Final Activity Report Summary - DYTSPM (Development of research competence in dynamic systems and game theory; theoretical time series econometrics ... in the agri-food system)
The project aimed at developing methodological tools of analysis in economics with respect to three distinct research areas.
The first area was related to dynamic systems and game theory. The main objective in this area was the development and analysis of new advanced models in the fields of industry dynamics, innovation, endogenous growth, management of ecosystems and biodiversity preservation. The most significant results were the:
1. development of a new model to reappraise the theory of the circulation spiral
2. development of new game-theoretic models to study the issue of debt rescheduling with many lenders, the firms' incentives to transfer knowledge on production technology, the effect of alliances between competitors and the comparative advertising as signals of products' quality
3. development of a new dynamic game-theoretic model to analyse the importance of minimum quality standards in oligopoly
4. application of auction theory to mergers in order to evaluate gains from mergers, comparative analysis of different market power tests and analysis of motives behind mergers
5. analysis of incentives for cooperative research and development investments and for technology adoption
6. development of policy games models, new Keynesian model with rule of thumb consumers, extensions to new Keynesian dynamic stochastic general equilibrium (DSGE) models
7. explicit solution of nonlinear differential games with feedback information structure and applications to resource management problems
8. analysis of dynamical systems evolving in both time and space and characterisation of spatiotemporal dynamics and applications to ecosystems management
9. Knightian uncertainty in dynamical systems leading to differential games between economic agents and nature and applications to biodiversity management and finance.
The second research component was concerned with the issues of theoretical time series econometrics and finance. The main objective of this second area was the application of nonlinear models to analyse the interrelationships between capital and money markets, paying special attention to issues of contagion, interdependence, spillovers, causality and interrelations. Among the obtained results were the:
4. analysis of the relationship between the weekly spot and forward rates for British pound and German mark using the long-run correlation coefficient
2. analysis of spillover effects both in mean and variance between bond futures and long-run bonds for the United Kingdom economy
3. analysis of contagion effects between mature and emerging stock markets
4. long-run analysis of stock market integration
5. non-linear, using Markov switching regimes, estimation of exchange rates for emerging markets
6. estimation of value at risk models for mature and emerging stock markets
7. analysis of interdependence and switching volatility between stock markets and money markets
8. the application of the H statistic to measure competition in banking, the analysis of the determinants of credit unions acquisitions in the United States and the examination of the fractal properties of the Italian stock market.
In addition, some results relating the effects of education, labour regulations on economic growth and technical change were obtained.
The first area was related to dynamic systems and game theory. The main objective in this area was the development and analysis of new advanced models in the fields of industry dynamics, innovation, endogenous growth, management of ecosystems and biodiversity preservation. The most significant results were the:
1. development of a new model to reappraise the theory of the circulation spiral
2. development of new game-theoretic models to study the issue of debt rescheduling with many lenders, the firms' incentives to transfer knowledge on production technology, the effect of alliances between competitors and the comparative advertising as signals of products' quality
3. development of a new dynamic game-theoretic model to analyse the importance of minimum quality standards in oligopoly
4. application of auction theory to mergers in order to evaluate gains from mergers, comparative analysis of different market power tests and analysis of motives behind mergers
5. analysis of incentives for cooperative research and development investments and for technology adoption
6. development of policy games models, new Keynesian model with rule of thumb consumers, extensions to new Keynesian dynamic stochastic general equilibrium (DSGE) models
7. explicit solution of nonlinear differential games with feedback information structure and applications to resource management problems
8. analysis of dynamical systems evolving in both time and space and characterisation of spatiotemporal dynamics and applications to ecosystems management
9. Knightian uncertainty in dynamical systems leading to differential games between economic agents and nature and applications to biodiversity management and finance.
The second research component was concerned with the issues of theoretical time series econometrics and finance. The main objective of this second area was the application of nonlinear models to analyse the interrelationships between capital and money markets, paying special attention to issues of contagion, interdependence, spillovers, causality and interrelations. Among the obtained results were the:
4. analysis of the relationship between the weekly spot and forward rates for British pound and German mark using the long-run correlation coefficient
2. analysis of spillover effects both in mean and variance between bond futures and long-run bonds for the United Kingdom economy
3. analysis of contagion effects between mature and emerging stock markets
4. long-run analysis of stock market integration
5. non-linear, using Markov switching regimes, estimation of exchange rates for emerging markets
6. estimation of value at risk models for mature and emerging stock markets
7. analysis of interdependence and switching volatility between stock markets and money markets
8. the application of the H statistic to measure competition in banking, the analysis of the determinants of credit unions acquisitions in the United States and the examination of the fractal properties of the Italian stock market.
In addition, some results relating the effects of education, labour regulations on economic growth and technical change were obtained.