Christodoulakis Dynamic Modelling and Control of National Economies 1989

Selected Papers from the 6th IFAC Symposium, Edinburgh, UK, 27-29 June 1989
1. Auflage 2014
ISBN: 978-1-4832-9882-5
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 593 Seiten, Web PDF

Reihe: IFAC Symposia Series

The Symposium aimed at analysing and solving the various problems of representation and analysis of decision making in economic systems starting from the level of the individual firm and ending up with the complexities of international policy coordination. The papers are grouped into subject areas such as game theory, control methods, international policy coordination and the applications of artificial intelligence and experts systems as a framework in economic modelling and control. The Symposium therefore provides a wide range of important information for those involved or interested in the planning of company and national economics.

Autoren/Hrsg.

Christodoulakis, N. M.

Inhaltsverzeichnis

1;Front Cover;1
2;Dynamic Modelling and Control of National Economies 1989;4
3;Copyright Page;5
4;Table of Contents;12
5;Introduction;8
6;PART: 1 GAME THEORY;18
6.1;CHAPTER 1. GAME THEORY IN MACROECONOMIC POLICY: A SURVEY;18
6.1.1;INTRODUCTION;18
6.1.2;GAMES BETWEEN A POLICY MAKER AND PRIVATE SECTOR;18
6.1.3;GAMES BETWEEN POLITICAL PARTIES;20
6.1.4;GAMES BETWEEN MULTIPLE POLICY MAKERS;20
6.1.5;REFERENCES;21
6.1.6;CONCLUSIONS;21
6.2;CHAPTER 2. IMPERFECT COMPETITION, INFORMATION ACQUISITION, AND PRICE ADJUSTMENT;24
6.2.1;INTRODUCTION;24
6.2.2;THE MODEL;24
6.2.3;EQUILIBRIA;26
6.2.4;CONCLUSION;28
6.2.5;REFERENCES;28
6.3;CHAPTER 3. DISTRIBUTED RELAXATION-TYPE ALGORITHMS FOR NONCOOPERATIVE GAMES;30
6.3.1;1 Introduction;30
6.3.2;2 Problem Formulation and Relaxation-type Algorithms;30
6.3.3;3 A Robust Relaxation Algorithm Under Partially Asynchronous Computation For Player 2;32
6.3.4;4 Some Extensions and Concluding Remarks;34
6.3.5;References;34
6.3.6;Appendix;35
6.4;CHAPTER 4. STRATEGIC SEQUENTIAL INTERACTION BETWEEN MONETARY AND FISCAL POLICY;36
6.4.1;INTRODUCTION;36
6.4.2;FISCAL AND MONETARY POLICY GAME;37
6.4.3;EQUILIBRIA OF THE REPEATED GAME;39
6.4.4;COOPERATION OR CONFLICT ?;42
6.4.5;Conclusion;43
6.4.6;REFERENCES;43
6.5;CHAPTER 5. IS POLICY COORDINATION NECESSARY TO ACHIEVE EFFICIENT STABILIZATION POLICIES?;44
6.5.1;INTRODUCTION;44
6.5.2;THE MODEL;44
6.5.3;THE NO-MEMORY FEEDBACK NASH EQUILIBRIUM SOLUTION;45
6.5.4;NO-MEMORY PARETO-OPTIMAL SOLUTIONS;46
6.5.5;A SCALAR EXAMPLE;47
6.5.6;PARETO-OPTIMAL NON-COOPERATIVE EQUILIBRIUM SOLUTIONS;48
6.5.7;CONCLUSIONS;48
6.5.8;REFERENCES;49
6.6;CHAPTER 6. ON A CLASS OF COOPERATIVE FEEDBACK SOLUTIONS FOR DIFFERENTIAL GAMES;50
6.6.1;1. INTRODUCTION;50
6.6.2;2. INFINITE HORIZON LQ GAMES;50
6.6.3;3. A DIFFERENTIAL GAME OF CAPITALISM;51
6.6.4;4. FINITE HORIZON LQ GAMES;51
6.6.5;5. CONCLUSIONS;52
6.6.6;REFERENCES;52
6.7;CHAPTER 7. WEIGHTED REWARD CRITERIA IN COMPETITIVE MARKOV DECISION PROCESSES;54
6.7.1;Abstract;54
6.7.2;1. Introduction;54
6.7.3;2. Definitions and Preliminaries;54
6.7.4;3. Weighted Criteria - Motivation;56
6.7.5;4. Properties of the Weighted Criteria;56
6.7.6;References;59
6.8;CHAPTER 8. NON-COOPERATIVE EQUILIBRIA IN MACROECONOMIC MODELS WITH RATIONAL EXPECTATIONS;60
6.8.1;Abstract;60
6.8.2;1. Introduction;60
6.8.3;2. The International Macroeconomic Policy Game;60
6.8.4;3. The Model;62
6.8.5;4. Cooperation with Reputation;62
