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