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We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution…
Suppose that a sequence of data points follows a distribution of a certain parametric form, but that one or more of the underlying parameters may change over time. This paper addresses various natural questions in such a framework. We…
We investigate, in a model-independent way, the conditions required to obtain a satisfactory model of extended inflation in which inflation is brought to an end by a first-order phase transition. The constraints are that the correct present…
The Fourth Industrial Revolution commonly refers to the accelerating technological transformation that has been taking place in the 21st century. Economic growth theories which treat the accumulation of knowledge and its effect on…
The impact of rising consumption on wealth inequality remains an open question. Here we revisit and extend the Social Architecture of Capitalism agent-based model proposed by Ian Wright, which reproduces stylized facts of wealth and income…
Choo-Siow (2006) proposed a model for the marriage market which allows for random identically distributed noise in the preferences of each of the participants. The randomness is McFadden-type, which permits an explicit resolution of the…
This paper deals with the positivity condition of an infinite-dimensional evolutionary equation, associated with a control problem for the optimal consumption over space. We consider a spatial growth model for capital, with production…
We propose a stochastic dynamic model of migration and economic aggregation in a system of employed (immobile) and unemployed (mobile) agents which respond to local wage gradients. Dependent on the local economic situation, described by a…
All economies require physical resource consumption to grow and maintain their structure. The modern economy is additionally characterized by private debt. The Human and Resources with MONEY (HARMONEY) economic growth model links these…
Kingman's model describes the evolution of a one-locus haploid population of infinite size and discrete generations under the competition of selection and mutation. A random generalisation has been made in a previous paper which assumes all…
Thomas Piketty's Capital in the Twenty-First Century puts forth a logically consistent explanation for changes in income and wealth inequality patterns. However, while rich in data, the book provides no formal empirical testing for its…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
Rational pure bubble models feature multiple (and often a continuum of) equilibria, which makes model predictions and policy analyses non-robust. We show that when the interest rate in the fundamental equilibrium is below the economic…
This paper presents a model with the aim to follow, as closely as possible, the rationale of the macroeconomic model advanced by J.M. Keynes in his famous "The General Theory of Employment, Interest and Money", in order to provide a viable…
A step to consilience, starting with a deconstruction of the causality of uncertainty that is embedded in the fundamentals of growth and inequality, following a construction of aggregation laws that disclose the invariance principle across…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
In the pursuit of ever increasing efficiency and growth, our economies have evolved to remarkable degrees of complexity, with nested production processes feeding each other in order to create products of greater sophistication from less…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
The article examines how institutions, automation, unemployment and income distribution interact in the context of a neoclassical growth model where profits are interpreted as a surplus over costs of production. Adjusting the model to the…