Recursive equilibria in dynamic economies with bounded rationality
- Runjie Geng, A. Zhang
- EconomicsSSRN Electronic Journal
- 30 April 2021
I provide a new way to model bounded rationality and show the existence of recursive equilibria with bounded rational agents. The existence proof applies to dynamic stochastic general equilibrium…
Spillover and Amplification with Financially Constrained Intermediaries
- A. Zhang
- Economics
- 2014
We construct a dynamic model economy in which investors from segmented markets have varying financial asset demands. Intermediaries make arbitrage profits by exploiting the price spreads across…
Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints
- A. Zhang
- Economics
- 2017
We develop a simple general equilibrium model to study the interactions between financial arbitrage and the real economy under collateral constraints. In good times, arbitrage activities help boost…
The Macroeconomic Implications of Limited Arbitrage
- A. Zhang
- Economics
- 26 December 2019
We develop a simple general equilibrium model to study the interactions between financial arbitrage and the real economy under collateral constraints. In good times, arbitrage activities help boost…
How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates
- A. Zhang, Matthias Thul
- Computer Science
- 26 February 2017
This paper develops a novel and highly efficient numerical algorithm for the gap risk-adjusted valuation of leveraged certificates that combines the one-day transition probability with Simpson’s numerical integration rule and confirms its robustness and accuracy through Monte Carlo simulations.
Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes
- A. Zhang
- Economics
- 1 December 2017
We develop an infinite horizon model that links the intermediation in both the financial and real sectors. Intermediaries provide market liquidity and exploit the arbitrage profits in segmented…
Best Friend or Worst Enemy? -- Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints
- A. Zhang
- Economics
- 5 June 2017
Risky Arbitrage and Collateral Policies
- A. Zhang
- Economics
- 22 August 2014
We construct a dynamic model economy in which investors from segmented markets have varying financial asset demands. Intermediaries make arbitrage profits by exploiting the price spreads across…
Amplification and Spillover with Financial Arbitrage, Production and Collateral Constraints
- A. Zhang
- Economics
- 1 September 2016
We construct a dynamic model economy in which households from segmented markets have varying financial asset demands. Intermediaries make arbitrage profit by exploiting the price difference in…
How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates
- A. Zhang, Matthias Thul
- Computer Science
- 26 February 2017
This paper develops a novel and highly efficient numerical algorithm for the gap risk-adjusted valuation of leveraged certificates that combines the one-day transition probability with Simpson's numerical integration rule and confirms its robustness and accuracy through Monte Carlo simulations.
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