6.8.6;5. Non—Cooperation with Reputation: Nash Equilibrium;63
6.8.7;6. Surrogate Cooperation;65
6.8.8;7. Results and Conclusions;66
6.8.9;References;67
6.9;CHAPTER 9. A GAME THEORETICAL APPROACH TO INCOME POLICIES;68
6.9.1;I. INTRODUCTION;68
6.9.2;II. THE FORMAL MODEL;68
6.9.3;REFERENCES;69
6.10;CHAPTER 10. EQUILIBRIA IN A SEQUENTIAL DUOPOLY MODEL;70
6.10.1;INTRODUCTION;70
6.10.2;STOCHASTIC SEQUENTIAL GAMES;71
6.10.3;A MODEL OF STOCHASTIC DUOPOLY;72
6.10.4;CONCLUSION;75
6.10.5;REFERENCES;76
6.11;CHAPTER 11. MONETARY RULES AS OPTIMAL INCENTIVE STRATEGIES;78
6.11.1;INTRODUCTION;78
6.11.2;A STACKELBERG INCENTIVE EQUILIBRIUM OF THE BARR0-60RD0N INFLATION GAME;79
6.11.3;A DYNAMIC MONETARY RULE;81
6.11.4;CONCLUSIONS;82
6.11.5;FOOTNOTES;82
6.11.6;REFERENCES;82
7;PART: 2 CONTROL OF ECONOMIC SYSTEMS;86
7.1;CHAPTER 12. ON THE JOINT VENTURE OF MACROECONOMIC POLICY MAKING AND CONTROL;86
7.1.1;INTRODUCTION;86
7.1.2;FORECASTING;87
7.1.3;INSTRUMENT-ORIENTED POLICY MAKING;88
7.1.4;TARGET-ORIENTED POLICY DESIGN;88
7.1.5;GAMES AND RATIONAL EXPECTATIONS;89
7.1.6;RISK AVERSION;89
7.1.7;INTERNATIONAL POLICY MAKING;89
7.1.8;RECONSTRUCTION OF PREFERENCES;90
7.1.9;CONCLUSION;90
7.1.10;REFERENCES;90
7.2;CHAPTER 13. INFLATION AND THE EVOLUTION OF THE CREDIBILITY WITH DISPARATE BELIEFS;92
7.2.1;INTRODUCTION;92
7.2.2;THE NASH SOLUTION;93
7.2.3;LEAST SQUARES LEARNING;95
7.2.4;REFERENCES;96
7.2.5;CONCLUSIONS;96
7.3;CHAPTER 14. SIMPLE ECONOMIC POLICIES ON A QUARTERLY AND ANNUAL BASIS;100
7.3.1;INTRODUCTION;100
7.3.2;SOLUTION WITH CONSISTENT EXPECTATIONS;100
7.3.3;POLICY DESIGN;101
7.3.4;NEXT STEPS;102
7.3.5;REFERENCES;102
7.4;CHAPTER 15. POLICY OPTIMIZATION IN DEMOCRATIC POLITICAL PROCESSES;104
7.4.1;ABSTRACT;104
7.4.2;INTRODUCTION;104
7.4.3;REASONS FOR POLICY OPTIMIZATION IN GOVERHMEBT;105
7.4.4;REASONS FOR PUBLISHING POLICY OPTIMIZATION IN GOVERNMENT;105
7.4.5;REASONS FOR DOING AND PUBLISHING POLICY OPTIMIZATION IN OPPOSITION;106
7.4.6;THE UNCERTAINTY OF MODELS AND THE DIFFERENCES BETWEEN THEM ;106
7.4.7;THE PRESENT USE OF POLICY OPTIMIZATION IN THE UNITED KINGDOM;106
7.4.8;MR LAWSON'S ECONOMIC STRATEGY;107
7.4.9;THE FORM OF POLICY OPTIMIZATION USED ON THE TREASURY MODEL;107
7.4.10;UK POLICY PROSPECTS IN 1989;107
7.4.11;UK POLICY. PROSPECTS H 1987 AHD 1988;109
7.4.12;UTOICATIOHS FOR FUTURE POLICY IH THE UK;110
7.4.13;CONCLUSION;111
7.4.14;REFERENCES;111
7.4.15;APPENDIX;111
7.5;CHAPTER 16. STABILIZATION OF A CLOSED ECONOMY MODEL VIA ADAPTIVE CONTROL;112
7.5.1;1. INTRODUCTION;112
7.5.2;2. THE ECONOMIC MODEL;112
7.5.3;3. CONVENTIONAL CONTROL;113
7.5.4;4. ADAPTIVE CONTROL;115
7.5.5;5. ANALYSIS;115
7.5.6;6. CONCLUSIONS;117
7.5.7;REFERENCES;117
7.6;CHAPTER 17. ON THE USE OF OPTIMAL CONTROL IN MACROECONOMIC MODELLING;118
7.6.1;1. INTRODUCTION;118
7.6.2;2. TARGETING SIMULATIONS AND OPTIMAL CONTROL;118
7.6.3;3. APPLICATIONS OF CONTROL METHODS;121
7.6.4;4. OPTIMAL CONTROL AND CONSISTENT EXPECTATIONS;123
7.6.5;5. CONCLUSION;123
7.6.6;REFERENCES;124
7.7;CHAPTER 18. CORPORATE TAX RATE POLICY AND PUBLIC AND PRIVATE EMPLOYMENT;126
7.7.1;INTRODUCTION;126
7.7.2;THE MODEL;127
7.7.3;STRATEGIC EQUILIBRIA;127
7.7.4;SENSITIVITY FOR CAPITAL/LABOUR INTENSIVENESS;130
7.7.5;CONCLUSION;131
7.7.6;REFERENCES;131
7.8;CHAPTER 19. OPTIMAL DYNAMIC TAXATION WITH RESPECT TO FIRMS;134
7.8.1;INTRODUCTION;134
7.8.2;THE FIRM'S DECISION PROBLEM;135
7.8.3;3. THE CONSUMER'S DECISION PROBLEM;135
7.8.4;4. THE GOVERNMENT'S DECISION PROBLEM;136
7.8.5;ABOUT TIME-INCONSISTENCY;136
