Exponential wealth distribution in a random market. A rigorous explanation

In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this type of gas-like models is explained in a rigorous analytical way.Comment: 9 pages, 4 figure

Exponential wealth distribution: a new approach from functional iteration theory

Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explained from very different perspectives. In statistical physics, it is obtained from the principle of maximum entropy. In the same context, it can also be derived without any consideration about information theory, only from geometrical arguments under the hypothesis of equiprobability in phase space. Also, several multi-agent economic models based on mappings, with random, deterministic or chaotic interactions, can give rise to the asymptotic appearance of the exponential wealth distribution. An alternative approach to this problem in the framework of iterations in the space of distributions has been recently presented. Concretely, the new iteration given by $f_{n+1}(x) = \int\int_{u+v>x}{f_n(u)f_n(v)\over u+v} dudv.$. It is found that the exponential distribution is a stable fixed point of the former functional iteration equation. From this point of view, it is easily understood why the exponential wealth distribution (or by extension, other kind of distributions) is asymptotically obtained in different multi-agent economic models.Comment: 6 pages, 5 figure

Regulatory Evaluation of Value-at-Risk Models

Value-at-risk (VaR) models have been accepted by banking regulators as tools for setting capital requirements for market risk exposure. Three statistical methodologies for evaluating the accuracy of such models are examined; specifically, evaluation based on the binomial distribution, interval forecast evaluation as proposed by Christoffersen (1995), and distribution forecast evaluation as proposed by Crnkovic and Drachman (1995). These methodologies test whether the VaR forecasts in question exhibit properties characteristic of accurate VaR forecasts. However, the statistical tests used often have low power against alternative models. A new evaluation methodology, based on the probability forecasting framework discussed by Lopez (1995), is proposed. This methodology gauges the accuracy of VaR models using forecast evaluation techniques. It is argued that this methodology provides users, such as regulatory agencies, with greater flexibility to tailor the evaluations to their particular interests by defining the appropriate loss function. Simulation results indicate that this methodology is clearly capable of differentiating among accurate and alternative VaR models. This paper was presented at the Financial Institutions Center's October 1996 conference on "

Production sharing and real business cycles in a small open economy

Production sharing and vertical specialization account for a significant share of trade between developed and developing countries. The Mexican maquiladora industry provides an ideal example of production sharing in a small open economy. The typical "maquila" imports most of its inputs from and exports all its output to the United States.> ; This article tries to determine to what extent production sharing, as in the Mexican maquiladora, can serve as a transmission mechanism of business cycles in small open economies. We utilize a simple two-sector small open economy model of real business cycles that incorporates production sharing in the traded sector. The transmission channel of business cycles is introduced in the model via demand shocks to the traded sector, originated in the United States' manufacturing sector. The model is successful in replicating real business cycles statistics for the maquiladora sector, as well as some of the characteristics of the nontraded sector.Business cycles ; Transmission mechanism (Monetary policy) ; Trade ; Maquiladora

A Comparison of Price Imputation Methods under Large Samples and Different Levels of Censoring.

Consumer/Household Economics, Demand and Price Analysis, Research Methods/ Statistical Methods, imputation methods, multiple imputation, censored prices, protein demand, elasticities,