A Statistical Mechanic View of Macro-dynamics in Economics

Landini, Simone; Uberti, Mariacristina

doi:10.1007/s10614-008-9128-4

Cited by 17 publications

(6 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…At this stage it is possible to apply the method detailed in Di Guilmi (2008) and Landini and Uberti (2008) to obtain the dynamics for m and s. First, by means of lead and lag operators, probability fluxes in and out of the states can be treated as homogeneous. Then, the Taylor series expansion of the modified master equation identifies a Fokker-Planck equation for the transition density of the spread Q(s, τ ) depending on the trend and the diffusion of the process according to…”

Section: The System Dynamicsmentioning

confidence: 99%

The Financial Instability Hypothesis: A Stochastic Microfoundation Framework

Chiarella

Guilmi

2010

SSRN Journal

View full text Add to dashboard Cite

This paper examines the dynamics of financial distress and in particular the mechanism of transmission of shocks from the financial sector to the real economy. The analysis is performed by representing the linkages between microeconomic financial variables and the aggregate performance of the economy by means of a microfounded model with firms that have heterogeneous capital structures. The model is solved both numerically and analytically, by means of a stochastic approximation that is able to replicate quite well the numerical solution. These methodologies, by overcoming the restrictions imposed by the traditional microfounded approach, enable us to provide some insights into the stabilization policies which may be effective in a financially fragile system.

show abstract

Section: The System Dynamicsmentioning

confidence: 99%

The Financial Instability Hypothesis: A Stochastic Microfoundation Framework

Chiarella

Guilmi

2010

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Third: if one is allowed to assume the van Kampen's ansatz (34) and mean-field interaction, rather than global, is considered, then the needed condition for a suitable second order approximation are met. The method is here developed following Landini and Uberti (2008) and Di Guilmi et al (2011).…”

Section: Master Equation's Solution: Stochastic Dynamics Of Trend Andmentioning

confidence: 99%

“…See Foley (1994); Aoki (1996Aoki ( , 2002; Aoki and Yoshikawa (2006). Further developments of these contributions are: Landini and Uberti (2008), Di Guilmi (2008) and Di Guilmi et al (2011). 4.…”

mentioning

confidence: 99%