Geometrically stopped Markovian random growth processes and Pareto tails

Many empirical studies document power law behavior in size distributions of economic interest such as cities, firms, income, and wealth. One mechanism for generating such behavior combines independent and identically distributed Gaussian additive shocks to log-size with a geometric age distribution. We generalize this mechanism by allowing the shocks to be non-Gaussian (but light-tailed) and dependent upon a Markov state variable. Our main results provide sharp bounds on tail probabilities, a simple equation determining Pareto exponents, and comparative statics. We present two applications: we show that (i) the tails of the wealth distribution in a heterogeneous-agent dynamic general equilibrium model with idiosyncratic investment risk are Paretian, and (ii) a random growth model for the population dynamics of Japanese municipalities is consistent with the observed Pareto exponent but only after allowing for Markovian dynamics

Singular values of a real rectangular tensor

Real rectangular tensors arise from the strong ellipticity condition problem in solid mechanics and the entanglement problem in quantum physics. In this paper, we systematically study properties of singular values of a real rectangular tensor, and give an algorithm to find the largest singular value of a nonnegative rectangular tensor. Numerical results show that the algorithm is efficient

Uncovering the Goodhart's Law: Theory and Evidence

This paper addresses the Goodhart's Law in a cash-in-advance economy with monetary policy regime switching. Using the Japanese data of the money velocity, we found that although our cash-credit model fails to generate a downward trend in the actual velocity, the model succeeds in terms of velocity's variation and correlations with money growth rates or nominal interest rates, with procyclicality of velocity unpredictable.Goodhart' Law; velocity of money; Taylor rule; Markov regime swiching; cash-credit model

Bayesian inference in time series

Time Series

Modeling, Analysis and Control of Print Registration in Roll-To-Roll Printing Presses

Print registration in roll-to-roll (R2R) printing process is investigated in this dissertation. Print registration is the process of aligning multiple images that are printed in consecutive print units. The quality of the print output depends on the proper alignment of these images. A new mathematical model for print registration is developed by considering the effect of key process variables, such as web tension and transport velocity, print cylinder angular position and velocity, and the compensator roller position. Sources of machine induced disturbances and their effect on print registration are also investigated and machine design recommendations to mitigate these disturbances are given. Propagation of disturbances between print units due to web transport is investigated. The interaction, or the disturbance propagation behavior, between print units is studied by developing a new interaction metric called the Perron Root based Interaction Metric (PRIM). The new interaction metric, for large-scale interconnected systems employing decentralized controllers, is developed using tools from the Perron-Frobenius theory. A systematic procedure to minimize interaction is given by designing pre-filters for decentralized control systems. The disturbance propagation behavior with two registration control strategies is compared using the PRIM and it is found that a compensator based registration control (CRC) has smaller magnitude of disturbance propagation when compared to a print cylinder angular position based registration control (PARC). It is also found that a simple, decentralized, memoryless, state feedback controllers stabilizes print units with CRC. Results from a number of model simulations and experiments are provided to support the recommendations and conclusions.Mechanical Engineerin

Sectoral Price Rigidity and Aggregate Dynamics

In this paper, we study the macroeconomic implications of sectoral heterogeneity and, in particular, heterogeneity in price setting, through the lens of a highly disaggregated multi-sector model. The model incorporates several realistic features and is estimated using a mix of aggregate and sectoral U.S. data. The frequencies of price changes implied by our estimates are remarkably consistent with those reported in micro-based studies, especially for non-sale prices. The model is used to study (i) the contribution of sectoral characteristics to the observed cross sectional heterogeneity in sectoral output and inflation responses to a monetary policy shock, (ii) the implications of sectoral price rigidity for aggregate output and inflation dynamics and for cost pass-through, and (iii) the role of sectoral shocks in explaining secotral prices and quantities.Multi-sector models, price stickiness, simulated method of moments, sectoral shocks, monetary policy

THE SUPPLY OF PERISHABLE GOODS

This paper models the supply of perishable goods within a randon framework. Perishability affects a large group of goods usually traded in the economy such as fruits and vegetables, newspapers, medicine drugs, a.s.o.. Surprisingly, one cannot find in the literature a decision model for suppliers that takes into account the specificity of this kind of goods. The suppliers guess their demand by choosing a probability density function, one at each price level. Then they choose optimal supply functions maximizing their expected profits. Examples of the optimal solution are given for some known demand distribution functions like Pareto and Weibull. The autarchic model is then extended to include nonprice competition among the sellers. Each seller chooses the supply curve that maximizes his expected profit, conditioned by the event that competitors’ markets are in equilibrium. The supply of rivals affect the sales for certain to loyal clients, but not the random sales. The autarchic model is then used to analyze the green-pepper market in Rio de Janeiro(1994/7-2000/11). The results give consistency to the rational hypothesis of the modelgoods, price-elasticity, Lerner index, Nash equilibrium.