|
|
Asset prices and business cycles with liquidity shocks
Nezafat, M. ; Slavík, Ctirad
We develop a production based asset pricing model with financially constrained firms to explain the observed high equity premium and low risk-free rate volatility. Investment opportunities are scarce and firms face productivity and liquidity shocks. A negative liquidity shock forces firms to liquidate a fraction of their assets. We calibrate the model to U.S. data and find that it generates an equity premium and a level and volatility of risk-free rate comparable to those observed in the data. The model also fits key aspects of the behavior of aggregate quantities, in particular, the volatility of aggregate consumption and investment.
|
|
|
Arrow-Debreu Model of General Equilibrium
Juřena, Filip ; Červinka, Michal (advisor) ; Adam, Tomáš (referee)
Arrow-Debreu Model of General Equilibrium Filip Juřena Abstract In this thesis, we deal with the Arrow-Debreu model of general equilibrium, which is an integrated model of production, exchange and consumption. At the beginning, we present and discuss the original assumptions of the Arrow-Debreu model, i.e. the assumptions introduced by Kenneth J. Arrow and Gerard Debreu in 1954. Under these assumptions, Arrow and Debreu proved the existence of a general equilibrium. As a part of the proof, Arrow and Debreu showed that the equilibria of their model are the same as the equilibria of an abstract economy, or a generalized Nash equilibrium problem (GNEP). We describe the GNEP and look at whether there is a connection which allows to apply results developed by researchers from other disciplines to the Arrow-Debreu model. A part of the thesis is dedicated to a two-factor, two-commodity, two-consumer model, which is based on the original assumptions of Arrow and Debreu. In order to find the solution, we use a method called applied general equilibrium modelling and a software called GAMS. We examine the impact of better technology and taxes on consumers and producers. We have brief remarks on applications of the model at the end.
|
|
|
Three essays on Policy Evaluation and Analysis
Kopečná, Vědunka ; Baxa, Jaromír (advisor) ; Steininger, Karl (referee) ; Brůha, Jan (referee) ; Janda, Karel (referee)
Three essays on policy evaluation and analysis Author Mgr. Vědunka Kopečná Year 2021 Advisor PhDr. Jaromír Baxa, Ph.D. No. of pages 164 This thesis consists of three articles sharing the main theme - evaluation of policies related to current issues both from micro and macroeconomic perspectives. The dissertation aims at the central European region. The first article presents a novel methodology of a hybrid dynamic computable general equilibrium model used to quantify socio-economic impacts of an emission abatement driven policy focused on adoption of electric vehicles in personal transport on the example of Austria. Heterogeneous micro-founded preferences are integrated into a dynamic computational general equilibrium model which is further linked to a bottom-up technology-rich electricity model and a stock-flow vehicle accounting model. Endogenously determined emissions from vehicle use, electricity generation, and production provide an input to quantify external costs attributable to air quality and carbon emissions using the Impact Pathway Analysis. The second article estimates the elasticity of substitution between capital, labour, energy and materials in the constant elasticity of substitution production function, which is being used in a majority of general equilibrium models. We use a non-linear...
|
|
|
Arrow-Debreu Model of General Equilibrium
Juřena, Filip ; Červinka, Michal (advisor) ; Adam, Tomáš (referee)
Arrow-Debreu Model of General Equilibrium Filip Juřena Abstract In this thesis, we deal with the Arrow-Debreu model of general equilibrium, which is an integrated model of production, exchange and consumption. At the beginning, we present and discuss the original assumptions of the Arrow-Debreu model, i.e. the assumptions introduced by Kenneth J. Arrow and Gerard Debreu in 1954. Under these assumptions, Arrow and Debreu proved the existence of a general equilibrium. As a part of the proof, Arrow and Debreu showed that the equilibria of their model are the same as the equilibria of an abstract economy, or a generalized Nash equilibrium problem (GNEP). We describe the GNEP and look at whether there is a connection which allows to apply results developed by researchers from other disciplines to the Arrow-Debreu model. A part of the thesis is dedicated to a two-factor, two-commodity, two-consumer model, which is based on the original assumptions of Arrow and Debreu. In order to find the solution, we use a method called applied general equilibrium modelling and a software called GAMS. We examine the impact of better technology and taxes on consumers and producers. We have brief remarks on applications of the model at the end.
