Browsing by Subject "Equilibrium (Economics)."

Now showing 1 - 9 of 9

Open Access
Bounded rationality and learning in dynamic programming environments
(2001) Erdem, Mahmut
The purpose of this thesis is to explain “excess sensitivity” puzzle observed in consumption behavior an alternative way. By deviating from full optimization axiom, in a dynamic extension of Arthur’s stochastic decision model, it was observed that a tendency of excess consumption following temporary income shock prevails. Another main technical contribution achieved in this thesis is in modelling behavior and learning in intertemporal decision problems. In particular, an extension of Arthur’s type of behavior to dynamic situations and comparison of the corresponding values with those of Bellman’s dynamic programming solution is achieved. Moreover it was shown by using stochastic approximation theory that classifier systems learning ends up at the ‘strength’ values corresponding to the Arthur’s value function.
Open Access
Existence in an overlapping generations model with production
(1995) Abdulkadiroğlu, Atila
This thesis proves the existence of competitive equilibrium in an overlapping generations model (OLG) with production. In the proof, existence of equilibrium in the classical Arrow-Debreu Model is essential, and the work is similar in spirit to that-presented in Balasko, Cass and Shell [2], except some tricks used in the proof. The assumptions do not deviate from standard assumptions, so the model can be taken as a first step in developing more general models.
Open Access
Formal GARCH performance in a computable dynamic general equilibrium framework
(1998) Yiğitbaşıoğlu, Ali Bora
This study uses a Computable Dynamic General Equilibrium setting based on Brock’s (1979, 1982) intertemporal growth and asset pricing models and applies this framework as a formal test to study the out-of-sample forecast performance of Bollerslev’s (1986) GARCH (1,1) Classical Historical Volatility forecasts. The solution to Brock’s growth model reflects the utility maximizing behavior of the consumer and profit maximizing behavior of producers, and is a framework that has recorded some remarkable successes in mirroring the real economy. All existing studies have used a sample realized variance in the forecast horizon to test the out-of- sample performance of conditional variance forecasting models. The realized variance is simply an approximation to the true distribution of variance in the forecast horizon, and is often an unfair benchmark of performance. Simulation of Brock’s model enables one to obtain the true distribution of asset returns and their variance at all times. The true distribution reflects all the possible states of a simulated economy, which is shown to mimic all the properties observed in empirical financial data. This framework affords the luxury of comparing the out-of-sample forecasts from various models with the true variance in the forecast horizon. The results jointly demonstrate that the GARCH (1,1) model performs significantly better than the Classical Historical Volatility when the true variance is used as the forecast comparison benchmark. It is concluded that the use of realized variance for out-of-sample performance is highly misleading, especially for short-run forecasts.
Open Access
How to prevent trade based stock price manipulation
(2001) İlalan, Deniz
Allen and Gale (1992) construct a model to show that stock price manipulation is possible. The time structure of their model allows manipulators to pretend “informed” traders, so that the local investors cannot distinguish what type of entrant they are facing. When the type of the entrant becomes known to the local investors it is already too late to make any use of that information. In this study we show that an institution can be designed in a very natural fashion which induces different behaviours on the part of manipulators and “informed” traders at the beginning of the process. The institution designed roughly consists of entitling the entrants to resell stocks at a later date as well if they wish to do so. As this reasoning is also accessible to manipulators, the designed institution deters them from entering the market. Regarding the informed traders, their expected gain from entering the stock market may or may not be positive contingent on the basic parameters of the model. There are cases, however, when there is an improvement in the expected total gain of the local investors.
Open Access
Implementation in dominant strategy equilibrium
(1995) Kıbrıs, Özgür
A social choice rule is any proposed solution to the problem of collective decision making and it embeds the normative features that can be attached to the mentioned problem. Implementation of social choice rules in dominant strategy equilibrium is the decentralization of the decision power among the agents such that the outcome that is a priori recommended by the social choice rule can be obtained as a dominant strategy equilibrium outcome of the game form which is endowed with the preferences of the individuals. This work has two features. First, it is a survey on the literature on implementation in dominant strategy and its link with the economic theory. Second, it constructs some new relationships among the key terms of the literature. In this framework, it states and proves a slightly generalized version of the Gibbard-Satterthwaite impossibility theorem. Moreover, it states and proves that the cardinality of a singlepeaked domain converges to zero as the number of alternatives increase to infinity.
Open Access
Markets as institutions
(1995) Başçı, Erdem
This dissertation investigates resource allocation via institutions. A unifying framework for studying various kinds of institutional structures is provided. After the introductory Part 1, Part 2 presents the general model (Chapter 1) and studies existence of equilibria (Chapter 2). Part 3 provides applications to general equilibrium models under complete markets (Chapter 3), public goods and Lindahl prices (Chapter 4), generalized price systems and sales taxes (Chapter 5), lemons type quality problems (Chapter 6). adverse selection and money (Chapter 7), and a model with Markov technologies and freedom effects on utilities (Chapter 8). welfare implications of most applications are investigated. Chapter 9 discusses further applications and possible future research topics.
Open Access
On the existence of equilibrium in games and economies
(2001) Atlamaz, Murat
There are three main contributions of this thesis in equilibrium theory. The first is about the existence of equilibrium in discontinuous games. We find sufficient conditions for the existence of ε-Nash equilibrium in games with discontinuous payoff functions. In the second one, under time-varying discount factors we restate the Folk Theorems on the existence of equilibria of infinitely repeated games. The third one is about the existence of equilibrium in economies with indivisible goods. We re-formulate the model and the existence result of Danilov et al(2001) with more realistic cost functions, which depend on prices as well as the output level.
Open Access
Optimal capital income taxation in infinitely-lived overlapping generations economies
(2001) Hasanaliyev, Orkhan
This paper analyzes optimal capital income taxation in infinitely-lived overlapping generations economy for both cases when government has the ability to tax capital and labor income of individuals of different vintages differently and when it has no such an ability. In such an economy with the commitment technology I find that optimal long-run capital income tax is zero fot both cases. For a special caso of additively seperable utility functions, I find that if the government has rich set of fiscal instruments, then capital income tax is zero even along the transition path.
Open Access
Status-seeking and catching up in the strategic Ramsey model
(2008) Özer, Mehmet
This thesis analyzes the qualitative implications of the strategic interaction on the standard Ramsey model in terms of catching up. We have shown that the strategic interaction among agents in the economy leads the poor to be able to catch up with the rich, which is not the case for the standard Ramsey model where the initial wealth differences perpetuate. Secondly, within this framework, we incorporate the relative wealth effect and conclude that the catching up amoung agents depends on the share of two classes in the economy. If the share of two classes is same, there exist unique symetric steady state, whereas if the share of two classes are different the steady state is assymetric. Morever, the steady state level of aggregate capital stock is higher than the that of standard Ramsey model. Finally, we introduce the relative consumption effect and reach the conclusion that whatever the share of classes, the gap between the initial wealth level of two classes will disappear in the long run. In addition, the steady state level of aggregate wealth level is same with the that of standard Ramsey model.