经济学
Although using non-Gaussian distributions in economic models has become increasingly popular, currently there is no systematic way for calibrating a discrete distribution from the data without imposing parametric assumptions. This paper…
A set of data with positive values follows a Pareto distribution if the log-log plot of value versus rank is approximately a straight line. A Pareto distribution satisfies Zipf's law if the log-log plot has a slope of -1. Since many types…
We study a sequential-learning model featuring a network of naive agents with Gaussian information structures. Agents apply a heuristic rule to aggregate predecessors' actions. They weigh these actions according the strengths of their…
The aim of this paper is to reemphasize the money theory of exchange which is centered on the function of exchange medium of money, and make a contribution towards linearization of the quantity equation of exchange. A dynamical quantity…
We extend in a minimal way the stylized model introduced in in "Tipping Points in Macroeconomic Agent Based Models" [JEDC 50, 29-61 (2015)], with the aim of investigating the role and efficacy of monetary policy of a `Central Bank' that…
The Economic Complexity Index (ECI; Hidalgo & Hausmann, 2009) measures the complexity of national economies in terms of product groups. Analogously to ECI, a Patent Complexity Index (PatCI) can be developed on the basis of a matrix of…
We develop an equilibrium framework that relaxes the standard assumption that people have a correctly-specified view of their environment. Each player is characterized by a (possibly misspecified) subjective model, which describes the set…
In developing the theory of long-run competitive equilibrium (LRCE), Marshall (1890) used the notion of a representative firm. The identity of this firm, however, remained unclear. Subsequent theory either focused on the case where all…
Indirect inference requires simulating realisations of endogenous variables from the model under study. When the endogenous variables are discontinuous functions of the model parameters, the resulting indirect inference criterion function…
Economic competition between humans leads to income inequality, but, so far, there has been little understanding of underlying quantitative mechanisms governing such a collective behavior. We analyze datasets of household income from 67…
The nonuniqueness of rational expectations is explained: in the stochastic, discrete-time, linear, constant-coefficients case, the associated free parameters are coefficients that determine the public's most immediate reactions to shocks.…
We study existence, uniqueness and computability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences---one that analyzes principal eigenvalues of…
The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a given time depends not only on their…
We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can…
How do macro-financial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcomes on investor beliefs and investment, but also significant…
Expected utility theory (EUT) is widely used in economic theory. However, its subjective probability formulation, first elaborated by Savage, is linked to Ellsberg-like paradoxes and ambiguity aversion. This has led various scholars to work…
In repeated games, cooperation is possible in equilibrium only if players are sufficiently patient, and long-term gains from cooperation outweigh short-term gains from deviation. What happens if the players have incomplete information…
Almost by definition, radical innovations create a need to revise existing classification systems. In this paper, we argue that classification system changes and patent reclassification are common and reveal interesting information about…
In this paper, we extend the optimal securitisation model of Pag\`es [50] and Possama\"i and Pag\`es [51] between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these…
A new concept of an equilibrium in games is introduced that solves an open question posed by A. Neyman.