Amplification and Asymmetric Effects without Collateral Constraints

Dan Cao; Guangyu Nie

doi:10.1257/mac.20150219

Amplification and Asymmetric Effects without Collateral Constraints

American Economic Journal Macroeconomics ◽

10.1257/mac.20150219 ◽

2017 ◽

Vol 9 (3) ◽

pp. 222-266 ◽

Cited By ~ 10

Author(s):

Dan Cao ◽

Guangyu Nie

Keyword(s):

Significant Role ◽

Incomplete Markets ◽

Relative Importance ◽

Asymmetric Effects ◽

Collateral Constraints ◽

Exogenous Shocks ◽

Market Incompleteness ◽

Seminal Contribution ◽

Vast Literature ◽

Asymmetric Responses

The seminal contribution by Kiyotaki and Moore (1997) has spurred a vast literature on the importance of collateral constraints in propagating and amplifying shocks to the economy. However, most papers in the literature using collateral constraints assume non-state-contingent debt, i.e., markets are incomplete. To assess the relative importance of collateral constraints versus market incompleteness, we study a calibrated incomplete markets model and solve it with and without collateral constraints. We find that market incompleteness by itself plays a quantitatively significant role in the amplified and asymmetric responses of the economy, including land price and output, to exogenous shocks. (JEL D52, E32, E44, L26, O41)

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A Primer on Incomplete Markets

Arbitrage Theory in Continuous Time ◽

10.1093/oso/9780198851615.003.0009 ◽

2019 ◽

pp. 128-137

Author(s):

Tomas Björk

Keyword(s):

Incomplete Markets ◽

Factor Model ◽

Market Price ◽

Market Price Of Risk ◽

Market Incompleteness ◽

Price Of Risk

We discuss market incompleteness within the relatively simple framework of a factor model. The corresponding pricing PDE is derived and we relate it to the market price of risk.

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Amplification and Asymmetric Effects Without Collateral Constraints

SSRN Electronic Journal ◽

10.2139/ssrn.2780032 ◽

2016 ◽

Cited By ~ 2

Author(s):

Dan Cao ◽

Guangyu Nie

Keyword(s):

Asymmetric Effects ◽

Collateral Constraints

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A Novel Framework for Selecting Informative Meteorological Stations Using Monte Carlo Feature Selection (MCFS) Algorithm

Advances in Meteorology ◽

10.1155/2020/5014280 ◽

2020 ◽

Vol 2020 ◽

pp. 1-13

Author(s):

Rizwan Niaz ◽

Ibrahim M. Almanjahie ◽

Zulfiqar Ali ◽

Muhammad Faisal ◽

Ijaz Hussain

Keyword(s):

Monte Carlo ◽

Feature Selection ◽

Significant Role ◽

Meteorological Data ◽

Accurate Estimation ◽

Relative Importance ◽

Drought Prediction ◽

Monte Carlo Feature Selection ◽

Remaining Time ◽

Scale Data

Spatial distribution of meteorological stations has a significant role in hydrological research. The meteorological data play a significant role in drought monitoring; in this regard, accurate and suitable provision of meteorological stations is becoming crucial to improve and strengthen the skill of drought prediction. In this perspective, the choice of meteorological stations in a specific region has substantial importance for accurate estimation and continuous monitoring of drought hazards at the regional level. However, installation and data mining on a large number of meteorological stations require high cost and resources. Therefore, it is necessary to rank and find dependencies among existing meteorological stations in a particular region for further climatological analysis and reanalysis of databases. In this paper, the Monte Carlo feature selection and interdependency discovery (MCFS-ID) algorithm-based framework is proposed to identify the important meteorological station in a particular region. We applied the proposed framework on 12 meteorological stations situated in varying climatological regions of Punjab (Pakistan). We employed the drought index SPTI on 1-, 3-, 6-, 9-, 12-, 24-, and 48-month time-scale data to find the interdependencies among meteorological stations at various locations. We found that Sialkot has significance regional importance for studying SPTI-3, SPTI-6, and SPTI-48 indices. This regional importance is based on scores of relative importance (RI); for example, the RI values for SPTI-3, SPTI-6, and SPTI-48 indices are 0.1570, 0.1080, and 0.0270, respectively. Furthermore, the Jhelum station has more relative importance (RI = 0.1410 and 0.1030) for SPTI-1 and SPTI-9 indices, while varying concentration behaviour is observed in the remaining time scales.