7.8.6;CONCLUSIONS;138
7.8.7;ACKNOWLEDGEMENTS;138
7.8.8;REFERENCES;138
7.9;CHAPTER 20. OPTIMAL CONTROL OF STOCHASTIC NON-LINEAR MODELS;140
7.9.1;Introduction;140
7.9.2;2 The Algorithm;142
7.9.3;3 An Application;145
7.9.4;References;146
7.10;CHAPTER 21. THE SUSTAINABILITY OF OPTIMAL POLICIES: ANALYSIS AND EMPIRICAL ASSESSMENT USING THE LONDON BUSINESS SCHOOL MODEL;148
7.10.1;1. INTRODUCTION;148
7.10.2;2. SUSTAINABILITY;149
7.10.3;3. RESULTS USING A LINEARISED LBS MODEL;151
7.10.4;4. CONCLUSIONS;154
7.10.5;REFERENCES;154
7.11;CHAPTER 22. DIRECT GRADIENT APPROACHES FOR OPTIMIZING SMOOTH, NONSMOOTH AND STOCHASTIC DYNAMIC ECONOMIC SYSTEMS;156
7.11.1;INTRODUCTION;156
7.11.2;THE GENERAL DETERMINISTIC CASE;156
7.11.3;THE DIFFERENTIABLE CASE;157
7.11.4;THE NONSMOOTH AND STOCHASTIC CASES;159
7.11.5;ACKNOWLEDGEMENTS;159
7.11.6;REFERENCES;160
7.12;CHAPTER 23. DOES TIME-INCONSISTENCY REALLY MATTER?;162
7.12.1;I INTRODUCTION;162
7.12.2;II THEORY;163
7.12.3;Ill UNQUANTIFIABLE UNCERTAINTY AND THE PROBLEM OF OPTIMAL REVISIONSIONS;165
7.12.4;IV AN EMPIRICAL APPLICATION;166
7.12.5;V CONCLUSIONS;167
7.12.6;REFERENCES;168
8;PART: 3 UNCERTAINTY AND ROBUSTNESS IN POLICY DESIGN;170
8.1;CHAPTER 24. ROBUSTNESS OF DISCRETE TIME SYSTEMS: TUTORIAL1;170
8.1.1;INTRODUCTION;170
8.1.2;PROBLEM FORMULATION;171
8.1.3;STABILITY ROBUSTNESS CHARACTERIZATION;172
8.1.4;FREQUENCY DOMAIN APPROACH;173
8.1.5;OTHER PERFORMANCES;175
8.1.6;ROBUST CONTROL SYSTEMS DESIGN;175
8.1.7;CONCLUSIONS;176
8.1.8;REFERENCES;176
8.2;CHAPTER 25. ROBUST LYAPUNOV GAMES AND POLICY CO-ORDINATION;178
8.2.1;INTRODUCTION;178
8.2.2;PROBLEM STATEMENT;179
8.2.3;BASIC RESULTS AND CONCEPTS;180
8.2.4;DERIVATION OF THE REACTION SETS;181
8.2.5;NASH EQUILIBRIUM STRATEGIES;184
8.2.6;STACKELBERG EQUILIBRIUM STRATBCIES;184
8.2.7;FURTHER RESULTS ANDEXEENSICNS;185
8.2.8;REFERENCES;185
8.2.9;CONCLUSION;185
8.3;CHAPTER 26. THE ROBUSTNESS OF SIMPLE POLICY RULES COMPARED WITH OPTIMAL POLICY RULES: AN EXAMPLE;186
8.3.1;1. INTRODUCTION;186
8.3.2;2. THE MODEL;186
8.3.3;3 THE DESIGN OF OPTIMAL AND SIMPLE POLICIES;187
8.3.4;4. THE ROBUSTNESS INVESTIGATION;188
8.3.5;5. RESULTS;189
8.3.6;6. CONCLUSION;190
8.3.7;REFERENCES;190
8.4;CHAPTER 27. MODEL UNCERTAINTY, THE LUCAS CRITIQUE AND ROBUSTNESS IN A CORE INFLATION MODEL;192
8.4.1;1. INTRODUCTION;192
8.4.2;2. ROBUSTNESS MEASURES 'EX POST';192
8.4.3;3. ROBUSTNESS MEASURES EX ANTE;193
8.4.4;4. THE MODEL;194
8.4.5;5. CONTROL POLICIES;195
8.4.6;6. PERTURBATIONS;195
8.4.7;7. ROBUSTNESS AND THE LUCAS CRITIQUE;195
8.4.8;8. RESULTS FROM THE NON-RE MODEL;196
8.4.9;9. RESULTS FROM THE RE MODEL;196
8.4.10;10. CONCLUSIONS;198
8.4.11;REFERENCES;198
8.5;CHAPTER 28. VIABILITY OF LINEAR CONTROLLED SYSTEMS1;200
8.5.1;INTRODUCTION;200
8.5.2;ASSUMPTIONS AND NOTATIONS CONCERNING THE SYSTEM MATRIX A.;200
8.5.3;ASSUMPTIONS AND NOTATIONS CONCERNING THE VIABILITY SET £;201
8.5.4;THEOREM 1: SUFFICIENT \TABILITY CONDITIONS;201
8.5.5;INTERVAL SHAPED VIABILITY SETS;202
8.5.6;THEOREM 2: VLABILITY CONDITIONS FOR INTERVAL SHAPED VIABILITY SETS;202
8.5.7;CONCLUSIONS;202
8.5.8;REFERENCES;202
8.6;CHAPTER 29. A DESIGN OF ROBUST POLICY RULES FOR MACROECONOMIC MODELS;204
8.6.1;INTRODUCTION;204
8.6.2;AN ILLUSTRATIVE EXAMPLE;204
8.6.3;THE INTERPRETATION OF THE RESULTS AND EMPIRICAL RELEVANCE;206
8.6.4;SUPPLEMENT;206
8.6.5;REFERENCES;211
8.7;CHAPTER 30. OPTIMAL, TIME CONSISTENT ROBUST FEEDBACK RULES UNDER PARAMETER, FORECAST AND BEHAVIOURAL UNCERTAINTY;212
