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Displaying results 1 to 3 of 3.

  1. Liquidity risk, market power and reserve accumulation
    Author: Claeys, Gregory; Papioti, Chara; Tryphonides, Andreas
    Published: October 2020
    Publisher:  GSE, Graduate School of Economics, Barcelona

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 541
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Barcelona GSE working paper series ; no 1206
    Subjects: Multi-unit auction; Liquidity risk; Reserve Accumulation; Signalling
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. Conditional moment restrictions and the role of density information in estimated structural models
    Author: Tryphonides, Andreas
    Published: 21.07.2017
    Publisher:  SFB 649, Humboldt-Universität zu Berlin, Berlin

    While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the corresponding GMM... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 86 (2017,16)
    Inter-library loan:
    No inter-library loan

     

    While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the corresponding GMM estimators is fragile in small samples. To deal with both issues, we propose the use of an auxiliary conditional model for the observables f(X|Z, '), where the equilibrium conditions E(m(X, #)|Z) = 0 are imposed on f(X|Z, ') using information projections, and (#, ') are estimated jointly. We provide the asymptotic theory for parameter estimates for a general set of conditional projection densities, under correct and local misspecification of f(X|Z, '). In either cases, efficiency gains are significant. We provide simulation evidence for the Mean Squared Error (MSE) both under the case of local and fixed density misspecification and apply the method to the prototypical stochastic growth model. Moreover, we illustrate that given (#ˆ, 'ˆ) it is now feasible to do counterfactual experiments without explicitly solving for the equilibrium law of motion.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/169206
    Series: SFB 649 discussion paper ; 2017-016
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  3. Digitalization and resilience to disaggregate shocks
    Author: Schwark, Florentine; Tryphonides, Andreas
    Published: [2022]
    Publisher:  Department of Economics, University of Cyprus, Nicosia, Cyprus

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 616
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / University of Cyprus, Department of Economics ; 2022, 08
    Subjects: Digitalization; Productivity; Elasticity of substitution; Domar weights; Resilience; Production Networks
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen