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On automation, labor reallocation and welfare 在自动化、劳动力再分配和福利方面
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-06-13 DOI: 10.1016/j.jedc.2025.105129
Stéphane Auray , Aurélien Eyquem
We develop an open-economy model of endogenous automation with heterogeneous firms and labor-market reallocation to quantify the contribution of various trends to the adoption of robots in the U.S. economy. The decline in the relative price of robots is the major trend leading to automation, but interacts with other trends that either hinder (rising entry costs, rising markups) or slightly foster (rising labor productivity, declining trade costs) the adoption of robots. Taken alone, the decline in the relative price of robots produces moderate welfare gains in the long run, but less than labor productivity growth. We then exploit our model to show that a decline in the relative price of robots (i) generates small positive cross-country automation spillovers and (ii) produces inefficient labor-market reallocation since a small subsidy on robots combined with a training subsidy can generate small welfare gains. Our main conclusion is that automation can not be simply modeled as an exogenous decline in the price of robots, and must be analyzed in a broader framework taking into account trends affecting firms, such as the decline in business dynamism and the rise in markups.
我们开发了一个具有异质公司和劳动力市场再分配的内生自动化的开放经济模型,以量化各种趋势对美国经济中机器人采用的贡献。机器人相对价格的下降是导致自动化的主要趋势,但与其他趋势相互作用,这些趋势要么阻碍(进入成本上升,利润率上升),要么略微促进(劳动生产率提高,贸易成本下降)机器人的采用。单独来看,机器人相对价格的下降在长期内产生了适度的福利收益,但低于劳动生产率的增长。然后,我们利用我们的模型表明,机器人相对价格的下降(i)会产生小的正的跨国自动化溢出效应,(ii)会产生低效的劳动力市场再分配,因为对机器人的小额补贴加上培训补贴可以产生小的福利收益。我们的主要结论是,自动化不能简单地建模为机器人价格的外生下降,必须在更广泛的框架内进行分析,考虑到影响企业的趋势,如商业活力的下降和加成的上升。
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引用次数: 0
Comparing external and internal instruments for vector autoregressions 比较矢量自回归的外部和内部仪器
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-06-10 DOI: 10.1016/j.jedc.2025.105131
Martin Bruns , Helmut Lütkepohl
In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and it is shown that the resulting shocks obtained with the alternative approaches differ in general. Conditions are provided under which their impulse responses are nevertheless identical. If the conditions are satisfied, identification of the shocks is ensured. An empirical example illustrates the theoretical results.
在传统的代理VAR分析中,利息冲击是由外部工具识别的。这通常是通过考虑仪器的协方差和简化后的残差来完成的。或者,这些工具可以通过工具或代理扩大VAR过程来内部化。对这些替代识别方法进行了比较,结果表明,采用替代方法获得的冲击通常不同。在一定条件下,它们的脉冲响应是相同的。如果满足这些条件,则确保了对冲击的识别。通过实例说明了理论结果。
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引用次数: 0
Real investment decision under CRRA utility: The flow payoff case CRRA效用下的实际投资决策:流收益案例
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-06-06 DOI: 10.1016/j.jedc.2025.105130
Xiaoqing Yin , Haijun Wang
This paper explores how payoff volatility (idiosyncratic volatility), time preference and investment-wealth ratio affect an entrepreneur's real investment decision in a constant relative risk aversion (CRRA) framework, when the investment project generates a flow payoff. We find that time preference has an important effect on the optimal investment threshold, which comes from wealth effects on the implied project value and the implied option value. Particularly, we discover that the optimal investment threshold is convex in time discount rate. At most cases, a larger payoff volatility increases the optimal investment threshold and makes the entrepreneur invest later. However, if the entrepreneur has lower risk aversion and more sufficient patience, a larger payoff volatility may decrease the optimal investment threshold and makes the entrepreneur invest earlier. Moreover, a higher investment-wealth ratio makes the entrepreneur invest later.
