Journal of Economic Dynamics & Control最新文献

英文中文

Financial conditions, business cycle fluctuations and growth-at-risk

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-17 DOI: 10.1016/j.jedc.2025.105109

Andrea Falconio, Simone Manganelli

We augment a quantile vector autoregressive model with the interquartile range of economic growth, a robust proxy for volatility, to assess the relative importance of financial conditions and economic risk in affecting the business cycle. We find that economic risk displays an asymmetric effect on economic growth distribution, very much similar to financial conditions: they substantially increase growth-at-risk, but have limited impact on upside potential. We also document that the asymmetric impact of economic risk depends on the state of the economy and is substantially amplified in times of high economic risk, while remaining subdued in tranquil times.

引用次数: 0

Do search costs explain persistent investment in active mutual funds? 搜索成本能否解释对主动型共同基金的持续投资？

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-11 DOI: 10.1016/j.jedc.2025.105099

Aljoscha Janssen , Jurre Thiel

Active funds, though losing market share since the 1990s, make up nearly half of all mutual funds but charge more without better performance. We analyze fund data and a search model, highlighting the impact of search costs and active fund preferences. From 1993 to 2018, reduced search costs expanded the market and heightened competition, while a preference shift from active to passive funds increased the latter's market share. However, investors who choose active funds, facing higher search costs, and continue to show a strong preference for them, allow these funds to keep charging higher fees.

引用次数: 0

Continuous-time persuasion by filtering

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-10 DOI: 10.1016/j.jedc.2025.105100

René Aïd , Ofelia Bonesini , Giorgia Callegaro , Luciano Campi

We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the Receiver through a device designed by the Sender that generates the observation process. The commitment of the Sender is enforced. We develop this approach in the case where all dynamics are linear and the preferences of the Receiver are linear-quadratic. We prove a verification theorem for the existence and uniqueness of the solution of the HJB equation satisfied by the Receiver's value function. An extension to the case of persuasion of a mean field of interacting Receivers is also provided. We illustrate this approach in two applications: the provision of information to electricity consumers with a smart meter designed by an electricity producer; the information provided by carbon footprint accounting rules to companies engaged in a best-in-class emissions reduction effort. In the first application, we link the benefits of information provision to the mispricing of electricity production. In the latter, we show that even in the absence of information cost, it might be optimal for the regulator to blur information available to firms to prevent them from coordinating on a higher level of carbon footprint to reduce their cost of reaching a below average emission target.

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引用次数: 0

Regime-specific exchange rate predictability

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-04 DOI: 10.1016/j.jedc.2025.105095

Joscha Beckmann , Marco Kerkemeier , Robinson Kruse-Becher

We study temporary phases of exchange rate predictability in a two-regime threshold predictive regression framework allowing for persistent predictors. Regime switches are triggered by an observable transition variable which relates to media news, expectations, uncertainty and global financial conditions. As predictors for G7 currencies and effective US-Dollar exchange rates, we study various interest rate spreads, yield curve factors, uncertainty measures and deviations from fundamental exchange rate parities. Besides established uncertainty measures, we use a wide range of measures for media coverage and construct uncertainty measures from survey data as transition variables for the activation of the predictability regime. Our results emphasize that short recurring phases of significant predictability are characterized by nonlinear patterns. Phases of predictability are triggered by increased media coverage and high uncertainty with interest rate dynamics emerging as the most important predictor. We find broadly similar results for a contemporaneous threshold analysis where our regressors are allowed to affect the exchange rate in the same period. From a theoretical point of view, we argue that our empirical results are useful for the empirical identification of scapegoat effects and that media coverage and uncertainty affect the exchange rate via the heterogeneity of private signals and the precision of public signals.

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引用次数: 0

Fiscal policy under secular stagnation: An optimal pump-priming strategy

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-03 DOI: 10.1016/j.jedc.2025.105097

Jean-Baptiste Michau

How can a depressed economy escape a permanent liquidity trap, such as to restore full employment? This can be achieved through a temporary, but massive, fiscal stimulus to overheat the economy such as to raise the inflation anchor. Despite the substantial cost of overheating the economy, this pump-priming policy is typically optimal. The lack of fiscal space cannot prevent the government from pump priming the economy through fiscal policy.

