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Dynamic network formation with farsighted players and limited capacities 有远见的参与者和有限能力的动态网络形成
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-04-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jedc.2026.105285
Michel Grabisch , Elena Parilina , Agnieszka Rusinowska , Georges Zaccour
We investigate a T-stage dynamic network formation game with linear-quadratic payoffs. Players interact through network which they create as a result of their actions. We study two versions of the dynamic game and provide the equilibrium analysis. First, we assume that players sequentially propose links to others with whom they want to connect and choose the levels of contribution for their links. The players have limited total contributions or capacities for forming links at every stage which can differ among players and over time. They cannot delete links, but the principle of natural elimination of links with no contribution is adopted. Next, we assume that the players simultaneously and independently propose links to other players and have overall limited capacities for the whole game, and not for each stage. This means that every player can redistribute the capacity not only over links, but also over time. The equilibrium concept for the first version of the dynamic game is subgame perfect equilibrium, while it is the Nash equilibrium in open-loop strategies for the second version. Both models are illustrated with numerical examples.
研究了一类具有线性二次收益的t期动态网络形成博弈。玩家通过自己的行动所创造的网络进行互动。我们研究了两种版本的动态博弈,并给出了均衡分析。首先,我们假设玩家按顺序向他们想要联系的人提供链接,并为他们的链接选择贡献等级。玩家在每个阶段形成联系的总贡献或能力是有限的,这在玩家之间和时间上是不同的。它们不能删除链接,但采用自然消除无贡献链接的原则。接下来,我们假设玩家同时独立地向其他玩家提出链接,并且在整个游戏中(而不是每个阶段)具有有限的总体能力。这意味着每个玩家不仅可以通过链接重新分配容量,还可以通过时间重新分配容量。第一版动态博弈的均衡概念是子博弈完美均衡,第一版动态博弈的均衡概念是开环策略下的纳什均衡。用数值算例对两种模型进行了说明。
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引用次数: 0
Proximity to the 52-week high and the risk-return trade-off 接近52周高点和风险回报权衡
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-04-01 Epub Date: 2026-02-03 DOI: 10.1016/j.jedc.2026.105286
Xingyu Chen , Zilin Chen , Jun Tu , Liyao Wang , Luying Wang
Traditional asset pricing theory suggests a positive risk-return relationship, while empirical studies often find a negative association between risk and expected returns. In this paper, we uncover a unique pattern: a negative risk-return relationship among stocks far from their 52-week high prices and a positive relationship among stocks close to their 52-week high prices. We propose that this cross-sectional heterogeneity arises because investors evaluate stocks relative to the 52-week high, becoming risk-seeking when prices are far below this benchmark and risk-averse when prices are near it. We explore various potential explanations for this phenomenon but find no empirical support. Overall, our findings introduce a novel psychological perspective for understanding the risk-return trade-off.
传统的资产定价理论认为风险与收益呈正相关,而实证研究往往发现风险与预期收益呈负相关。在本文中,我们发现了一个独特的模式:远离其52周高点的股票之间的负风险回报关系,而接近其52周高点的股票之间的正关系。我们认为,这种横断面异质性的产生是因为投资者相对于52周高点评估股票,当价格远低于这一基准时,他们变得寻求风险,而当价格接近这一基准时,他们变得厌恶风险。我们探索了这一现象的各种可能的解释,但没有找到经验支持。总的来说,我们的研究结果为理解风险回报权衡引入了一种新的心理学视角。
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引用次数: 0
Redistribution, growth, and inequality: Insights from experimental dynamic public good games 再分配、增长和不平等:来自实验性动态公共利益游戏的见解
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-04-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jedc.2026.105283
Edward Cartwright , Gergely Horvath , Friederike Mengel , Lian Xue
This paper investigates the interplay between income inequality, growth, and redistribution in a dynamic public good game. Redistribution, as expected, leads to lower inequality but it does not necessarily reduce growth. Especially in settings characterized by high initial inequality, a high tax rate can produce similar wealth levels as without taxation while reducing inequality. On average, we find that people tend to favor more redistribution over time, but there is substantial heterogeneity in this trend. We also find that individuals who are more favourable to redistribution contribute more to the public good.