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UNCERTAIN DURATION OF REFORM

Macroeconomic Dynamics ◽

10.1017/s136510059800902x ◽

1998 ◽

Vol 2 (4) ◽

pp. 443-455 ◽

Cited By ~ 24

Author(s):

Guillermo A. Calvo ◽

Allan Drazen

Keyword(s):

Trade Liberalization ◽

Incomplete Markets ◽

Elasticity Of Substitution ◽

Complete Markets ◽

Realistic Case ◽

Market Incompleteness ◽

Uncertain Duration ◽

Consumption Dynamics

We develop a framework to study the effects of policies of uncertain duration on consumption dynamics under both complete and incomplete markets. We focus on the dynamic implications of market incompleteness, specifically on the lack of state-contingent bonds. Two policies are considered: pure output-increasing and tariff-reducing (trade liberalization). With complete markets, the output-increasing policy leads to flat consumption, whereas with no contingent assets, consumption jumps upward on the announcement of the policy, continues rising as long as the policy is in effect, and collapses when it is abandoned. A similar consumption path obtains in a trade liberalization in the realistic case of low elasticity of substitution and no rebate of tariffs. Market incompleteness rationalizes the existence of gradual changes in consumption.

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Asymmetric Effects of Monetary Policy

The B E Journal of Macroeconomics ◽

10.1515/bejm-2020-0084 ◽

2020 ◽

Vol 0 (0) ◽

Author(s):

Tzu-Yu Lin

Keyword(s):

Monetary Policy ◽

Structural Vector Autoregression ◽

Dsge Model ◽

Monetary Policies ◽

Asymmetric Effects ◽

Collateral Constraints ◽

Us Economy ◽

Policy Shocks ◽

Dynamic Stochastic ◽

The Business Cycle

AbstractIn this paper, we first use a structural vector autoregression model to examine whether the US economy responds asymmetrically to expansionary and contractionary monetary policies. The empirical results show that monetary policy has significant asymmetric effects on output and investment. To provide an explanation of such asymmetries, we consider a nonlinear dynamic stochastic general equilibrium (DSGE) model in which collateral constraints are occasionally binding over the business cycle. The nonlinear DSGE model is able to match the empirical findings that macroeconomic aggregates react asymmetrically to positive and negative monetary policy shocks.

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Quantifying the nitrogen equilibrium and photochemistry-induced isotopic effects between NO and NO<sub>2</sub>

10.5194/acp-2019-1126 ◽

2020 ◽

Author(s):

Jianghanyang Li ◽

Xuan Zhang ◽

Greg Michalski ◽

John Orlando ◽

Geoffrey Tyndall

Keyword(s):

Significant Role ◽

Room Temperature ◽

Isotopic Fractionation ◽

Enrichment Factors ◽

Isotopic Effect ◽

Relative Importance ◽

Fractionation Process ◽

Isotopic Effects ◽

Fractionation Factors ◽

Simulation Chamber

Abstract. The nitrogen isotopic fractionations between NO and NO2 play a significant role in determining the nitrogen isotopic compositions (δ15N) of atmospheric NO2 and nitrate. This isotopic fractionation is controlled by a combination of equilibrium isotopic effect (EIE) and Leighton Cycle induced isotopic effect (LCIE), which are poorly constrained. We quantified this isotopic fractionation process by (1) measuring the isotopic fractionation factors of EIE and LCIE in a 10 m3 atmospheric simulation chamber and (2) mathematically calculating the relative importance of EIE and LCIE. Our results showed the enrichment factors of EIE and LCIE are 1.0275 ± 0.0012, and 0.9905 ± 0.005, respectively, at room temperature. We find that EIE is the dominate factor when NOx > 20 nmol mol−1, and LCIE is more important at low NOx concentrations (

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Evaluation de la probabilité d'hivernage du virus de la fièvre catarrhale ovine par transmission horizontale chez les vecteurs, les ruminants ou les deux : application en Allemagne

Revue d’élevage et de médecine vétérinaire des pays tropicaux ◽

10.19182/remvt.10068 ◽

2009 ◽

Vol 62 (2-4) ◽

pp. 160

Author(s):

Sebastian Napp ◽

S. Gubbins ◽

P. Calistri ◽

Alberto Allepuz ◽

Anna Alba ◽

...

