Dynamic Analysis in Complex Economic Environments: Essays in Honor of Christophe Deissenberg

Contents
Contributors
Introduction
	References
Cross-Bidding in eBay-like Environments
	1 Introduction
	2 Related Literature
	3 Model
	4 Strategy Space
	5 Analysis
		5.1 Setting and Computation Time
		5.2 Second Price Versus Nibbling
		5.3 Morphology of Nibbling
		5.4 Hard Versus Loose Nibblers
		5.5 Robustness
	6 Conclusion
	References
Risk–Reward Ratio Optimisation (Revisited)
	1 Introduction
		1.1 Risk-Based Investing
		1.2 Alternative Measures of Risk
		1.3 Outline of the Study
	2 Models
		2.1 Constructive Rules
		2.2 Optimisation Models
	3 Data and Setup
		3.1 Data
		3.2 Setup
		3.3 Algorithm
	4 Empirical Results
		4.1 Statistics
		4.2 General Remarks
		4.3 Results
		4.4 Sensitivity Analysis
	5 Conclusion
	References
Optimal Investment–Consumption Decisions with Partially Observed Inflation: A Discrete-Time Formulation
	1 Introduction
	2 Discrete-Time Model
		2.1 Evolution of Prices of Stocks
		2.2 Risk-Neutral Probability
		2.3 Evolution of Basket Price
		2.4 Self-financing Wealth Process
	3 Fully Observed Inflation Case
		3.1 Dynamic Programming
		3.2 Optimal Feedback Policy
		3.3 Approximation for Small h
		3.4 One-Period Problem
	4 Partially Observed Inflation Case
		4.1 Objective Function for Partially Observed Case
		4.2 Dynamic Programming
	5 Concluding Remarks
	References
Dynamic Games of Common-Property Resource Exploitation When Self-image Matters
	1 Introduction
	2 Related Literature
	3 Modeling Individual Tradeoff Between Self-image and Material Wellbeing
		3.1 Specification of the Self-image Function and the Material Wellbeing Function
		3.2 A Digression: Specification of the Individual-Specific Kantian Ideals
	4 Renewable Resource Exploitation by Image-Conscious Agents
		4.1 Cooperative Solution When Individuals Are Homogeneous
		4.2 Non-cooperative Exploitation by Agents with Moral Scruples
	5 A Discrete-Time Model of Renewable Resource Exploitation By Image-Conscious Agents
		5.1 The Social Planner's Problem in Discrete Time
		5.2 The Individual's Optimization Problem in Discrete Time
	6 A Model of the Evolution of the Concern for Self-image
	7 Conclusion
	References
The Effects of Political Short-Termism on Transitions Induced by Pollution Regulations
	1 Introduction
	2 A Model of Pollution Control
		2.1 The Economic Framework
		2.2 The Policymakers’ Problem and Inattention
	3 Inattention and Environmental Policies
		3.1 Growth and Pollution Regulation
		3.2 Obsolete Technologies and Pollution Abatement
	4 Conclusions
	Appendix
	References
Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation
	1 Introduction
	2 Model
		2.1 Households
		2.2 Uncovered Interest Parity
		2.3 Firms
	3 Equilibrium
		3.1 Demand Side
		3.2 Supply Side
		3.3 Equilibrium Dynamics in Output Gap
	4 Capital Control, Exchange Rate Regime, and Monetary Policy: Four Cases
		4.1 Capital Control, Flexible Exchange Rate, Current-Looking Monetary Policy
		4.2 Capital Control, Fixed Exchange Rate, Current-Looking Monetary Policy
		4.3 Capital Control, Flexible Exchange Rate, Forward-Looking Monetary Policy
		4.4 Capital Control, Fixed Exchange Rate, Forward-Looking Monetary Policy
	5 Indeterminacy Conditions
		5.1 Capital Control, Flexible Exchange Rate, Current-Looking Monetary Policy
		5.2 Capital Control, Fixed Exchange Rate, Current-Looking Monetary Policy
		5.3 Capital Control, Flexible Exchange Rate, Forward-Looking Monetary Policy
		5.4 Capital Control, Fixed Exchange Rate, Forward-Looking Monetary Policy
	6 Bifurcation Conditions
		6.1 Capital Control, Flexible Exchange Rate, Current-Looking Monetary Policy
		6.2 Capital Control, Fixed Exchange Rate, Current-Looking Monetary Policy
		6.3 Capital Control, Flexible Exchange Rate, Forward-Looking Monetary Policy
		6.4 Capital Control, Fixed Exchange Rate, Forward-Looking Monetary Policy
	7 Empirical Test for Indeterminacy
		7.1 Model for Testing Indeterminacy: Four Cases
		7.2 Data Description: China 1999(1) to 2004(4) and 2011(4) to 2017(3)
		7.3 Parameter Estimation
		7.4 Posterior Probability of the Determinate and the Indeterminate Regions
		7.5 Impulse Responses
		7.6 Variance Decomposition
	8 Numerical Bifurcation Analysis
	9 Conclusion
	Appendix 1: Households Problem
	Appendix 2: Backus-Smith Condition
	Appendix 3: Uncovered Interest Parity
	Appendix 4: Equilibrium of Demand Side
	Appendix 5: Equilibrium of Supply Side
	Appendix 6: Equilibrium Dynamics in Output Gap
	Appendix 7: Proof of Proposition 1
	Appendix 8: Proof of Proposition 2
	Appendix 9: Proof of Proposition 3
	Appendix 10: Proof of Proposition 4
	Appendix 11: Proof of Propositions 5–8
	References
A Multi-agent Methodology to Assess the Effectiveness of Systemic Risk-Adjusted Capital Requirements
	1 Introduction
	2 Related Literature
	3 The Model
		3.1 Macroeconomic Model
		3.2 Distress Dynamics
		3.3 Measuring Systemic Risk
		3.4 Adjusted Capital Requirements
	4 Results
		4.1 SR Measures Over Time
		4.2 Rank Correlation
		4.3 Policy Experiments
	5 Concluding Remarks
	References
The Role of (De-)Centralized Wage Setting for Industry Dynamics and Economic Growth: An Agent-Based Analysis with the Eurace@Unibi Model
	1 Introduction
	2 The Model
		2.1 Overall Structure
		2.2 Agents, Markets, and Decisions
		2.3 Parametrization and Validation
	3 Policy Analysis
		3.1 Experimental Setup
		3.2 Results
	4 Conclusions
	References
Oracle and Interactive Computations, Post-turing Thesis and Man–Machine Interactions
	1 Introduction
	2 A Brief Note on Oracle Computations, Turing Reducibilities, Post-turing Thesis and Interactive—Trial and Error—Computation
	3 Unsolvability of the Deissenberg Problem
	4 Brief Concluding Notes
	References