不同金融结构、金融效率与经济增长的角度进行考察发现,在1992～2002年间,银行结构变迁与银行效率提升是经济增长的直接原因,银行体系的发展对经济增长起到了一定的促进作用;而经济增长却是非银行结构变迁与非银行效率提升的直接原因,正是我国经济增长的必然要求促进了股票市场与债券市场在一定程度上的发展。因而,目前中国的金融发展与经济增长的关系处于银行体系“供给领先型”与资本市场“需求追随型”的混合阶段,这是中国经济成长过程的必然选择。     

Combining monetary policy and prudential regulation: an agent-based modeling approach

This paper explores the interaction between monetary policy and prudential regulation in an agent-based modeling framework. Firms borrow funds from the banking system in an economy regulated by a central bank. The central bank carries out monetary policy, by setting the interest rate, and prudential regulation, by establishing the banking capital requirement. Different combinations of interest rate rule and capital requirement rule are evaluated with respect to both macroeconomic and financial stability. Several relevant policy implications were drawn. First, the efficacy of a given capital requirement rule or interest rate rule depends on the specification of the rule of the other type it is combined with. More precisely, less aggressive interest rate rules perform better when the range of variation of the capital requirement is narrower. Second, interest rate smoothing is more effective than the other interest rate rules assessed, as it outperforms those other rules with respect to financial stability and macroeconomic stability. Third, there is no tradeoff between financial and macroeconomic stability associated with a variation of either the capital requirement or the smoothing interest rate parameter. Finally, our results reinforce the cautionary finding of other studies regarding how output can be ravaged by a low inflation targeting.

     

Macroeconomic implications of mortgage loan requirements: an agent-based approach

It is a well-known fact that the housing market, with its associated mortgage securities, plays a crucial role in modern economies. The recent crisis of 2007, triggered by the U.S. real estate bubble, confirms this key role and suggests the importance of regulating mortgage lending. This paper investigates these issues by designing a housing market with a linked mortgage lending instrument in the Eurace agent-based model. Our results show that the presence of a housing market in the model has relevant macroeconomic implications, driven mainly by the additional amount of endogenous money injected into the economy by new mortgages. This additional money generally helps to support and stabilize aggregated demand, thus improving the main economic indicators. However, if the regulation of mortgage lending is too lax, involving an increase in the debt-service-to-income ratio (DSTI), then the additional supply of mortgages no longer enhances macroeconomic performance, and the stability of the economic system is undermined. Based on a number of recent discussions, a regulation of stock control that targets households’ net wealth (a stock), rather than income (a flow) is designed and analyzed. The results show that regulation of stock control can be combined effectively with DSTI to increase the stability of the housing market and the economy as a whole. Interestingly, the regulation based on stock control also directly affects mortgage distribution among households, avoiding excessive concentration. From a policy perspective, our results suggest that the use of a mild flow control regulation, coupled with a stricter stock control measure, fosters sustainable growth and eases first-time buyers access to the housing market, encouraging homeownership.

     

County capital cities,county public finance and county economic geography

We are interested in the county governments role for the county seat economy. Our suggestion is this: Rather than discuss changes in county seat location at a given budget (representing a rare natural experiment), we should look at changes in county budget holding fixed county seat location (yielding a steady flow of observations). In the papers model changes in the county budget translate into changes in county seat employment. In the papers empirical test against a sample of German county seats we find it difficult to reject this.Received: February 2003, Accepted: Accepted May 2004JEL Classification: R53, H72, R23Kristof Dascher: I have benefitted from comments by three anonymous referees. I am also grateful for financial support from the CEPR research network on Foreign Direct Investment and the Multinational Organization, funded by the European Commission under contract number ERBFMRXCT980215.     

互联网金融促进经济增长机制研究

本文从互联网金融促进经济增长机制的视角出发,在论证它是一类金融模式,归纳出它具有普惠金融、创新、知识技术密集型、产业集群化发展、支付快捷、交易成本低、信息透明和风险显性伴生等特点的基础上,引入马克思关于经济增长的理论,构建放松的古典—马克思经济增长模型,分析互联网金融通过提升资本保存率,增加资本积累,促进人力资本提升,在技术、产品和服务等领域的多重叠加创新,促进产业融合,降低经济发展成本等多种机制,能够促进社会经济增长.最后根据我国互联网金融发展现状提出几点建议.     

