Journal of Economic Dynamics & Control最新文献

英文中文

Bank lending standards and the U.S. economy 银行贷款标准和美国经济

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-30 DOI: 10.1016/j.jedc.2025.105247

Elijah Broadbent , Huberto M. Ennis , Tyler J. Pike , Horacio Sapriza

The provision of bank credit to firms and households affects macroeconomic performance. We use survey measures of changes in bank lending standards, disaggregated by loan category, to quantify the effect of changes in banks’ attitudes toward lending on aggregate output, inflation, and interest rates. Bank lending to businesses is particularly important for macroeconomic outcomes, with peak effects on output growth of around 30 to 40 basis points after four quarters of the initial shock. These effects depend on the stage of the business cycle and the proximity of the short-term interest rate to its effective lower bound. The effects are larger when output is growing below trend, when uncertainty is increasing or high, and when interest rates are away from the lower bound. We also find that the response of the economy to lending-standards shocks is asymmetric, with tightening shocks having larger effects on output.

向企业和家庭提供银行信贷影响宏观经济表现。我们使用银行贷款标准变化的调查措施，按贷款类别分类，量化银行对贷款态度的变化对总产出、通货膨胀和利率的影响。银行对企业的贷款对宏观经济结果尤其重要，在最初四个季度的冲击过后，对产出增长的峰值影响约为30至40个基点。这些影响取决于商业周期的阶段和短期利率接近其有效下限的程度。当产出增长低于趋势水平，当不确定性增加或很高，以及当利率远离下限时，这种影响更大。我们还发现，经济对贷款标准冲击的反应是不对称的，紧缩冲击对产出的影响更大。

引用次数: 0

Expectation traps and Neo-Fisherian policy 期望陷阱与新费舍尔主义政策

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-27 DOI: 10.1016/j.jedc.2025.105246

Jacob A. Robbins

Periods of low interest rates and subdued inflation in advanced economies have raised the prospect of expectation traps, in which self-fulfilling pessimistic beliefs sustain recessions. This paper examines the stability and policy implications of expectation-driven recessions when agents deviate from rational expectations. We build an overlapping generations model in which belief shocks generate endogenous fluctuations in output and inflation, and show that persistent stagnation equilibria exist under bounded rationality. Optimal policy depends on the strength of feedback between current and expected income. With weak feedback, Keynesian policies— lower interest rates and higher government spending— are effective. With strong feedback, escaping the trap requires Neo-Fisherian policies— pegging interest rates and reduced fiscal spending.

发达经济体长期的低利率和低通胀，增加了出现预期陷阱的可能性，在这种陷阱中，自我实现的悲观信念会使衰退持续下去。本文研究了当经济主体偏离理性预期时，预期驱动的经济衰退的稳定性和政策含义。我们建立了一个重叠代模型，在该模型中，信念冲击会产生产出和通货膨胀的内生波动，并表明在有限理性下存在持续停滞均衡。最优政策取决于当前收入和预期收入之间反馈的强度。在反馈较弱的情况下，凯恩斯主义政策——降低利率和增加政府支出——是有效的。有了强烈的反馈，要想摆脱这个陷阱，就需要新费舍尔主义的政策——挂钩利率和减少财政支出。

引用次数: 0

Managing the inflation-output trade-off with public debt portfolios 用公共债务组合管理通胀与产出之间的权衡

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-22 DOI: 10.1016/j.jedc.2025.105244

Boris Chafwehé , Charles de Beauffort , Rigas Oikonomou

When taxes do not sufficiently adjust to government debt levels, the Fiscal Theory of the Price Level predicts that inflation must adjust to ensure the solvency of public finances. We study the role of optimal debt maturity portfolios in this context, using a New Keynesian model with both demand and supply-side shocks. Our paper offers new analytical insights into the mechanisms through which the debt maturity composition affects the trade-off between inflation and the output gap: The Persistence, Discounting and Hedging channels of optimal policy. Our findings, based on a rich prior predictive analysis, indicate that the key driving force behind optimal portfolio decisions is Hedging. Moreover, the optimal maturity composition of debt is driven primarily by supply side shocks, rather than by demand shocks. Finally, our results indicate that debt management is a significant margin to complement monetary policy in stabilizing inflation when debt solvency is an important concern.

