Nonlinear dynamics of gold and the dollar

Notwithstanding the widely held view that gold and the dollar are negatively correlated, we ask when and why gold and the dollar sometimes depart from their typical inverse relationship and go so far as to move in parallel. Using a threshold vector error correction model (VECM), we investigate the nonlinear relationship between gold and the dollar. We find evidence of short run positive correlation between gold and the dollar under extreme market conditions. Our result suggests that the hedging property of gold is influenced by the gold-dollar threshold process.     

Nonlinear dynamics of interest rate and inflation

According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one‐for‐one in the long run, which is incongruent with theoretical models. In this paper we introduce a new nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1953 : II–2004 : IV) reasonably well. It is found that the three‐month Treasury bill rate and inflation share a common nonlinear component that explains a large part of their persistence. The real interest rate is devoid of this component, indicating one‐for‐one movement of the nominal interest rate and inflation in the long run and, hence, stationarity of the real interest rate. Copyright © 2006 John Wiley & Sons, Ltd.     

Nonlinear optimal control of coupled time-delayed models of economic growth

Decisions in Economics and Finance - The article proposes a novel nonlinear optimal control method for the dynamics of coupled time-delayed models of economic growth. Distributed and interacting...     

Nonlinear dynamics and recurrence plots for detecting financial crisis

Identification of financial bubbles and crisis is a topic of major concern since it is important to prevent collapses that can severely impact nations and economies. Our analysis deals with the use of the recently proposed ⿿delay vector variance⿿ (DVV) method, which examines local predictability of a signal in the phase space to detect the presence of determinism and nonlinearity in a time series. Optimal embedding parameters used in the DVV analysis are obtained via a differential entropy based method using wavelet-based surrogates. We exploit the concept of recurrence plots to study the stock market to locate hidden patterns, non-stationarity, and to examine the nature of these plots in events of financial crisis. In particular, the recurrence plots are employed to detect and characterize financial cycles. A comprehensive analysis of the feasibility of this approach is provided. We show that our methodology is useful in the diagnosis and detection of financial bubbles, which have significantly impacted economic upheavals in the past few decades.     

单自由度车辆系统动力学方程的非线性分析

文章根据车辆悬挂系统,建立非线性弹簧与线性阻尼的单自由度系统模型,运用平均法求出系统的幅频响应函数,根据幅频响应曲线讨论了车体质量,激励幅值,阻尼系数,弹簧刚度对曲线的影响,所得结果为车辆悬挂系统参数的选取提供了依据。     

The dynamics of economic convergence: The role of alternative investment decisions

In this paper we evaluate how various investment decisions explain the macroeconomic dynamics of European transition countries. We introduce quality investment decisions into a model with other two standard investment margins assumed in the advanced trade literature, i.e., investment in new varieties and in export eligibility. We show that the standard investment margins are not sufficient to simultaneously match the dynamics in the macroeconomic variables, especially the export performance and the real exchange rate. In contrast, the extended model with quality investment provides reconciliation.     

Modeling regional economic dynamics: Spatial dependence,spatial heterogeneity and nonlinearities

Spatial modeling of economic phenomena requires the adoption of complex econometric tools, which allow us to deal with important methodological issues, such as spatial dependence, spatial unobserved heterogeneity and nonlinearities. In this paper we describe some recently developed econometric approaches (i.e. Spatial Autoregressive Semiparametric Geoadditive Models), which address the three issues simultaneously. We also illustrate the relative performance of these methods with an application to the case of house prices in the Lucas County.     

The dynamics of structural change: a model of economic development and urbanization

A system model is constructed for stimulating the development dynamics of a class of developing countries. The interrelations among socio-economic variables, feedback relations and the recursive relationship of intertemporal solutions are emphasized. For some plausible values of parameters and initial conditions, the model generates results generally consistent with the experience of many developing economies. Emerging from the dynamics are rapid urbanization accompanied by little industrial growth, increasingly unbalanced spatial distribution of population, ever-worsening distribution of income, unemployment and under-employment in both rural and urban areas, and other familiar features of the developing world unexplained by comparative-static equilibrium models.     

