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1.
Paolo Pellizzari Arianna Dal Forno 《Journal of Economic Interaction and Coordination》2007,2(1):27-43
We compare price dynamics of different market protocols (batch auction, continuous double auction and dealership) in an agent-based
artificial exchange. In order to distinguish the effects of market architectures alone, we use a controlled environment where
allocative and informational issues are neglected and agents do not optimize or learn. Hence, we rule out the possibility
that the behavior of traders drives the price dynamics. Aiming to compare price stability and execution quality in broad sense,
we analyze standard deviation, excess kurtosis, tail exponent of returns, volume, perceived gain by traders and bid-ask spread.
Overall, a dealership market appears to be the best candidate, generating low volume and volatility, virtually no excess kurtosis
and high perceived gain. 相似文献
2.
Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR 总被引:1,自引:0,他引:1
Alessandra Dal Colle 《Empirical Economics》2011,41(1):127-154
The main finding of the paper is that, contrary to Rousseau and Wachtel (Economic growth and financial depth. Is the relationship extinct already? UNU-Wider discussion paper no. 2005/10, 2005), a long-run equilibrium relationship between financial and economic development is identified with data up to 2006—well over the financial openness boom of the nineties—in countries whose history is characterized by numerous years of high inflation and/or episodes of crisis or other structural change. Also, financial openness, or lack thereof, proves to be an important feature both in explaining differences in sensitivity of financial development to capital accumulation and in determining the direction of causality between financial and economic development. The paper finds that bidirectional causality between economic and financial development is not as frequent an outcome as in Luintel and Khan (J Dev Econ 60:381–405, 1999), and in several cases, Joan Robinson’s (The generalization of the general theory in the rate of interest, and other essays, Macmillan, London, pp 67–142, 1952) statement on the primacy of economic development over finance is supported by the estimations. 相似文献
3.
The recent literature has analyzed binary choices dynamics providing interesting results. Most of these contributions consider interactions within a single group. Nevertheless, in some situations the interaction takes place not only within a single group but also between different groups. In this paper, we investigate the choice dynamics when considering two populations where one serves as a reference group. Considering this influence effect enriches the dynamics. Although the structurally stable resulting dynamics are attracting cycles only, with any positive integer period, the reference group makes the dynamics of the influenced population much more complex. We considered both the possibility that the reference group has the same or the opposite attitude toward the distribution over the choices. We show how the dynamics and the bifurcation structure are modified under the influence of the reference group. Our results illustrate how the propensity to switch choices in the reference groups may, indirectly, affect choices in the first group. 相似文献
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Many violent relationships are characterized by a high degree of cyclicality: women who are the victims of domestic violence often leave and return multiple times. To explain this we develop a model of time inconsistent preferences in the context of domestic violence. This time inconsistency generates a demand for commitment. We present supporting evidence that women in violent relationships display time inconsistent preferences by examining their demand for commitment devices. We find that no-drop policies – which compel the prosecutor to continue with prosecution even if the victim expresses a desire to drop the charges – result in an increase in reporting. No-drop policies also result in a decrease in the number of men murdered by intimates suggesting that some women in violent relationships move away from an extreme type of commitment device when a less costly one is offered. 相似文献
6.
Regulatory Capture: A Review 总被引:1,自引:0,他引:1
This article reviews both the theoretical and empirical literatureson regulatory capture. The scope is broad, but utility regulationis emphasized. I begin by describing the StiglerPeltzmanapproach to the economics of regulation. I then open the blackbox of influence and regulatory discretion using a three-tierhierarchical agency model under asymmetric information (in thespirit of Laffont and Tirole, 1993). I discuss alternative modellingapproaches with a view to a richer set of positive predictions,including models of common agency, revolving doors, informationallobbying, coercive pressure, and influence over committees.I discuss empirical work involving capture and regulatory outcomes.I also review evidence on the revolving-door phenomenon andon the impact that different methods for selecting regulatorsappear to have on regulatory outcomes. The last section containsopen questions for future research.
Footnotes
1 E-mail address: dalbo{at}haas.berkeley.edu 相似文献
7.
This article assesses the impact of trade, capital openness and institutions on emerging economies’ output loss during the “Great Recession.” The fixed-effect estimates of an unbalanced panel of 122 emerging countries observed from 2008 to 2010 yield three main results. First, trade openness has exacerbated output loss. Second, capital openness can help mitigate the negative impact of an external shock, but this is conditional on the level of financial development. Finally, the results also point out that the interrelations between financial and institutional development affect the crisis’s severity. 相似文献
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Social networks can be viewed as graphs in their basic form, but many networks of interest include positive and negative affect relations among nodes. The structural balance theory originally developed by Heider suggests how nodes may locally modify their relationships to maintain a sort of balance within sets of nodes. We analyze a model of leadership emergence in a social network and extend it by introducing structural balance among members when modeling the attitude toward the leader. This approach takes into account some of the mutual relationships among co-workers, including the adaptation process to achieve the balance. This component helps to explore differently the bounded rationality of agents when interacting, and prove the difficulty of finding a rapid and smooth covergent path to a social stable equilibrium. 相似文献
10.
We provide specific qualifications in order that Kuhn–Tucker type Euler equations and transversality conditions at infinity
hold in stochastic equilibrium models with heterogeneous agents and where assets are traded in sequential markets. It is not
assumed that uncertainty is modeled as an event-tree structure or that preferences are necessarily bounded. We also describe
an important class of preferences based on bounded relative risk aversion which yields relevant simplifications. Our results
are used to establish conditions that rule out asset pricing bubbles. Specific examples of economies with bubbles are also
discussed.
Received: 28 January 2002 / Accepted: 19 July 2002
We are grateful to the editor and an anonymous referee for their valuable comments. This research was partially supported
by MURST (Italy), National Group on “Nonlinear Dynamics and Stochastic Models in Economics and Finance”. 相似文献