Keyword(s):

Risk Assessment ◽

Significant Role ◽

Bluetongue Virus ◽

Horizontal Transmission ◽

Assessment Model ◽

Quantitative Risk Assessment ◽

Relative Importance ◽

Risk Assessment Model ◽

Real Scenario ◽

Residual Number

Even though bluetongue virus (BTV) transmission is apparently interrupted during winter, bluetongue outbreaks often reappear in the next season (overwintering). Several mechanisms for BTV overwintering have been proposed, but to date their relative importance remains unclear. In order to assess the probability of BTV overwintering by horizontal transmission in vectors (long-lived Culicoides), ruminants (prolonged viraemia), or a combination of both, a quantitative risk assessment model was developed. Furthermore, the model allowed the role played by the residual number of vectors present during winter to be examined, and the effect of a proportion of Culicoides living inside buildings (endophilic behaviour) to be explored. The model was then applied to a real scenario: overwintering in Germany between 2006 and 2007. The results showed that the limited number of vectors active during winter seemed to allow the transmission of BTV during this period and that this transmission was favoured by the endophilic behaviour of some Culicoides. Even though transmission was possible, the likelihood of BTV overwintering by horizontal transmission in vectors, ruminants or in both seemed however too low to explain the observed re-emergence of the disease. Therefore, other overwintering mechanisms that were not considered in the model are likely to have played a significant role in BTV overwintering in Germany between 2006 and 2007.

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RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS

Macroeconomic Dynamics ◽

10.1017/s136510050203105x ◽

2002 ◽

Vol 6 (2) ◽

pp. 284-306 ◽

Cited By ~ 26

Author(s):

Felix Kubler ◽

Karl Schmedders

Keyword(s):

Incomplete Markets ◽

Heterogeneous Agents ◽

Infinite Horizon ◽

State Spaces ◽

Exogenous Shock ◽

Asset Pricing Model ◽

First Order ◽

Distribution Of Wealth ◽

Exogenous Shocks ◽

Equilibrium Prices

We examine minimal sufficient state spaces for equilibria in a Lucas asset pricing model with heterogeneous agents and incomplete markets. It is clear that even if all fundamentals of the economy follow a first-order Markov process, equilibrium prices and allocations generally will depend not only on the current exogenous shock but also on the distribution of wealth among the heterogeneous agents. The main contribution of this paper is to give an example of an infinite-horizon economy with Markovian fundamentals, where the joint process of equilibrium asset holdings and exogenous shocks does not constitute a sufficient state space either.

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Relationship between Didactic Attendance and Average Ophthalmic Knowledge Assessment Program Performance

Journal of Academic Ophthalmology ◽

10.1055/s-0040-1718567 ◽

2020 ◽

Vol 12 (02) ◽

pp. e267-e272

Author(s):

Todd W. Altenbernd

Keyword(s):

Digital Media ◽

Significant Role ◽

Educational Process ◽

Knowledge Assessment ◽

Relative Importance ◽

Learning Tools ◽

Face To Face ◽

Assessment Program ◽

Significant Difference ◽

Flipped Classrooms

Abstract Background The Accreditation Council for Graduate Medical Education's ophthalmology-specific program requirements indicate that a resident must participate in 360 hours of educational activities over the course of residency. The requirements allow a variety of options by which this educational process may occur. Furthermore, the current generation of learners has used a large array of learning tools in their careers: digital media, online resources, question banks, flipped classrooms, problem-based learning, and asynchronous lectures in addition to the traditional face-to-face didactic lectures. Objectives This article determines if the traditional face-to-face didactic lectures play a significant role in the education of ophthalmology residents, attempts to quantitate this role, and estimates the relative importance of this method. Methods Lecture hours beginning immediately after an Ophthalmic Knowledge Assessment Program (OKAP) examination and up to the subsequent exam was tabulated for 40 residents over 8 years. From 2012 through 2019 each of the residents took the OKAP exam one to three times. The average overall OKAP score for each resident was then regressed against his or her logged hours of didactics that year. This rate of average OKAP score to lecture hours was then evaluated for significant differences on the basis of postgraduate year (PGY). “STATA 13.1 IC,” was used for all statistical analysis. Conclusion Traditional synchronous didactic lectures play a statistically significant role in the education of ophthalmology residents. For each 3.5 hours of lectures per year there is a 1% increase in the average OKAP score, p = 0.0064. However, the amount of variability explained by this single factor is low, R 2 = 0.067, and other factors are presumed to play a large part in learning. PGY subgroup analysis showed significant difference in the OKAP performance to lecture hour relationship, the number of lecture hours attended, and the OKAP performance.

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