نتایج جستجو برای: dynamic stochastic general equilibrium jel classification c60

تعداد نتایج: 1739088  

The purpose of this article is to investigate the impact of electricity tariffs in the domestic and industrial sectors on electricity consumption and macroeconomic variables. In this regard, statistical data for the period 1991-2020 based on seasonal frequency and dynamic stochastic general equilibrium approach (DSGE) have been used. In this study, it is assumed that there is a section in the h...

Journal: :تحقیقات اقتصادی 0
مهدی صارم دانشجوی دکترا - بخش اقتصاد - دانشکده اقتصاد دانشگاه شیراز حسین مرزبان عضو هیئت علمی بخش اقتصاد دانشکده اقتصاد .. دانشگاه شیراز منصور زیبایی عضو هیئت علمی - بخش اقتصاد کشاورزی- دانشکده کشاورزی - دانشگاه شیراز روح اله شهنازی عضو هیئت علمی بخش اقتصاد - دانشکده اقتصاد دانشگاه شیراز

the aim of this paper is to investigate the existence of the new non-ricardian regime policy in iranian economy. we detected signs of the non-ricardian regime from quarterly data of 1369 to 1391. to investigate further a dynamic stochastic general equilibrium model is designed to estimate the fiscal and monetary parameters using a bayesian approach. our results indicated a passive monetary poli...

Journal: :تحقیقات اقتصادی 0
حسن دلیری استادیار دانشکدة علوم انسانی، دانشگاه گلستان نادر مهرگان دانشیار دانشکدة اقتصاد و علوم اجتماعی، دانشگاه بوعلی سینا همدان

iranian banks can not freely determine their interest rates in the financial market. this characteristic causes banking industry unable to perform their duties of financial intermediaries in the transmission mechanism of monetary. in these circumstances, monetary shocks will have a significant and high effect on the alternative markets (like stocks and housing). in this study, we used dynamic s...

2001
Markus Leippold Fabio Trojani Paolo Vanini Giovanni Barone-Adesi Damir Filipovic Rajna Gibson Michel Habib Ronnie Sircar

We offer a framework to analyze Value-at-Risk based regulation rules and their possible distortion effects on financial markets. Our model is formulated in a continuous-time economy where investors maximize expected utility subject to some regulatory Value-at-Risk constraint when asset price dynamics are not lognormal and exhibit stochastic volatility. To retain tractability of the optimization...

Journal: Money and Economy 2014
Afshari Zahra, Maryam Faraji,

Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran. In this paper a Multi Sector Dynamic Stochastic General Equilibrium model, with emphasis on optimization of oil sector as a producing sector is designed. Furthermore, an optimizing import sector is introduced into the model by considering the price rigidity in imported goods as a...

Journal: :J. Economic Theory 2010
V. Filipe Martins-da-Rocha Frank Riedel

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. JEL Classification: D51, D91, G10, G12

2002
Thomas A. Weber

We provide necessary optimality conditions for a general class of discounted infinitehorizon dynamic optimization problems. As part of the resulting maximum principle we obtain explicit bounds on the adjoint variable, stronger than the transversality conditions in Arrow–Kurz form. r 2005 Elsevier B.V. All rights reserved. JEL classification: C60; C61

2004
Willi Semmler

The study of asset price characteristics of stochastic growth models such as the riskfree interest rate, equity premium and the Sharpe ratio has been limited by the lack of global and accurate methods to solve dynamic optimization models. In this paper a stochastic version of a dynamic programming method with adaptive grid scheme is applied to compute the above mentioned asset price characteris...

Journal: :iranian economic review 0
seyyedeh sara mirhosseini department of industrial engineering, university of science and arts, yazd, iran ([email protected]). naman mahmoudi department of industrial engineering, university of sistan and baluchestan, zahedan, iran (corresponding author: [email protected]). seyyedeh negar pourali valokolaie department of industrial engineering, university of science and arts, yazd, iran ([email protected]).

i n the past decades, the effect of different tax amendments on various economic issues has been studied. the majority of these studies have avoided considering shadow economy as part of the calculation and analysis, and an issue, which has received little attention, is the relationship between green tax reforms and shadow economy, as for informal labor, which is well-connected to unemployment ...

2007
Paul Levine Joseph Pearlman Richard Pierse

We examine the linear-quadratic (LQ) approximation of non-linear stochastic dynamic optimization problems in macroeconomics, in particular for monetary policy. We make four main contributions: first, we draw attention to a general Hamiltonian framework for LQ approximation due to Magill (1977). We show that the procedure for the ‘large distortions’ case of Benigno and Woodford (2003, 2005) is e...

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