Ditapis dengan
Ambiguity Aversion and Asset Prices in Production Economies
We examine a production-based asset pricing model with an unobservable mean growth rate ollowing a two-state Markov chain and with an ambiguity averse representative agent. Our model requires a low coefficient of relative risk aversion to produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption growth and volatile nvestment g…
- Edisi
- Vol. 27 No. 10, Oct 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 3097 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2710
A Primer for policy analysis
Includes bibliographies, index and tables
- Edisi
- -
- ISBN/ISSN
- 393090981
- Deskripsi Fisik
- x, 356 p. : ill. ; 24 cm.
- Judul Seri
- -
- No. Panggil
- 303.3 STO p
Recovering Hidden Buyer-Seller Relationship States to Measure the Return on M…
For two reasons, marketers face significant challenges in measuring return on marketing investment in business-to-business (B2B) markets..Printed Journal
- Edisi
- -
- ISBN/ISSN
- 222429
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- JMR5001
Apakah tata kelola perekonomian daerah di Indonesia telah meningkat?
Governance has gone through radical changes over the last twenty five years.Seemingly, it became one of the important strategies, processes, methods and mechanisms in governing countries to achieve economic development goals. The objective of this paper is to observe the local economic governance dynamics in the case of districts/municipalities in Indonesia. First, the dynamics behavior of loca…
- Edisi
- -
- ISBN/ISSN
- 14108046
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- BEMP1501
Kajian indikator peringatan dini Bank Runs di Indonesia: pendekatan Markov-Sw…
A run on a particular bank can lead to a banking crisis if it spreads to other banks (contagious effect). In the case of Indonesia, bank runs have also reoccurred time and again. In 1992, bank runs affected several national banks, subsequently precipitating the liquidation of one bank. Then in 1997/1998, bank runs developed into the worst banking crisis ever witnessed in the banking history of …
- Edisi
- -
- ISBN/ISSN
- 14108046
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- BEMP1501
Pertumbuhan kredit optimal
Banking credit has an important role in financing the national economy and as engine of economic growth. The high growth of credit is a commonly normal phenomenon as a positive consequence from the increase of financial deepening in economy. On the other hand, one must consider the implication of credit growth towards the financial stabilization and macro condition. Therefore, the policy author…
- Edisi
- -
- ISBN/ISSN
- 14108046
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- BEMP1502
How long must a firm be great to rule out chance? Benchmarking sustained supe…
Although sustained superior firm performance may arise from skillful management or other valuable, rare, and inimitable resources, it can also result from randomness. Studying U.S. companies from 1965-2008, we benchmark how long a firm must perform at a high level to be confident that it is something other than the outcome of a time-homogeneous stationary Markov chain defined on the state space…
- Edisi
- -
- ISBN/ISSN
- 1432095
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- SMJ3304
Evolving macroeconomic dynamics in a small open economy: an estimated markov …
This paper investigates the possibility of shifts in the UK economy using a Markov switching open economy dynamic stochastic general equilibrium (DSGE) model. We find overwhelming evidence to reject the hypothesis that the deep structural parameters of the underlying structural model had stayed constant throughout the sample period and there is significant changes to the volatility of the struc…
- Edisi
- -
- ISBN/ISSN
- 222879
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- JMCB4307
Estimating probabilities of recession in real time using GDP and CDI
This work estimates Markov switching models on real-time data and shows that the growth rate of gross domestic income (GDI), deflated by the gross domestic product (GDP) deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an increased focus on GDI may be useful in assessing the current state of the economy. …
- Edisi
- -
- ISBN/ISSN
- 222879
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- JMCB4401
Simulated maximum likelihood estimator for the Random Coefficient Logit model…
The authors propose a simulated maximum likelihood estimation method for the random coefficient logit model using aggregate data, accounting for heterogeneity and endogeneity. The method allows for two sources of randomness in observed market shares: unobserved product characteristics and sampling error. Because of the latter, the method is suitable when sample sizes underlying the shares are f…