本文探讨了当投资项目产生流动收益时,在恒定相对风险厌恶(CRRA)框架下,收益波动率(特质波动率)、时间偏好和投资财富比如何影响企业家的实际投资决策。研究发现,时间偏好对最优投资门槛的影响主要来自于隐含项目价值和隐含期权价值的财富效应。特别地,我们发现最优投资门槛在时间折现率下是凸的。在大多数情况下,收益波动越大,最优投资门槛越高,企业家投资越晚。但是,如果企业家的风险厌恶程度较低,耐性较强,则较大的收益波动率可能会降低最优投资门槛,使企业家更早进行投资。此外,投资财富比越高,企业家投资越晚。
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引用次数: 0
Extreme conditional tail risk inference in ARMA–GARCH models ARMA-GARCH模型的极端条件尾部风险推理
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-06-05 DOI: 10.1016/j.jedc.2025.105128
Yaolan Ma, Bo Wei
In this study, we investigate the estimation of extreme conditional Value-at-Risk (CVaR) and conditional Expected Shortfall (CES) within the framework of ARMA-GARCH models, where innovations are assumed to follow a Pareto-type tail distribution and have no finite fourth moments. Building on the two-stage self-weighted estimation procedure proposed by He et al. (2022), we develop a robust methodology for forecasting extreme CVaR and CES. Using extreme value theory, we derive a unified asymptotic theory for the extreme CVaR and CES estimators. Through comprehensive simulation studies, we evaluate the performance of our approach and compare it with several recently proposed estimators in the literature. Additionally, we apply our methodology to forecast extreme CVaR and CES for daily negative log-returns (i.e., losses) of four financial assets, demonstrating its practical applicability in financial risk management.
在本研究中,我们研究了在ARMA-GARCH模型框架内的极端条件风险值(CVaR)和条件预期缺口(CES)的估计,其中假设创新遵循帕累托型尾部分布并且没有有限的第四矩。在He等人(2022)提出的两阶段自加权估计程序的基础上,我们开发了一种预测极端CVaR和CES的稳健方法。利用极值理论,导出了CVaR极值估计和CES极值估计的统一渐近理论。通过全面的仿真研究,我们评估了我们的方法的性能,并将其与文献中最近提出的几种估计器进行了比较。此外,我们将我们的方法应用于预测四种金融资产的每日负对数收益(即损失)的极端CVaR和CES,证明其在金融风险管理中的实际适用性。
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引用次数: 0
Optimal multi-period leverage-constrained portfolios: A neural network approach 最优多期杠杆约束投资组合:神经网络方法
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-05-29 DOI: 10.1016/j.jedc.2025.105127
Chendi Ni, Yuying Li, Peter Forsyth
We present a neural network approach for multi-period portfolio optimization that relaxes the long-only restriction and instead imposes a bound constraint on leverage. We formulate the optimization problem for such a relaxed-constraint portfolio as a multi-period stochastic optimal control problem. We propose a novel relaxed-constraint neural network (RCNN) model to approximate the optimal control. Using our proposed RCNN model transforms the original leverage-constrained optimization problem into an unconstrained one, which makes solving it computationally more feasible. We prove mathematically that the proposed RCNN control model can approximate the optimal relaxed-constraint strategy with arbitrary precision. We further propose to compute the optimal outperforming strategy over a benchmark based on cumulative quadratic shortfall (CS). Using U.S. historical market data from Jan 1926 to Jan 2023, we computationally compare and assess the proposed neural network approach to the optimal leverage-constrained strategy and long-only strategy respectively. We demonstrate that the leverage-constrained optimal strategy can achieve enhanced performance over the long-only strategy in outperforming a benchmark portfolio.
