Model uncertainty, state uncertainty, and statespace models yulei luo, jun nie, and eric r. Faculty recruiting committee chair, school of economics and finance, hku, 2015. Econlit provides broad, indepth coverage of more than thirtyfive years of economics literature from across the globe. Yulei luo receives faculty outstanding researcher award 201819. Implications of rational inattention, journal of monetary economics 50 3, 665690affects the joint. Economics, macroeconomic dynamics, economic theory, journal of pension economics and finance, journal of mathematical economics, fiscal studies, scottish journal of. Model uncertainty, state uncertainty, and statespace models, with jun nie and eric r. Using data from the 1983 and 1989 federal reserve board surveys of consumer finances, we quantify three findings about entrepreneurial saving decisions and their role in household wealth accumulation. A case study on high trustworthy environment construction for smart home applications xinyan gao, xianlu luo, ning zhou, dakui li. Young 2012, in state space models application in economics and finance, springerverlag.
Model uncertainty, state uncertainty, and statespace. The book will appeal to graduate students and researchers studying statespace modeling in economics, statistics, and mathematics, as well as to finance professionals. Economics seminar coordinator, school of economics and finance, hku, june 2012 june 2015. This book presents and discusses current research in the field of economics. Master program in economics, admission committee, hku, 2006present. Yulei luo s homepage home cv publications working papers book chapters yulei luo ph. Contact magazine is published by hku faculty of business and economics for its faculty, staff, alumni, students and stakeholders, featuring highlights of the faculty. Princeton professor of economics faculty of business and economics the university of hong kong hong kong sar, china research. He held a senior economist at the imf with permanent staff status in 200914, and he holds a tenured professor position at depaul university in chicago. Professor kung of hkus faculty of business and economics fbe was. West from blackwell publishing bibliographic data for series.
Growth and welfare gains from financial integration under. Faculty of business and economics the university of hong kong. Contact summer 2019 by hku faculty of business and. Robust control, informational frictions, and international consumption correlations, research working paper rwp 1016, federal reserve bank of kansas city, revised 2010. The third part deals with hidden markov models, regime switching and mathematical finance and the fourth part is on nonlinear statespace models for high frequency financial data.
He is also a full professor in the department of economics at the university of virginia, from which he is on leave. The conference will be held at the yale school of management som, evans hall located at 165 whitney ave and is about a 20 minute walk from the blake hotel. Former advisees fabrizio zilibotti yale university. The university of hong kong faculty of business and economics school of economics and finance course syllabus. Welcome to the department of economics at princeton university. Faculty recruiting committee member, school of economics and finance, hku, 2009present. He joined the faculty of business and economics at the university of hong kong in 2006 and became associate professor in 2012. Program committee, the 2017 china meeting of the econometric society. Items where subject is g financial economics g1 general financial markets g11 portfolio choice. Motivated by the fact that investors have limited time and attention to process information, this paper provides a continuoustime equilibrium model to analyze the effects of a capacity constraint in the learning process of a representative investor, who optimally allocates her information capacity across multiple sources of uncertainty.
Economics 1002ab introduction to macroeconomics first semester, 20072008 instructor. The book includes nonlinear andnongaussian time series models, regimeswitching and hidden markov models. Portfolio choice with informationprocessing limits. Applied economics is offered to institutional subscribers only as part of a. The second part focuses on the application of linear statespace models in macroeconomics and finance. Robustness, informationprocessing constraints, and the. Topics discussed include labor market imperfections and endogenous business cycles. Rational inattention and the permanent income hypothesis in general equilibrium, with jun nie, gaowang wang, and eric r. A series of papers on business, economics, and financial sciences, management selected from international conference on business, economics, and financial sciences, management are included in this volume. Modeling nonfunctional requirements in software product line sun lianshan, wang jinyu. Assistant professor of economics, the university of hong kong, 20062012 research fellow, hong kong institute for monetary research, octnov, 2012 visiting scholar, federal reserve bank of kansas city, oct 2009, jan 2012. Jaejoon woo is director, chief korea economist at bank of america merrill lynch, based in hong kong asia headquarters. A statespace representation consists of two equations, a measurement equation which links the observed variables to unobserved state variables and a transition equation describing the dynamics of the state variables.
