Related papers: Monetary Policy and Firm Dynamics
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
I develop a simple Schumpeterian agent-based model where the entry and exit of firms, their productivity and markup, the birth of new industries and the social structure of the population are endogenous and use it to study the causes of…
This is an invited article for the Discussion and Debate special issue of The European Physical Journal Special Topics on the subject "Can Economics Be a Physical Science?" The first part of the paper traces the personal path of the author…
For the voter model, we study the effect of a memory-dependent transition rate. We assume that the transition of a spin into the opposite state decreases with the time it has been in its current state. Counter-intuitively, we find that the…
The implementation of a supervision and incentive process for identical workers may lead to wage variance that stems from employer and employee optimization. The harder it is to assess the nature of the labor output, the more important such…
Complex systems are usually non-stationary and their dynamics is often dominated by collective effects. Collectivity, defined as coherent motion of the whole system or of some of its parts, manifests itself in the time-dependent structures…
Departing from the dominant approach focused on individual and meso-level determinants, this paper develops a macroeconomic formalization of job insecurity within a New Keynesian framework in which the standard IS-NKPC-Taylor rule block is…
Understanding how spatial configurations of economic activity emerge is important when formulating spatial planning and economic policy. A simple model was proposed by Simon, who assumed that firms grow at a rate proportional to their size,…
Negative differential mobility is the phenomenon in which the velocity of a particle decreases when the force driving it increases. We study this phenomenon in Markov jump models where a particle moves in the presence of walls that act as…
In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Gibbs law characterized by an effective temperature equal to the average amount of…
We study models of regulatory breakup, in the spirit of Strong and Fouque [Ann. Finance 7 (2011) 349-374] but with a fluctuating number of companies. An important class of market models is based on systems of competing Brownian particles:…
One of the fundamental principles driving diversity or homogeneity in domains such as cultural differentiation, political affiliation, and product adoption is the tension between two forces: influence (the tendency of people to become…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…
Notwithstanding the usefulness of system dynamics in analyzing complex policy problems, policy design is far from straightforward and in many instances trial-and-error driven. To address this challenge, we propose to combine system dynamics…
Among the various factors affecting the firms positioning and performance in modern day markets, capital structure of the firm has its own way of expressing itself as a crucial one. With the rapid changes in technology, firms are being…
The purpose of the dynamics of moving systems is to search for the mathematical model that describes the link between the resultant applied force, that is the cause, and the speed of system that is the effect. This mathematical link…
In the context of state estimation under communication constraints, several notions of dynamical entropy play a fundamental role, among them: topological entropy and restoration entropy. In this paper, we present a theorem which…