Dynamic Modeling, Empirical Macroeconomics, and Finance (eBook)

Essays in Honor of Willi Semmler

Lucas Bernard, Unurjargal Nyambuu (Herausgeber)

eBook Download: PDF

2016 | 1st ed. 2016
XI, 325 Seiten
Springer International Publishing (Verlag)
978-3-319-39887-7 (ISBN)

Infos

This edited volume, with contributions by area experts, offers discussions on a range of evolving topics in economics and social development. At center are important issues central to sustainable development, economic growth, technological change, the economics of climate change, commodity markets, long wave theory, non-linear dynamic models, and boom-bust cycles. This is an excellent reference for academic and professional economists interested in emerging areas of empirical macroeconomics and finance. For policy makers and curious readers alike, it is also an outstanding introduction to the economic thinking of those who seek a holistic and all-compassing approach in economic theory and policy.  Looking into new data and methodology, this book offers fresh approaches in a post-crisis environment. Set in a profound understanding of the diverse currents within the many traditions of economic thought, this book pushes the established frontiers of economic thinking. It is dedicated to a leading scholar in the areas covered in this book, Willi Semmler. 

Lucas Bernard, Ph.D., is a financial economist and Chairman of the Department of Business at The New York City College of Technology, The City University of New York.  In addition to having studied at The Swiss Finance Institute, he also holds graduate degrees in Mathematics from The City University of New York and in computer science from New York University's Courant Institute of Mathematical Sciences.  His doctoral dissertation, concerning endogenous models of credit default, was written at The New School for Social Research in New York.  Prof. Bernard is interested in the ways in which economics blends together human values, politics, rationality and irrationality; more specifically, how this interplay reveals itself in society at large.

Unurjargal Nyambuu, Ph.D., is an economist and professor in the Department of Social Science at The New York City College of Technology, The City University of New York.  Previously, she was a research fellow in the Finance and Risk Engineering Department of New York University. Dr. Nyambuu has also served as an economist with the Central Bank of Mongolia, where she worked with International Monetary Fund (IMF) and World Bank (WB) colleagues on the effects of international macroeconomic policy on local economies. Additionally, she is a consultant for the International Labour Organization, a United Nations affiliate based in Genève, Switzerland, where she studies the economic impact of 'green' policy.