The easiest route to som from the blake hotel is to go southeast on george street and turn left on temple st. Emily blanchard yulei luo department of economics department of economics university of virginia university of california, davis. Professor of economics, the university of hong kong. Robert deyoung, paul evans, poksang lam and kenneth d. Mobile book management application using camera of smart phone myoungbeom chung, ilju ko. His areas of interest include macroeconomics, monetary economics, labor, crime, housing and anything else that needs to be fixed. Linear statespace models in macroeconomics and finance. This paper provides a tractable continuoustime, constant absolute risk aversiongaussian framework to explore how the interactions of fundamental uncertainty, model uncertainty due to a preference for robustness, and state uncertainty due to informationprocessing constraints rational inattention affect strategic consumptionportfolio rules and precautionary savings in.
Statespace models as an important mathematical tool has been widely used in many different fields. Book chapters book chapters model uncertainty, state uncertainty, and statespace models, with jun nie and eric r. This paper is prepared for the book volume \state space models application in economics and finance in a new springer series. Rational inattention and the dynamics of consumption and wealth in general equilibrium. The book of tables is available as ten datasets datasets 3342 and they present key aspects of the differences in ccdf funded programs across all states and territories as of october 1, 2018. Consumption dynamics under information processing constraints.
Strategic consumptionportfolio rules with informational frictions. The book of tables includes variables that are calculated using several variables from the data files datasets 2. Journal of economic dynamics and control 59, 3757, 2015. Rational inattention and aggregate fluctuations in. Yulei luo, for the great experience they gave to me when we were. Mathematical economics yulei luo fbe, hku september 2, 2018 luo. Social status, the spirit of capitalism, and the term structure of interest. This cited by count includes citations to the following articles in scholar. Young 2011a, robustness, informationprocessing constraints, and the current account in small open economies, forthcoming, journal of international economics 881, 104120.
Business, economics, financial sciences, and management. Statespace models applications in economics and finance. Yulei luo graduated from wuhan university in 1997 with b. The faculty of business, economics and informatics of the university of. Model uncertainty, state uncertainty, and statespace models. Robustness, informationprocessing constraints, and the current account in small open economies article in journal of international economics 881 september 2012 with 18 reads. Items where subject is e macroeconomics and monetary. Young is a senior research economist in the research department at the federal reserve bank of cleveland. The negative growthvolatility relationship and the gains from. Young, journal of european economic association, 5, 805840, 2015. Yulei luo people about faculty of business and economics. Yulei luo professor of economics, the university of hong kong.
Yulei luos homepage school of economics and finance, hku. Luo, yulei and nie, jun and wang, gaowang and young, eric 2017. Annals of economics and finance 102, 281 2009 the spirit of capitalism and excess smoothness. Guangyu pei phd, university of zurich macro, information economics attention misallocation, social welfare and policy implications with heng chen and yulei luo. Portfolio choice with informationprocessing limits with altantsetseg batchuluun and yulei luo. State uncertainty, and statespace models yulei luo. The negative growthvolatility relationship and the gains. Statespace models have been increasingly used to study macroeconomic and financial problems. Peter rupert is a professor of economics at ucsb, he joined the department in 2007 from the federal reserve bank of cleveland where he was a senior research advisor. Yulei luo, department of economics, the university of hong kong this is an advanced macroeconomics course for advanced undergraduate and phd students.
This edited collection explores recent theoretical developments of the models and their applications in economics and finance. Program committee, 19th international conference of computing in economics and finance, 20. Learning with information capacity constraints journal. The book includes nonlinear and nongaussian time series models. It is largely based on dynamic optimization and dynamic stochastic general equilibrium theory. Batchuluun, altantsetseg and luo, yulei and young, eric 2014. Yulei wu, chinese academy of sciences, china mudasser f. Princeton professor of economics faculty of business and economics the university of hong kong hong kong sar, china research interest. Trend and cycle relationships with the usa and china pym manopimoke.
Encyclopedia of economics research 2 volume set nova. Journal of international economics vol 88, issue 1. Management in all business and organizational activities is the act of getting people together. Rational inattention and dynamics of consumption and wealth in general equilibrium with yulei luo, jun nie, and gaowang wang. Robustly strategic consumptionportfolio rules with. Economics 4th edition bvt dolan free pdf file sharing. Multiple equilibria and indeterminacy in an optimal growth model with endogenous capital depreciation, cema working papers 392, china economics and management academy, central university of finance and economics.
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