|
|
|
Seller Strategies for Virtual Auctions Using Real Currencies
Brown, Waheed ; Gregor, Martin (advisor) ; Turnovec, František (referee)
This thesis focuses on finding Bayesian equilibria for sellers in virtual auctions using real currencies. Existing literature for real-world auctions is examined from the perspective of economic theory, game theory, and pricing strategies. Next, computer science theory is reviewed to identify applications of real-world auction models in video games. Finally, the video game Diablo 3, the first to have a real currency auction house for virtual goods, will be examined as a case study. This thesis contributes to the known literature by analyzing the Diablo 3 real currency auction house and identifying seller strategies to be applied in future virtual auction houses and economies using real currencies. JEL Classification C73, D44, D58 Keywords repeated games, auctions, general equilibrium Author's e-mail waheedbrown@hotmail.com Supervisor's e-mail gregor@fsv.cuni.cz Abstrakt Tato práce se zameruje na hledání Bayesovské rovnováhy pro prodejce ve virtuálních aukcích, které používají skutecné peníze. Na úvod se prozkoumá existující literatura o aukcích z hlediska ekonomické teorie, teorie her tvorby a cenové strategie. Dále budou analyzovány príspevky z informatiky, které povedou k zjištení zpusobu aplikace aukcních modelu ve videohrách. Hlavním príspevkem bude analýza video...
|
|
|
Essay on Financial Innovation, Credit Constraints, and Welfare
Janíčko, Martin ; Chytil, Zdeněk (advisor) ; Tlustý, Adolf (referee) ; Pavelka, Tomáš (referee) ; Frait, Jan (referee)
The submitted thesis is composed of three different articles dealing with issues of financial innovation, credit constraints, and their impact on welfare. The first article treats the contemporary theoretical grasp of the interaction between the financial and real economies, focusing primarily on the role of modern financial innovation in the business cycle. For this purpose, a framework promoted by the Regulation School and Post Keynesians is frequently employed, whilst some other unorthodox streams and mainstream economics are partially discussed as well. All of them aspire -- either per se or under the pressure of the contemporary economic agenda -- to clarify the evolution of financial innovation and credit in the recent era. It is generally found that certain consensus across the schools of economic thought exists, but some of them have done a better job in predicting the consequences of the financial innovation for real economic activity than others. Further, two dynamic macroeconomic models are developed in order to, inter alia, identify the possible effects of extended credit availability presented in the former article on the example of the housing market, and simulate the effects of housing price changes on general welfare. Clearly, this part of the thesis exhibits the indirect consequences of financial innovation as, once again, being rather ambiguous: after having partially unleashed the unprecedented credit granting in the economy, impacting interest rates and loan-to-value ratios, with a subsequent impact on housing prices, it has also influenced credit constrained and unconstrained households in a different manner. Based on an analysis of the situation using partial and general equilibrium analytical frameworks, two somewhat different conclusions are drawn up with respect to the occurrence of various shocks in the models. Under the partial equilibrium framework the effects of relaxation of credit constraints are visible and quite straightforward, indicating relatively simple and intuitive relationship between the price appreciation and general welfare. This is primarily perspicuous for the credit constrained households. In the general equilibrium framework, on the other hand, the transitional dynamics of shock proliferation is more transparent and the impact on credit constrained vs. unconstrained households is more ambiguous and much different from the basic intuition used in the article anchored in the partial equilibrium toolbox.
|
|
|
Impact assessment of tax policy with static CGE model regarding environmental protection in Czech Republic
Smejkal, Tomáš ; Hurník, Jaromír (advisor) ; Potužák, Pavel (referee)
At the beginning of the year 2014 carbon tax should be introduced in Czech Republic with the main focus on decreasing CO2 emission from firms not involved in EU ETS. Potential repercussions of this regulatory tool depend on multiple complex events occurring within the economy. In response a macroeconomic general equilibrium model with the base year of 2009 was created. This model is able to identify complex events within the economy and simulate initiation of the tax itself. As a result of this model there is a conclusion that not all sectors will decrease their demand for newly taxed fossil fuels and that an increase of consumption for relatively less taxed fuels for instance natural gas might be expected as a result of the tax initiation. Carbon tax will be according to the simulation results indirectly but significantly influencing the energy sector, which will in spite of the relative cut-price of input fuels respond with decrease in electricity production. Consequent higher electricity price will then cause additional costs for taxed sectors. Important conclusion is also the fact that rational behavior of economic agents could lead to a lower emission reduction than is currently being expected and even further increase in the tax rate beyond 15 EUR/tCO2 would probably not lead to a significant reduction of CO2 emissions.
|
|
| |
guest ::
