Dynamic analysis of bankruptcy and economic waves

The procedures presented in this paper provide a dynamic apparatus of crediting the industrial operating systems with the assignment to avoid their correlated defaulting, to conserve general safety and soundness and improve its ability to serve as a source for sustainable growth for economy. The quality of operating firms at different periods is evaluated using the migration matrixes between some classes of default risk.credit risk ; economic growth ; regulation

Aggregate Shocks vs Reallocation Shocks: an Appraisal of the Applied Literature

This paper critically appraises the di erent approaches that have characterized the literature on the macroeconomic e ects of job reallocations from Lilien's seminal work to recent developments rooted in structural general equilibrium models, nonlinear econometric techniques and the concepts of job creation and destruction. Despite a ourishing of empirical analysis no unifying theoretical framework has obtained consensus in the scienti c debate. We face a corpus of research which is heterogeneous in variables' selection and experimental design. This widespread heterogeneity makes the evaluation of results a daunting task. Reliability of outcomes becomes almost impossible to assess when, even within models of the same generation, the lack of a rigorous theoretical background hinders well de ned experimental design and makes comparisons di cult. The strong pace at which the empirical literature on the macroeconomic e ects of job reallocations has been growing in recent years suggests that a general assessment of the state of the art is valuable and maybe indispensable. As a guiding principle for our excursion we track down the methodological development of the proposed solutions to the crucial problem of observational equivalence. We do not linger on speci c econometric methods nor on strictly theoretical issues not relevant to our main purpose. We draw the conclusion that the asymmetric and non-directional nature of allocative shocks, which holds the key to the solution of the problem, is better captured by multivariate, non-linear, dynamic econometric models and numerical simulation techniques. Davis and Haltiwanger's perspective on job creation and destruction seems to us of paramount importance for future research because of its potential to encompass a wealth of micro-level data sets within a rigorous analytical framework.Sectoral shifts, methodology, measurement, assessment

Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models

This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve quadratic convergence without fully solving the fixed point problem in every iteration. We then extend the NPL estimators to develop one-step NPL bootstrap procedures for discrete Markov decision models and provide some Monte Carlo evidence based on a machine replacement model of Rust (1987). The proposed one-step bootstrap test statistics and confidence intervals improve upon the first order asymptotics even with a relatively small number of iterations. Improvements are particularly noticeable when analyzing the dynamic impacts of counterfactual policies.Edgeworth expansion, k-step bootstrap, maximum pseudo-likelihood estimators, nested fixed point algorithm, Newton-Raphson method, policy iteration

Distributed Planning for Self-Organizing Production Systems

Für automatisierte Produktionsanlagen gibt es einen fundamentalen Tradeoff zwischen Effizienz und Flexibilität. In den meisten Fällen sind die Abläufe nicht nur durch den physischen Aufbau der Produktionsanlage, sondern auch durch die spezielle zugeschnittene Programmierung der Anlagensteuerung fest vorgegeben. Änderungen müssen aufwändig in einer Vielzahl von Systemen nachgezogen werden. Das macht die Herstellung kleiner Stückzahlen unrentabel. In dieser Dissertation wird ein Ansatz entwickelt, um eine automatische Anpassung des Verhaltens von Produktionsanlagen an wechselnde Aufträge und Rahmenbedingungen zu erreichen. Dabei kommt das Prinzip der Selbstorganisation durch verteilte Planung zum Einsatz. Die aufeinander aufbauenden Ergebnisse der Dissertation sind wie folgt: 1. Es wird ein Modell von Produktionsanlagen entwickelt, dass nahtlos von der detaillierten Betrachtung physikalischer Produktionsprozesse bis hin zu Lieferbeziehungen zwischen Unternehmen skaliert. Im Vergleich zu existierenden Modellen von Produktionsanlagen werden weniger limitierende Annahmen gestellt. In diesem Sinne ist der Modellierungsansatz ein Kandidat für eine häufig geforderte "Theorie der Produktion". 2. Für die so modellierten Szenarien wird ein Algorithmus zur Optimierung der nebenläufigen Abläufe entwickelt. Der Algorithmus verbindet Techniken für die kombinatorische und die kontinuierliche Optimierung: Je nach Detailgrad und Ausgestaltung des modellierten Szenarios kann der identische Algorithmus kombinatorische Fertigungsfeinplanung (Scheduling) vornehmen, weltweite Lieferbeziehungen unter Einbezug von Unsicherheiten und Risiko optimieren und physikalische Prozesse prädiktiv regeln. Dafür werden Techniken der Monte-Carlo Baumsuche (die auch bei Deepminds Alpha Go zum Einsatz kommen) weiterentwickelt. Durch Ausnutzung zusätzlicher Struktur in den Modellen skaliert der Ansatz auch auf große Szenarien. 3. Der Planungsalgorithmus wird auf die verteilte Optimierung durch unabhängige Agenten übertragen. Dafür wird die sogenannte "Nutzen-Propagation" als Koordinations-Mechanismus entwickelt. Diese ist von der Belief-Propagation zur Inferenz in Probabilistischen Graphischen Modellen inspiriert. Jeder teilnehmende Agent hat einen lokalen Handlungsraum, in dem er den Systemzustand beobachten und handelnd eingreifen kann. Die Agenten sind an der Maximierung der Gesamtwohlfahrt über alle Agenten hinweg interessiert. Die dafür notwendige Kooperation entsteht über den Austausch von Nachrichten zwischen benachbarten Agenten. Die Nachrichten beschreiben den erwarteten Nutzen für ein angenommenes Verhalten im Handlungsraum beider Agenten. 4. Es wird eine Beschreibung der wiederverwendbaren Fähigkeiten von Maschinen und Anlagen auf Basis formaler Beschreibungslogiken entwickelt. Ausgehend von den beschriebenen Fähigkeiten, sowie der vorliegenden Aufträge mit ihren notwendigen Produktionsschritten, werden ausführbare Aktionen abgeleitet. Die ausführbaren Aktionen, mit wohldefinierten Vorbedingungen und Effekten, kapseln benötigte Parametrierungen, programmierte Abläufe und die Synchronisation von Maschinen zur Laufzeit. Die Ergebnisse zusammenfassend werden Grundlagen für flexible automatisierte Produktionssysteme geschaffen -- in einer Werkshalle, aber auch über Standorte und Organisationen verteilt -- welche die ihnen innewohnenden Freiheitsgrade durch Planung zur Laufzeit und agentenbasierte Koordination gezielt einsetzen können. Der Bezug zur Praxis wird durch Anwendungsbeispiele hergestellt. Die Machbarkeit des Ansatzes wurde mit realen Maschinen im Rahmen des EU-Projekts SkillPro und in einer Simulationsumgebung mit weiteren Szenarien demonstriert