我们提出了一种多周期投资组合优化的神经网络方法,该方法放松了只做多的限制,而对杠杆施加了有界约束。我们将这类松弛约束组合的优化问题表述为多周期随机最优控制问题。我们提出了一种新的松弛约束神经网络(RCNN)模型来逼近最优控制。利用本文提出的RCNN模型,将原有的杠杆约束优化问题转化为无约束优化问题,使得求解该问题在计算上更加可行。数学证明了所提出的RCNN控制模型能够以任意精度逼近最优松弛约束策略。我们进一步提出在一个基于累积二次缺陷(CS)的基准上计算最优优胜策略。利用1926年1月至2023年1月的美国历史市场数据,我们分别对最优杠杆约束策略和只做多策略的神经网络方法进行了计算比较和评估。我们证明了杠杆约束的最优策略可以在优于基准投资组合的多头策略中获得更高的绩效。
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引用次数: 0
Generalizing heuristic switching models and a (boundedly) rational route away from randomness 推广启发式切换模型和一条远离随机性的(有界)理性路径
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-05-22 DOI: 10.1016/j.jedc.2025.105125
Giorgos Galanis , Iraklis Kollias , Ioanis Leventides , Joep Lustenhouwer
The behavioral economics literature on evolutionary discrete choice models typically relies on the standard logit framework. However, this approach imposes significant limitations on the types of economic environments it can represent as it, e.g., does not allow for heterogeneity in preferences regarding observables (random taste variation) and assumes independence of irrelevant alternatives (IIA). We relax the assumptions underlying standard logit and address two key questions: (i) to what extent do the theoretical insights of Brock and Hommes (1997) (BH) hold in more general economic settings? (ii) can the standard logit's shortcomings in capturing relevant experimental findings be resolved by using more flexible forms of discrete choice models? We find that a probit-based model that meaningfully relaxes the IIA assumption fits experimental data with four choice alternatives considerably better than standard logit, especially if the model additionally allows for random taste variation. Further, we demonstrate that while the key insights of BH remain valid in broader environments, allowing for taste variation can provide a route away from the chaotic dynamics emerging in BH.
关于进化离散选择模型的行为经济学文献通常依赖于标准logit框架。然而,这种方法对其所代表的经济环境类型施加了重大限制,因为它不允许可观察到的偏好的异质性(随机口味变化),并假设不相关替代方案的独立性(IIA)。我们放宽了标准逻辑的假设,并解决了两个关键问题:(i)布洛克和霍姆斯(1997)(BH)的理论见解在多大程度上适用于更一般的经济环境?(ii)标准logit在捕捉相关实验结果方面的缺点能否通过使用更灵活的离散选择模型来解决?我们发现,一个基于概率的模型有意地放宽了IIA假设,与标准logit相比,它对具有四个选择选项的实验数据的拟合效果要好得多,特别是如果该模型还允许随机口味变化的话。此外,我们证明,虽然黑洞的关键见解在更广泛的环境中仍然有效,但允许口味变化可以提供一条远离黑洞中出现的混沌动力学的途径。
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引用次数: 0
The sleeper effect of comparative advertising in oligopolistic markets 寡头垄断市场比较广告的睡眠者效应
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-05-19 DOI: 10.1016/j.jedc.2025.105122
Rabah Amir , Dominika Machowska , Andrzej Nowakowski
This research deals with comparative advertising strategies of firms in an oligopolistic market in the presence of the sleeper effect, through the lens of a differential game with time delay. We examine the open-loop Nash equilibrium and, for its validation, propose a new verification theorem that determines if a given strategy profile constitutes a Nash equilibrium. Our results reveal how the sleeper effect influences the equilibrium of comparative advertising strategies across two decision-making periods. Moreover, we highlight how market factors and firm attributes can significantly affect these strategies and derive conditions under which a firm will abstain from such strategies. Overall, our study provides novel insights into how market dynamics, firm attributes, and the sleeper effect interact in shaping comparative advertising strategies.
本文通过时滞差分博弈的视角,研究了存在睡眠者效应的寡头垄断市场中企业广告策略的比较。我们研究了开环纳什均衡,并提出了一个新的验证定理,以确定给定的策略配置是否构成纳什均衡。我们的研究结果揭示了睡眠者效应如何影响两个决策时期比较广告策略的均衡。此外,我们强调了市场因素和企业属性如何显著影响这些策略,并推导出企业放弃这些策略的条件。总的来说,我们的研究为市场动态、企业属性和睡眠者效应如何在形成比较广告策略中相互作用提供了新颖的见解。
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引用次数: 0
A robust asymptotic control model to analyze climate policy with CDR options 具有CDR选项的气候政策鲁棒渐近控制模型分析
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-05-14 DOI: 10.1016/j.jedc.2025.105114
Frédéric Babonneau , Alain Haurie , Marc Vielle
A three-region optimal economic growth model is proposed to represent the global energy transition to net-zero emissions when carbon dioxide removal (CDR) technologies are available. The main features of the model are (i) the representation of the economy and energy use with nested CES production functions; (ii) the representation of climate policy through the use of a safety cumulative emissions budget concept; and (iii) the introduction of an international emissions trading scheme for the implementation of climate policy. Using an infinite horizon optimal control paradigm, several contrasting scenarios are analyzed both in an asymptotic steady state or “turnpike” point, and in an optimal transition to sustainability. This very compact model produces dynamic path simulations that are consistent with the main recommendations from IPCC for long term climate policies. The potential use of this simple model in future developments in climate and economic modeling is discussed.
