The generation of business fluctuations: financial fragility and mean-field interactions
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main [u.a.]
Lang
2008
|
| Series: | Dynamische Wirtschaftstheorie
26 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. [137] - 149 |
| Physical Description: | 149 S. graph. Darst. |
| ISBN: | 9783631581193 |
Staff View
MARC
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| 245 | 1 | 0 | |a The generation of business fluctuations |b financial fragility and mean-field interactions |c Corrado Di Guilmi |
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Record in the Search Index
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| adam_text | Contents
1
Introduction
15
1.1
Aim and results
15
1.2
Outline of the work
17
1 The context
19
2
From micro to macro
21
2.1
The aggregation issue
21
2.2
Financial fragility in the New Keynesian approach
25
3
Some basic definitions
29
3.1
Markovian and Gibbs random fields. Mean-field interaction
29
3.2
Master equation
31
3.3
Hammersley and Clifford theorem: a functional solution for
the master equation
34
3.4
Entropy measures and MaxEnt problem
35
II A dynamic stochastic model for business fluctuations
41
4
Modeling financial fragility
43
5
Hypothesis
47
5.1
Structure of the system and definition of states
47
5.2
The Firms
53
5.2.1
Assumptions about firms behavior and market
54
5.2.2
Firms objective function
58
6
Stochastic inference
61
6.1
Statical inference
61
6.1.1
The MaxEnt problem
61
10 Contents
6.1.2
Solution
and estimations
62
6.2
Dynamics
65
6.2.1
Master equation
65
6.2.2
Stationary points
66
Appendix A: Macroscopic equation
72
Appendix B: Fokker-Planck equation
73
7
Stationary distributions
77
7.1
Aggregation and origin of business cycles
77
7.2
Equilibrium distribution and critical points
78
7.3
Concluding remarks
82
7.3.1
A reinterpretation of transition rates
82
7.3.2
On the results of stochastic analysis
83
8
Modeling a monetary policy
85
8.1
A traditional rule of behavior for the central bank
85
8.2
A New-Keynesian perspective
88
HI Empirical evidence
91
3
Application
to data
93
9.1
Simulations results
93
9.2
Application to real data
98
9.2.1
Equity ratio distribution and detailed balance
100
9.2.2
Financial fragility and performances
103
9.2.3
The index
β
and the aggregate output
104
10
Stylized facts of business cycles
111
10.1
Durations
112
10.2
Amplitude
114
10.3
Firms financial fragility and business cycles
118
11
Financial variables and firms profitability: a hazard function
analysis
125
11.1
Introduction
125
11.2
Methodology
128
11.3
The model
130
11.4
Empirical results
132
11.5
Concluding remarks
134
Bibliography
149
|
| adam_txt |
Contents
1
Introduction
15
1.1
Aim and results
15
1.2
Outline of the work
17
1 The context
19
2
From micro to macro
21
2.1
The aggregation issue
21
2.2
Financial fragility in the New Keynesian approach
25
3
Some basic definitions
29
3.1
Markovian and Gibbs random fields. Mean-field interaction
29
3.2
Master equation
31
3.3
Hammersley and Clifford theorem: a functional solution for
the master equation
34
3.4
Entropy measures and MaxEnt problem
35
II A dynamic stochastic model for business fluctuations
41
4
Modeling financial fragility
43
5
Hypothesis
47
5.1
Structure of the system and definition of states
47
5.2
The Firms
53
5.2.1
Assumptions about firms behavior and market
54
5.2.2
Firms objective function
58
6
Stochastic inference
61
6.1
Statical inference
61
6.1.1
The MaxEnt problem
61
10 Contents
6.1.2
Solution
and estimations
62
6.2
Dynamics
65
6.2.1
Master equation
65
6.2.2
Stationary points
66
Appendix A: Macroscopic equation
72
Appendix B: Fokker-Planck equation
73
7
Stationary distributions
77
7.1
Aggregation and origin of business cycles
77
7.2
Equilibrium distribution and critical points
78
7.3
Concluding remarks
82
7.3.1
A reinterpretation of transition rates
82
7.3.2
On the results of stochastic analysis
83
8
Modeling a monetary policy
85
8.1
A traditional rule of behavior for the central bank
85
8.2
A New-Keynesian perspective
88
HI Empirical evidence
91
3
Application
to data
93
9.1
Simulations results
93
9.2
Application to real data
98
9.2.1
Equity ratio distribution and detailed balance
100
9.2.2
Financial fragility and performances
103
9.2.3
The index
β
and the aggregate output
104
10
Stylized facts of business cycles
111
10.1
Durations
112
10.2
Amplitude
114
10.3
Firms' financial fragility and business cycles
118
11
Financial variables and firms' profitability: a hazard function
analysis
125
11.1
Introduction
125
11.2
Methodology
128
11.3
The model
130
11.4
Empirical results
132
11.5
Concluding remarks
134
Bibliography
149 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Di Guilmi, Corrado 1972- |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 338 - Production |
| dewey-raw | 338.542 |
| dewey-search | 338.542 |
| dewey-sort | 3338.542 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| id | DE-604.BV023400858 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:23:43Z |
| indexdate | 2024-07-09T21:17:47Z |
| institution | BVB |
| isbn | 9783631581193 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016583650 |
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| owner_facet | DE-12 DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-384 |
| physical | 149 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Lang |
| record_format | marc |
| series | Dynamische Wirtschaftstheorie |
| series2 | Dynamische Wirtschaftstheorie |
| spelling | Di Guilmi, Corrado 1972- Verfasser (DE-588)133879054 aut The generation of business fluctuations financial fragility and mean-field interactions Corrado Di Guilmi Frankfurt am Main [u.a.] Lang 2008 149 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Dynamische Wirtschaftstheorie 26 Literaturverz. S. [137] - 149 Konjunkturphase (DE-588)4200324-6 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Konjunkturphase (DE-588)4200324-6 s Diffusionsprozess (DE-588)4274463-5 s DE-604 Dynamische Wirtschaftstheorie 26 (DE-604)BV000023597 26 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016583650&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Di Guilmi, Corrado 1972- The generation of business fluctuations financial fragility and mean-field interactions Dynamische Wirtschaftstheorie Konjunkturphase (DE-588)4200324-6 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| subject_GND | (DE-588)4200324-6 (DE-588)4274463-5 |
| title | The generation of business fluctuations financial fragility and mean-field interactions |
| title_auth | The generation of business fluctuations financial fragility and mean-field interactions |
| title_exact_search | The generation of business fluctuations financial fragility and mean-field interactions |
| title_exact_search_txtP | The generation of business fluctuations financial fragility and mean-field interactions |
| title_full | The generation of business fluctuations financial fragility and mean-field interactions Corrado Di Guilmi |
| title_fullStr | The generation of business fluctuations financial fragility and mean-field interactions Corrado Di Guilmi |
| title_full_unstemmed | The generation of business fluctuations financial fragility and mean-field interactions Corrado Di Guilmi |
| title_short | The generation of business fluctuations |
| title_sort | the generation of business fluctuations financial fragility and mean field interactions |
| title_sub | financial fragility and mean-field interactions |
| topic | Konjunkturphase (DE-588)4200324-6 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| topic_facet | Konjunkturphase Diffusionsprozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016583650&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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