Inhalt

Foreword 6
Contents 9
Acknowledgments 11
Theory and Practice in a Sensible Economic Policy Mix:A Glance at Willi Semmler' Contributions to EmpiricalMacroeconomics 12
1 Teaching 13
2 Research 14
3 Mentorship 17
4 How This Book Is Organized 17
5 Final Remarks 21
Iran's Nuclear Program and the West's Response: A Game Theoretic Approach 23
1 Introduction 23
2 Review of Iran's Nuclear Program and Sanctions Against Iran 26
2.1 Iran's Nuclear Program 26
2.2 The History of Sanctions Against Iran 26
3 A Game Theoretic Approach 27
3.1 Notation and Parameter Values 31
4 Solving the Game 33
5 Extension: Iran's First Step: Nuclear Program or Not 34
6 Conclusions and Policy Implications 36
Appendix 37
References 44
From the Great Divergence to the Great Convergence 45
1 Introduction 45
2 The Separation of West from the Rest of the World: Forces Facilitating the Great Divergence in the Nineteenth Century 48
3 Post-War Golden Era of World Economic Development. The Origins of Convergence Between the Developing and Developed Countries 63
3.1 Economic Growth of High-Income Countries 65
3.2 Economic Growth of Middle-Income Countries 68
3.3 The Reasons for the Emergence of New Conditions, Facilitating Rapid Growth of Developing Countries with Low Per Capita Income 73
4 Transition to Fifth BKC and the Start of Real Convergence 78
4.1 Developed Economies Shift to Evolutional Development 81
4.2 Vanguard Countries of Developing World (BRICS) Perform Breakthrough 84
5 Possible Results of the Ongoing Global Convergence 88
References 96
Borrowing Constraints and Monetary Policy: The Inflation Tax-Net Worth Channel 99
1 Introduction 99
2 The Model Set Up 101
2.1 The Farmer/Borrower 103
2.2 The Gatherer/Lender 105
3 Equilibrium 107
4 Dynamics 108
4.1 Steady States and Their Properties 109
4.2 Monetary Policy, Net Worth and the Inflation Tax 112
4.3 Is There an Output Maximizing Inflation Rate? 115
4.4 Inflation, the Allocation of Land and Social Welfare 118
5 The Effects of an Unexpected Productivity Shock 120
6 The Effects of an Unexpected Monetary Shock 124
7 Conclusions 126
Appendix 1: The Farmer's Maximization Problem 127
Appendix 2: The Gatherer's Maximization Problem 128
References 129
Modeling Climate Change Effects on Renewable and Non-Renewable Resources 131
1 Introduction 131
2 Literature Review 132
3 Stylized Facts 135
4 Theoretical Model 141
5 Final Remarks 143
Appendix 144
References 145
A North-South Model with Technological Spillovers, Environmental Degradation and Structural Change 147
1 Introduction 147
2 The Basic Model 149
2.1 Households 150
2.2 The Manufacturing Sector 151
2.3 The R& D Sector
3 Solution and Basic Results 154
3.1 Vertical Innovations 154
3.2 Horizontal Innovations 156
4 Effects of International Spillovers and Environmental Degradation 158
4.1 Comparison with the Benchmark Model 158
4.2 The Extended Model with Environmental Degradation 162
4.3 Effects of Environmental Degradation with and Without Technological Spillovers 165
5 Conclusion 169
References 170
Foreign Exchange Volatility and its Implicationsfor Macroeconomic Stability: An Empirical Studyof Developing Economies 172
1 Introduction 172
2 Literature Review 174
3 Descriptive Statistics 176
3.1 Economic Growth 176
3.2 Foreign Trade 176
3.3 Foreign Exchange 178
3.4 External Debt 182
3.5 Credit Default 183
4 Theoretical Model 184
5 Estimation of the Model 185
6 Conclusion 189
References 190
Keynes' Microeconomics of Output and Labor Markets 192
1 Introduction 192
2 Crowding Equilibrium 193
2.1 Industry Equilibrium Through Market Crowding 194
2.1.1 Queuing 195
2.1.2 Labor Markets 197
2.2 Some Macroeconomic Consequences 198
3 The Structure of Social Interactions 199
4 Conclusion 202
References 203
``Wavelet-Based'' Early Warning Signals of Financial Stress: An Application to IMF's AE-FSI 204
1 Introduction 204
2 ``Wavelet-Based'' Composite Indexes: Motivation and Methodology 206
2.1 The Methodology 207
3 ``Wavelet-Based'' Early Warning Composite Indicators for the IMF's AE-FSI 209
3.1 IMF Financial Stress Index for Advanced Economies (AE-FSI) 210
3.2 Constructing the ``Wavelet-Based'' Composite Indicator 211
4 Evaluation of the ``Wavelet-Based'' Early Warning Composite Indicator of Financial Stress 218
4.1 Cross-Correlation Results 218
4.2 Forecasting Financial Stress 219
5 Conclusions 223
Appendix: Basic Notions of Wavelets 223
References 228
Corporate Liquidity under Financial Constraints and Macroeconomic Uncertainty 230
1 Introduction 230
2 Data, Sample Selection and Construction of Uncertainty Indicators 235
2.1 Overview of Main Variables 235
2.2 Uncertainty and Risk: Idiosyncratic, Industry-Wide, and Aggregate Risk 237
2.3 Financial Constraints Indicator 238
2.4 The Sample of `Normal Firms' 239
3 Determinants of Firms' Cash Holdings 240
3.1 Pooled OLS Regressions with Cluster-Robust Standard Errors 240
3.2 OLS Regression for a Sub-sample of Advanced Countries 243
3.3 Panel Models 245
3.3.1 Fixed Effects Estimator 245
3.3.2 First-Difference Estimator 245
3.3.3 Random Effects Estimator 245
3.3.4 Hausman Test 247
3.3.5 Arellano-Bond Estimator 248
4 Cash Holdings and the Leverage of the Firm 249
4.1 Pecking Order Theory 249
4.1.1 Are Cash Holdings Really a Substitute for Debt? 252
4.2 Cash Holdings, Internal Cash and Financial Constraints 254
5 Conclusion 258
Appendix: Summary Statistics After Modified Baum Correction 259
References 267
Might Tobin be Right? 269
1 Introduction 269
2 Equilibrium Money Demand and Unemployment 272
2.1 Financial and Labour Market Search 272
2.2 The Optimal Program of Households 273
2.3 Capital and Labour Input of Intermediate Firms 275
2.3.1 The Optimal Program of Firms 275
2.3.2 Determining Wages and Interest Payments Through Nash Bargaining 276
2.3.3 Equilibrium on Capital and Labour Markets 277
3 Macroeconomic Policies and Long-Run Steady State Shifts 278
3.1 Steady State with Exogenous Growth 278
3.2 Long-Term Shifts of the Steady State 279
3.3 Monetary Policy 281
3.4 Fiscal Policy 282
3.5 Interaction Between Monetary and Fiscal Policy 283
4 Conclusion 284
Appendix 1: The Household Program 285
Appendix 2: Equilibrium Investment and Hiring 286
Appendix 3: Changes in Growth Following Supply and Demand Shocks 287
Appendix 4: Monetary Policy and the Optimal Inflation Rate 291
Appendix 5: Optimal Debt and Growth 292
Appendix 6: Interaction Between Monetary and Fiscal Policy 293
References 294
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with AggregateOpinion Dynamics 296
1 Introduction 296
2 The Model 298
2.1 The Private Sector 299
2.2 FX Market Dynamics 302
2.3 The Government Sector 304
3 The Model's Intensive Form and Steady State 305
4 Numerical Simulations 308
4.1 Baseline Simulation 309
4.2 The Role of the State of Confidence 311
4.3 Exchange Rate Expectations and FX Market Population Dynamics 312
4.4 Are Aggregate Opinion Dynamics Stabilizing? 314
5 Concluding Remarks 315
References 316
Self-Falsifying Prophecies 318
1 Introduction 318
2 Literature 319
3 A Kaldorian Model of the Business Cycle 321
4 Perceived and Realized Volatility 323
5 Alternating Regimes 327
6 Conclusion 329
References 329
About the Editors 332

Produkt-Details

• Erscheint lt. Verlag: 3.10.2016
• Zusatzinfo: XI, 325 p. 93 illus., 73 illus. in color.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: dynamic modeling • dynamic optimization • Economic Growth • Empirical Finance • Empirical macroeconomics • International finance • NMPC • Nonlinear Model Predictive Control
• ISBN-10: 3-319-39887-3 / 3319398873
• ISBN-13: 978-3-319-39887-7 / 9783319398877