Determining the Long-run Equilibrium Price by the Mean Reversion Process and the Cobweb Model

2013 ◽  
Author(s):  
Vuong Thi Thao Binh
Keyword(s):  
Mean Reversion ◽  
Equilibrium Price ◽  
Cobweb Model ◽  
Long Run ◽  
The Mean ◽  
Mean Reversion Process ◽  
Long Run Equilibrium

Exchange rates in India: current account monetarism in a nonlinear context

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Aditi Chaubal
Keyword(s):  
Exchange Rate ◽  
Current Account ◽  
Polynomial Function ◽  
Mean Reversion ◽  
Smooth Transition ◽  
Monetary Model ◽  
Forecast Performance ◽  
Long Run ◽  
Nonlinear Mean Reversion ◽  
Long Run Equilibrium

AbstractThe Indian exchange rate system has evolved from a pegged system to the current managed float. The study examines the presence of a long-run equilibrium in the monthly Indian exchange rate (Rs/USD) using a current account monetary model (or flexible price monetary model) while accounting for different nonlinearities over the period January 1993 to January 2014 (pre-inflation targeting period). The nonlinear adjustment to disequilibria is modelled using a nonlinear error correction model (NLECM). The nonlinear current account monetarism (CAM) model includes nonlinear transformations of long-run dynamics in the ECM to account for different nonlinearities: multiple equilibria (cubic polynomial function), nonlinear mean reversion (rational polynomial function), and smooth and gradual regime switches (exponential smooth transition autoregressive (ESTAR) function). The NLECM-ESTAR model outperforms other alternatives based on model and forecast performance measures, implying the existence of nonlinear mean reversion and smooth transition across different periods of overvaluation and undervaluation of the exchange rate. This implies the presence of asymmetric adjustment to the movements from the long-run equilibrium, but the nature of such transitions is smooth and not abrupt. The paper also establishes the uniqueness of the long-run equilibrium. A comparison to the sticky price monetary model could not be made due to stationary exchange rate disequilibrium.

scholarly journals The price of gold in the year 2000: A forecast

1986 ◽  
Vol 17 (1) ◽  
pp. 43-47
Author(s):  
A. Pouris
Keyword(s):  
Commodity Prices ◽  
Equilibrium Price ◽  
Long Run ◽  
Current Price ◽  
Year 2000 ◽  
Long Run Equilibrium

In this article, two of the most recent efforts to forecast the price of gold are discussed and a prediction for the year 2000 is provided. The forecast is based on the hypothesis that in the long run, commodity prices follow a well-defined path, which permits only gradual and slow changes. The analysis shows that the current price of gold (1985) in terms of US dollars, coincide with the long run equilibrium price simulated by the model. The forecast for the year 2000 suggests that the expected price is US $420 per fine ounce in 1983 constant dollars.

scholarly journals What Goes Up Must Come Down? Experimental Evidence on Intuitive Forecasting

2013 ◽  
Vol 103 (3) ◽  
pp. 570-574 ◽  
Author(s):  
John Beshears ◽  
James J Choi ◽  
Andreas Fuster ◽  
David Laibson ◽  
Brigitte C Madrian
Keyword(s):  
Time Series ◽  
Experimental Evidence ◽  
Historical Data ◽  
Mean Reversion ◽  
The Other ◽  
Slow Process ◽  
Fast Process ◽  
Long Run ◽  
Short Run ◽  
The Mean

Do laboratory subjects correctly perceive the dynamics of a mean-reverting time series? In our experiment, subjects receive historical data and make forecasts at different horizons. The time series process that we use features short-run momentum and long-run partial mean reversion. Half of the subjects see a version of this process in which the momentum and partial mean reversion unfold over ten periods (“fast”), while the other subjects see a version with dynamics that unfold over 50 periods (“slow”). Typical subjects recognize most of the mean reversion of the fast process and none of the mean reversion of the slow process.

Justice and Inclusion Mutually Cause Each Other

2021 ◽  
pp. 194855062110297
Author(s):  
Chris C. Martin ◽  
Michael J. Zyphur
Keyword(s):  
Work Experience ◽  
Social Exchanges ◽  
Panel Models ◽  
Reciprocal Influence ◽  
Entrepreneurial Teams ◽  
Overall Justice ◽  
Random Intercept ◽  
Long Run ◽  
The Mean ◽  
Robustness Check

Justice should increase inclusion because just treatment conveys acceptance and enables social exchanges that build cohesion. Inclusion should increase justice because people can use inclusion as a convenient fairness cue. Prior research touches on these causal associations but relies on a thin conception of inclusion and neglects within-person effects. We analyze whether justice causes inclusion at the within-person level. Five waves of data were gathered from 235 college students in 38 entrepreneurial teams. Teams were similar in size, work experience, deadlines, and goals. General cross-lagged panel models indicated that justice and inclusion had a reciprocal influence on each other. A robustness check with random-intercept cross-lagged models supported the results. In the long run, reversion to the mean occurred after an effect decayed, suggesting that virtuous or vicious cycles are unlikely. The results imply that maintaining overall justice at the peer-to-peer level may lead to inclusion.

Human capital accumulation, income distribution, and economic growth: a demand-led analytical framework

2021 ◽  
Vol 9 (3) ◽  
pp. 319-336
Author(s):  
Gilberto Tadeu Lima ◽  
Laura Carvalho ◽  
Gustavo Pereira Serra
Keyword(s):  
Human Capital ◽  
Capital Accumulation ◽  
Analytical Framework ◽  
Output Growth ◽  
Human Capital Accumulation ◽  
Capital Utilization ◽  
Tax Rate ◽  
Long Run ◽  
The Impact ◽  
Long Run Equilibrium

This paper incorporates human capital accumulation through provision of universal public education by a balanced-budget government to a demand-driven analytical framework of functional distribution and growth of income. Human capital accumulation positively impacts on workers’ productivity in production and their bargaining power in wage negotiations. In the long-run equilibrium, a rise in the tax rate (which also denotes the share of output spent in human capital formation) lowers the pre- and after-tax wage share and physical capital utilization, and thus raises (lowers) the output growth rate when the latter is profit-led (wage-led). The impact of a higher tax rate on the employment rate (which also measures human capital utilization) in the long-run equilibrium is negative (ambiguous) when output growth is wage-led (profit-led). In any case, the supply of higher-skilled workers does not automatically create its own demand.

Calibration of Temperature Futures by Changing the Mean Reversion

2015 ◽  
Author(s):  
Fred Espen Benth ◽  
Salvador Ortiz-Latorre
Keyword(s):  
Mean Reversion ◽  
The Mean

scholarly journals A Short Note on Discrimination and Favoritism in the Labor Market

2017 ◽  
Vol 17 (1) ◽  
Author(s):  
Nicolas Salamanca ◽  
Jan Feld
Keyword(s):  
Labor Market ◽  
Wage Differentials ◽  
Short Note ◽  
Market Forces ◽  
Long Run ◽  
Short Run ◽  
Relative Preferences ◽  
Long Run Equilibrium

AbstractWe extend Becker’s model of discrimination by allowing firms to have discriminatory and favoring preferences simultaneously. We draw the two-preference parallel for the marginal firm, illustrate the implications for wage differentials, and consider the implied long-run equilibrium. In the short-run, wage differentials depend on relative preferences. However, in the long-run, market forces drive out discriminatory but not favoring firms.

Sign in / Sign up

Export Citation Format

Share Document