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Leonid Shaikhet - One of the best experts on this subject based on the ideXlab platform.
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stability of the Neoclassical Growth Model under perturbations of the type of poisson s jumps analytical and numerical analysis
Communications in Nonlinear Science and Numerical Simulation, 2019Co-Authors: Leonid ShaikhetAbstract:Abstract The well known delay differential Neoclassical Growth Model is considered under stochastic perturbations of the type of Poisson’s jumps. Stability conditions for positive and the zero equilibria of this Model are obtained via the Gikhman and Skorokhod theory of stochastic differential equations with the Poisson measure and the general method of Lyapunov functionals construction. The obtained analytical results are illustrated by detail numerical simulations of solutions of the considered stochastic differential equation and construction of appropriate stability regions.
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Stability of the Neoclassical Growth Model under perturbations of the type of Poisson’s jumps: Analytical and numerical analysis
Communications in Nonlinear Science and Numerical Simulation, 2019Co-Authors: Leonid ShaikhetAbstract:Abstract The well known delay differential Neoclassical Growth Model is considered under stochastic perturbations of the type of Poisson’s jumps. Stability conditions for positive and the zero equilibria of this Model are obtained via the Gikhman and Skorokhod theory of stochastic differential equations with the Poisson measure and the general method of Lyapunov functionals construction. The obtained analytical results are illustrated by detail numerical simulations of solutions of the considered stochastic differential equation and construction of appropriate stability regions.
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stability of equilibriums of stochastically perturbed delay differential Neoclassical Growth Model
Discrete and Continuous Dynamical Systems-series B, 2017Co-Authors: Leonid ShaikhetAbstract:The known nonlinear delay differential Neoclassical Growth Model is considered. It is assumed that this Model is influenced by stochastic perturbations of the white noise type and these perturbations are directly proportional to the deviation of the system state from the zero or a positive equilibrium. Sufficient conditions for stability in probability of the positive equilibrium and for exponential mean square stability of the zero equilibrium are obtained. Numerical calculations and figures illustrate the obtained stability regions and behavior of stable and unstable solutions of the considered Model. The proposed investigation procedure can be applied for arbitrary nonlinear stochastic delay differential equations with the order of nonlinearity higher than one.
Kozo Kiyota - One of the best experts on this subject based on the ideXlab platform.
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trade liberalization economic Growth and income distribution in a multiple cone Neoclassical Growth Model
Oxford Economic Papers, 2012Co-Authors: Kozo KiyotaAbstract:The empirical literature on trade liberalization reflects two puzzles. First, the effect of trade liberalization on economic Growth is ambiguous. Second, the effect of trade liberalization by developing countries on their income distribution is ambiguous. This paper attempts to explain simultaneously these two puzzles, based on a multiple-cone Neoclassical Growth Model. The Model shows that countries that are labour abundant in a global sense may see a rise in income inequality and a fall in per capita gross domestic product with liberalization if they are capital abundant in a local sense. The results suggest that the existence of multiple cones and the multiple steady states within the same cone, or the existence of global and local factor abundances, can be a possible explanation of these puzzles. Copyright 2012 Oxford University Press 2012 All rights reserved, Oxford University Press.
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trade liberalization economic Growth and income distribution in a multiple cone Neoclassical Growth Model
2009Co-Authors: Kozo KiyotaAbstract:The empirical literature on trade liberalization reflects two puzzles. First, the effect of trade liberalization on economic Growth is ambiguous. Second, the effect of trade liberalization by developing countries on their income distribution is ambiguous. This paper attempts to explain these two puzzles at the same time, based on a multiple-cone Neoclassical Growth Model. The Model shows that countries that are labor abundant in a global sense may see a rise in income inequality and a decline in per capita GDP and per capita consumption with liberalization if they are capital abundant in a local sense. The results suggest that the two puzzles can be explained by the existence of global and local factor abundances.
Serguei Maliar - One of the best experts on this subject based on the ideXlab platform.
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eu eastern enlargement and foreign investment implications from a Neoclassical Growth Model
Journal of Comparative Economics, 2008Co-Authors: Kateryna Garmel, Lilia Maliar, Serguei MaliarAbstract:In this paper, we study how eastward enlargement of the EU may affect the economies of old and new EU members and non-accession countries in the context of a multi-country Neoclassical Growth Model where foreign investment is subject to border costs. We assume that at the moment of the EU enlargement border costs between the old and new EU member states are eliminated but remain unchanged between the old EU member states and the non-accession countries. In a calibrated version of the Model, the short-run effects of the EU enlargement proved to be relatively small for all the economies considered. The long-run effects are however significant: in the accession countries, investors from the old EU member states become permanent owners of about 3/4 of capital, while in the non-accession countries, they are forced out of business by local producers. Journal of Comparative Economics 36 (2) (2008) 307–325.