本文研究了动态公共产品博弈中收入不平等、增长和再分配之间的相互作用。正如预期的那样,再分配降低了不平等,但并不一定会降低经济增长。特别是在初始不平等程度高的情况下,高税率可以产生与不征税相似的财富水平,同时减少不平等。平均而言,我们发现随着时间的推移,人们倾向于更多的再分配,但这一趋势存在很大的异质性。我们还发现,更赞成再分配的个人对公共利益的贡献更大。
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引用次数: 0
Hawkish or Dovish? Inferring intended monetary policy from the Fed’s dot plot 鹰派还是鸽派?从美联储的点阵图推断预期的货币政策
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-04-01 Epub Date: 2026-02-07 DOI: 10.1016/j.jedc.2026.105294
Manuel González-Astudillo , Rakeen Tanvir
We develop a forward-guidance Taylor rule with time-varying coefficients, estimated from the Federal Reserve’s Summary of Economic Projections (SEP) median forecasts of the federal funds rate, inflation, and unemployment between 2012 and 2025. Our model allows policy inertia, inflation responsiveness, and output sensitivity to evolve as stochastic processes, while accounting for the effective lower bound with a shadow-rate specification. The results show that the Fed’s intended policy after the pandemic became more persistent and markedly more responsive to inflation, particularly during the 2021–22 tightening cycle, while responsiveness to the output gap remained stable. Compared with constant-coefficient or non-inertial alternatives, our specification tracks SEP rate projections more accurately, especially at turning points, and the estimated coefficients help explain bond excess returns, indicating that markets interpret the evolving rule embedded in the dot plot. We conclude that the SEP functions as a dynamic communication device, signaling shifts in the Fed’s intended policy stance in real time.
我们开发了一个具有时变系数的前瞻指导泰勒规则,根据美联储经济预测摘要(SEP)对2012年至2025年间联邦基金利率、通货膨胀和失业率的中位数预测进行估计。我们的模型允许政策惯性、通货膨胀响应性和输出敏感性作为随机过程演变,同时用影子利率规范考虑有效下限。结果表明,大流行后美联储的预期政策变得更加持久,对通胀的反应明显增强,尤其是在2021-22年的紧缩周期中,而对产出缺口的反应保持稳定。与常系数或非惯性替代方案相比,我们的规范更准确地跟踪SEP率预测,特别是在转折点,估计的系数有助于解释债券超额回报,表明市场解释嵌入在点图中的演变规则。我们的结论是,SEP作为一种动态沟通工具,实时显示美联储预期政策立场的转变。
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引用次数: 0
Solving and analyzing DSGE models in the frequency domain 在频域求解和分析DSGE模型
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-04-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jedc.2026.105281
Alexander Meyer-Gohde
I solve multivariate linear rational expectations models in the frequency domain using the generalized Schur decomposition, providing a numerical implementation suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time domain restriction of autoregressive-moving average exogenous driving forces to arbitrary covariance stationary processes. Applied to the standard New Keynesian model, I find that a Bayesian analysis favors a single parameter log harmonic function of the lag operator over the usual AR(1) assumption as it generates hump shaped autocorrelation patterns more consistent with the data.
我解决多元线性理性期望模型在频域使用广义舒尔分解,提供适合标准DSGE估计和分析程序的数值实现。该方法将自回归移动平均外生驱动力的时域限制推广到任意协方差平稳过程。应用于标准的新凯恩斯主义模型,我发现贝叶斯分析倾向于滞后算子的单参数对数调和函数,而不是通常的AR(1)假设,因为它产生与数据更一致的驼峰形自相关模式。
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引用次数: 0
Expropriations and cross-country heterogeneity in consumption volatility 消费波动的征收和跨国异质性
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-04-01 Epub Date: 2026-01-30 DOI: 10.1016/j.jedc.2026.105282
Yin Germaschewski, Jaroslav Horvath, Loris Rubini
The relative volatility of consumption to output decreases with income per capita in the data. A workhorse small open economy real business cycle (RBC) model featuring financial frictions fails to produce this relationship. We can recover the negative relationship when introducing micro-founded expropriations to the RBC model and estimating it using Bayesian methods for over 50 countries. This is because an increase in expropriations reduces investment, freeing up resources for consumption, while moderately lowering output. These effects are amplified in poorer countries, where expropriations are more prevalent. Introducing expropriations can also account for the observed cross-country heterogeneity in consumption-related moments better than the RBC model, including the persistence and co-movement of consumption with output and investment.
