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2 edition of Nonlinear aggregate investment dynamics found in the catalog.

Nonlinear aggregate investment dynamics

theory and evidence

by Ricardo J. Caballero

  • 390 Want to read
  • 28 Currently reading

Published by Massachusetts Institute of Technology in Cambridge, Mass .
Written in English


Edition Notes

StatementRicardo J. Caballero, Eduardo M.R.A. Engel
SeriesWorking paper / Dept. of Economics -- no. 98-1, Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 98-1.
ContributionsEngel, Eduardo
The Physical Object
Pagination55 p. :
Number of Pages55
ID Numbers
Open LibraryOL24639643M
OCLC/WorldCa39285827

Agency for Science, Technology and Research. This course provides an introduction to nonlinear deterministic dynamical systems. Topics covered include: nonlinear ordinary differential equations; planar autonomous systems; fundamental theory: Picard iteration, contraction mapping theorem, and Bellman-Gronwall lemma; stability of equilibria by Lyapunov's first and second methods; feedback linearization; and application to nonlinear.   The Linear Case, Journal of Investment Management 5 (2), 5– Abstract Download File In contrast to traditional investments such as stocks and bonds, hedge-fund returns have more complex risk exposures that yield additional and complementary sources of risk premia. Micro and Macro Perspectives of the Aggregate Labor Market. November and Wright extend the standard framework to allow nonlinear utility, general bargaining, costs, and returns. Also, they go beyond the usual steady state analysis by considering dynamics. capital and debt or financial assets. Investment is funded by retained.


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Nonlinear aggregate investment dynamics by Ricardo J. Caballero Download PDF EPUB FB2

Instead of the standard sharp (S,s) bands, firms' adjustment policies take the form of a probability of adjustment (adjustment hazard) that responds smoothly to changes in firms' capacity gap. The model has appealing aggregation properties, and yields nonlinear aggregate time series by: Get this from a library.

Nonlinear Aggregate Investment Dynamics: Theory and Evidence. [Ricardo J Caballero; Eduardo Engel] -- In this paper we derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms facing stochastic fixed adjustment costs.

Instead of the standard sharp (S,s) bands. WORKINGPAPER DEPARTMENT OFECONOMICS NonlinearAggregateInvestmentDynamics: TheoryandEvidence ero No January, MASSACHUSEHS. Nonlinear Aggregate Investment Dynamics: Theory and Evidence. The basic premise of this paper is that understanding aggregate dynamics requires considering that agents are heterogeneous and.

"Nonlinear Aggregate Investment Dynamics: Theory and Evidence," Documentos de Trab Centro de Economía Aplicada, Universidad de Chile. Ricardo J. Caballero, "Nonlinear Aggregate Investment Dynamics: Theory and Evidence," Working papersMassachusetts Institute of Technology (MIT), Department of Economics.

In this paper we derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms facing stochastic fixed adjustment costs.

Instead of the standard sharp (S,s) bands, firms' adjustment policies take the form of a probability of adjustment (adjustment hazard) that responds smoothly to changes in firms' capacity gap.

Nonlinear Aggregate Investment Dynamics: Theory and Evidence. Nonlinear aggregate investment dynamics book Department of Economics Working Paper No. Posted: 26 Jul Date Written: February Abstract. In this paper we derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms facing stochastic fixed adjustment costs.

Instead of the. Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model model, workers and asset holders and their consumption functions are concerned. On the other hand, the other part of aggregate demand, investment, is determined by the excess of the expected profit rate over the real rate of interest, on excess.

ing aggregate investment dynamics. Indeed, the final product is an aggregate investment equation that has aggregate equipment investment on the left-hand side and not only aggregate, but also microeconomic 4.

See Bertola and Caballero () and Caballero and Engel (). Bar-Ilan and. nonlinear dynamics are just as applicable to human systems as they are to physical, biological, and technical issues.

System dynamics (ForresterSterman ) is firmly rooted in these. the nonlinear dynamics for the distributions (as approxi-mated from aggregate observations) without the need for individual-level trajectories. That is, we treat fyi t g N i=1 as an empirical approximation to the distribution at time t and its dynamics is learned via an auxiliary hidden vari-able X t.

