scholarly journals Macro‐financial volatility under dispersed information

2021 ◽  
Vol 16 (1) ◽  
pp. 275-315
Author(s):  
Jianjun Miao ◽  
Jieran Wu ◽  
Eric R. Young
Keyword(s):  
Rational Expectations ◽  
Aggregate Demand ◽  
Price Volatility ◽  
Factorization Method ◽  
Equity Prices ◽  
Aggregate Output ◽  
Closed Form Solutions ◽  
Discount Factors ◽  
Wide Range ◽  
Dispersed Information

We provide a production‐based asset pricing model with dispersed information and small deviations from full rational expectations. In the model, aggregate output and equity prices depend on the higher‐order beliefs about aggregate demand and individual stochastic discount factors. We prove that equity price volatility becomes arbitrarily large as the volatility of idiosyncratic shocks diverges to infinity due to the interaction of signal extraction with idiosyncratic trading decisions, while aggregate output volatility falls. We propose a two‐step spectral factorization method that permits closed‐form solutions in the frequency domain applicable to a wide range of models with more hidden states than signals. Our model can quantitatively match output and equity volatilities observed in U.S. data.

Energy Harvesting From the Vibrations of Rotating Systems

2017 ◽  
Vol 140 (2) ◽  
Author(s):  
Christopher G. Cooley ◽  
Tan Chai
Keyword(s):  
Rotation Speed ◽  
Excitation Frequency ◽  
Average Power ◽  
Local Maximum ◽  
Operating Conditions ◽  
Centripetal Acceleration ◽  
Local Maxima ◽  
Closed Form Solutions ◽  
Energy Harvesters ◽  
Wide Range

This study investigates the vibration of and power harvested by typical electromagnetic and piezoelectric vibration energy harvesters when applied to vibrating host systems that rotate at constant speed. The governing equations for these electromechanically coupled devices are derived using Newtonian mechanics and Kirchhoff's voltage law. The natural frequency for these devices is speed-dependent due to the centripetal acceleration from their constant rotation. Resonance diagrams are used to identify excitation frequencies and speeds where these energy harvesters have large amplitude vibration and power harvested. Closed-form solutions are derived for the steady-state response and power harvested. These devices have multifrequency dynamic response due to the combined vibration and rotation of the host system. Multiple resonances are possible. The average power harvested over one oscillation cycle is calculated for a wide range of operating conditions. Electromagnetic devices have a local maximum in average harvested power that occurs near a specific excitation frequency and rotation speed. Piezoelectric devices, depending on their mechanical damping, can have two local maxima of average power harvested. Although these maxima are sensitive to small changes in the excitation frequency, they are much less sensitive to small changes in rotation speed.

scholarly journals Coordinating expectations through central bank projections

2020 ◽  
Author(s):  
Fatemeh Mokhtarzadeh ◽  
Luba Petersen
Keyword(s):  
Central Bank ◽  
Rational Expectations ◽  
Inflation Targeting ◽  
Aggregate Stability ◽  
Central Banks ◽  
Output Gap ◽  
Forecast Errors ◽  
Market Participants ◽  
Wide Range ◽  
Ex Ante

AbstractCentral banks are increasingly communicating their economic outlook in an effort to manage the public and financial market participants’ expectations. We provide original causal evidence that the information communicated and the assumptions underlying a central bank’s projection can matter for expectation formation and aggregate stability. Using a between-subject design, we systematically vary the central bank’s projected forecasts in an experimental macroeconomy where subjects are incentivized to forecast the output gap and inflation. Without projections, subjects exhibit a wide range of heuristics, with the modal heuristic involving a significant backward-looking component. Ex-Ante Rational dual projections of the output gap and inflation significantly reduce the number of subjects’ using backward-looking heuristics and nudge expectations in the direction of the rational expectations equilibrium. Ex-Ante Rational interest rate projections are cognitively challenging to employ and have limited effects on the distribution of heuristics. Adaptive dual projections generate unintended inflation volatility by inducing boundedly-rational forecasters to employ the projection and model-consistent forecasters to utilize the projection as a proxy for aggregate expectations. All projections reduce output gap disagreement but increase inflation disagreement. Central bank credibility is significantly diminished when the central bank makes larger forecast errors when communicating a relatively more complex projection. Our findings suggest that inflation-targeting central banks should strategically ignore agents’ irrationalities when constructing their projections and communicate easy-to-process information.