本文提出了一个三区域最优经济增长模型,用于描述二氧化碳去除技术可用时全球能源向净零排放的过渡。该模型的主要特点是(i)用嵌套的消费电子产品生产函数来表示经济和能源使用;(ii)通过使用安全累积排放预算概念来表示气候政策;(三)为实施气候政策而引入国际排放交易计划。使用无限视界最优控制范式,分析了在渐近稳定状态或“收费公路”点和在可持续性的最优过渡中的几种对比情景。这个非常紧凑的模型产生的动态路径模拟与IPCC关于长期气候政策的主要建议相一致。讨论了这个简单模型在未来气候和经济模式发展中的潜在用途。
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引用次数: 0
The role of capital expansion in stock evaluation: A variance decomposition approach 资本扩张在股票评价中的作用:方差分解方法
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-05-01 DOI: 10.1016/j.jedc.2025.105113
Huixuan Li , Jing Chen , Manling Zhang , Ya Tang
We extend Cohen et al.'s (2003) variance decomposition framework to examine cross-sectional stock valuation drivers across Chinese and U.S. markets by incorporating expected capital expansion as an additional component. Our analysis demonstrates that in China's A-share market, 32.8 percent of cross-sectional valuation dispersion is attributable to future capital expansion. This positive relationship is mirrored in the NASDAQ market but contrasts with the negative effect observed in the NYSE/AMEX market. In particular, capital expansion exhibits strong explanatory power for valuations of small firms, high-tech companies, and firms listed on China's growth-oriented ChiNext and STAR market segments. Our decomposition approach also measures price informativeness—the degree to which stock valuations reflect future cash flows. We find a significant improvement in the price informativeness of China's stock prices since 2005. These findings enhance our understanding of stock pricing dynamics in growth-oriented markets.
我们扩展了Cohen等人(2003)的方差分解框架,通过将预期资本扩张作为额外的组成部分来检查中国和美国市场的横截面股票估值驱动因素。我们的分析表明,在中国a股市场,32.8%的横截面估值分散归因于未来的资本扩张。这种积极的关系反映在纳斯达克市场,但与纽约证券交易所/美国证券交易所市场观察到的负面影响形成对比。特别是,资本扩张对小型公司、高科技公司以及在中国成长型创业板和创业板上市的公司的估值具有很强的解释力。我们的分解方法也衡量了价格信息——股票估值反映未来现金流的程度。我们发现,自2005年以来,中国股票价格的价格信息性有了显著提高。这些发现增强了我们对成长型市场股票定价动态的理解。
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引用次数: 0
Intergenerational income mobility and income taxation 代际收入流动与所得税
IF 1.9 3区 经济学 Q2 ECONOMICS Pub Date : 2025-04-25 DOI: 10.1016/j.jedc.2025.105111
Musab Kurnaz , Mehmet A. Soytas
We study the impact of income taxation on intergenerational income correlation. We estimate a life cycle dynastic model and conduct counterfactual analysis to observe the effects of various tax regimes. Compared to a no tax environment, a flat tax regime reduces the correlation only by one percentage points. If the flat tax regime provides child benefits, the correlation additionally declines by four percentage points. Finally, if the taxes are progressive, the reduction, which is due to the increase in the fertility rate (quantity) and the decrease in the educational outcome of children (quality), is highly significant (seven percentage points).
我们研究了所得税对代际收入相关性的影响。我们估计了一个生命周期动态模型,并进行反事实分析,以观察各种税收制度的影响。与不征税的环境相比,单一税制只将相关性降低了1个百分点。如果单一税制度提供儿童福利,相关性会进一步下降4个百分点。最后,如果是累进税制,生育率(数量)的增加和子女的教育成果(质量)的减少将会非常显著(7个百分点)。
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引用次数: 0
期刊
Journal of Economic Dynamics & Control
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