Journal of Economic Dynamics & Control最新文献

英文中文

Judgment can spur long memory

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-28 DOI: 10.1016/j.jedc.2024.105005

Emilio Zanetti Chini

We arrive at this conclusion by using a new family of models—the Long Memory Dynamic Judgmental Protocol (LMDJP)—where robust filtering and fractionally integrated auto-regressions are combined in an environment characterized by several players—namely, Forecast Producer, Forecast User, and Reality. Namely, we show that if judgment is parametrized as a deformation Likelihood function according to Lq-Likelihood methods, such a deformation affects (sometimes dramatically) the Power Spectrum, consequently inducing over-rejection in formal tests for no LM-effects based on the last. Our simulated and empirical evidence reveals that knowledge of the fractional integration parameter matters for the p-values of tests for spurious LM and, secondly, that the role of LM in belief formation is ambiguous.

引用次数: 0

Pricing asset beyond financial fundamentals: The impact of prosocial preference and image concerns 超越金融基本面的资产定价：亲社会偏好和形象问题的影响

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-26 DOI: 10.1016/j.jedc.2024.105004

Dragana Draganac , Kelin Lu

This paper examines the effects of two non-financial values—prosocial preferences and image concerns—on the pricing of socially beneficial stocks within experimental asset markets, isolating their effect from those of stocks' financial fundamentals. To this end, we designed a novel laboratory asset market where stocks shared the same fundamental value but varied in their associations with non-financial values. We found that prosocial preferences alone have a minimal impact on the market prices of socially beneficial stocks. However, the presence of image concerns significantly raises the market price of socially beneficial stocks. Additionally, under this condition, individuals trade these stocks at high prices regardless of their level of non-financial values. To benchmark the effect of non-financial values on stock valuation at the individual level, we conducted a parallel non-market experiment incorporating the same decision factors. In this non-market setting, prosocial preferences alone positively impacted stock reservation prices, and the addition of image concerns further increased these prices.

本文研究了两种非财务价值--社会偏好和形象关注--对实验资产市场中社会效益股票定价的影响，并将其与股票财务基本面的影响分离开来。为此，我们设计了一个新颖的实验室资产市场，在这个市场中，股票的基本价值相同，但与非财务价值的关联却各不相同。我们发现，单纯的亲社会偏好对社会效益股票的市场价格影响甚微。然而，形象因素的存在会显著提高社会公益股票的市场价格。此外，在这种情况下，无论个人的非财务价值水平如何，他们都会以高价交易这些股票。为了确定非财务价值在个人层面上对股票估值的影响，我们进行了一项平行的非市场实验，其中纳入了相同的决策因素。在这种非市场环境下，仅亲社会偏好就对股票预订价格产生了积极影响，而形象因素的加入则进一步提高了股票预订价格。

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引用次数: 0

The nexus of overnight trend and asset prices in China

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-23 DOI: 10.1016/j.jedc.2024.104997

Jiaqi Guo , Xing Han , Kai Li , Youwei Li

Leveraging the systematic variations in investor clientele within a day, we validate an adapted version of the Hong and Stein (1999) model that addresses the consequences of slow information diffusion in China. The model predicts that overnight returns, rather than total returns, strongly forecast future returns, as informed overnight clientele underreact to value-relevant signals. Empirically, we establish a consistent overnight trend phenomenon: Firms with a strong overnight trend reliably outperform those with a weak overnight trend in the subsequent month. The phenomenon is more pronounced among stocks with higher levels of information asymmetry, valuation uncertainty, and relative mispricing. Furthermore, the overnight trend predicts positively firm fundamentals in the cross section.

引用次数: 0

Optimal investment-withdrawal strategy for variable annuities under a performance fee structure 绩效费结构下变额年金的最优投资-提取策略

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-22 DOI: 10.1016/j.jedc.2024.105003

Runhuan Feng , Xiaochen Jing , Kenneth Tsz Hin Ng

Variable Annuities (VAs) provide policyholders with market participation while offering additional protection from insurers. In this article, we develop a mathematical model to explore the impact of different fee structures on VAs with a ratchet feature and derive analytical solutions to the associated optimal investment-withdrawal problem. We focus on a performance fee structure, highlighting its advantages over the traditional constant fee structure from both the insurer's and policyholder's perspectives. Our findings show that policyholders adopt more conservative investment strategies under the performance fee, leading to increased expected profits and reduced tail risks for risk-neutral insurers. From a mathematical standpoint, we contribute by proving the well-posedness of the associated free-boundary value problems (FBPs) and establishing verification theorems for the underlying control problems. These results involve non-standard analysis and estimations due to the ratchet feature and the guaranteed protections embedded in the contract.

