@article{MTMT:33572622,
	title = {Dynamic pricing, reference price, and price-quality relationship},
	url = {https://m2.mtmt.hu/api/publication/33572622},
	author = {Anton, R. and Chenavaz, R.Y. and Paraschiv, C.},
	doi = {10.1016/j.jedc.2022.104586},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {146},
	unique-id = {33572622},
	issn = {0165-1889},
	year = {2023},
	eissn = {1879-1743}
}

@article{MTMT:33403846,
	title = {Out-of-equilibrium dynamics and excess volatility in firm networks},
	url = {https://m2.mtmt.hu/api/publication/33403846},
	author = {Dessertaine, Theo and Moran, Jose and Benzaquen, Michael and Bouchaud, Jean-Philippe},
	doi = {10.1016/j.jedc.2022.104362},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {138},
	unique-id = {33403846},
	issn = {0165-1889},
	abstract = {We study the conditions under which input-output networks can dynamically attain a competitive equilibrium, where markets clear and profits are zero. We endow a classical firm network model with minimal dynamical rules that reduce supply/demand imbalances and excess profits. We show that the time needed to reach equilibrium diverges to infinity as the system approaches an instability point beyond which the Hawkins-Simons condition is violated and competitive equilibrium is no longer admissible. We argue that such slow dynamics is a source of excess volatility, through accumulation and amplification of exogenous shocks. Factoring in essential physical constraints absent in our minimal model, such as causality or inventory management, we then propose a dynamically consistent model that displays a rich variety of phenomena. Competitive equilibrium can only be reached after some time and within some restricted region of parameter space, outside of which one observes spontaneous periodic and chaotic dynamics, reminiscent of real business cycles. This suggests an alternative explanation of excess volatility in terms of purely endogenous fluctuations. Diminishing return to scale and increased perishability of goods are found to ease convergence towards equilibrium. (C) 2022 Elsevier B.V. All rights reserved.},
	keywords = {Agent-based model; out-of-equilibrium; Excess volatility; Network economies},
	year = {2022},
	eissn = {1879-1743},
	orcid-numbers = {Dessertaine, Theo/0000-0001-7730-5222; Moran, Jose/0000-0001-5253-9831}
}

@article{MTMT:33403842,
	title = {Are government spending shocks inflationary at the zero lower bound? New evidence from daily data},
	url = {https://m2.mtmt.hu/api/publication/33403842},
	author = {Choi, Sangyup and Shin, Junhyeok and Yoo, Seung Yong},
	doi = {10.1016/j.jedc.2022.104423},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {139},
	unique-id = {33403842},
	issn = {0165-1889},
	abstract = {Are government spending shocks inflationary at the zero lower bound (ZLB)? Despite the importance of the inflation channel in amplifying government spending multipliers at the ZLB, empirical studies have not provided a clear answer to this question. Exploiting newly constructed high-frequency data on government spending and the price index of the U.S. economy, we find that prices decline in response to a positive government spending shock at the ZLB. Government spending shocks are also more deflationary at the ZLB than during normal times. While our finding is difficult to reconcile with standard New Keyne-sian models, which predict a larger fiscal multiplier following fiscal expansion at the ZLB-driven by rising inflation and a falling real interest rate-a model with credit constraints can explain this anomaly. (C) 2022 Elsevier B.V. All rights reserved.},
	keywords = {High-frequency data; Credit constraints; Government spending; Zero lower bound; Online price index; New Keynesian model},
	year = {2022},
	eissn = {1879-1743},
	orcid-numbers = {Choi, Sangyup/0000-0001-8798-1726; Yoo, Seung Yong/0000-0001-9300-5254}
}

