相关论文: An essay on the history of DSGE models

Dynamic stochastic general equilibrium (DSGE) models have been an ubiquitous, and controversial, part of macroeconomics for decades. In this paper, we approach DSGEs purely as statstical models. We do this by applying two common model…

A number of macroeconomic theories, very popular in the 1980s, seem to have completely disappeared and been replaced by the dynamic stochastic general equilibrium (DSGE) approach. We will argue that this replacement is due to a tacit…

By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the…

We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital…

Non-Equilibrium Social Science (NESS) emphasizes dynamical phenomena, for instance the way political movements emerge or competing organizations interact. This paper argues that predictive analysis is an essential element of NESS, occupying…

Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…

This study proposes an approach based on a perturbation technique to construct global solutions to dynamic stochastic general equilibrium models (DSGE). The main idea is to expand a solution in a series of powers of a small parameter…

The fundamental purpose of the present research article is to introduce the basic principles of Dimensional Analysis in the context of the neoclassical economic theory, in order to apply such principles to the fundamental relations that…

Under some initial conditions, it is shown that time consistency requirements prevent rational expectation equilibrium (REE) existence for dynamic stochastic general equilibrium models induced by consumer heterogeneity, in contrast to…

This paper characterizes DSGE models as fixed-point selection devices for self-referential economic specifications. We formalize this structure as $(S, T, \Pi)$: specification, self-referential operator, and equilibrium selector. The…

This script offers an implementation-oriented introduction to deep learning methods for solving and estimating high-dimensional dynamic stochastic models in economics and finance. Its starting point is the curse of dimensionality:…

Modelling is an essential procedure in analyzing and controlling a given logical dynamic system (LDS). It has been proved that deterministic LDS can be modeled as a linear-like system using algebraic state space representation. However, due…

Deep generative models (DGM) are neural networks with many hidden layers trained to approximate complicated, high-dimensional probability distributions using a large number of samples. When trained successfully, we can use the DGMs to…

Stochastic differential equations (SDEs) are a staple of mathematical modelling of temporal dynamics. However, a fundamental limitation has been that such models have typically been relatively inflexible, which recent work introducing…

Time series (TS) modeling has come a long way from early statistical, mainly linear, approaches to the current trend in TS foundation models. With a lot of hype and industrial demand in this field, it is not always clear how much progress…

In order to better understand the impact of environmental stochastic fluctuations on the evolution of animal behavior, we introduce the concept of a stochastic Nash equilibrium (SNE) that extends the classical concept of a Nash equilibrium…

We consider dynamic stochastic economies with heterogeneous agents and introduce the concept of uniformly self-justified equilibria (USJE) -- temporary equilibria for which forecasts are best uniform approximations to a selection of the…

There is a whole range of emergent phenomena in non-equilibrium behaviors can be well described by a set of stochastic differential equations. Inspired by an insight gained during our study of robustness and stability in phage lambda…

The Dynamic Nelson--Siegel (DNS) model is a widely used framework for term structure forecasting. We propose a novel extension that models DNS residuals as a Gaussian random field, capturing dependence across both time and maturity. The…

Are there hidden dynamical common patterns in the evolution of social and cultural history? While the growing availability of digitized social data invites us to answer this question, prevailing quantitative methods often rely on…