研究者詳細 - 横尾　昌紀

論文 - 横尾　昌紀

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Controlling Chaotic Fluctuations through Monetary Policy 査読

Takao Asano, Akihisa Shibata, Masanori Yokoo

Studies in Nonlinear Dynamics and Econometrics 2024年1月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：Walter de Gruyter GmbH

Abstract

This paper applies the chaos control method (the OGY method) proposed by Ott, E., C. Grebogi, and J. A. Yorke. (1990. “Controlling Chaos.” Physical Review Letters 64: 1196–9) to policy-making in macroeconomics. This paper demonstrates that the monetary equilibrium paths in a discrete-time, two-dimensional overlapping generations model exhibit chaotic fluctuations depending on the money supply rate and the elasticity of substitution between capital and labor under the assumption of the constant elasticity of substitution (CES) production function. We also show that the chaotic fluctuations can be stabilized by controlling the money supply rate by using the OGY method and that even when the OGY method does not work due to periodic attractors, adding moderate stochastic shocks to the model can successfully stabilize the economy.

DOI： 10.1515/snde-2023-0015

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その他リンク： https://www.degruyter.com/document/doi/10.1515/snde-2023-0015/pdf

Technology choice, externalities in production, and a chaotic middle-income trap 査読

Takao Asano, Akihisa Shibata, Masanori Yokoo

Journal of Economics 2023年10月

Middle-income traps and complexity in economic development 査読

Takao Asano, Akihisa Shibata, Masanori Yokoo

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS 2022年9月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：WALTER DE GRUYTER GMBH

In this paper, we develop a simple multi-technology overlapping generations model that exhibits a wide variety of economic development patterns. In particular, our numerical simulations demonstrate that for a given set of parameter values, various types of development patterns such as the middle-income trap, the poverty trap, periodic or chaotic fluctuations, and high-income paths can coexist, and which pattern is realized depends only on the initial value of capital. For another set of parameter values, we show that, due to the pinball effect, an economy starting at a middle-income level can take off to the high-income state or get caught in the poverty trap in a seemingly random way after undergoing transient chaotic motions. Our results can explain observed complicated patterns of economic development in a unified manner.

DOI： 10.1515/snde-2021-0100

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Quasi-periodic motions in a two-class economy with technology choice: an extreme case 査読

Takao Asano, Akihisa Shibata, Masanori Yokoo

NONLINEAR DYNAMICS 110 ( 1 ) 945 - 961 2022年9月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：SPRINGER

This paper constructs a simple overlapping generations (OLG) model with the working and capitalist classes and two types of production technologies. The behavior of agents belonging to the working class is basically the same as that in the standard Diamond (Am Econ Rev 55:1126-1150, 1965) type OLG model, whereas agents belonging to the capitalist class face two available technologies, select the one with a higher return on capital, and bequeath their assets to the next generation without supplying labor. Using techniques concerning the circle map in dynamical systems theory, we show that in an extreme case in which one technology is linear and the other is of the Leontief type, the economy exhibits bounded, non-periodic but non-chaotic motions for a large set of parameter values. We provide explicit formulas for the rotation number and the absolutely continuous invariant probability measure of the model.

DOI： 10.1007/s11071-022-07643-9

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その他リンク： https://link.springer.com/article/10.1007/s11071-022-07643-9/fulltext.html

A simple model of growth cycles with technology choice 査読

Yosuke Umezuki, Masanori Yokoo

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 100 164 - 175 2019年3月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE BV

In this study, we develop a simple, computable overlapping generations model that exhibits endogenous fluctuations. The key assumption is that a firm can choose from multiple technologies of production. Since the model reduces to a piecewise linear map on the unit interval, it allows us to conduct an in-depth analysis of its dynamic properties. Particularly, this piecewise linearization reveals the ability of the model to exhibit periodic attracting cycles of an arbitrarily large period as well as non-periodic attractors. Furthermore, it is demonstrated that the occurrence of periodic patterns is completely characterized by the rotation number or the "devil's staircase." (C) 2019 Elsevier B.V. All rights reserved.

DOI： 10.1016/j.jedc.2018.11.006

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Chaotic dynamics of a piecewise linear model of credit cycles 査読

Takao Asano, Masanori Yokoo

JOURNAL OF MATHEMATICAL ECONOMICS 80 9 - 21 2019年1月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE SA

We develop a simple piecewise linear overlapping generations model exhibiting endogenous business cycles, which is based on Matsuyama's (2007) model of credit cycles. Some sort of "noise" representing information imperfection is shown to transform the Matsuyama model into a continuous, eventually expanding, piecewise linear map on the interval, which is tractable enough to investigate the dynamics in depth by using the techniques of the Frobenius-Perron operators to find observable chaos. While, according to the analysis of Asano et al. (2012), the Matsuyama model exhibits periodic cycles of arbitrarily large period, it is essentially not capable of chaotic dynamics. However, our model exhibits ergodic chaos with some robustness. (C) 2018 Elsevier B.V. All rights reserved.