@article{MTMT:33384324,
	title = {Automated and distributed statistical analysis of economic agent-based models},
	url = {https://m2.mtmt.hu/api/publication/33384324},
	author = {Vandin, Andrea and Giachini, Daniele and Lamperti, Francesco and Chiaromonte, Francesca},
	doi = {10.1016/j.jedc.2022.104458},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {143},
	unique-id = {33384324},
	issn = {0165-1889},
	abstract = {We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms to inspect simulations and perform counterfactual analysis. Our approach: (i) is easy-to-use by the modeller, (ii) improves reproducibility of results, (iii) optimizes running time given the modeller's machine, (iv) automatically chooses the number of required simulations and simulation steps to reach user-specified statistical confidence, and (v) automates a variety of statistical tests. In particular, our techniques are designed to distinguish the transient dynamics of the model from its steady-state behaviour (if any), estimate properties in both "phases", and provide indications on the (non-)ergodic nature of the simulated processes - which, in turn, allows one to gauge the reliability of a steady-state analysis. Estimates are equipped with statistical guarantees, allowing for robust comparisons across computational experiments. To demonstrate the effectiveness of our approach, we apply it to two models from the literature: a large-scale macro-financial ABM and a small scale prediction market model. Compared to prior analyses of these models, we obtain new insights and we are able to identify and fix some erroneous conclusions. (C) 2022 Elsevier B.V. All rights reserved.},
	keywords = {Steady-state analysis; Transient analysis; Statistical model checking; prediction markets; ABM; ergodicity analysis; Warmup estimation; Statistical tests and power; Macro ABM},
	year = {2022},
	eissn = {1879-1743},
	orcid-numbers = {Vandin, Andrea/0000-0002-2606-7241}
}

@article{MTMT:33037160,
	title = {Sustainable tourism},
	url = {https://m2.mtmt.hu/api/publication/33037160},
	author = {Chenavaz, R.Y. and Leocata, M. and Ogonowska, M. and Torre, D.},
	doi = {10.1016/j.jedc.2022.104483},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {143},
	unique-id = {33037160},
	issn = {0165-1889},
	year = {2022},
	eissn = {1879-1743}
}

@article{MTMT:32995514,
	title = {Structural change and the skill premium in a global economy},
	url = {https://m2.mtmt.hu/api/publication/32995514},
	author = {Xu, Yang},
	doi = {10.1016/j.jedc.2022.104364},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {138},
	unique-id = {32995514},
	issn = {0165-1889},
	abstract = {We develop a multi-country general equilibrium model with structural change to investigate the factors affecting the global changes in the skill premium between 1997 and 2007. Trade and technological change increase the skill premium by inducing reallocations to skill-intensive sectors. We apply our three-sector framework to 37 countries, and the model accounts completely for countries' trade, sales, consumption, and skill premium in terms of different types of fundamental shocks. Technological changes, both skill biased and Hicks neutral, account for most of the increases in the skill premium. The effects of Hicks-neutral total factor productivity growth act through structural change. (C) 2022 Elsevier B.V. All rights reserved.},
	keywords = {Structural change; TRADE; Technological change; Skill premium},
	year = {2022},
	eissn = {1879-1743},
	orcid-numbers = {Xu, Yang/0000-0002-6769-7450}
}

@article{MTMT:32993698,
	title = {Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis},
	url = {https://m2.mtmt.hu/api/publication/32993698},
	author = {Hu, Yuan and Lindquist, W. Brent and Rachev, Svetlozar T. and Shirvani, Abootaleb and Fabozzi, Frank J.},
	doi = {10.1016/j.jedc.2022.104345},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {137},
	unique-id = {32993698},
	issn = {0165-1889},
	abstract = {Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pricing tree exhibits skewness and kurtosis in both the natural and risk-neutral world. We construct implied surfaces for the parameters determining the GJR tree. Motivated by Merton's pricing tree incorporating transaction costs, we extend the GJR pricing model to include a hedging cost. We demonstrate ways to fit the GJR pricing model to a market driver that influences the price dynamics of the underlying asset. We supplement our findings with numerical examples. (c) 2022 Elsevier B.V. All rights reserved.},
	keywords = {Skew random walk; Jarrow-Rudd binomial option pricing; Cherny-Shiryaev-Yor invariance principle; Hedging transaction cost},
	year = {2022},
	eissn = {1879-1743}
}

