Time variation of second moments from a noise trader/infection model

Article Abstract:

A study analyzes characteristics and time-varying variances of the conditional distribution of prices in speculative markets such as securities or foreign exchange markets. Autoregressive structures are being demonstrated by the processes of the second moments of state variables, such as prices. Shocks to volatility, which shows change over times, are found to have significant impact. Regularities in variances in data from foreign exchange markets and assets markets can be accounted for using the microstructure modelling of the market.

Econometrics & Model Building, Analysis, Economic aspects, Econometrics, Business models, Heteroscedasticity, Microstructure, Microstructures

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A Hicksian two-sector model of unemployment, cycles, and growth

Article Abstract:

The Hicksian two-sector model of unemployment, cycles and growth was considered to understand the occurrence of employment fluctuation in a growing economy. The model considers two kinds of friction, non-shiftability of capital and nominal wage stickiness. Investment allocation can address the sectoral imbalances resulting to the non-shiftability of capital in finite time. The speed of the nominal rate adjustment determines the possibility of cycles.

Economics, Research and Development in the Social Sciences and Humanities, Capital, Cycles

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