在数据中,消费对产出的相对波动性随着人均收入的增加而减小。以金融摩擦为特征的小型开放经济实体商业周期(RBC)模型无法产生这种关系。当我们在RBC模型中引入微型土地征用,并使用贝叶斯方法对50多个国家进行估算时,我们可以恢复这种负相关关系。这是因为征用增加减少了投资,释放了用于消费的资源,同时适度降低了产出。这些影响在较贫穷的国家被放大,在那里征用更为普遍。引入征收也可以比RBC模型更好地解释在消费相关时刻观察到的跨国异质性,包括消费与产出和投资的持续和共同运动。
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引用次数: 0
Liquidity trap and optimal monetary policy: Evaluations for U.S. monetary policy from 2020 to 2023 流动性陷阱与最优货币政策:对2020 - 2023年美国货币政策的评估
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-03-01 Epub Date: 2026-01-23 DOI: 10.1016/j.jedc.2026.105274
Kohei Hasui , Tomohiro Sugo , Yuki Teranishi
This paper shows that the recent Fed’s exit strategy reflects the conduct of optimal monetary policy in a liquidity trap. We use the conventional new Keynesian model for the U.S economy, incorporating recent inflation persistence. As observed in the Fed’s liftoff policy, optimal monetary policy shows inflation overshooting and prolonged zero interest rate policy under high inflation beyond the 2 percent target. With greater persistence of inflation, inflation overshooting becomes larger, yielding better consistency with the data. Our analysis also indicates the presence of a forward guidance puzzle in the Fed’s exit policy. Under optimal monetary policy, the discounted Euler equation successfully dampens forward guidance effects and better describes the output gap.
本文认为,美联储近期的退出策略反映了流动性陷阱下最优货币政策的行为。我们对美国经济使用传统的新凯恩斯主义模型,并将近期的通货膨胀持续性纳入其中。正如我们在美联储加息政策中观察到的那样,最优货币政策是在通胀超过2%目标的高通胀下,通胀超调和长期零利率政策。通胀持续时间越长,通胀超调越大,与数据的一致性越好。我们的分析还表明,美联储的退出政策存在一个前瞻指引难题。在最优货币政策下,贴现欧拉方程成功地抑制了前瞻指导效应,更好地描述了产出缺口。
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引用次数: 0
Optimal allocation strategies in a discrete-time bandit problem 离散时间盗匪问题的最优分配策略
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jedc.2026.105264
Audrey Hu , Liang Zou
We study a discrete-time, two-armed “breakthrough” bandit in which an agent allocates a perfectly divisible resource each period between a safe arm and a risky arm. Departing from the binary “either–or” paradigm, we consider continuous allocation strategies and a general success technology F with nonincreasing hazard rate. Using a variational, pathwise approach combined with dynamic programming, we characterize the unique optimal belief–allocation path via a time-invariant backward/forward transformation. The optimal path features interior, tapering allocations that never stop prior to a breakthrough, and it delivers a strictly higher eventual success probability and expected payoff than the optimal binary (bang-bang) benchmark. In the exponential case, the mappings become explicit, making computation immediate and revealing a Goldilocks principle: total planned allocations to exploration is maximized at intermediate task difficulty. The framework highlights comparative dynamics—how entire optimal paths shift with primitives—while remaining robust to the functional form of F.
我们研究了一个离散时间,双臂“突破”强盗,其中一个代理在安全臂和风险臂之间分配一个完全可分割的资源。从二元“非此即彼”范式出发,我们考虑了风险率不增加的连续分配策略和一般成功技术F。利用变分路径方法与动态规划相结合,通过时不变的前向/后向变换,刻画了唯一的最优信念分配路径。最优路径的特点是,在突破之前不会停止内部逐渐减少的分配,并且它提供了比最优二进制基准更高的最终成功概率和预期收益。在指数情况下,映射变得显式,使计算变得即时,并揭示了一个金发姑娘原则:在中等任务难度下,探索的总计划分配是最大化的。该框架强调了比较动力学——整个最优路径如何随原语变化——同时对F的函数形式保持鲁棒性。
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引用次数: 0
Optimal insurance with information asymmetry: Nonlinear and linear pricing 信息不对称的最优保险:非线性和线性定价
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-03-01 Epub Date: 2026-01-22 DOI: 10.1016/j.jedc.2026.105265
Xia Han , Bin Li , Yao Luo
We propose a new framework for studying optimal insurance under information asymmetry within the Stackelberg game framework. In this setting, a monopolistic insurer faces uncertainty regarding a customer’s loss distribution or risk attitude. The customer is assumed to follow a mean-variance preference in continuous time, while the insurer sets premiums through a risk loading based on the expected loss. An optimal menu is explicitly derived for a general class of aggregate loss models.
