Recursos de colección

UTL Repository Universidade Técnica de Lisboa (37.462 recursos)

O Repositório Institucional da Universidade Técnica de Lisboa desenvolvido no âmbito do projecto RCAAP. Este repositório destina-se a recolher, preservar e disponibilizar o acesso às publicações científicas e didácticas de seis: Escolas da UTL: Faculdade de Medicina Veterinária, Instituto Superior de Agronomia, Instituto Superior de Economia e Gestão, Instituto Superior de Ciências Sociais e Políticas , Faculdade de Motricidade Humana, Faculdade de Arquitectura. O Instituto Superior Técnico, igualmente Escola Da UTL, tem repositório independente.

Mostrando recursos 1 - 3 de 3

  1. The performance of deterministic and stochastic interest rate risk measures : Another Question of Dimensions?

    Oliveira, Luís; Nunes, João Pedro Vidal; Malcato, Luís
    The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December 2010, suggests that: i) Stochastic interest rate risk measures provide better portfolio immunization than the Fisher-Weil duration; and ii) The superiority of the stochastic risk measures is more evident for multi-factor models and for longer investment horizons. These findings are supported by a first-order stochastic dominance analysis, and are robust against yield curve estimation errors.
    - 26-jun-2018

  2. Heterogeneous consumption in OLG model with horizontal innovations

    Belyakov, Anton O.; Haunschmied, Josef L.; Veliov, Vladimir M.
    The paper develops a general equilibrium endogenous growth model involving heterogeneous consumption by an age-structured population with uncertain but limited life span and balanced life-time budget without bequests. The heterogeneity is introduced via weights which the individuals attribute in their utility function to consumption of different goods depending on the vintage of the good. The goods are produced by monopolistically competitive firms and the variety of available goods/technologies is determined endogenously through R&D investments. A competitive bank sector provides financial resources for investments, secured by agents’ savings and future firms profits. The general equilibrium is characterized by a system of...
    - 26-jun-2018

  3. Obsolescence and productivity

    Rio, Fernando del; Sampayo, Antonio
    The increase in the obsolescence of intangible capital caused by the adop- tion of new information technologies can play an important role in accounting for the productivity slowdown undergone by the US economy since 1974. To explore this hypothesis, we have developed a standard growth model with physical and intangi- ble capital in which technical progress is equipment–specific. We assume that the obsolescence of intangible capital increases when the equipment–specific techni- cal progress accelerates. The model is calibrated for the period 1957–1973 and the response of the economy to an increase in the rate of equipment–specific technical progress — as...
    - 26-jun-2018

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