8.7.1;INTRODUCTION;212
8.7.2;SENSITIVITY ANALYSIS;213
8.7.3;ROBUSTNESS WITH RESPECT TO THE POLICY OBJECTIVE FUNCTION;214
8.7.4;ROBUSTNESS WITH RESPECT TO ENDOGENOUS VARIABLES;215
8.7.5;CONCLUDING REMARKS;218
8.7.6;ACKNOWLEDGEMENTS;218
8.7.7;REFERENCES;218
8.7.8;APPENDIX: AN EXAMPLE AND NUMERICAL EXPERIMENTS;219
9;PART: 4 INTERNATIONAL POLICY COOPERATION;220
9.1;CHAPTER 31. INTERNATIONAL ECONOMIC COORDINATION IN THE G7 AS A DYNAMIC NASH GAME1;220
9.1.1;REPRESENTING ECONOMIC AID POLITICAL REALITIES: THE ROLES OF THE MODEL AND THE POLICY OPTIMIZATION CRITERIA;221
9.1.2;THE BASH GAME PLAXED;221
9.1.3;THE COMPUTATIONAL METHODS USED;222
9.1.4;CONDITIONS LEADING TO CONVERGENCE;227
9.1.5;CONCLUSION;227
9.1.6;REFERENCES;227
9.2;CHAPTER 32. DEVELOPING COUNTRIES AND GLOBAL SCENARIO ANALYSIS;257
9.2.1;1. OBJECTIVES, RESEARCH STRATEGY AND OVERVIEW;257
9.2.2;2. GENERAL PROBLEM: BETWEEN THE OECD AND LDC INTERACTIONS;257
9.2.3;3. GLOBAL POLICY QUESTIONS;228
9.2.4;4. CONCLUSIONS;230
9.3;CHAPTER 33. THE MACROECONOMICS OF COMMODITIES, OIL AND DEBT;231
9.3.1;I. General Problem;231
9.3.2;II. Model Design;231
9.3.3;References;236
9.4;CHAPTER 34. EXCHANGE RATE AGREEMENTS AS A POLICY REGIME: THEIR PERFORMANCE AND DESIGN CHARACTERISTICS1;239
9.4.1;1. The Background;239
9.4.2;2 The Policy Exercises;240
9.4.3;3. Cooperative and Non-Cooperative Exchange Rate Regimes Under Certainty Equivalence;240
9.4.4;4. Economic Performance and Exchange Rate Coalitions;241
9.4.5;5 Conclusions;242
9.4.6;References;242
9.4.7;APPENDIX 1;243
9.5;CHAPTER 35. ADAPTIVE DYNAMIC GAMES IN ECONOMETRIC MODELS WITH INTERNATIONAL INTERDEPENDENCE: AN APPLICATION TO THREE ECONOMIC REGIONS, THE UNITED STATES, MAJOR EUROPEAN COUNTRIES AND JAPAN;247
9.5.1;1. INTRODUCTION;247
9.5.2;2. FORMULATION OF DYANMIC GAME;247
9.5.3;3. GAME SOLUTIONS;248
9.5.4;4. PARAMETER ESTIMATION ALGORITHM;250
9.5.5;5. ECONOMETRIC MODELS OF US, MEC AND JAPAN;251
9.5.6;6. SIMULATION RESULTS;251
9.5.7;REFERENCES;251
9.5.8;APPENDIX;252
10;PART: 5 ECONOMIC MODELLING AND SOLUTION METHODS;255
10.1;CHAPTER 36. A STOCK FLOW CONSISTENT MODEL FOR FISCAL POLICY FOR REAL EXCHANGE RATE IN A KEYNESIAN FRAMEWORK;255
10.1.1;INTRODUCTION AND SUMMARY OF RESULTS;255
10.1.2;IMPACT EXCHANGE RATE ADJUSTMENTS RESULTING FROM AN EXPANSIONARY FISCAL POLICY;258
10.1.3;REFERENCES;260
10.2;CHAPTER 37. OPTIMAL CONTROL SECTORIAL MODEL OF THE POLISH ECONOMY WITH FLEXIBILITY IN CRITERIA AND CONSTRAINTS;262
10.2.1;INTRODUCTION;262
10.2.2;THE MOC MODEL OF THE NATIONAL ECONOMY;263
10.2.3;DESCRIPTION OF COMPUTER PROCEDURES OF THE MODEL;264
10.2.4;CONCLUSION;266
10.2.5;REFERENCES;266
10.3;CHAPTER 38. A STATE SPACE MODEL OF THE ECONOMIC FUNDAMENTALS;268
10.3.1;INTRODUCTION;268
10.3.2;SECTION 1: A SIMPLE GENERAL EQUILIBRIUM MODEL;268
10.3.3;SECTION 2: EMPIRICAL EVIDENCE;271
10.3.4;SECTION 3: SUMMARY;273
10.3.5;REFERENCES;273
10.4;CHAPTER 39. EFFECTIVE USE OF ECONOMIC POLICY INSTRUMENTS;276
10.4.1;INTRODUCTION;276
10.4.2;THE SIMULATION PROCEDURE;277
10.4.3;THE ECONOMETRIC MODEL;277
10.4.4;THE DESIGN OF THE EXPERIMENTS;279
10.4.5;RESULTS;279
10.4.6;REFERENCES;280
10.5;CHAPTER 40. THE LONG RUN OF MACROECONOMETRIC MODELS;282
10.5.1;INTRODUCTION;282
10.5.2;I-METHODOLOGY;282
10.5.3;II- THE ECONOMICS OF THE LONG RUN SY5TEM;284
10.5.4;CONCLUSION;285
10.5.5;BIBLIOGRAPHY;285
10.6;CHAPTER 41. ON COMPOSITE CLASSICAL AND KEYNESIAN MICRO-DYNAMICAL PROCESSES;288
10.6.1;I. Introduction;288
10.6.2;II. Dual and Cross-dual Dynamics;289