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INDETERMINACY IN A LOG-LINEARIZED Neoclassical Growth Model WITH QUASI- GEOMETRIC DISCOUNTING*
Economic Modelling, 2006Co-Authors: Lilia Maliar, Serguei MaliarAbstract:This paper studies the properties of solutions to a log–linearized version of the Neoclassical Growth Model with quasi-geometric discounting. We show that after the log–linearization, the Model has indeterminacy and multiplicity of equilibria even though the original non-linear Model has a unique interior solution. Specifically, in both the deterministic and stochastic cases, the log–linearized Model has a continuum of steady states. In the deterministic case, there is a unique log–linear policy function leading to each steady state, while in the stochastic case, there is a continuum of log–linear policy functions, associated with each steady state. We show that the constructed log–linear solutions cannot be ranked across the entire state space.
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The Neoclassical Growth Model with Heterogeneous Quasi-Geometric Consumers
Journal of Money Credit and Banking, 2006Co-Authors: Lilia Maliar, Serguei MaliarAbstract:This paper investigates how the assumption of quasi-geometric (hyperbolic) discounting affects the distributional implications of the standard one-sector Neoclassical Growth Model with infinitely lived heterogeneous agents. The agents are subject to idiosyncratic shocks and face borrowing constraints. We confine attention to an interior Markov recursive equilibrium. The consequence of quasi-geometric discounting is that the effective discount factor of an agent is not a constant, but an endogenous variable which depends on the agent’s current state. We show, both analytically and by simulation, that this new feature can significantly affect the distributional implications of the Neoclassical Growth Model.
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solving the Neoclassical Growth Model with quasi geometric discounting a grid based euler equation method
Computing in Economics and Finance, 2005Co-Authors: Lilia Maliar, Serguei MaliarAbstract:The standard Neoclassical Growth Model with quasi-geometric discounting is shown elsewhere (Krusell, P. and Smith, A., CEPR Discussion Paper No. 2651, 2000) to have multiple solutions. As a result, value-iterative methods fail to converge. The set of equilibria is however reduced if we restrict our attention to the interior (satisfying the Euler equation) solution. We study the performance of a grid-based Euler-equation methods in the given context. We find that such a method converges to an interior solution in a wide range of parameter values, not only in the "test" Model with the closed-form solution but also in more general settings, including those with uncertainty.
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income and wealth distributions along the business cycle implications from the Neoclassical Growth Model
B E Journal of Macroeconomics, 2005Co-Authors: Lilia Maliar, Serguei Maliar, Juan MoraAbstract:This paper studies the business cycle dynamics of the income and wealth distributions in the context of the Neoclassical Growth Model where agents are heterogeneous in initial wealth and non-acquired skills. Our economy admits a representative consumer which enables us to characterize the distributive dynamics by aggregate dynamics. We show that inequality in both wealth and income follows a counter-cyclical pattern: the former is counter-cyclical because of cyclical fluctuations in labor income, while the latter is counter-cyclical due to the wealth-distribution effect. We find that the predictions of the Model about the income distribution dynamics accord well with the U.S. data.
Lilia Maliar - One of the best experts on this subject based on the ideXlab platform.
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eu eastern enlargement and foreign investment implications from a Neoclassical Growth Model
Journal of Comparative Economics, 2008Co-Authors: Kateryna Garmel, Lilia Maliar, Serguei MaliarAbstract:In this paper, we study how eastward enlargement of the EU may affect the economies of old and new EU members and non-accession countries in the context of a multi-country Neoclassical Growth Model where foreign investment is subject to border costs. We assume that at the moment of the EU enlargement border costs between the old and new EU member states are eliminated but remain unchanged between the old EU member states and the non-accession countries. In a calibrated version of the Model, the short-run effects of the EU enlargement proved to be relatively small for all the economies considered. The long-run effects are however significant: in the accession countries, investors from the old EU member states become permanent owners of about 3/4 of capital, while in the non-accession countries, they are forced out of business by local producers. Journal of Comparative Economics 36 (2) (2008) 307–325.
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INDETERMINACY IN A LOG-LINEARIZED Neoclassical Growth Model WITH QUASI- GEOMETRIC DISCOUNTING*
Economic Modelling, 2006Co-Authors: Lilia Maliar, Serguei MaliarAbstract:This paper studies the properties of solutions to a log–linearized version of the Neoclassical Growth Model with quasi-geometric discounting. We show that after the log–linearization, the Model has indeterminacy and multiplicity of equilibria even though the original non-linear Model has a unique interior solution. Specifically, in both the deterministic and stochastic cases, the log–linearized Model has a continuum of steady states. In the deterministic case, there is a unique log–linear policy function leading to each steady state, while in the stochastic case, there is a continuum of log–linear policy functions, associated with each steady state. We show that the constructed log–linear solutions cannot be ranked across the entire state space.
