Related papers: Fiscal Stimulus of Last Resort
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
This paper considers receding horizon control of finite deterministic systems, which must satisfy a high level, rich specification expressed as a linear temporal logic formula. Under the assumption that time-varying rewards are associated…
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical…
Learning and adaptation play great role in emergent socio-economic phenomena. Complex dynamics has been previously found in the systems of multiple learning agents interacting via a simple game. Meanwhile, the single agent adaptation is…
Decentralized Finance (DeFi) has revolutionized lending by replacing intermediaries with algorithm-driven liquidity pools. However, existing platforms like Aave and Compound rely on static interest rate curves and collateral requirements…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
Many tractable TANK models treat redistribution as a contemporaneous wedge. I show that this view is incomplete once wage contracts are type-specific. In a tractable Two-Agent New Keynesian model, each household type adjusts its nominal…
We study the disequilibrium dynamics of a stylised model of production networks in which firms use perishable and non-substitutable intermediate inputs, so that adverse idiosyncratic productivity shocks can trigger downstream shortages and…
To model the interaction of fiscal and monetary policy, a novel discrete-time, uncertain, infinite time horizon, dynamic game model is developed, where the uncertainties of expectations are modeled by unknown nonlinear but quadratically…
Cap-based regulations are widely used to address distributional disparities in matching markets, but their efficiency relative to alternative instruments such as subsidies remains poorly understood. This paper develops a framework for…
In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state…
We present an elementary analysis of the dynamical aspects of the GDP / government surplus multiplier with relevance to the assessment of a country's debt repayment policy. We show the (at first) counter intuitive result that in order to…
Models of complex dynamical systems like the Earth's climate often involve large numbers of uncertain parameters. Comprehensive exploration of the parameter space is typically prohibitive due to excessive computational costs. Systematic…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
This paper studies the attitude control of a satellite in three-axis by thrusters. The mathematical model of attitude dynamics and kinematics of the satellite is represented as a switched system with sub-systems. Each sub-system is defined…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Macroeconomic dynamics is typically modeled under the assumption that the economy evolves according to a single invariant law of motion. This paper shows that this assumption imposes a structural restriction. We develop Dynamic…
I devise a novel approach to evaluate the effectiveness of fiscal policy in the short run with multi-category treatment effects and inverse probability weighting based on the potential outcome framework. This study's main contribution to…
We present a singular perturbation theory applicable to systems with hybrid boundary layer systems and hybrid reduced systems {with} jumps from the boundary layer manifold. First, we prove practical attractivity of an adequate attractor set…