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Social Sciences x General Equilibrium and Disequilibrium x Econometrics and Mathematical Economics x clear all

Corporate Fraction and the Equilibrium Term Structure of Equity Risk

Roberto Marfè.

in Review of Finance

March 2016; p ublished online May 2015 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium; Financial Markets; Economics. 17377 words.

The recent empirical evidence of a downward-sloping term structure of equity risk is viewed as a challenge to many leading asset pricing models. This article analytically characterizes...

Decomposing the Changes in Production Prices into “Capital-Intensity” and “Price” Effects: Theory and Evidence from the Chinese Economy

Theodore Mariolis and Lefteris Tsoulfidis.

in Contributions to Political Economy

June 2009; p ublished online April 2009 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium. 7111 words.

This paper deals with the changes in prices of production induced by variations in income distribution on the basis of a linear model of production with circulating capital and homogeneous...

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Dynamic Competitive Economies with Complete Markets and Collateral Constraints

Piero Gottardi and Felix Kubler.

in The Review of Economic Studies

July 2015; p ublished online January 2015 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Economics; General Equilibrium and Disequilibrium. 15119 words.

In this article we examine the competitive equilibria of a dynamic stochastic economy with complete markets and collateral constraints. We show that, provided the sets of asset pay-offs and...

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Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Jaime Casassus, Peng Liu and Ke Tang.

in The Review of Financial Studies

May 2013; p ublished online December 2012 .

Journal Article. Subjects: Econometrics and Mathematical Economics; Economics; General Equilibrium and Disequilibrium; Information, Knowledge, and Uncertainy; Macroeconomics: Consumption, Saving, Production, Employment, and Investment. 15070 words.

This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the theory of storage to a multi-commodity level and...

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Flow Toxicity and Liquidity in a High-frequency World

David Easley, Marcos M. López de Prado and Maureen O'Hara.

in The Review of Financial Studies

May 2012; p ublished online March 2012 .

Journal Article. Subjects: Econometrics and Mathematical Economics; General Equilibrium and Disequilibrium; Financial Markets; Economics. 14494 words.

Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume...

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Labour productivity and the law of decreasing labour content

Peter Flaschel, Reiner Franke and Roberto Veneziani.

in Cambridge Journal of Economics

March 2013; p ublished online October 2012 .

Journal Article. Subjects: Technological Change; Research and Development; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Economic Methodology; General Equilibrium and Disequilibrium. 10740 words.

This paper analyses labour productivity and the law of decreasing labour content (LDLC) originally formulated by Farjoun and Machover. While accepting the validity of that law, it shows...

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Learning and Price Discovery in a Search Market

Stephan Lauermann, Wolfram Merzyn and Gábor Virág.

in The Review of Economic Studies

April 2018; p ublished online June 2017 .

Journal Article. Subjects: Game Theory and Bargaining Theory; Market Structure and Pricing; General Equilibrium and Disequilibrium; Information, Knowledge, and Uncertainy. 20476 words.

Abstract

We introduce learning into an otherwise standard two-sided search-and-bargaining market. There is uncertainty about the price distribution due to...

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LESS IS MORE: CAPITAL THEORY AND ALMOST IRREGULAR-UNCONTROLLABLE ACTUAL ECONOMIES

THEODORE MARIOLIS and LEFTERIS TSOULFIDIS.

in Contributions to Political Economy

June 2018; p ublished online May 2018 .

Journal Article. Subjects: History of Economic Thought (1925 onwards); Economic Methodology; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Market Structure and Pricing; General Equilibrium and Disequilibrium. 7583 words.

Abstract

Capital theory and the price effects consequent upon changes in the distributive variables hold center stage when it comes to the internal consistency...

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Mathematical Needs and Economic Interpretations

Miguel A. Duran.

in Contributions to Political Economy

June 2007; p ublished online May 2007 .

Journal Article. Subjects: History of Economic Thought (1925 onwards); Economic Methodology; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium. 7343 words.

This paper discusses why the disconnection between formal structures and theoretical content in economic model building can lead to undesirable consequences. By contrast, linking formal and...

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Modelling a complex world: improving macro-models

Warwick J McKibbin and Andrew Stoeckel.

in Oxford Review of Economic Policy

January 2018; p ublished online January 2018 .

Journal Article. Subjects: Econometrics and Mathematical Economics; Econometric Modelling; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium; Intertemporal Choice and Growth; General Aggregative Models; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; Macroeconomic Aspects of International Trade and Finance. 7587 words.

Abstract

Macro models have come under criticism for their ability to understand or predict major economic events such as the global financial crisis and its...

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Size and linkages of the Spanish construction industry: key sector or deformation of the economy?

Jorge Bielsa and Rosa Duarte.

in Cambridge Journal of Economics

March 2011; p ublished online June 2010 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Urban, Rural, and Regional Economics; General Equilibrium and Disequilibrium. 7629 words.

Until its recent end, the Spanish construction industry enjoyed a decade of unprecedented growth, absorbing labour and capital from other sectors of the economy in huge amounts. Using the...

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Total Requirements for Gross Output and Intersectoral Linkages: A Note on Dmitriev's Contribution to the Theory of Profits

Theodore Mariolis and Eleftheria Rodousaki.

in Contributions to Political Economy

June 2011; p ublished online March 2011 .

Journal Article. Subjects: General Equilibrium and Disequilibrium; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; History of Economic Thought (1925 onwards); History of Economic Thought (to 1925). 2653 words.

This paper argues that the concept of total requirements for gross output, as well as some aspects of the so-called ‘hypothetical extraction method’, was introduced by Vladimir K. Dmitriev...

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Verifying Competitive Equilibria in Dynamic Economies

Felix Kubler.

in The Review of Economic Studies

October 2011; p ublished online February 2011 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; Economics; General Equilibrium and Disequilibrium. 9672 words.

In this paper, I examine ε-equilibria of stationary dynamic economies with heterogeneous agents and possibly incomplete financial markets. I give a simple example to show that even for...

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