Asset Price and the Optimal Monetary Policy: Model and Simulation

2011 ◽  
Vol 422 ◽  
pp. 466-469
Author(s):  
Hai Cheng Peng ◽  
Lu Li
Keyword(s):  
Monetary Policy ◽  
Asset Price ◽  
Price Volatility ◽  
Reaction Function ◽  
Optimal Monetary Policy ◽  
Policy Objective ◽  
Policy Model ◽  
Model And Simulation ◽  
Wide Range ◽  
Decision Making Model

The validity and merits of the monetary policy is reflected in the level of the attainment of its ultimate goal. We build up a decision-making model of central bank and deduce the optimal money supply reaction function of considering and ignoring asset price. In order to clarify the relationship between the optimal monetary policy and asset price volatility, we simulate the macroeconomic performance of optimal reaction function of considering and ignoring asset price in a wide range of monetary policy objective. We conclude that monetary policy should respond to volatility of asset price directly.

A Theory of Blood Flow in Skeletal Muscle

1988 ◽  
Vol 110 (1) ◽  
pp. 20-26 ◽  
Author(s):  
G. W. Schmid-Scho¨nbein
Keyword(s):  
Skeletal Muscle ◽  
Blood Flow ◽  
Flow Curve ◽  
Oscillatory Flow ◽  
Viscoelastic Model ◽  
Low Flow ◽  
Pressure Flow ◽  
Closed Form Solutions ◽  
Wide Range ◽  
Theoretical Results

A theoretical analysis of blood flow in the microcirculation of skeletal muscle is provided. The flow in the microvessels of this organ is quasi steady and has a very low Reynolds number. The blood is non-Newtonian and the blood vessels are distensible with viscoelastic properties. A formulation of the problem is provided using a viscoelastic model for the vessel wall which was recently derived from measurements in the rat spinotrapezius muscle (Skalak and Schmid-Scho¨nbein, 1986b). Closed form solutions are derived for several physiologically important cases, such as perfusion at steady state, transient and oscillatory flows. The results show that resting skeletal muscle has, over a wide range of perfusion pressures an almost linear pressure-flow curve. At low flow it exhibits nonlinearities. Vessel distensibility and the non-Newtonian properties of blood both have a strong influence on the shape of the pressure-flow curve. During oscillatory flow the muscle exhibits hysteresis. The theoretical results are in qualitative agreement with experimental observations.

Executive options with inflated equity prices

2014 ◽  
Vol 10 (3) ◽  
pp. 266-292 ◽  
Author(s):  
Linus Wilson ◽  
Yan Wendy Wu
Keyword(s):  
Boards Of Directors ◽  
Stock Price ◽  
Design Methodology ◽  
Ceo Compensation ◽  
Managerial Compensation ◽  
Equity Prices ◽  
Content Type ◽  
Closed Form Solutions ◽  
Compensation Package ◽  
Applied Game Theory

Purpose – The purpose of this paper is to solve the optimal managerial compensation problem when shareholders are either naïvely optimistic or rational. Design/methodology/approach – The paper uses applied game theory to derive the optimal CEO compensation package with over optimistic shareholders. Findings – The results suggest that boards of directors should decrease option grants to CEOs when equity is likely to be irrationally overvalued at the date when the CEO's options vest. Research limitations/implications – The implications of the model are consistent with the available empirical evidence. In addition, the model generates new testable predictions about managerial stock price manipulation, the number of options granted, and the magnitude of the options’ strike prices that have not yet been formally tested. Originality/value – This is the only paper to derive closed-form solutions to optimal CEO compensation when shareholders are naïvely optimistic.

Incipient Slip Conditions in the Rolling Contact of Tyred Wheels

2010 ◽  
Vol 224 (10) ◽  
pp. 2049-2054 ◽  
Author(s):  
S Reina ◽  
D A Hills ◽  
D Dini
Keyword(s):  
Contact Problem ◽  
Closed Form ◽  
Rolling Contact ◽  
Simplified Model ◽  
Practical Case ◽  
Closed Form Solutions ◽  
Steel Wheel ◽  
State Of Stress ◽  
Wide Range ◽  
Tractive Rolling

The contact problem of a driving tyred wheel, pressed and rolling over an elastically similar half-plane, is considered. Although applicable to a wide range of shrink-fitted assemblies, the simplified model is solved to study the practical case of an elastically similar steel tyre mounted on a locomotive steel wheel subjected to tractive rolling. The behaviour of the system at the tyre—substrate interface is studied using closed-form solutions to calculate the state of stress within the tyre. Conditions leading to incipient slip and/or plasticity are identified and mapped for different loads and geometries.