A cointegration approach to modeling human capital formation,self-employment,and economic growth: evidence from Pakistan

This study aims to empirically investigate the dynamics of relationship among human capital formation, self-employment (SE), and economic growth in Pakistan. Using quarterly data of primary school enrollment, SE, and GDP per capita, we employed ARDL bound testing approach to cointegration covering the time span of 1995–2010. We found that in the long run, primary school enrollment, high school enrollment and SE have significant impact on economic growth. Enrollment in primary schools (EP) has a strong positive and significant impact on economic growth, whereas enrollment in high school has a relatively small positive and significant impact on economic growth in the long run in Pakistan. Further, SE has a small, positive and significant impact on economic growth in the long run. In short run, enrollments in high schools and SE have weak positive impact on economic growth whereas, EP has a strong positive and significant impact on economic growth in Pakistan. Further it is found that that there is unidirectional long run causality from self employment to economic growth followed by the bidirectional short run causality between economic growth and high school enrollment, GDP per capita and primary school enrollment, high school enrollment and primary school enrollment.     

The distribution of wealth: an agent-based approach to examine the effect of estate taxation,skill inheritance,and the Carnegie Effect

Journal of Economic Interaction and Coordination - Wealth inequality has been a topic of recent interest worldwide. One means to address wealth inequality may be through estate taxation. To study...     

Scale-free distribution as an economic invariant: a theoretical approach

The presence of power laws (scale-free distributions) in widely different economic and social phenomena is well established. Here we focus on three specific cases viz. wealth distribution, firm size distribution and the city size distribution. We present a common framework to explain the origin of this feature in such seemingly unrelated contexts. It is shown that the equilibrium configurations of some general economic mechanisms are consistent with a power law in general and Zipf’s law in particular, in size distribution and it is an attractor under some conditions.     

Agricultural exports and economic growth in Pakistan: an econometric reassessment

Agriculture sector works as backbone of Pakistan economy. In this modern era, exports work as locomotive of growth train. Pakistan earned a handsome amount through exports of agricultural raw material and refined products. This research investigates that either there is unidirectional or bidirectional association between agricultural exports and economic growth in Pakistan? For empirical investigation of relationships between economic growth and agricultural exports in Pakistan this study used most reliable econometric estimation tools, augmented Dickey–Fuller unit root test, Johansen co-integration and Engle–Granger causality tests for 45 time series annul observations from 1970 to 2014. This research winds up that Pakistan’s agricultural exports have positive but insignificant association with gross domestic product growth. It is due to the primary and raw material agricultural products exports which cannot compete in international markets due to close competitions, lower quality and dearer price. Consequently, receive a trifling amount as exports earnings; contribute slightly in national economic growth.     

Complementarity,fiscal decentralization and economic growth

Theories of the voluntary provision of public goods and development economics have clarified that complementarity in the production process is a crucial ingredient to understanding how alternative economic environments affect economic performance. This paper examines how the structures of intra- and inter-regional complementarity affect the relationship between economic growth and fiscal decentralization. We provide a theory that describes how fiscal decentralization affects economic growth under various structures of regional complementarity. Our empirical analysis, based on a panel data set of the fifty states of the United States over the period of 1992–1997, supports our theoretical specification of the production function. Also, we observe a hump-shaped relationship between fiscal decentralization and economic growth that is consistent with our theoretical result. Our analysis also shows that the optimal degree of fiscal decentralization conducive to economic growth is higher than the average of the data in some cases, and hence further decentralization is recommended for economic growth. The previous version of the paper was presented at the 59th Congress of the International Institute of Public Finance (University of Economics in Prague, Prague), the 2003 Fall Meeting of the Japanese Economic Association (Meiji University, Tokyo), the 60th Annual Meeting of the Japanese Institute of Public Finance (Kansai University, Osaka), and in seminars at Yokohama National University and the University of California, Irvine. The authors acknowledge the comments and discussions by people including Timothy Goodspeed, Kiyoshi Mitsui, Motohiro Sato, Etsuro Shioji, Tsunao Okumura, and Craig Parsons. We are also grateful for the comments by the Editor (Amihai Glazer) and two anonymous referees. The usual disclaimer applies. Nishimura acknowledges the financial support from JSPS (Japan Society for the Promotion of Science) Postdoctoral Fellowships for Research Abroad.     

Capital utilization, economic growth and convergence

Optimal decisions by economic agents regarding the utilization of capital lead to empirically plausible speeds of convergence in one-sector models of economic growth. The relationship between depreciation and capital utilization plays a crucial role in slowing down convergence to the steady state. Cross-country differences in the extent to which the capital utilization decision is internalized along the transition path may lead to differences in convergence rates, even for countries with similar initial and terminal conditions. Finally, by assuming a constant depreciation rate and full capital utilization, standard growth models may be overstating the magnitude of the steady-state equilibrium.     