变额年金（Variable Annuities，VA）在为投保人提供市场参与的同时，也为其提供了来自保险公司的额外保障。在本文中，我们建立了一个数学模型来探讨不同费用结构对具有棘轮特征的变额年金的影响，并推导出相关最优投资-提取问题的分析解决方案。我们重点研究了绩效费用结构，从保险公司和投保人的角度强调了其相对于传统恒定费用结构的优势。我们的研究结果表明，投保人在业绩费用下会采取更保守的投资策略，从而增加预期利润，降低风险中性的保险公司的尾部风险。从数学角度来看，我们证明了相关自由边界值问题（FBPs）的良好可求性，并建立了相关控制问题的验证定理。这些结果涉及非标准分析和估算，原因是合同中嵌入了棘轮特征和保证保护。

引用次数: 0

The hockey stick Phillips curve and the effective lower bound 曲棍球菲利普斯曲线和有效下限

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-20 DOI: 10.1016/j.jedc.2024.105002

Gregor Boehl , Philipp Lieberknecht

We show that the interplay between a binding effective lower bound (ELB) on nominal interest rates and the costs of external financing weakens the disinflationary effect of financial shocks. In normal times, the real costs of production factors dominate in firms' marginal costs and are therefore key for inflation dynamics. In contrast, financing costs normally play a subordinate role as higher credit spreads are balanced-out by lower nominal rates. At the ELB, however, higher spreads following financial shocks can offset the effect of lower production factor costs on firms' price setting. The relationship between inflation and output hence features a hockey stick shape: the Phillips curve is flat at the ELB, but conventionally upward-sloping during normal times. This mechanism also weakens the power of forward guidance at the ELB, since such policy reduces spreads and financing costs.

我们的研究表明，具有约束力的名义利率有效下限（ELB）与外部融资成本之间的相互作用削弱了金融冲击的通货紧缩效应。在正常情况下，生产要素的实际成本在企业的边际成本中占主导地位，因此是通货膨胀动态的关键。相比之下，融资成本通常处于次要地位，因为较高的信贷息差会被较低的名义利率所平衡。然而，在 ELB 阶段，金融冲击导致的利差上升会抵消生产要素成本下降对企业定价的影响。因此，通胀与产出之间的关系呈现曲棍球形状：菲利普斯曲线在 ELB 时是平的，但在正常时期通常是向上倾斜的。这一机制也削弱了 ELB 远期指导的力量，因为这种政策降低了利差和融资成本。

引用次数: 0

Optimal monetary policy mix at the zero lower bound 零下限时的最佳货币政策组合

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-20 DOI: 10.1016/j.jedc.2024.105001

Dario Bonciani , Joonseok Oh

We study the optimal mix of forward guidance and quantitative easing at the ZLB. The welfare loss function depends on inflation, output, and consumption heterogeneity (which we label as inequality) between different households. When solely focusing on inflation and output, the central bank excessively expands its balance sheet, thereby increasing inequality. Forward guidance is more effective at stabilising inflation, and quantitative easing at stabilising output. The two tools are, therefore, complementary. Since neither instrument can fully neutralise adverse demand shocks, the optimal policy combines both, resulting in a shorter ZLB duration and milder balance-sheet expansion than if the central bank relied on one policy instrument alone.

我们研究了前瞻性指导和量化宽松政策在 ZLB 时的最佳组合。福利损失函数取决于不同家庭之间的通胀、产出和消费异质性（我们称之为不平等）。如果只关注通胀和产出，中央银行就会过度扩张其资产负债表，从而加剧不平等。前瞻性指导在稳定通胀方面更为有效，而量化宽松政策在稳定产出方面更为有效。因此，这两种工具是互补的。由于这两种工具都不能完全中和不利的需求冲击，因此最佳政策是将两者结合起来，从而缩短 ZLB 持续时间，资产负债表的扩张也比中央银行单独依靠一种政策工具要温和。

引用次数: 0

Modeling inflation expectations in forward-looking interest rate and money growth rules

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-19 DOI: 10.1016/j.jedc.2024.104999

Zhengyang Chen , Victor J. Valcarcel

We propose a novel approach that directly embeds rational expectations (RE) into a low-dimensional structural vector autoregression (SVAR) without the need for any mapping to a dynamic stochastic general equilibrium (DSGE) model. Beginning from a fully specified “consensus” structural model, we establish an instrumental variable procedure internal to the SVAR to obtain RE-consistent structural responses to identified monetary policy shocks. Our RE-SVAR framework facilitates a comparison across two alternative monetary policy indicators that accommodate long horizons in the formation of inflation expectations in the policy rule. We construct clouds of responses of inflation and economic activity to monetary policy shocks. We find large regions of puzzling responses to innovations in the federal funds rate. This suggests that indicator often requires being augmented with more information in standard VAR settings. A money growth rule characterization—with Divisia M4 as a policy indicator—exhibits comparatively larger regions of sensible responses within a low-dimensional textbook model of the economy.

