Time variation of second moments from a noise trader/infection model
Article Abstract:
A study analyzes characteristics and time-varying variances of the conditional distribution of prices in speculative markets such as securities or foreign exchange markets. Autoregressive structures are being demonstrated by the processes of the second moments of state variables, such as prices. Shocks to volatility, which shows change over times, are found to have significant impact. Regularities in variances in data from foreign exchange markets and assets markets can be accounted for using the microstructure modelling of the market.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1997
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A Hicksian two-sector model of unemployment, cycles, and growth
Article Abstract:
The Hicksian two-sector model of unemployment, cycles and growth was considered to understand the occurrence of employment fluctuation in a growing economy. The model considers two kinds of friction, non-shiftability of capital and nominal wage stickiness. Investment allocation can address the sectoral imbalances resulting to the non-shiftability of capital in finite time. The speed of the nominal rate adjustment determines the possibility of cycles.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1998
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