Entrepreneurship,income distribution and economic growth

Traditionally different factors and variables have been considered in the economic growth models. Following Solow’s model, economists considered physical capital and technology during 1950s–1980s. With the introduction of endogenous growth models, new forms of capital were introduced in the production function; human capital, public capital and more recently social capital. However, the consideration of qualitative variables is necessary to improve the economic growth analysis. The improvement of statistical information has favored their introduction in the economic growth models. Recently, “entrepreneurship” concept has been considered in this type of analysis. Entrepreneurship considers the capacity and ability to create new business and production activity. It is an activity not an occupation. Some authors like Schumpeter have included it in their models and they have analysed its effects on economic growth. But it is also necessary to include the role of social climate, that in a schumpterian way it could be represented by income distribution. The main objective of the paper is to analyze the relationship between entrepreneurship, income distribution and economic growth following the ideas developed by Schumpeter and we will contrast them from a empirical analysis using the GEM (Global Entrepreneurship Monitor) data.     

Dynamic patterns in similarity-based cooperation: an agent-based investigation

Understanding what motivates and fosters collective actions has major implications in the governance and management of organizations, in the regulation and design of public policies, and has long attracted the interests of scholars and practitioners in business and economics. This paper deals with how groups of agents emerge in a dynamic contest characterized by lack of formal structure and uncertainty regarding the possible individual outcomes, focusing on the features of the cooperators and on the dynamics emerging among them. Through the development of a stylized agent-based model we start by showing how similarity in values can be a successful driver for cooperation but are also able to highlight the limits of such process, by looking at how and how much agents cooperate with similar others. A second-version of the model, where memory of past interactions has a role, introduces further dynamics and is able to create successful and relatively stable groups.     

Convex incentives in financial markets: an agent-based analysis

We investigate whether convex incentive contracts are a source of instability of financial markets as indicated by the results of a continuous double-auction asset market experiment performed by Holmen et al. (J Econ Dyn Control 40:179–194, 2014). We develop a model to replicate the setting of the experiment and perform an agent-based simulation where agents have linear or convex incentives. Extending the simulation by varying features of actual asset markets that were not studied in the experiment, our main results show that increasing the number of convex incentive contracts increases prices and volatility and decreases market liquidity, measured both as bid–ask spreads and volumes. We also observe that the influence of risk aversion on traders’ decisions decreases when there are convex contracts and that increasing the differences in initial wealth among the traders has similar effects as increasing number of convex incentive contracts.     

Systemic financial risk indicators and securitised assets: an agent-based framework

The paper presents an agent-based model of a credit economy which includes a securitisation process and a bailout mechanism for bank bankruptcies. Within this framework, banks are able to sell mortgages to a financial vehicle corporation, which finances its activity by creating mortgage-backed securities and selling them to a mutual fund. In turn, the mutual fund collects liquidity by selling shares to households and remunerates them with a monthly interest. The impact of this mechanism is analysed by means of computational experiments for different levels of banks’ securitisation propensity. Furthermore, we study a set of systemic risk indicators which have the aim of assessing the imbalances in the financial system. Two of them are the mortgage-to-GDP ratio and the capital adequacy ratio, which are constructed to detect only the on-balance sheet changes in banks’ credit exposure. We consider two additional indicators, similar to the previous ones with the only difference that they are also able to account for the off-balance sheet items. Moreover, we adopt an indicator, the so-called “virtuous–unvirtuous cycle” indicator, which, besides off-balance assets, targets also the GDP. The results show that higher securitisation propensity weakens the financial stability of banks with relevant effects on different sectors of the economy. Most importantly, the analysis of systemic risk reveals the important issue of designing suitable systemic risk indicators for predicting incoming financial crises, finding that an essential feature of these indicators should be to integrate banks’ off-balance sheet assets.

     

The information revolution,innovation diffusion and economic growth: an examination of causal links in European countries

Quality & Quantity - Over the last 5 decades, the economic landscape in Europe has been transformed rapidly due to innovation, digitisation of the economy, and emergence of new sources of...     

Endogenous lifetime,accidental bequests and economic growth

This paper introduces the concept of unintentional bequests in a closed economy à la Chakraborty (J Econ Theory 116:119–137, 2004) with overlapping generations. We show that scarce public investments in health can lead to poverty traps depending on the relative size of the output elasticity of capital. More importantly, the existence of unintentional bequests, rather than a market for annuities, means that health tax rates play a prominent role in determining the stability of the long-term equilibrium in rich economies. In fact, Neimark–Sacker bifurcations and endogenous fluctuations occur depending on the size of the public health system.     

Foreign direct investment, trade openness and economic growth in pakistan and turkey: an investigation using bounds test

In the literature empirical evidences regarding export-led growth (ELG), FDI-led exports, and growth-driven exports (GDE) hypotheses have been mixed and inconclusive. This paper uses the autoregressive distributed lags (ARDL) model (Pesaran and Shin, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, 1990) and tests the existence of long run equilibrium relationship between the determinants of growth during the period 1975?C2004 for Pakistan and Turkey. The results indicate that in the short run there is bi-directional causal relationship between trade openness and exports for Pakistan and FDI and exports relationship for Turkey. The long run relationship results support the growth-driven exports hypothesis for Turkey and openness-growth nexus in Pakistan.