scholarly journals Economic Analysis and Generic Algorithm for Optimizing the Investments Decision-Making Process in Oil Field Development

Energies ◽  
2021 ◽  
Vol 14 (19) ◽  
pp. 6119
Author(s):  
Catalin Popescu ◽  
Sorin Alexandru Gheorghiu
Keyword(s):  
Economic Analysis ◽  
Water Injection ◽  
Investment Decisions ◽  
Price Volatility ◽  
Oil Field ◽  
Generic Algorithm ◽  
Field Development ◽  
Drilling Rig ◽  
Discount Factors ◽  
Oil Field Development

Due to the substantial amounts of money involved and the complex interactions of a number of different factors, managers of oil and gas companies are faced with significant challenges when making investment decisions that will increase business efficiency and achieve competitive advantages, especially through cost control. Due to the various uncertainties of the current period, optimal investment strategies are difficult to determine. Thus, through an economic analysis that includes data analysis, quantitative risk analysis scenarios, modelling and simulations, a work framework, in the form of a generic algorithm, is proposed with the aim of generating a complex procedure for optimizing investment decisions in oil field development. A complex set of elements is considered in the analysis: costs (operational expenditures (OPEX) and capital expenditures (CAPEX), daily drilling rig costs), prices (oil, gas, separation and water injection preparation), production profiles, different types of taxes and discount factors. Above all, oil price volatility plays an essential role and creates uncertainty in relation to profitability and the strategic investment decisions made by oil exploration and production companies.

OIL PRICE FLUCTUATIONS AND STOCK MARKET BEHAVIOR IN A RESOURCE-DOMINANT ECONOMY: CASE OF KAZAKHSTAN

2020 ◽  
pp. 1-25
Author(s):  
MOLDIR MUKAN ◽  
YESSENGALI OSKENBAYEV ◽  
NIKI NADERI ◽  
YERGALI DOSMAGAMBET
Keyword(s):  
Stock Market ◽  
Aggregate Demand ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Stock Index ◽  
Stock Market Index ◽  
Oil Price Volatility ◽  
Positive Shock ◽  
The Impact

During the past 10 years, the oil market has been very unpredictable and volatile, which created uneasy conditions for market participants. The remedy of increasing oil prices is considered as a positive factor for the economy of the Republic of Kazakhstan as an oil-exporting country. Using structural decomposition of vector autoregression (VAR), this study aims to examine how the whole financial system in Kazakhstan is depending on oil prices. The results suggest that the strongest factor affecting the stock index is aggregate demand, and the impact of oil production shocks on the equity market is, on average, insignificant. Such shocks can be discounted while a fall in oil prices affects financial conditions as a whole, damaging the solvency of Kazakhstan, an oil-exporting country. With the positive shock of aggregate demand, the stock market index tends to rise. There is also an effect of oil price volatility on changes in currency value, which also influences the financial situation of the country. Moreover, oil-exporting countries such as Kazakhstan can secure and support their economies with the help of “stable aggregate demand”. The focus on Kazakhstan as one of the oil-producing countries is interesting for at least two reasons. Importantly, oil-exporting countries supply oil to really strong countries concentrating on manufacturing and other industries. Besides, this study provides useful insights for countries with similar economic conditions, including similar stock market development.

WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK

2012 ◽  
Vol 15 (07) ◽  
pp. 1250051 ◽  
Author(s):  
JACINTO MARABEL ROMO
Keyword(s):  
Closed Form ◽  
Stochastic Volatility ◽  
Term Structure ◽  
Stochastic Volatility Model ◽  
Closed Form Solutions ◽  
Stochastic Correlation ◽  
Term Structures ◽  
Volatility Model ◽  
Wide Range ◽  
Correlation Term

This article considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations between the underlying assets, as well as between their volatilities. The model accounts for the existence of correlation term structure and correlation skew. The article shows that the Wishart specification can generate different patterns corresponding to the correlation skew for a wide range of correlation term structures. Another advantage of the model is that it is analytically tractable and, hence, it is possible to obtain semi-closed-form solutions for the prices of plain vanilla options, as well as for the price of exotic derivatives. In this sense, this article develops semi-closed-form formulas for the price of European worst-of options with barriers and/or forward-start features. To motivate the introduction of the Wishart volatility model, the article compares the prices obtained under this model and under a multi-asset stochastic volatility model with constant instantaneous correlations. The results reveal the existence of a stochastic correlation premium and show that the consideration of stochastic correlation is a key element for the valuation of these structures.

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