Once the dynamics are learned, we are faced. The book presents a self-contained treatment of the subject to suit the needs of students, teachers and researchers in physics, mathematics, engineering and applied sciences who wish Nonlinear aggregate investment dynamics book gain a broad knowledge of nonlinear dynamics.

It describes fundamental concepts, theoretical procedures, experimental and numerical techniques and technological. Using the model and solution method outlined above we generate simulated investment and demand data for a panel of 50, firms and 25 years.

We confirm the two implications for short-run investment dynamics highlighted in Section by considering the relationship between firmlevel annual investment rates and demand growth in this simulated.

Chaos & Nonlinear Dynamics in the Financial Markets explores both theory and empirical results related to nonlinear determinism in the dynamics of asset prices. It includes a wealth of material on the properties of chaotic processes relevant to markets, along with statistical and other tests which have been developed specifically to detect the Reviews: 1.

It is a stochastic growth model with aggregate investment and adjustment cost of capital. This latter feature makes prices more volatile than quantities, a feature of the data.

Some intuition for the main results. History-dependence and non-linear aggregate dynamics. About this book.

A unified and coherent treatment of analytical, computational and experimental techniques of nonlinear dynamics with numerous illustrative applications. Features a discourse on geometric concepts such as Poincare maps.

Discusses chaos, stability and bifurcation analysis for systems of differential and algebraic equations. I think Strogatz's Nonlinear Dynamics and Chaos is a good introduction.

A course's worth of his lectures teaching a class with this text is available online, as well. The lectures are on the YouTube channel "Cornell MAE" as a playlist. Shlomo Sternberg's Dynamical Systems is a good companion or second book on this topic.

The dynamics of consumption and investment are governed by the relative price of investment and the return to capital, as revealed by Euler Eq. Investment increases by more than consumption because (i) the relative price of investment decreases and (ii) higher TFP causes MPK to increase.

As capital accumulates, output continues to increase. Home > Policy Research Working Papers > Household Income Dynamics in Rural China.

Investment capital is concerned with the allocation of assets and liabilities over space and time, with associated risks and returns. To facilitate this recording and exchanging of economic value a financial system converts economic claims to Nonlinear Dynamics.

Behavioral Finance. The calibrated model delievers positive educational gradients in parental time investment, as observed in the data, and also successfully accounts for untargeted distributional aspects of income mobility, captured in the income quintile transition matrix.

Macroeconomic Dynamics, forthcoming. Abstract; "Nonlinear Earnings and Aggregate. The books by Maurice Priestley () and Howell Tong () provide it is not possible to believe that nonlinear models aggregate to nonlinear models in the same class (see Caballero and Engel,for some results).

Therefore, the application of structural pricing and the dynamics of investment expenditures of firms or consumers. Nonlinear Dynamics represents a wide interdisciplinary area of research dealing with a variety of “unusual” physical phenomena by means of nonlinear differential equations, discrete mappings, and related mathematical algorithms.

However, with no real substitute for the linear superposition. G. Schiepek, B. Aas, and K. Viol, “ The mathematics of psychotherapy—A nonlinear model of change dynamics,” Nonlinear Dyn.

Psychol. Life Sci. 20, – (), PMID: The dynamics of complex systems approach to KD would also benefit from future research investigating other methods of feature selection. Nonlinear Aggregate Investment Dynamics: Theory and Evidence NBER Working Papers, National Bureau of Economic Research, Inc View citations (7) Also in Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile () View citations (6).

ENDOGENOUS CREDIT AND INVESTMENT CYCLES WITH ASSET PRICE VOLATILITY - Volume 22 Special Issue - Francesco Carli, Leonor Modesto and the Second International Workshop on Financial Markets and Nonlinear Dynamics.

Leonor Modesto acknowledges the support from FCT—Portuguese Foundation of Science and Technology for the project PTDC/IIM-ECO. Abstract. This paper asks two questions “Does there exist heterogeneity in the response of macro variables to uncertainty shocks across advanced and emerging countries.

and, “How important is the state of the economy for the effects of an uncertainty shock?.I analyze the recession-specific effects of uncertainty for a sample of 8 countries – the US, UK, France, Canada, Mexico, Chile. Macro-Finance Models with Nonlinear Dynamics Winston W.