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The Neoclassical Growth Model with Heterogeneous Quasi-Geometric Consumers
Journal of Money Credit and Banking, 2006Co-Authors: Lilia Maliar, Serguei MaliarAbstract:This paper investigates how the assumption of quasi-geometric (hyperbolic) discounting affects the distributional implications of the standard one-sector Neoclassical Growth Model with infinitely lived heterogeneous agents. The agents are subject to idiosyncratic shocks and face borrowing constraints. We confine attention to an interior Markov recursive equilibrium. The consequence of quasi-geometric discounting is that the effective discount factor of an agent is not a constant, but an endogenous variable which depends on the agent’s current state. We show, both analytically and by simulation, that this new feature can significantly affect the distributional implications of the Neoclassical Growth Model.
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solving the Neoclassical Growth Model with quasi geometric discounting a grid based euler equation method
Computing in Economics and Finance, 2005Co-Authors: Lilia Maliar, Serguei MaliarAbstract:The standard Neoclassical Growth Model with quasi-geometric discounting is shown elsewhere (Krusell, P. and Smith, A., CEPR Discussion Paper No. 2651, 2000) to have multiple solutions. As a result, value-iterative methods fail to converge. The set of equilibria is however reduced if we restrict our attention to the interior (satisfying the Euler equation) solution. We study the performance of a grid-based Euler-equation methods in the given context. We find that such a method converges to an interior solution in a wide range of parameter values, not only in the "test" Model with the closed-form solution but also in more general settings, including those with uncertainty.
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income and wealth distributions along the business cycle implications from the Neoclassical Growth Model
B E Journal of Macroeconomics, 2005Co-Authors: Lilia Maliar, Serguei Maliar, Juan MoraAbstract:This paper studies the business cycle dynamics of the income and wealth distributions in the context of the Neoclassical Growth Model where agents are heterogeneous in initial wealth and non-acquired skills. Our economy admits a representative consumer which enables us to characterize the distributive dynamics by aggregate dynamics. We show that inequality in both wealth and income follows a counter-cyclical pattern: the former is counter-cyclical because of cyclical fluctuations in labor income, while the latter is counter-cyclical due to the wealth-distribution effect. We find that the predictions of the Model about the income distribution dynamics accord well with the U.S. data.
Emilio Espino - One of the best experts on this subject based on the ideXlab platform.
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Equilibrium portfolios in the Neoclassical Growth Model
Journal of Economic Theory, 2007Co-Authors: Emilio EspinoAbstract:Abstract This paper studies equilibrium portfolios in the standard Neoclassical Growth Model under uncertainty with heterogeneous agents and dynamically complete markets. Preferences are purposely restricted to be quasi-homothetic. The main source of heterogeneity across agents is due to different endowments of shares of the representative firm at date 0. Fixing portfolios is the optimal equilibrium strategy in stationary endowment economies with dynamically complete markets. However, when the environment displays changing degrees of heterogeneity across agents, the trading strategy of fixed portfolios cannot be optimal in equilibrium. Very importantly, our framework can generate changing heterogeneity if and only if either minimum consumption requirements are not zero or labor income is not zero and the value of human and non-human wealth are linearly independent.
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Equilibrium Portfolios in the Neoclassical Growth Model
2006Co-Authors: Emilio EspinoAbstract:This paper studies equilibrium portfolios in the standard Neoclassical Growth Model under uncertainty with heterogeneous agents and dynamically complete markets. Preferences are purposely restricted to be quasi-homothetic. The main source of heterogeneity across agents is due to different endowments of shares of the representative firm at date 0. Fixing portfolios is the optimal strategy in stationary endowment economies with dynamically complete markets. Whenever an environment displays changing degrees of heterogeneity across agents, the trading strategy of fixed portfolios cannot be optimal in equilibrium. Very importantly, our framework can generate changing heterogeneity if and only if either minimum consumption requirements are not zero or labor income is not zero and the value of human and non-human wealth are linearly independent
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On Ramsey's Conjecture: Efficient Allocations in the Neoclassical Growth Model with Private Information
Journal of Economic Theory, 2005Co-Authors: Emilio EspinoAbstract:Abstract In his seminal paper of 1928, Ramsey conjectured that if agents discounted the future differently, in the long run all agents except the most patient would live at the subsistence level. The validity of this conjecture was investigated in different environments. In particular, it has been confirmed in the Neoclassical Growth Model with dynamically complete markets. This paper studies this conjecture in a version of this Model that includes private information and heterogeneous agents. A version of Bayesian implementation is introduced and a recursive formulation of the original allocation problem is established. Efficient allocations are renegotiation-proof and the expected utility of any agent cannot go to zero with positive probability if the economy does not collapse. If the economy collapses all agents will get zero consumption forever. Thus, including any degree of private information in the Neoclassical Growth Model will deny Ramsey's conjecture, if efficient allocations are considered.