10.6.3;III. Some Stability Results on the Composite Dynamics;290
10.6.4;IV. The Composite Approach to the Stability of Composite Systems;291
10.6.5;V. Counterexamples;293
10.6.6;Appendix: An Application of the Routh-Hurwitz Theorem;295
10.6.7;IX. References;296
10.7;CHAPTER 42. THE STRUCTURE OF MACROECONOMIC MODELS;298
10.7.1;INTRODUCTION;298
10.7.2;GRAPH THEORY AND ECONOMETRIC MODELS;298
10.7.3;ANALYSIS OF THREE EMPIRICAL MODELS;301
10.7.4;CONCLUSION;303
10.7.5;REFERENCES;303
10.8;CHAPTER 43. TECHNICAL CHANGE, INPUT SUBSTITUTION, AND THE SPECIFICATION OF DYNAMIC FACTOR DEMANDS;304
10.8.1;INTRODUCTION;304
10.8.2;STATIC TECHNOLOGY EXPECTATIONS;305
10.8.3;NON-STATIC TECHNOLOGY EXPECTATIONS;307
10.8.4;A PARAMETRIC EXAMPLE;308
10.8.5;CONCLUSION;309
10.8.6;REFERENCES;309
10.9;CHAPTER 44. NON-CONVERGENCE TO RATIONAL EXPECTATIONS AND OPTIMAL MONETARY POLICY IN MODELS WITH LEARNING;310
10.9.1;INTRODUCTION;310
10.9.2;NON-CONVERGENCE;310
10.9.3;EXAMPLES OF NON-CONVERGENCE;311
10.9.4;SOME ISSUES IN STOCHASTIC CONTROL;312
10.9.5;STOCHASTIC CONTROL EXAMPLES;313
10.9.6;CONCLUSIONS;314
10.9.7;REFERENCES;314
10.10;CHAPTER 45. ON THE DIAGONALIZABILITY OF QUADRATIC FORMS AND THE ARBITRARINESS OF SHADOW PRICES;316
10.10.1;INTRODUCTION;316
10.10.2;SPECIFYING DIAGONAL OBJECTIVE FUNCTIONS QUADRATIC;317
10.10.3;THE DIAGONAL VERSION OF NONDIAGONAL QUADRATIC FORMS AND THE COMPLEXITY OF THE ALGORITHM;318
10.10.4;THE ARBITRARINESS OF SHADOW PRICES;320
10.10.5;CONCLUDING REMARKS;322
10.10.6;ACKNOWLEDGEMENTS;323
10.10.7;REFERENCES;323
10.11;CHAPTER 46. PARTIAL CREDIBILITY: A SOLUTION TECHNIQUE FOR ECONOMETRIC MODELS;324
10.11.1;I. INTRODUCTION;324
10.11.2;II POLICY DESIGN: GAME THEORETIC INTERPRETATIONS;325
10.11.3;III. A SOLUTION TECHNIQUE;326
10.11.4;V AN EMPIRICAL APPLICATION;328
10.11.5;V CONCLUSIONS;329
10.11.6;REFERENCES;330
11;PART: 6 ECONOMETRICS, TIME-SERIES ANALYSIS AND FORECASTING;332
11.1;CHAPTER 47. ESTIMATION BASED ON HOTELLING'S THEORY: TRANSITORY AND PERMANENT EFFECTS;332
11.1.1;I. INTRODUCTION;332
11.1.2;II. THE MODEL;332
11.1.3;III. ESTIMATION;336
11.1.4;IV. TESTING THE VERSIONS OF THE HOTELLING THEORY;337
11.1.5;VI. CONCLUSIONS;339
11.1.6;REFERENCES;339
11.2;CHAPTER 48. ADAPTIVE FORECASTING WITH HYPERFILTERS;340
11.2.1;INTRODUCTION;340
11.2.2;RECURSIVE REGRESSION;340
11.2.3;HYPERFILTERS;341
11.2.4;HOUSING STARTS IN THE NETHERLANDS;341
11.2.5;CONCLUSIONS;344
11.2.6;REFERENCES;344
11.2.7;APPENDIX;344
11.3;CHAPTER 49. DETERMINATION OF LINEAR FEEDBACK BETWEEN MULTIPLE TIME SERIES;346
11.3.1;1. INTRODUCTION;346
11.3.2;2. DETECTING FEEDBACK WITH AR REPRESENTATIONS;347
11.3.3;3. DETECTING FEEDBACK WITH ARMA REPRESENTATIONS;348
11.3.4;4. COMPARISON;349
11.3.5;5. CONCLUSIONS;350
11.3.6;REFERENCES;350
11.4;CHAPTER 50. VALUING LEAD TIME OF FORECASTS IN DYNAMIC PRODUCTION SYSTEMS: IMPACT OF PRIOR BELIEFS;352
11.4.1;INTRODUCTION;352
11.4.2;GENERAL METHODOLOGICAL APPROACH;352
11.4.3;LEAD TIME VALUATION METHODOLOGY;353
11.4.4;PREVIOUS METHODOLOGICAL APPROACH;355
11.4.5;CORN PRODUCTION DECISION MODEL;355
11.4.6;RESULTS;355
11.4.7;CONCLUSIONS;357
11.5;CHAPTER 51. THE ROLE OF INTERNATIONAL FACTORS IN THE BUSINESS CYCLE: A MULTICOUNTRY STUDY;358
11.5.1;INTRODUCTION;358
11.5.2;A MULTIVARIATE TIME SERIES MODEL OF MULTICOUNTRY OUTPUT;359
11.5.3;ECONOMETRIC METHODOLOGY;360
11.5.4;EMPIRICAL RESULTS;360
11.5.5;Conclusion;363
11.5.6;REFERENCES;363
11.6;CHAPTER 52. OPTIMAL TARIFF COALITIONS, AN ECONOMETRIC ANALYSIS;364
