IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1706.07758.html
   My bibliography  Save this paper

Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves

Author

Listed:
  • Victor Olkhov

Abstract

This paper describes surface-like waves of macroeconomic Credits-Loans transactions on economic space. We use agent's risk ratings as their coordinates and describe evolution of macro variables by transactions between agents. Aggregations of agent's variables with risk coordinates x on economic space define macro variables as function of x. Aggregations of transactions between agents at point x and y determine functions of two variables (x,y) on economic space. As example we study Credits transactions provided from agents at point x to agents at point y and thus amount of Loans received by agents at point y from agents at point x at moment t during time term dt. We model evolution of macro transactions by hydrodynamic-like equations. Agents fill macro domain on economic space that is bounded by minimum risk ratings of most secure and maximum risk ratings of most risky agents. Economic and financial shocks can disturb steady borders of macro domain and cause perturbations of transactions. Such disturbances can generate waves that can propagate along risk borders alike to surface waves in fluids. As example, we describe simple model interactions between two transactions by hydrodynamic like equations in a closed form. We introduce notions of "macro accelerations" and their potentials that establish steady state distributions of transactions on economic space. For this model in linear approximation we describe surface-like waves and show that perturbations induced by surface-like waves can exponentially grow up inside macro domain and induce macro instabilities in a low risk area. Description of possible steady state distributions of transactions and surface-like waves on economic space might be important for macro modeling and policy-making.

Suggested Citation

  • Victor Olkhov, 2017. "Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves," Papers 1706.07758, arXiv.org.
  • Handle: RePEc:arx:papers:1706.07758
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1706.07758
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Brunnermeier, Markus & Sannikov, Yuliy, 2016. "Macro, Money and Finance: A Continuous Time Approach," CEPR Discussion Papers 11329, C.E.P.R. Discussion Papers.
    2. Brunnermeier, M.K. & Sannikov, Y., 2016. "Macro, Money, and Finance," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1497-1545, Elsevier.
    3. Olkhov, Victor, 2016. "On Economic Space notion," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 372-381.
    4. Victor Olkhov, 2017. "Econophysics Macroeconomic Model," Papers 1701.06625, arXiv.org.
    5. Victor Olkhov, 2017. "Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves," Papers 1702.02763, arXiv.org.
    6. Olkhov, Victor, 2017. "Quantitative wave model of macro-finance," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 143-150.
    7. Olkhov, Victor, 2016. "Finance, risk and economic space," MPRA Paper 87172, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    2. Victor Olkhov, 2017. "Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks," Papers 1709.00282, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Victor Olkhov, 2017. "Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables," Papers 1706.01748, arXiv.org.
    2. Victor Olkhov, 2017. "Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks," Papers 1709.00282, arXiv.org.
    3. Victor Olkhov, 2018. "How Macro Transactions Describe the Evolution and Fluctuation of Financial Variables," IJFS, MDPI, vol. 6(2), pages 1-19, March.
    4. Olkhov, Victor, 2018. "Economic Transactions Govern Business Cycles," MPRA Paper 87207, University Library of Munich, Germany.
    5. Olkhov, Victor, 2018. "The Business Cycle Model Beyond General Equilibrium," MPRA Paper 87204, University Library of Munich, Germany.
    6. Victor Olkhov, 2019. "Financial Variables, Market Transactions, and Expectations as Functions of Risk," IJFS, MDPI, vol. 7(4), pages 1-27, November.
    7. Olkhov, Victor, 2017. "Quantitative Description of Financial Transactions and Risks," MPRA Paper 87316, University Library of Munich, Germany.
    8. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
    9. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    10. Olkhov, Victor, 2018. "Economic and Financial Transactions Govern Business Cycles," MPRA Paper 93269, University Library of Munich, Germany.
    11. Olkhov, Victor, 2022. "Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics," MPRA Paper 114187, University Library of Munich, Germany.
    12. Patrick Bolton & Ye Li & Neng Wang & Jinqiang Yang, 2020. "Dynamic Banking and the Value of Deposits," NBER Working Papers 28298, National Bureau of Economic Research, Inc.
    13. Olkhov, Victor, 2016. "On Hidden Problems of Option Pricing," MPRA Paper 87173, University Library of Munich, Germany.
    14. Victor Olkhov, 2017. "Econophysics Macroeconomic Model," Papers 1701.06625, arXiv.org.
    15. William Chen & Gregory Phelan, 2023. "Should Monetary Policy Target Financial Stability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 181-200, July.
    16. William Chen & Gregory Phelan, 2023. "Should Monetary Policy Target Financial Stability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 181-200, July.
    17. Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
    18. Victor Olkhov, 2020. "Price, Volatility and the Second-Order Economic Theory," Papers 2009.14278, arXiv.org, revised Apr 2021.
    19. Jerónimo, J. & Azevedo, Assis & Neves, P.C. & Thompson, M., 2023. "Interactions between financial constraints and economic growth," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    20. Olkhov, Victor, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," MPRA Paper 91587, University Library of Munich, Germany.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1706.07758. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.