当税收不能充分调整到政府债务水平时，价格水平财政理论预测通货膨胀必须调整以确保公共财政的偿付能力。在这种情况下，我们研究了最优债务期限投资组合的作用，使用了包含需求侧和供给侧冲击的新凯恩斯模型。本文为债务期限构成影响通胀与产出缺口之间权衡的机制提供了新的分析视角：最优政策的持续、贴现和对冲渠道。我们的发现，基于丰富的先验预测分析，表明最优投资组合决策背后的关键驱动力是对冲。此外，债务的最佳期限构成主要是由供给侧冲击驱动的，而不是由需求冲击驱动的。最后，我们的研究结果表明，当债务偿付能力是一个重要问题时，债务管理是稳定通胀的货币政策的重要补充。

引用次数: 0

Leaning against persistent financial cycles with occasional crises 倾向于持续的金融周期和偶尔的危机

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-22 DOI: 10.1016/j.jedc.2025.105245

Thore Kockerols , Erling Motzfeldt Kravik , Yasin Mimir

We investigate the conditions under which a leaning against the wind (LAW)-type monetary policy is advisable to address risks to financial stability stemming from housing credit imbalances. We do so within an endogenous regime-switching dynamic stochastic general equilibrium (DSGE) model with occasional crises, effective lower bound (ELB) on interest rates, and intrinsically persistent financial cycles driven by partly backward-looking house price expectations. Under empirically plausible financial cycles, LAW amplifies the transmission of supply shocks to inflation by strengthening the countercyclical response of collateral values and domestic demand. This results in heightened inflation volatility and a lower average inflation rate, thereby increasing the frequency of ELB episodes. In our baseline estimated model, we find that these costs far outweigh the benefits of a less likely and less severe crisis. However, we also show that LAW may become advisable, depending on specific conditions, including (i) if the central bank focuses less on near-term output stabilization but more on medium-term growth stability by counteracting financial imbalances, or (ii) if the expectations-driven financial cycles are intrinsically less persistent or more policy-responsive than currently observed. Higher long-run capital regulation is better suited to addressing risks to financial stability as it significantly reduces the fluctuations in inflation and output by reducing both the frequency of ELB and the severity of crises.

我们研究了在哪些条件下，逆风（LAW）型货币政策是可取的，以解决住房信贷失衡引发的金融稳定风险。我们在一个内源性制度转换动态随机一般均衡（DSGE）模型中进行研究，该模型具有偶发危机、利率的有效下限（ELB）以及由部分向后看的房价预期驱动的内在持续的金融周期。在经验上合理的金融周期中，LAW通过加强抵押品价值和国内需求的反周期反应，放大了供给冲击对通胀的传导。这导致通货膨胀波动加剧，平均通货膨胀率降低，从而增加了ELB发作的频率。在我们的基线估计模型中，我们发现这些成本远远超过了不太可能和不那么严重的危机所带来的好处。然而，我们也表明，LAW可能会变得可取，这取决于具体情况，包括(i)如果央行通过抵消金融失衡而不太关注近期产出稳定，而是更关注中期增长稳定，或者（ii）如果预期驱动的金融周期本质上比目前观察到的更不持久或更具政策响应性。加强长期资本监管更适合于应对金融稳定风险，因为它通过降低低负债的频率和危机的严重程度，大大减少了通货膨胀和产出的波动。

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引用次数: 0

Beyond connectivity: Stock market participation in a network 超越连接：股票市场参与网络

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-17 DOI: 10.1016/j.jedc.2025.105242

Anastasiia Parakhoniak , Olga Balakina , Claes Bäckman

What are the aggregate and distributional consequences of the relationship between an individual’s social network and financial decisions? Motivated by several well-documented facts about the influence of social connections on financial decisions, we build and calibrate a model of stock market participation with a social network that emphasizes the interplay between connectivity and network structure. Since connections to informed agents influence peers through utility and learning, there is a pivotal role for homophily. An increase in the average number of connections raises the average participation rate, mostly due to richer agents. Higher homophily benefits richer agents by creating clusters where information spreads more efficiently. We also show that peer effects in participation costs is crucial for matching stock market participation among poorer agents. Finally, we provide empirical evidence consistent with the importance of connectivity and sorting.