11.6.1;ABSTRACT;364
11.6.2;INTRODUCTION;364
11.6.3;1. The Model;365
11.6.4;2. Assumptions;367
11.6.5;3. Nash Games;368
11.6.6;4. Cooperation;368
11.6.7;5. Coalitions;370
11.6.8;References;372
11.7;CHAPTER 53. EFFICIENCY IN STOCHASTIC DYNAMIC ECONOMIC MODELS;374
11.7.1;INTRODUCTION;374
11.7.2;NOTATIONS AND PRELIMINARIES;374
11.7.3;DESCRIPTION OF THE ECONOMY;375
11.7.4;CHARACTERIZING TYPE I EFFICIENCY;376
11.7.5;TYPE II EFFICIENCY AND OPTIMALITY;376
11.7.6;REFERENCES;378
11.8;CHAPTER 54. TESTING THE STABILITY AND RELIABILITY OF U.S. MONEY DEMAND FUNCTIONS;380
11.8.1;INTRODUCTION;380
11.8.2;CONTROVERSIES IN THE SPECIFICATION OF MONEY DEMAND;380
11.8.3;IS CONSUMPTION A SUPERIOR PROXY FOR TRANSACTIONS DEMAND?;381
11.8.4;AN ALTERNATIVE MODEL OF MONEY DEMAND;383
11.8.5;CONCLUSIONS;384
11.8.6;REFERENCES;384
12;PART: 7 NATIONAL MODELS AND CURRENT POLICY ISSUES;388
12.1;CHAPTER 55. NEO-KEYNESIAN AND APPLIED GENERAL EQUILIBRIUM MACROECONOMETRIC MODELS: NEW DEVELOPMENTS FOR GREECE;388
12.1.1;1. INTRODUCTION;388
12.1.2;2. DESCRIPTION OF THE MODELS;388
12.1.3;3. APPLICATION;390
12.1.4;4. SYNTHESIS;392
12.1.5;5. CONCLUDING REMARKS;393
12.1.6;REFERENCES;393
12.2;CHAPTER 56. SHORT AND LONG RUN PROPERTIES OF THE BANK OF ITALY QUARTERLY ECONOMETRIC MODEL;396
12.2.1;1. INTRODUCTION;396
12.2.2;2. LONG-TERM PROPERTIES;397
12.2.3;3. MULTIPLIER ANALYSIS;400
12.2.4;REFERENCES;403
12.3;CHAPTER 57. A PRESENTATION OF THE ITALIAN CONTINUOUS TIME MODEL1;404
12.3.1;INTRODUCTION;404
12.3.2;THE MODEL;405
12.3.3;ESTIMATION RESULTS AND STABILITY;407
12.3.4;SENSITIVITY AND SIMULATION AN ANALYSIS: APPLICATION OF THE MODEL;407
12.3.5;CONCLUSIONS;408
12.3.6;REFERENCES;409
12.4;CHAPTER 58. THE LIRA/$ EXCHANGE RATE: THE OUT OF SAMPLE FORECASTING PERFORMANCE OF STRUCTURAL MODELS OR, HOW TO BEAT THE RANDOM WALK;414
12.4.1;INTRODUCTION;414
12.4.2;THE OUT-OF-SAMPLE PERFORMANCE OF THE STRUCTURAL MODELS;415
12.4.3;THE OUT-OF-SAMPLE PERFORMANCE OF THE ITALIAN CONTINUOUS TIME MODEL;417
12.4.4;CONCLUSION;418
12.4.5;REFERENCES;418
12.5;CHAPTER 59. PRODUCTION AND WELFARE EFFECTS OF INDIRECT TAX REFORM IN ITALY;420
12.5.1;INTRODUCTION;420
12.5.2;THE MODEL;420
12.5.3;THE DECOMPOSITION OF WELFARE CHANGE;422
12.5.4;DATA CONSTRUCTION AND ECONOMETRIC ESTIMATION;423
12.5.5;THE EVALUATION OF INDIRECT TAX REFORM;424
12.5.6;CONCLUSION;424
12.5.7;REFERENCES;425
12.6;CHAPTER 60. DEVALUATION, CURRENT ACCOUNT AND CAPITAL ACCUMULATION;428
12.6.1;INTRODUCTION;428
12.6.2;THE MODEL;428
12.6.3;LOGLINEARIZATION AND DYNAMICS;429
12.6.4;ADJUSTMENT TO A DEVALUATION;431
12.6.5;CONCLUSION;432
12.6.6;REFERENCES;432
12.6.7;APPENDIX;432
12.7;CHAPTER 61. REAGAN FISCAL POLICY: A VIEW FROM THE FRBSF MACROECONOMETRIC MODEL;434
12.7.1;INTRODUCTION;434
12.7.2;INTERNATIONAL SECTOR OF THE FRBSF MACROECONOMETRIC MODEL;434
12.7.3;IMPACTOF FISCAL POllCY IN THE REAGAN YEARS;436
12.7.4;SUMMARY AND CONCLUSIONS;437
12.7.5;REFERENCES;437
12.8;CHAPTER 62. PROSPECTS FOR. THE UK BALANCE OF PAYMENTS OVER THE MEDIUM TERM;440
12.8.1;1. INTRODUCTION;440
12.8.2;2. THIRLWALL'S BALANCE OF PAYMENTS EQUILIBRIUM GROWTH RATE;440
12.8.3;3. CAN CURRENCY DEPRECL0ATION EASE THE BALANCE OF PAYMENTS CONSTRAINS'?;442
12.8.4;4. RECONCEILLATION OF:YB WITH THE AUTUM 1987 NIESR AND PUBLISHED FORECASTS;442
12.8.5;5. CONCLUSIONS;444
12.8.6;REFERENCES;444
12.9;CHAPTER 63. A NOTE ON THE MONETARY SECTOR OF PROMETEIA'S MODEL: THE FLOW OF FUNDS AND THE REACTION FUNCTION;448
12.9.1;INTRODUCTION;448
