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  • Monograph available for loan
    London ; Boston : Faber and Faber
    Call number: PIK B 020-98-0405
    Type of Medium: Monograph available for loan
    Pages: 217 p.
    Edition: 1. ed.
    ISBN: 0571190057
    Branch Library: PIK Library
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  • Monograph available for loan
    London ; Boston : Faber and Faber
    Call number: PIK B 020-00-0424
    Type of Medium: Monograph available for loan
    Pages: 230 p.
    ISBN: 0571171265
    Branch Library: PIK Library
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  • Notes: The overall aim of this book, an outcome of the European FP7 FET Open NESS project, is to contribute to the ongoing effort to put the quantitative social sciences on a proper footing for the 21st century. A key focus is economics, and its implications on policy making, where the still dominant traditional approach increasingly struggles to capture the economic realities we observe in the world today - with vested interests getting too often in the way of real advances. Insights into behavioral economics and modern computing techniques have made possible both the integration of larger information sets and the exploration of disequilibrium behavior. The domain-based chapters of this work illustrate how economic theory is the only branch of social sciences which still holds to its old paradigm of an equilibrium science - an assumption that has already been relaxed in all related fields of research in the light of recent advances in complex and dynamical systems theory and related data mining. The other chapters give various takes on policy and decision making in this context. Written in nontechnical style throughout, with a mix of tutorial and essay-like contributions, this book will benefit all researchers, scientists, professionals and practitioners interested in learning about the "thinking in complexity" to understand how socio-economic systems really work.
    Pages: VIII, 232 S.
    ISBN: 978-3-319-42422-4
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  • Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Economic affairs 16 (1996), S. 0 
    ISSN: 1468-0270
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
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  • Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Economic affairs 17 (1997), S. 0 
    ISSN: 1468-0270
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The macro-economic short-term forecasting record in the West over the past thirty years is very poor. Modern non-linear signal processing techniques can be used to show that such inaccuracy is a deep and inherent property of the data themselves. The forecasting record simply cannot be improved. Much economic policy still focuses on short-term intervention based on short-term forecasts. But such efforts are futile because forecasts of sufficient accuracy over time cannot be made.
    Type of Medium: Electronic Resource
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  • facet.materialart.
    Kiel Institute for the World Economy (IfW) Kiel
    Publication Date: 2013-05-22
    Description: Bordo and Helbing (2003) examine the business cycle in Western economies over the 1881-2001 period. They examine four distinct periods in economic history and conclude that there is a secular trend towards greater synchronisation for much of the 20th century, and that it takes place across these different regimes. Most of the analytical techniques used in the business cycle convergence literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates in the various countries. However due to the finite size of both the number of economies and the number of observations, a reliable determination of the correlation matrix may prove to be problematic. The structure of the correlation matrix may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome this problem, and to enable true information in a matrix to be distinguished from noise. It has been successfully applied in the analysis of financial data. Using a very similar data set to Bordo and Helbing, I use random matrix theory, and the associated technique of agglomerative hierarchical clustering, to examine the evolution of convergence of the business cycle between the capitalist economies. The results confirm that there is a very clear degree of synchronisation of the business cycle across countries during the 1973-2006 period. In contrast, during the pre-First World War period it is not possible to speak of an international business cycle in any meaningful sense. The crosscountry correlations of annual real GDP growth are indistinguishable from those which could be generated by a purely random matrix. Contrary to the findings of Bordo and Helbing, it does not seem possible to speak of a ?secular trend? towards greater synchronisation over the 1886-2006 period as a whole. The periods 1920-1938 and 1948-1972 do show a certain degree of synchronisation – very similar in both periods in fact – but it is weak. In particular, the cycles of the major economies cannot be said to be synchronised during these periods. Such synchronisation as exists in the overall data set is due to meaningful comovements in sub-groups. So the degree of synchronisation has evolved fitfully, and it is only in the most recent period, 1973-2006, that we can speak of a strong level of synchronisation of business cycles between countries. More detailed analysis of the evolution of synchronisation of the 6 major economies since 1948 suggests it can vary considerably over relatively short periods of time. During the 1990s, for example, the degree of synchronisation of the cycle was similar to that of the 1950s, and lower than it was in the 1970s and 1980s following the oil shocks.
    Keywords: E32 ; C69 ; N10 ; ddc:330 ; International business cycle ; synchronisation ; random matrix theory ; Konjunkturzusammenhang ; Entwicklungskonvergenz ; Korrelation ; Statistischer Fehler ; Welt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:workingPaper
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  • Publication Date: 2013-05-22
    Description: The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool-kit in the analysis of macro-economic time series data. A great deal of applied economic work relies upon empirical estimates of the correlation matrix. However due to the finite size of both the number of variables and the number of observations, a reliable determination of the correlation matrix may prove to be problematic. The structure of the correlation matrix may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome this problem, and to enable true information in a matrix to be distinguished from noise. There is now a large literature in which it is applied successfully to financial markets and in particular to portfolio selection. The author illustrates the application of the technique to macro-economic time-series data. Specifically, the evolution of the convergence of the business cycle between the capitalist economies from the late 19th century to 2006. The results are not in sharp contrast with those in the literature obtained using approaches with which economists are more familiar. However, there are differences, which RMT enables us to clarify.