引用次数: 0

All models are wrong but all can be useful: Robust policy design using prediction pools

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-03 DOI: 10.1016/j.jedc.2025.105096

Szabolcs Deák , Paul Levine , Afrasiab Mirza , Joseph Pearlman

We study the design of monetary policy rules robust to model uncertainty using a novel methodology. In our application, policymakers choose the optimal rule by attaching weights to a set of well-established DSGE models with varied financial frictions. The novelty of our methodology is to compute each model's weight based on their relative forecasting performance. Our results highlight the superiority of predictive pools over Bayesian model averaging and the need to combine models when none can be deemed as the true data generating process. In addition, we find that the optimal across-model robust policy rule exhibits attenuation, and nests a price level rule which has good robustness properties. Therefore, the application of our methodology offers a new rationale for price-level rules, namely the presence of uncertainty over the nature of financial frictions.

引用次数: 0

Coinvestment games under uncertainty 不确定性下的共同投资博弈

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-04-03 DOI: 10.1016/j.jedc.2025.105098

Benoît Chevalier-Roignant , Stéphane Villeneuve , Fabien Delpech , May-Line Grapotte

There are many business situations in which investments by a supplier and a producer (“coinvestments”) are both necessary for either of them to grasp a business opportunity. For instance, better quality tanks are needed to manufacture reliable hydrogen-powered vehicles. One of these two firms may be more willing to invest, but the cautionary attitude of the other delays the coinvestment. We model supply-chain interactions in a classical tractable way to derive the firms' net present values (NPVs) upon coinvestment and determine their Nash equilibrium investment (timing) strategies. Firms coinvest when the real option of the weaker firm is ‘deep in the money.’ These business situations are likely to be affected by evolving market circumstances, in particular due to changes in the demand dynamics or endogenous decision (by, say, the supplier) to conduct research and development (R&D). We investigate related model extensions, which confirm the robustness of our key result.

引用次数: 0

Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-03-27 DOI: 10.1016/j.jedc.2025.105092

Tommaso Di Francesco , Cars Hommes

We study an heterogenous asset pricing model in which different classes of investors coexist and evolve, switching among strategies over time according to a fitness measure. In the presence of boundedly rational agents, with biased forecasts and trend following rules, we study the effect of two types of speculation: one based on fundamentalist and the other on rational expectations. While the first is only based on knowledge of the asset underlying dynamics, the second takes also into account the behavior of other investors. We bring the model to data by estimating it on the Bitcoin Market with two contributions, relying on methods from Machine Learning. First, we construct the Bitcoin Twitter Sentiment Index (BiTSI) to proxy a time varying bias. Second, we propose a new method based on a Neural Network, for the estimation of the resulting heterogeneous agent model with rational speculators. We show that the switching finds support in the data and that while fundamentalist speculation amplifies volatility, rational speculation has a stabilizing effect on the market.

引用次数: 0

Monetary policy, labor force participation, and wage rigidity

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-03-25 DOI: 10.1016/j.jedc.2025.105085

Yuto Iwasaki , Hiroyuki Kubota , Ichiro Muto , Mototsugu Shintani

To understand the role of monetary policy in determining the labor force participation rate, we present empirical evidence for Japan and the US. The data suggests that labor force participation declines in Japan but temporarily increases in the US in response to a monetary tightening. To inspect the mechanism, we develop and estimate a New Keynesian model of endogenous labor force participation decisions incorporating wage rigidity. We find that the opposite response of labor force participation can be attributed to a difference in the degree of wage rigidity. Counterfactual analysis based on the estimated models shows that the large-scale monetary easing in recent years helped boost the labor force participation rate in Japan, while its effect was almost neutral in the US.

引用次数: 0

Monetary policy and credit flows: A tale of two effective lower bounds

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-03-24 DOI: 10.1016/j.jedc.2025.105084

Timothy Bianco , Ana María Herrera

This paper evaluates the quantitative effects of monetary policy on credit flows. Using Compustat data and a factor-augmented vector autoregression where monetary policy shocks are identified via an external instrument, we show that monetary policy promotes long-term credit creation while delaying or preventing long-term credit destruction. In parallel, it reduces short-term credit creation and destruction, effectively reallocating credit toward longer maturities. Focusing on two effective lower bound periods, we show that monetary policy prompted a reshuffling of credit toward financially constrained firms, notably small, young, and high-default-probability firms. Our findings underscore the effectiveness of monetary policy in steering credit toward financially constrained firms and stimulating future economic activity near the effective lower bound.

引用次数: 0

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