12.9.2;THE EFFECTS OF MONETARY POLICY ON THE EXPENDITURE COMPONENTS AND THE FLOW OF FUNDS;448
12.9.3;THE REACTION FUNCTION;450
12.9.4;THE SIMULATION OF A MONETARY ACTION;451
12.9.5;REFERENCES;454
13;PART: 8 NONLINEAR ECONOMIC DYNAMICS;456
13.1;CHAPTER 64. BUSINESS FLUCTUATIONS AND THE INCOMPLETENESS OF FINANCIAL MARKETS;456
13.1.1;1. INTRODUCTION;456
13.1.2;2. DEFINITIONS, ASSUMPTIONS AND NOTATION;456
13.1.3;3. THE STATIONARY EQUILIBRIA AND THE SPECIAL CASE OF COMPLETE MARKETPARTICIPATIONS;457
13.1.4;4. EXISTENCE OF BUSINESS FLUCTUATIONS WHEN MARKETS ARE INCOMPLETE;457
13.1.5;REFERENCES;457
13.2;CHAPTER 65. BIFURCATION AND CHAOS IN INVESTMENTS FIRM POLICY;458
13.2.1;Abstract;458
13.2.2;DYNAMICAL SYSTEM;459
13.2.3;RELEVANT SUBCASES;460
13.2.4;CONCLUSIONS;461
13.2.5;REFERENCES;461
13.3;CHAPTER 66. RATIONAL INVESTMENT CYCLES AND ADJUSTMENT COSTS;462
13.3.1;1 INTRODUCTION;462
13.3.2;2 SECOND ORDER ACCELERATOR: INTUITIVE APPROACH;463
13.3.3;3 ADJUSTMENT COST MINIMIZATION;464
13.3.4;4 SUMMARY;466
13.3.5;5 REFERENCES;466
13.4;CHAPTER 67. THE IMPLICATIONS OF ASSUMING THAT THE WORLD IS FLAT;468
13.4.1;INTRODUCTION;468
13.4.2;SOME NONLINEARITIES IN MACROECONOMIC SYSTEMS;468
13.4.3;A MEASURE OF NONLINEARITY;469
13.4.4;AN EMPIRICAL INVESTIGATION OF THE NONLINEARITY MEASURE;471
13.4.5;CONCLUDING REMARKS;472
13.4.6;REFERENCES;472
13.5;CHAPTER 68. INVESTMENTS CYCLES IN SOCIALIST ECONOMIES: A MODEL;476
13.5.1;1. INTRODUCTION;476
13.5.2;2. THE MODEL;477
13.5.3;3. NORMS AND OSCILLATIONS;478
13.5.4;4. REDUCTION OF TENSIONS AND STABILIZATION;479
13.5.5;5. CONCLUSIONS;480
13.5.6;REFERENCES;480
13.6;CHAPTER 69. HYSTERESIS, MONETARY POLICY AND TARGET ZONES;482
13.6.1;1. INTRODUCTION;482
13.6.2;2. THE MODEL;483
13.6.3;3. THE FUNDAMENTAL DIFFERENTIAL EQUATION;484
13.6.4;4. THE SOLUTION;484
13.6.5;5. CONTINUOUS ADJUSTMENT;485
13.6.6;6. POLICY IMPLICATIONS;486
13.6.7;REFERENCES;486
13.7;CHAPTER 70. A BOUNDED RATIONALITY DECISION PROCESS MODEL;490
13.7.1;INTRODUCTION;490
13.7.2;BOUNDED RATIONALITY;490
13.7.3;THE OPERATIONAL MODEL;491
13.7.4;DYNAMIC PROPERTIES OF THE MODEL;492
13.7.5;ESTIMATION FRAMEWORK;493
13.7.6;DISCUSSION AND CONCLUSIONS;494
13.7.7;REFERENCES;494
14;PART: 9 PLANNING AND DECISION SYSTEMS;496
14.1;CHAPTER 71. A HEURISTIC DECISION RULE FOR BUFFERSTOCK MANAGEMENT;496
14.1.1;1 INTRODUCTION;496
14.1.2;2 A HEURISTIC RULE FOR INTERVENTION;497
14.1.3;3 THE 1986 COCOA AGREEMENT;498
14.1.4;4 THE EFFECT OF THE DIFFERENT POLICIES;499
14.1.5;5 CONCLUSIONS;499
14.1.6;REFERENCES;500
14.2;CHAPTER 72. MAPPING BETWEEN ECONOMIC INFORMATION SYSTEMS AND ECONOMIC STRUCTURE;506
14.2.1;INTRODUCTION;506
14.2.2;REFORM OF ECONOMIC STRUCTURE;506
14.2.3;ECONOMIC INFORMATION SYSTEMS;507
14.2.4;IMPACT OF REFORM OF ECONOMIC STRUCTURE ON EIS;508
14.2.5;CONCLUSION;508
14.2.6;REFERENCES;509
14.3;CHAPTER 73. ASSESSMENT OF ENERGY SYSTEM PLANNING;510
14.3.1;1. INTRODUCTION;510
14.3.2;2. METHODOLOGY;511
14.3.3;3. COMPUTATIONAL RESULTS;513
14.3.4;4. CONCLUDING REMARKS;514
14.3.5;Acknowledgment;514
14.3.6;References;514
14.4;CHAPTER 74. A DYNAMIC MULTISECTOR ECONOMYWIDE MODEL FOR KUWAIT "THE IMPACT ON GROWTH, WELFARE AND POPULATION BALANCE;516
14.4.1;INTRODUCTION;516
14.4.2;THE ACCOUNTING FRAMEWORK;516
14.4.3;MODEL STRUCTURE;517
14.4.4;POLICY EXPERIMENTS;519
14.4.5;CONCLUDING REMARKS;521
14.4.6;REFERENCES;521
14.5;CHAPTER 75. A DYNAMIC MODEL OF THE DEMAND FOR OIL: SPECIFICATION AND ESTIMATION WITH THE PUTTY-SEMIPUTTY HYPOTHESIS;524