Our approach connects with the extensive literature on optimal insurance demand, stemming from the seminal work of Arrow (1963), and leads to an interesting finding: a nonlinear pricing structure for risk-type uncertainty versus a linear pricing structure for risk-attitude uncertainty. Specifically, if an insurer is uncertain about a customer’s risk type and seeks to elicit this information, the risk loading (premium minus expected loss) is set lower for high-risk individuals to encourage them to select the corresponding contract. In contrast, if the insurer is only uncertain about the customer’s risk attitude, no such discounts—in terms of risk loading—are provided. This reveals that information about customers’ risk types is more valuable than information about their risk attitudes. Additionally, we compare our optimal menu with the worst-case contract derived from the maxmin expected utility, we find that our optimal menu increases the insurer’s expected profit and enhances the likelihood of trading.
在Stackelberg博弈框架下,提出了一个研究信息不对称下最优保险的新框架。在这种情况下,垄断保险公司面临着客户损失分配或风险态度的不确定性。假设客户在连续时间内遵循均值方差偏好,而保险公司通过基于预期损失的风险负荷来设定保费。明确地导出了一类总损失模型的最优菜单。我们的方法与源于Arrow(1963)开创性工作的关于最优保险需求的大量文献相联系,并导致了一个有趣的发现:风险类型不确定性的非线性定价结构与风险态度不确定性的线性定价结构。具体来说,如果保险公司不确定客户的风险类型,并试图获取这一信息,则高风险个人的风险负荷(保费减去预期损失)设置较低,以鼓励他们选择相应的合同。相比之下,如果保险公司只是不确定客户的风险态度,就风险负担而言,就不会提供这样的折扣。这表明客户的风险类型信息比他们的风险态度信息更有价值。此外,我们将我们的最优菜单与由最大期望效用导出的最坏情况合约进行比较,我们发现我们的最优菜单增加了保险公司的期望利润,并提高了交易的可能性。
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引用次数: 0
Welfare measurements with heterogeneous agents 异质试剂的福利测量
IF 2.3 3区 经济学 Q2 ECONOMICS Pub Date : 2026-03-01 Epub Date: 2026-01-07 DOI: 10.1016/j.jedc.2025.105252
Marek Weretka , Marcin Dec
The canonical infinite-horizon framework with heterogeneous consumers, commonly used in macroeconomic and financial literature, lacks a preference-based index that consistently quantifies the welfare impacts of economic policies. In particular, the classic money-metric indices, such as equivalent and compensating variations, are not additive across sets of policies, and predictions may depend on the assumed status quo or the order in which alternatives are implemented. This paper offers a positive result. We show that, for arbitrary heterogeneous von Neumann-Morgenstern preferences with a common discount factor, the equivalent (or compensating) variation is nearly additive and aggregates effectively as long as consumers are patient. Consequently, the index provides consistent quantitative welfare predictions for a wide variety of short-lived policies studied in the macroeconomic and finance literature.
通常在宏观经济和金融文献中使用的具有异质消费者的规范无限视界框架,缺乏一个基于偏好的指数,无法持续量化经济政策对福利的影响。特别是,经典的货币度量指数,如等效和补偿变化,在政策集之间不是相加的,并且预测可能取决于假设的现状或实施替代方案的顺序。本文给出了一个积极的结果。我们表明,对于具有共同折扣因子的任意异质von Neumann-Morgenstern偏好,只要消费者有耐心,等效(或补偿)变化几乎是相加的,并且有效地聚集在一起。因此,该指数为宏观经济和金融文献中研究的各种短期政策提供了一致的定量福利预测。
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引用次数: 0
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Journal of Economic Dynamics & Control
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