@article{MTMT:32974662,
	title = {Expected utility versus cumulative prospect theory in an evolutionary model of bargaining},
	url = {https://m2.mtmt.hu/api/publication/32974662},
	author = {Khan, Abhimanyu},
	doi = {10.1016/j.jedc.2022.104332},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {137},
	unique-id = {32974662},
	issn = {0165-1889},
	abstract = {I examine the effect of decision-making processes on the dynamics of bargaining over a fixed pie by comparing the share received when individuals are subject to reference dependent preferences, loss-aversion, and probability-weighting, to the share they would receive on choosing by maximising expected utility instead. I show that: (i) reference dependent preferences are unambiguously advantageous, (ii) loss-aversion does not have any effect, and (iii) probability-weighting is unambiguously disadvantageous. Finally, when these three features come together so that the decision-making process is described by cumulative prospect theory, then a higher share is obtained if and only if the advantage conferred by reference-dependent preferences is stronger than the disadvantage imposed by probability-weighting, and I present a precise necessary and sufficient condition that expresses this trade-off. (c) 2022 Elsevier B.V. All rights reserved.},
	keywords = {EVOLUTION; expected utility; bargaining; Cumulative prospect theory; loss-aversion; reference-dependent preference; Probability-weighting},
	year = {2022},
	eissn = {1879-1743}
}

@article{MTMT:32955082,
	title = {Market liquidity and excess volatility: Theory and experiment},
	url = {https://m2.mtmt.hu/api/publication/32955082},
	author = {Choi, Jae Hoon and Munro, David},
	doi = {10.1016/j.jedc.2022.104442},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {139},
	unique-id = {32955082},
	issn = {0165-1889},
	abstract = {Understanding the sources of excess volatility is a prominent question in finance. We theoretically examine the interaction between financial market development, specifically market liquidity, and excess volatility. Using a game theoretic model of investor behavior where agents learn about the fundamental value of assets over time, we highlight how market liquidity impacts traders' sensitivity to information about assets and how this impacts excess volatility in the market. We explore these predictions in laboratory asset markets where liquidity is exogenously varied and find that traders' sensitivity to news about asset values and excess volatility is higher in low liquidity markets. We also find that traders in low liquidity markets have an over-sensitivity, relative to theory, to the liquidations of others, suggesting that herding behavior is more prominent in less liquid markets. (C) 2022 Elsevier B.V. All rights reserved.},
	keywords = {experiment; Market liquidity; Excess volatility},
	year = {2022},
	eissn = {1879-1743}
}

@article{MTMT:33487568,
	title = {Geographic distribution of firms and expected stock returns},
	url = {https://m2.mtmt.hu/api/publication/33487568},
	author = {Dissanayake, Ruchith},
	doi = {10.1016/j.jedc.2021.104267},
	journal-iso = {J ECON DYN CONTROL},
	journal = {JOURNAL OF ECONOMIC DYNAMICS & CONTROL},
	volume = {133},
	unique-id = {33487568},
	issn = {0165-1889},
	abstract = {I examine the effects of geographic distribution of firms on the expected stock returns. Information spillovers and coordinated actions by interacting managers increase the cyclicality of wages in agglomerated industries compared to dispersed industries. Consequently, geographic agglomeration provides firms a "natural hedge" against aggregate shocks. In contrast, geographically dispersed firms have higher exposure to aggregate shocks. A portfolio that goes long on geographically dispersed industries minus agglomerated industries - the GDMA portfolio - captures aggregate shocks. Stocks that co-vary closely with the GDMA portfolio returns earn higher expected returns. In the time-series, the premium is more pronounced during recessions when investors shrink from risk. In the cross-section, the premium is more pronounced among low profitable firms that are more vulnerable to adverse shocks. (C) 2021 Elsevier B.V. All rights reserved.},
	keywords = {geographic distribution; Expected stock returns; Hedge factor; GDMA portfolio},
	year = {2021},
	eissn = {1879-1743}
}