14.5.1;INTRODUCTION;524
14.5.2;A PUTTY-SEMIPUTTY PRODUCTION MODEL;524
14.5.3;AGGREGATE OIL DEMAND: ESTIMATION;526
14.5.4;CONCLUSION;528
14.5.5;REFERENCES;528
15;PART: 10 EXPERT SYSTEMS IN ECONOMIC ANALYSIS;530
15.1;CHAPTER 76. QUALITATIVE DYNAMICS AND CAUSALITY IN A KEYNESIAN MODEL;530
15.1.1;1. INTRODUCTION;530
15.1.2;2. CAUSALITY;531
15.1.3;3. A MODIFIED KUIPERS' FORMALISM;532
15.1.4;4. CONCLUSIONS;536
15.1.5;Acknowledgement;536
15.1.6;REFERENCES;536
15.2;CHAPTER 77. AN EXPERT SYSTEM APPROACH TO MODEL UNCERTAINTY;538
15.2.1;1. INTRODUCTION;538
15.2.2;2. REPRESENTATION OF AN ECONOMIC MODEL;539
15.2.3;3. UNCERTAINTY IN ECONOMIC MODELS;540
15.2.4;4. HANDLING UNCERTAINTY IN THE MODEL;540
15.2.5;5. COMPARISON WITH MONTE-CARLO METHODS;542
15.2.6;6. CONCLUSIONS;543
15.2.7;REFERENCES;543
15.2.8;APPENDIX A. A MACRO-ECONOMIC MODEL;544
15.3;CHAPTER 78. EXPERT SYSTEM FOR QUALITATIVE CAUSAL INFERENCE IN ECONOMICS;546
15.3.1;INTRODUCTION;546
15.3.2;HOW DO ECONOMISTS ARGUE?;546
15.3.3;SIMULTANEOUSLY CONSISTENT QUALITATIVE BEHAVIOR;547
15.3.4;EXPERT SYSTEM OF INFERRING THE FOREIGN EXCHANGE RATE;548
15.3.5;REFERENCES;548
15.4;CHAPTER 79. TECHNICAL ANALYSIS FOR PORTFOLIO TRADING BY SYNTACTIC PATTERN RECOGNITION;550
15.4.1;1. INTRODUCTION;550
15.4.2;2. CURVE GENERATION BY A SYNTACTIC GRAMMAR;550
15.4.3;3. CURVE SEGMENTATION:;551
15.4.4;4. SEGMENTATION OF NOISY CURVES;551
15.4.5;5. TECHNICAL ANALYSIS EVALUATION RULES;551
15.4.6;6. TECHNICAL ANALYSIS ON THE BASIS OF SEVERAL CURVES;552
15.4.7;7. TYPES OF TECHNICAL ANALYSIS;552
15.4.8;8. EXAMPLES OF CONCURRENT TRADING RULES;552
15.4.9;9. OFF-LINE ANALYSIS FOR LEARNING;553
15.4.10;10. FORECASTING;553
15.4.11;11. TRADE GENERATION;553
15.4.12;REFERENCES;554
16;PART: 11 COMPUTER PROGRAMMING AND SOFTWARE;558
16.1;CHAPTER 80. MODEL REPRESENTATIONS;558
16.1.1;INTRODUCTION;558
16.1.2;VERTICAL REPRESENTATIONS;558
16.1.3;HORIZONTAL REPRESENTATIONS;560
16.1.4;CONCLUSIONS;561
16.1.5;REFERENCES;561
16.2;CHAPTER 81. IMPLEMENTING STOCHASTIC CONTROL SOFTWARE ON SUPERCOMPUTING MACHINES;562
16.2.1;INTRODUCTION;562
16.2.2;PROBLEM STATEMENT;562
16.2.3;IMPLEMENTING THE STOCHASTIC CONTROL MODEL ON A SUPERCOMPUTER;563
16.2.4;BENCHMARKING THE DUAL CODE;564
16.2.5;DISCUSSION;565
16.2.6;ACKNOWLEDGEMENT;565
16.2.7;REFERENCES;565
16.3;CHAPTER 82. EEL: A SYSTEM FOR SPECIFYING AND EVALUATING ECONOMETRIC MODELS;568
16.3.1;INTRODUCTION;568
16.3.2;THE EEL LANGUAGE;568
16.3.3;THE EEL TRANSLATOR;571
16.3.4;THE EEL INTERPRETER;572
16.3.5;CONCLUSIONS AND FURTHER WORK;573
16.3.6;References;573
16.4;CHAPTER 83. SOME ISSUES IN SOLVING LARGE SPARSE SYSTEMS OF EQUATIONS;574
16.4.1;1. INTRODUCTION1;574
16.4.2;2. REDUCTION BY REORDERING;575
16.4.3;3. NORMALIZATION AND SPECIFICATION6;575
16.4.4;4. IMPLICIT EQUATIONS;576
16.4.5;5. VECTOR EQUATIONS;578
16.4.6;6. SUMMARY AND CONCLUSIONS;578
16.4.7;REFERENCES;578
16.5;CHAPTER 84. RELEVANT COEFFICIENTS FOR THE DYNAMIC PROPERTIES OF A MODEL: A QUALITATIVE METHOD;580
16.5.1;PRESENTATION OF THE PROBLEM;580
16.5.2;DECOMPOSITION OF MATRIX D-1 E;581
16.5.3;RANK OF THE UNDECOMPOSABLE SYSTEM D'lE;582
16.5.4;COMMENTS;585
16.5.5;References;585
16.6;CHAPTER 85. VECTORIZATION AND ECONOMETRIC MODEL SIMULATION;586
16.6.1;INTRODUCTION;586
16.6.2;2. MODEL DESCRIPTION AND MODEL SOLUTION;587
16.6.3;3. VECTOR IMPLEMENTATION IN SPEAKEASY;587
16.6.4;4. SOME BENCHMARK RESULTS;590
16.6.5;CONCLUSION;591
16.6.6;REFERENCES;592
17;AUTHOR INDEX;594
18;KEYWORD INDEX;596