12 research outputs found
Testing a Goodwin model with general capital accumulation rate
We perform econometric tests on a modified Goodwin model where the capital
accumulation rate is constant but not necessarily equal to one as in the
original model (Goodwin, 1967). In addition to this modification, we find that
addressing the methodological and reporting issues in Harvie (2000) leads to
remarkably better results, with near perfect agreement between the estimates of
equilibrium employment rates and the corresponding empirical averages, as well
as significantly improved estimates of equilibrium wage shares. Despite its
simplicity and obvious limitations, the performance of the modified Goodwin
model implied by our results show that it can be used as a starting point for
more sophisticated models for endogenous growth cycles.Comment: 39 page
Past production constrains current energy demands: persistent scaling in global energy consumption and implications for climate change mitigation
Climate change has become intertwined with the global economy. Here, we
describe the importance of inertia to continued growth in energy consumption.
Drawing from thermodynamic arguments, and using 38 years of available
statistics between 1980 to 2017, we find a persistent time-independent scaling
between the historical time integral of world inflation-adjusted economic
production , or , and
current rates of world primary energy consumption , such that
Gigawatts per trillion 2010 US dollars.
This empirical result implies that population expansion is a symptom rather
than a cause of the current exponential rise in and carbon dioxide
emissions , and that it is past innovation of economic production efficiency
that has been the primary driver of growth, at predicted rates
that agree well with data. Options for stabilizing are then limited to
rapid decarbonization of through sustained implementation of over
one Gigawatt of renewable or nuclear power capacity per day. Alternatively,
assuming continued reliance on fossil fuels, civilization could shift to a
steady-state economy that devotes economic production exclusively to
maintenance rather than expansion. If this were instituted immediately,
continual energy consumption would still be required, so atmospheric carbon
dioxide concentrations would not balance natural sinks until concentrations
exceeded 500 ppmv, and double pre-industrial levels if the steady-state was
attained by 2030
Editorial: A Systemic Recovery
This Special Issue is about how we learn and apply the lessons of the COVID-19 pandemic [...
Calibration of Chaotic Models for Interest Rates
In this paper we calibrate chaotic models for interest rates to market data using a polynomial-exponential parametrization for the chaos coefficients. We identify a subclass of one-variable models that allow us to introduce complexity from higher order chaos in a controlled way while retaining considerable analytic tractability. In particular we derive explicit expressions for bond and option prices in a one-variable third chaos model in terms of elementary combinations of normal density and cumulative distribution functions. We then compare the calibration performance of chaos models with that of well-known benchmark models. For term structure calibration we find that chaos models are comparable to the Svensson model, with the advantage of guaranteed positivity and consistency with a dynamic stochastic evolution of interest rates. For calibration to option data, chaos models outperform the Hull and White and rational lognormal models and are comparable to LIBOR market models.
Inventory growth cycles with debt-financed investment
International audienceWe propose a continuous-time stock-flow consistent model for inventory dynamics in an economy withfirms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired level of inventories. On the demand side, investment is determined as a function of utilization and profitability and can be financed by debt, whereas consumption is independently determined as a function of income and wealth. Prices adjust sluggishly to both changes in labour costs and inventory. Disequilibrium between expected sales and demand is absorbed by unplanned changes in inventory. This results in a five-dimensional dynamical system for wage share, employment rate, private debt ratio, expected sales, and capacity utilization. We analyze two limiting cases: the long-run dynamics provides a version of the Keen model with effective demand and varying inventories, whereas the short-run dynamics gives rise to behaviour that we interpret as Kitchin cycles