DOI： 10.1016/j.jmateco.2018.11.001

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Misperception-driven chaos: Theory and policy implications 査読

Masanori Yokoo, Junichiro Ishida

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 32 ( 6 ) 1732 - 1753 2008年6月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE BV

In a large economy, it is extremely difficult, if not impossible, to immediately grasp the state of our surrounding environment with precision since we normally have access only to a subset of relevant information. In this paper, we introduce this information imperfection into an ordinary model of endogenous business cycles and examine how it would affect the dynamic nature of the model. We, in particular, present a mechanism by which observation errors result in chaotic fluctuations in a model that would behave regularly otherwise, thereby indicating the importance of potential misperception about the current state in a qualitative sense. Also, our model is tractable enough to explicitly derive a policy index of chaotic fluctuations under some conditions. This feature of the model allows us to draw some policy implications regarding the observability of macroeconomic state variables. (C) 2007 Elsevier B.V. All rights reserved.

DOI： 10.1016/j.jedc.2007.06.013

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Threshold nonlinearities and asymmetric endogenous business cycles 査読

J Ishida, M Yokoo

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 54 ( 2 ) 175 - 189 2004年6月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE BV

This paper presents a model of endogenous business cycles in the presence of knowledge spillovers and a time-to-build restriction. There are two key assumptions that characterize the model: (i) the payoff to each firm depends on the aggregate state of knowledge, and (ii) the innovation of a project is time-consuming. Under those assumptions, a simple structure is shown to be described by a piecewise linear difference equation with a discontinuity. We show that the resulting dynamics generated by such a dynamical system leads to an asymmetric periodic cycle of arbitrary period that appears to switch repeatedly between different regimes. (C) 2004 Elsevier B.V. All rights reserved.

DOI： 10.1016/j.jebo.2003.04.006

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Stability, chaos and multiple attractors: a single agent makes a difference 査読

T Onozaki, G Sieg, M Yokoo

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 27 ( 10 ) 1917 - 1938 2003年8月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE BV

This paper provides an example in which a slight behavioral heterogeneity may fundamentally change the dynamical properties of a nonlinear cobweb market with a quadratic cost function and an isoelastic demand function. We consider two types of producers; cautious adapters and naive optimizers. In a market of naive optimizers a single cautious, adapter stabilizes the otherwise exploding market. In a market of cautious adapters a single naive optimizer may destabilize the market; without him there exists at most one periodic attractor in the market but with him there may appear many (and even infinitely many) coexisting periodic attractors. (C) 2002 Elsevier Science B.V. All rights reserved.

DOI： 10.1016/S0165-1889(02)00090-8

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Chaotic dynamics in a two-dimensional overlapping generations model 査読

M Yokoo

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 24 ( 5-7 ) 909 - 934 2000年6月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE BV

This paper investigates the global dynamics of a two-dimensional Diamond-type overlapping generations model extended to allow for government intervention. Using a singular perturbation method, we identify conditions under which transverse homoclinic points to the golden rule steady state are generated. For a parametric example with a CES production function, the occurrence of complicated dynamics (e.g. strange attractors) associated with homoclinic bifurcations is demonstrated. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification. E32.

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Complex dynamics in a cobweb model with adaptive production adjustment 査読

T Onozaki, G Sieg, M Yokoo

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION 41 ( 2 ) 101 - 115 2000年2月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：ELSEVIER SCIENCE BV

Chaos occurs in a nonlinear cobweb model with normal demand and supply, naive expectations and adaptive production adjustment. The model differs from existing ones in that it includes adaptive production adjustment instead of adaptive expectations. The model exhibits observable chaos (strange attractors) as well as topological chaos (horseshoes) associated with homoclinic points. As numerical simulations show, the faster suppliers adjust their production and the more inelastic demand is, the more likely the market behaves chaotically. (C) 2000 Elsevier Science B.V. All rights reserved.

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Chaos, complex transients and noise: Illustration with a Kaldor model 査読

A Dohtani, T Misawa, T Inaba, M Yokoo, T Owase

CHAOS SOLITONS & FRACTALS 7 ( 12 ) 2157 - 2174 1996年12月

記述言語：英語掲載種別：研究論文（学術雑誌）出版者・発行元：PERGAMON-ELSEVIER SCIENCE LTD

In the present paper two-dimensional discrete Kaldor-type models are investigated. First, a sufficient condition for the existence of topological chaos of the model is derived analytically for a special parameter set. Second, the influences of noise on the Kaldor model are examined numerically. We show that noise may not only obscure the underlying structures, but also reveal the hidden structures, for example, the chaotic attractors near a window of chaos or the periodic attractors near a small chaotic parameter region. Copyright (C) 1996 Elsevier Science Ltd.

DOI： 10.1016/S0960-0779(96)00077-X

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