Related papers: Social Discounting and the Long Rate of Interest

We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…

Since the advent of inflation, several theorems have been proven suggesting that although inflation can (and generically does) continue eternally into the future, it cannot be extended eternally into the past to create a ``steady-state''…

This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in Heath-Jarrow-Morton (HJM) models in the…

We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control problems introduced in [3]. We prove that, as time horizon…

In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…

This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…

This paper proves continuity of value functions in discounted periodic-review single-commodity total-cost inventory control problems with \revision{continuous inventory levels,} fixed ordering costs, possibly bounded inventory storage…

We consider continuous-time consensus seeking systems whose time-dependent interactions are cut-balanced, in the following sense: if a group of agents influences the remaining ones, the former group is also influenced by the remaining ones…

Large deviation theory is a branch of probability theory that is devoted to a study of the "rate" at which empirical estimates of various quantities converge to their true values. The object of study in this paper is the rate at which…

The distribution of income and wealth in developed economies exhibits a robust two-class structure: an exponential (Boltzmann--Gibbs) bulk covering $\sim\!97\%$ of the population, and a power-law (Pareto) tail in the upper $\sim\!3\%$. We…

By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to…

In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…

We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…

The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules…

The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described…

A stochastic model with a continuum of economic agents often involves shocks at both macro and micro levels. This can be formalized by a continuum of random variables that are conditionally independent given the macro level shocks. Based on…

Despite the many applications of rate-independent systems, their regularity theory is still largely unexplored. Usually, only weak solution with potentially very low regularity are considered, which requires non-smooth techniques. In this…

We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the…

We find that factors explaining bank loan recovery rates vary depending on the state of the economic cycle. Our modeling approach incorporates a two-state Markov switching mechanism as a proxy for the latent credit cycle, helping to explain…

There is a conception that Boltzmann-Gibbs statistics cannot yield the long tail distribution. This is the justification for the intensive research of nonextensive entropies (i.e. Tsallis entropy and others). Here the error that caused this…