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引用次数: 0

When and how should an incumbent respond to a potentially disruptive event? 在职者何时以及如何应对潜在的破坏性事件？

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-01 DOI: 10.1016/j.jedc.2024.104974

Benoît Chevalier-Roignant

Incumbents can respond to the competitive threat posed by a startup either by external or organic growth. Incumbents may fail do so in due course due to a phenomenon known as “incumbent inertia.” I develop a dynamic model of investment that stresses a new rationale for such inertia. The incumbent may wait even though the option to delay one response is “deep in the money.” This is because the incumbent has to make a choice among several possible responses and is strategically ambivalent about which is best. Such inertia would be bad news for startup valuations if the incumbent delays a lucrative exit for venture capitalists, but good news for consumers if it sustains fiercer competition.

对于初创企业带来的竞争威胁，现有企业可以通过外部或内部增长来应对。由于一种被称为 "在位惯性 "的现象，在位企业可能会在适当的时候失败。我建立了一个动态投资模型，强调了这种惰性的新理由。在位者可能会等待，即使推迟一个反应的选择是 "赚大钱"。这是因为在位者必须在几种可能的对策中做出选择，而且在战略上对哪种对策最好犹豫不决。如果在位者推迟了风险资本家获利丰厚的退出时机，那么这种惰性对初创企业的估值来说是个坏消息，但如果能维持更激烈的竞争，那么对消费者来说则是个好消息。

引用次数: 0

A competitive theory of mismatch 错位竞争理论

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-01 DOI: 10.1016/j.jedc.2024.104996

Javier A. Birchenall

I study the distributions of unemployment, vacancies, and wages across local labor markets in an economy where workers and jobs are matched and mismatched based on more explicit assumptions and aggregation principles than in the reduced-form aggregate matching-function approach. The endogenous matching process formulated here is flexible and has practical value for applied work. Local and aggregate labor market adjustments to local productivity and aggregate demand shocks reproduce empirical Beveridge and wage curve patterns, offer an alternative perspective on empirical indices of mismatch unemployment, and deliver an endogenous and commonly used reduced-form aggregate matching function.

与还原形式的总体匹配函数方法相比，我基于更明确的假设和汇总原则，研究了在工人与工作岗位匹配和不匹配的经济中，失业率、职位空缺和工资在当地劳动力市场上的分布情况。这里提出的内生匹配过程是灵活的，对应用工作具有实用价值。本地和总体劳动力市场对本地生产率和总需求冲击的调整再现了经验中的贝弗里奇曲线和工资曲线模式，为错配失业的经验指数提供了另一种视角，并提供了一种内生的、常用的还原形式总体匹配函数。

引用次数: 0

Systemic risk in banking, fire sales, and macroeconomic disasters 银行业的系统性风险、火灾销售和宏观经济灾难

IF 1.9 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2024-11-01 DOI: 10.1016/j.jedc.2024.104975

Spiros Bougheas , David I. Harvey , Alan Kirman , Douglas Nelson

We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other banks with insufficient liquidity. Thus, each period an interbank loan market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven distribution of shocks across banks implies that each period there are banks that become insolvent. If insolvent banks happen also to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution across time of the growth rate of banking assets has a ‘fat left tail’ that corresponds to rare economic disasters. We also find that the distribution of initial shocks is not a perfect predictor of economic activity; that is some of the uncertainty is endogenous and related to the structure of the interbank network.

我们建立了一个银行系统的动态计算网络模型，在这个模型中，火灾销售提供了金融冲击的放大机制。每一时期，有限数量的银行向家庭提供大量但有限的贷款。流动性过剩的银行也会向其他流动性不足的银行提供贷款。因此，每个时期都会内生性地形成一个银行间贷款市场。银行资产受到来自细尾分布的特异性冲击。冲击在银行间的不均匀分布意味着每期都会有银行破产。如果资不抵债的银行恰好也对其他银行负债累累，那么它们的清算就会引发其他银行的倒闭。我们发现，银行资产增长率的跨期分布有一个 "肥大的左尾"，与罕见的经济灾难相对应。我们还发现，初始冲击的分布并不能完美预测经济活动；也就是说，有些不确定性是内生的，与银行间网络的结构有关。

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