Specification and estimation of spatial econometric models: A discussion of alternative strategies for spatial economic modelling

The semantical insufficiency of (spatial) economic theories necessitates the making of additional assumptions — thereby introducing substantial specification uncertainty — in order to arrive at a fully specified econometric model. The traditional or current approach to econometric modelling treats specification uncertainty inadequately. This proposition is illustrated by two well-known examples from the spatial economic literature. Two alternative specification strategies for spatial economic modelling — designed to improve the current spatial econometric modelling approach — are proposed. One of these strategies is used for a specification analysis of agricultural output in Eire.     

Special functions for the study of economic dynamics: The case of the Lucas-Uzawa model

The special functions are intensively used in mathematical physics to solve differential systems. We argue that they should be most useful in economic dynamics, notably in the assessment of the transition dynamics of endogenous economic growth models. We illustrate our argument on the famous Lucas-Uzawa model, which we solve by the means of Gaussian hypergeometric functions. We show how the use of Gaussian hypergeometric functions allows for an explicit representation of the equilibrium dynamics of all variables in level. The parameters of the involved hypergeometric functions are identified using the Pontryagin conditions arising from the underlying optimization problems. In contrast to the pre-existing approaches, our method is global and does not rely on dimension reduction.     

Heterogeneous expectations,boom-bust housing cycles,and supply conditions: A nonlinear economic dynamics approach

We combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive expectation rules. The model results in a two-dimensional discrete-time nonlinear dynamical system. Based on realistic parameters, the model is able to generate endogenous boom-bust housing market dynamics with lasting periods of overvaluation and overbuilding. We thus exploit our model to investigate how real forces, in particular supply conditions, interact with expectations-driven housing market fluctuations.     

西部三大经济区城市经济增长收敛性研究

以塞尔指数衡量的我国西部三大经济区区域经济增长α收敛结果表明,西部大开发战略实施以来,该区域整体经济差异的主要构成为区域内经济差异,区域内差异与区域间差异之间存在着较大差距,而成渝经济区区域内经济差异所占整体经济差异的比重在三大经济区中最大。通过构建固定效应变系数条件收敛方程模型所进行的条件β收敛性分析进一步显示,在整体区域经济差异相对乐观的同时,区域核心城市经济增长多呈现发散状态,这将使该区域经济差异扩大。     

Nonlinear relationship between economic growth and nuances of globalisation with income stratification: Roles of financial development and governance

We study the effect of overall globalisation on economic growth in a neoclassical macroeconomic growth model. We further assess our model by considering the decomposed measures of globalisation including economic, political, and social globalisation components. To this end, we estimate panel data models by applying the cross-sectional dependency-autoregressive distributed lags (CS-ARDL) approach to a sample of 116 countries during the available period, 1980–2015. We classified our sample into upper middle-, lower middle-, and high-income groups to minimise country-specific heterogeneity. Our results affirm the presence of a quadratic (nonlinear) U-shaped relationship between the overall globalisation (including the economic, political, social components) and economic growth for the lower middle- and upper middle-income group. However, they provide evidence of a positive linear relationship between globalisation and economic growth for the high-income countries. Given the arguments that the impact of globalisation on growth is conditional on local financial development (FD) and quality of governance (QoG), we incorporate their role. We provide fresh evidence that the impacts of globalisation on economic growth are more profound in the countries with a higher QoG and a higher deepening of FD. We further check the robustness of our analysis applying the U test and dynamic generalised methods of moment approach. We also provide policy implications.     

Properties in science and their modelling

Properties in the usual sense are analyzed by means of the construction of an abstract property. Once constructed, the abstract property provides a useful tool for analyzing the nature of usual properties. This paper shows that such modelling allows to classify properties and to explicate their structure. Applications of this modelling to study of some classical and quantum physical quantities are also described.