    Keywords: E32 ; C69 ; N10 ; ddc:330 ; Random matrix theory ; macroeconomic time-series data ; international business cycle ; synchronisation ; Konjunkturzusammenhang ; Entwicklungskonvergenz ; Korrelation ; Statistischer Fehler ; Welt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
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  • Publication Date: 2013-05-22
    Description: Using the statistical technique of fuzzy clustering, regimes of inflation and unemployment are explored for the United States, the United Kingdom and Germany between 1871 and 2009. We identify for each country three distinct regimes in inflation/unemployment space. There is considerable similarity across the countries in both the regimes themselves and in the timings of the transitions between regimes. However, the typical rates of inflation and unemployment experienced in the regimes are substantially different. Further, even within a given regime, the results of the clustering show persistent fluctuations in the degree of attachment to that regime of inflation/unemployment observations over time. The economic implications of the results are that, first, the inflation/unemployment relationship experiences from time to time major shifts. Second, that it is also inherently unstable even in the short run. It is likely that the factors which govern the inflation/unemployment trade off are so multi-dimensional that it is hard to see that there is a way of identifying periods of short run Phillips curves which can be assigned to particular historical periods with any degree of accuracy or predictability. The short run may be so short as to be meaningless. The analysis shows that reliance on any kind of trade off between inflation and unemployment for policy purposes is entirely misplaced.
    Keywords: C19 ; E31 ; N10 ; ddc:330 ; Phillips curve ; inflation ; structural change ; fuzzy clustering ; Phillips-Kurve ; Inflation ; Arbeitslosigkeit ; Strukturwandel ; Fuzzy Sets ; Clusteranalyse ; USA ; Großbritannien ; Deutschland
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:workingPaper
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  • facet.materialart.
    Kiel Institute for the World Economy (IfW) Kiel
    Publication Date: 2015-06-17
    Description: In situations of what we now describe as radical uncertainty, the core model of agent behaviour, of rational autonomous agents with stable preferences, is not useful. Instead, a different principle, in which the decisions of an agent are based directly on the decisions and strategies of other agents, becomes the relevant core model. Preferences are not stable, but evolve. It is not a special case in such circumstances, but the general one. The author provides empirical evidence to suggest that as a description of behaviour in the modern world, economic rationality is applicable in a declining number of situations. He discusses models drawn from the modern literature on cultural evolution in which imitation of others is the basic strategy, and suggests a heuristic way of classifying situations in which the different models are relevant. The key point is that in situations where radical uncertainty is present, we require theoretical 'null' models of agent behaviour which are different from those of economic rationality. Under uncertainty, fundamentally different behavioural rules are 'rational'. The author gives an example of a very simple pure sentiment model of the business cycle, in which agents use very simple heuristic decision rules. It is nevertheless capable of approximating a number of deep features of output growth over the cycle.
    Keywords: D81 ; E14 ; E32 ; ddc:330 ; uncertainty ; imitation ; evolution ; agent-based model ; sentiment ; business cycle
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:workingPaper
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  • facet.materialart.
    Kiel Institute for the World Economy (IfW) Kiel
    Publication Date: 2016-09-20
    Description: In situations of what we now describe as radical uncertainty, the core model of agent behaviour, of rational autonomous agents with stable preferences, is not useful. Instead, a different principle, in which the decisions of an agent are based directly on the decisions and strategies of other agents, is offered as a relevant core model. Preferences are not stable, but evolve. It is not a special case in such circumstances, but the general one. The author provides empirical evidence to suggest that as a description of behaviour in the modern world, economic rationality is applicable in a declining number of situations. He discusses models drawn from the modern literature on cultural evolution in which imitation of others is the basic strategy, and suggests a heuristic way of classifying situations in which the different models are relevant. The key point is that in situations where radical uncertainty is present, we require theoretical "null" models of agent behaviour which are different from those of economic rationality. Under uncertainty, fundamentally different behavioural rules are "rational". The author gives an example of a very simple pure sentiment model of the business cycle, in which agents use very simple heuristic decision rules. It is nevertheless capable of approximating a number of deep features of output growth over the cycle.
    Keywords: D81 ; E14 ; E32 ; ddc:330 ; uncertainty ; imitation ; evolution ; agent-based model ; sentiment ; business cycle
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: English
    Type: doc-type:article
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