- Edisi
- -
- ISBN/ISSN
- 222437
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Speed of replacement": modeling brand loyalty using last-move data
The authors study brand loyalties for durable goods using automobile survey data that are peculiarly censored and track only elapsed times since transitions but not the transition times themselves. This censoring problem is typical of commercially available durable goods survey data. However, little attention has been paid to such "last-move" data in the statistics or marketing literature on th…
- Edisi
- -
- ISBN/ISSN
- 222437
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
A General theory (and some evidence) of expectation traps in monetary policy
I show that multiple equilibria are a general property of economies under full monetary policy discretion. Three simple conditions are sufficient to rule out, generically, a unique equilibrium in a static economy. The key departure from Barro and Gordon (1983) is to consider bounded welfare costs of inflation. I also show that in a two Markov equilibrium economy the inflation response to certai…
- Edisi
- -
- ISBN/ISSN
- 222879
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Estimating disaggregate models using aggregate data through augmentation of i…
In this article, the authors propose a Bayesian method for estimating disaggregate choice models using aggregate data. Compared with existing methods, the advantage of the proposed method is that it allows for the analysis of microlevel consumer dynamic behavior, such as the impact of purchase history on current brand choice, when only aggregate-level data are available. The essence of this app…
- Edisi
- -
- ISBN/ISSN
- 222437
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Estimating promotion response when competitive promotions are unobservable
This study addresses a problem commonly encountered by marketers who attempt to assess the impact of their sales promotions-namely, the lack of data on competitive marketing activity. In most industries, competing firms may have competitive sales data from syndicated services or trade organizations, but they seldom have access to data on competitive promotions at the customer level. Promotion r…
- Edisi
- -
- ISBN/ISSN
- 222437
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Penjelasan teoritis perdagangan saham pada situasi tidak kondusif
Tulisan ini ingin mencari jawaban atau penjelasan mengenai terjadinya perdagangan di lantai bursa, padahal situasi pasar tidak kondusif. Pernyataan lain: meski situasi pasar tidak mendukung tapi mengapa....printed
- Edisi
- -
- ISBN/ISSN
- 14122189
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Analisis dampak currency mismatch terhadap terjadinya sudden stop aliran moda…
Penelitian ini bertujuan untuk mengetahui hubungan antara currency mismatch dan terjadinya sudden stop aliran modal asing dengan menggunakan estimasi model Markov-Switching untuk periode 1990-2018. Penelitian ini menggunakan aliran masuk modal bruto (gross capital inflow) sebagai proksi dari pinjaman mata uang asing di Indonesia. Penelitian ini menemukan bukti empiris dimana currency mismatch m…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- xv, 225p; chart, tables, graphics, ills; 29cm
- Judul Seri
- -
- No. Panggil
- DEK 0103
Pemodelan gelembung harga saham rasional dan irasional menggunakan model stat…
Penelitian ini mengembangkan permodelan gelembung harga saham rasional dan irasional menggunakan model state-space dengan markov switching. Gelembung harga saham merupakan unobserved variable yang dapat ditentukan dengan pendekatan teori ekspektasi rasional dimana dalam penelitian ini gelembung harga saham ditentukan oleh informasi ekstraneus yang terdiri dari faktor eksternal (dow jones Index …
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- xiii, 114 p. : ill. ; 29 cm.
- Judul Seri
- -
- No. Panggil
- DEK 0071
Analisis Pengambilan Keputusan Menggunakan Metode Markov Dalam Penerapan Mana…
Ada Tabel
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- XII, 108 p. ; diagr. ; 30 cm
- Judul Seri
- -
- No. Panggil
- T 288/19
Penerapan first order Markov analysis untuk menganalisis perpindahan pelanggan
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- Edisi
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- ISBN/ISSN
- -
- Deskripsi Fisik
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- Judul Seri
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- No. Panggil
- -
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