Dou, Xiang Fang, Andrew W. Lo, and Harald Uhligy This Draft: November 8, We provide a global solution method for a class of macroeconomic models featuring nonlinear dynamics and compare the global method with rst order, second order, and occasionally binding local perturbation methods.

We then consider what the implications would be for the aggregate relationship between investment, q, and the business cycle. We first carry out Monte Carlo simulations of a discrete version of the theoretical model. We c by the Massachusetts Institute of Technology Studies in Nonlinear Dynamics and Econometrics, January5(4): – Nonlinear OrdinaryDifferentialEquations by Peter J.

Olver University of Minnesota 1. Introduction. These notes are concerned with initial value problems for systems of ordinary dif-ferential equations.

Here our emphasis will be on nonlinear phenomena and properties, particularly those with physical relevance. Finding a solution to a. Equation (5) describes investment dynamics. According to [3] and [13], the investment rate is a nonlinear exponential function of the debt and (expected) net profit rate, according to adaptive expectation.

Following [14], is defined as: (7). Books and Chapters Software Components. Authors. JEL codes New Economics Papers. Advanced Search. EconPapers FAQ Archive maintainers FAQ Nonlinear Aggregate Investment Dynamics: Theory and Evidence Ricardo Caballero.

Papers sorted by date Bachmann, Caballero, and Engel: w Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model: Bachmann and Bayer: w Investment Dispersion and the Business Cycle: Caballero and Engel: w Nonlinear Aggregate Investment Dynamics: Theory and Evidence: Khan and Thomas: w Credit Shocks and Aggregate Fluctuations in an Economy with Production.

Macroeconomic Dynamics 23 (4): – Google Scholar. Berg, T. “Forecast Accuracy of a BVAR Under Alternative Specifications of the Zero Lower Bound.” Studies in Nonlinear Dynamics & Econometrics 21 (2): – Google Scholar. Bernanke, B. Irreversibility, Uncertainty, and Cyclical Investment.”. The project "Econometric Analysis of Nonlinear Dynamic Models with Applications in International Macroeconomics" was an ESRC-funded project (reference number: R) carried out in the Department of Applied Economics at the University of Cambridge and in the Department of Economics at the University of Leicester over the period 1/09/95 31/08/ In what follows, we describe the aims of.

Understanding Nonlinear Dynamics book. Read reviews from world’s largest community for readers. Mathematics is playing an ever more important role in the 4/5(1). In investing, we can see examples of nonlinearity in certain investment classes.

Options are nonlinear derivatives because the input variables associated with options do not create proportional. 34, articles and books. Periodicals Literature. (spurts) occur. The width of the play is a positive function of the degree of uncertainty.

These nonlinear dynamics are captured in a simplified linearized way in a regression framework. captures the spurts commonly observed in aggregate hiring and firing or investment and. Our theoretical results are supplemented by numerical and empirical analyses of the dynamics of lumpy investment at the plant level and the associated aggregate implications.

The dynamics are surprisingly rich since they represent the interaction between a replacement cycle, the cross sectional distribution of the age of the capital stock and. From this perspective, characterizing aggregate fluctuations requires tracking how the distribution of shocks and adjustments has evolved.

Job Creation and Destruction. Much of the recent empirical analysis documenting and analyzing the connection between micro heterogeneity and aggregate fluctuations has focused on employment dynamics. financial support. An earlier version of the paper was distributed under the title "Aggregate investment dynamics whenfirms face fixed investment cost and capital market imperfections" †European University Institute, Dept.

of Economics, Villa San Paolo, Via della Piazzu Florence, Italy.The Linked Data Service provides access to commonly found standards and vocabularies promulgated by the Library of Congress.

This includes data values and the controlled vocabularies that house them. Datasets available include LCSH, BIBFRAME, LC Name Authorities, LC Classification, MARC codes, PREMIS vocabularies, ISO language codes, and more.Fazzari S, Caskey J () Debt commitments and aggregate demand: a critique of the neoclassical synthesis and policy.

In: Semmler W (ed) Financial dynamics and business cycles: new perspectives. Sharpe, New York, pp – Google Scholar.