Econometrics: A bird's eye view

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledge and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks and forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of the "real time econometrics". This paper attempts to provide an overview of some of these developments

A continuous-time search model with job switch and jumps

We study a new search problem in continuous time. In the traditional approach, the basic formulation is to maximize the expected (discounted) return obtained by taking a job, net of search cost incurred until the job is taken. Implicitly assumed in the traditional modeling is that the agent has no job at all during the search period or her decision on a new job is independent of the job situation she is currently engaged in. In contrast, we incorporate the fact that the agent has a job currently and starts searching a new job. Hence we can handle more realistic situation of the search problem. We provide optimal decision rules as to both quitting the current job and taking a new job as well as explicit solutions and proofs of optimality. Further, we extend to a situation where the agent's current job satisfaction may be affected by sudden downward jumps (e.g., de-motivating events), where we also find an explicit solution; it is rather a rare case that one finds explicit solutions in control problems using a jump diffusion

Econometrics: A Bird’s Eye View

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledged and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks of forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of “real time econometrics”. This paper attempts to provide an overview of some of these developments.history of econometrics, microeconometrics, macroeconometrics, Bayesian econometrics, nonparametric and semi-parametric analysis

The Econometrics of DSGE Models

In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has decided to estimate these models using Bayesian methods. Third, I briefly introduce some of the techniques required to compute and estimate these models. Fourth, I illustrate the techniques under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some pointers for future research.DSGE Models, Likelihood Estimation, Bayesian Methods

Dynamic analysis of bankruptcy and economic waves

The procedures presented in this paper provide a dynamic apparatus of crediting the industrial operating systems with the assignment to avoid their correlated defaulting, to conserve general safety and soundness and improve its ability to serve as a source for sustainable growth for economy. The quality of operating firms at different periods is evaluated using the migration matrixes between some classes of default risk.Dans ce travail j'analyse les moyens de contrôler la production nationale par la politique de crédit aux entreprises. Dans le modèle stochastique intertemporel les qualités de performances économiques et financières des entreprises sont résumées à l'aide des matrices de migration entre les classes de risque de défaillance et sont liées aux indicateurs de croissance macroéconomiques et aux capacités d'accès aux crédits. Les conditions d'octroi des crédits aux entreprises sont les paramètres de contrôler de ce système. Je cherche les moyens de faire évoluer le système : financement - production, qui permettraient d'agir sur son évolution avec pour objectif d'éviter les crises systémique

Employment Fluctuations with Downward Wage Rigidity: The Role of Moral Hazard

This paper studies the cyclical dynamics of Mortensen and Pissarides' (1994) model of job creation and destruction when workers' effort is not perfectly observable, as in Shapiro and Stiglitz (1984). An occasionally-binding no-shirking constraint truncates the real wage distribution from below, making firms' share of surplus weakly procyclical, and may thus amplify fluctuations in hiring. It may also cause a burst of inefficient firing at the onset of a recession, separating matches that no longer have sufficient surplus for incentive compatibility. On the other hand, since marginal workers in booms know firms cannot commit to keep them in recessions, they place little value on their jobs and are expensive to motivate. For a realistic calibration, this last effect is by far the strongest; even a moderate degree of moral hazard can eliminate all fluctuation in the separation rate. This casts doubt on Ramey and Watson's (1997) "contractual fragility" mechanism, and means worker moral hazard only makes the "unemployment volatility puzzle" worse. However, moral hazard has potential to explain other labor market facts, because it is consistent with small but clearly countercyclical fluctuations in separation rates, and a robust Beveridge curve.job matching, shirking, efficiency wages, endogenous separation, contractual fragility