个人的社会网络和财务决策之间的关系的总体和分配结果是什么？受社会关系对财务决策影响的几个有充分证据的事实的激励，我们建立并校准了一个带有社会网络的股票市场参与模型，该模型强调连通性和网络结构之间的相互作用。由于与知情代理人的联系通过效用和学习影响同伴，因此同质性起着关键作用。平均连接数的增加提高了平均参与率，这主要是由于更富有的代理。更高的同质性通过创建信息更有效传播的集群而使更丰富的代理受益。我们还表明，参与成本中的同伴效应对于匹配较贫穷的代理人之间的股票市场参与至关重要。最后，我们提供了与连通性和排序的重要性一致的经验证据。

引用次数: 0

Population growth, employment protection, and firm-level distortions 人口增长、就业保护和企业层面的扭曲

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-11 DOI: 10.1016/j.jedc.2025.105243

Cheng Chen , Takahiro Hattori

Declining population growth and firm-level input distortions are important real-world phenomena. In this paper, we develop a firm dynamics model to study how firing costs induce input distortions through the lens of growth of working-age population. We find that the negative impact of firing costs on aggregate productivity and output is amplified when the growth rate of working-age population declines. This is because slower growth of labor supply leads to fewer entering firms and more incumbents, which are more affected by firing costs. Using Japanese establishment-level data, we calibrate the model and conduct counterfactual analyses, showing that a decline in population growth has a quantitatively significant impact on firm entry and firm-level input distortions. Finally, we provide evidence using Japanese establishment-level census data to support the model’s key predictions.

人口增长下降和企业层面的投入扭曲是重要的现实世界现象。本文建立了一个企业动力学模型，通过劳动年龄人口的增长来研究解雇成本如何引起投入扭曲。我们发现，当劳动年龄人口增长率下降时，解雇成本对总生产率和总产出的负面影响被放大。这是因为劳动力供给增长放缓导致新进入企业减少，现有企业增加，而现有企业更容易受到解雇成本的影响。利用日本企业层面的数据，我们校准了模型并进行了反事实分析，结果表明，人口增长的下降对企业进入和企业层面的投入扭曲有数量上的显著影响。最后，我们使用日本企业层面的人口普查数据提供证据来支持模型的关键预测。

引用次数: 0

Has CRMW lowered the cost of corporate debt? A structural credit risk model CRMW降低了企业债务的成本吗？结构性信用风险模型

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-09 DOI: 10.1016/j.jedc.2025.105239

Ying Liu , Xi Wang

We develop a structural credit risk model by incorporating three features of Credit Risk Mitigation Warrant (CRMW): specific protection, targeted guidance, and actual implementation. The model quantifies CRMW’s effect on credit spreads under systematic and idiosyncratic shocks. Results show that CRMW: (1) reduces credit spreads by raising default boundaries, with stronger effects under idiosyncratic shocks; (2) exhibits pro-cyclical feature that amplifies spread volatility; (3) is outperformed by fiscal bailouts under systematic risk, while its signaling effect mitigates adverse selection. This paper provides valuable insights into CRMW’s credit risk management mechanisms and effects.

本文结合信用风险缓解权证的三个特征：特定保护、定向指导和实际实施，构建了结构性信用风险模型。该模型量化了CRMW在系统性和特殊冲击下对信贷息差的影响。结果表明：(1)CRMW通过提高违约边界来降低信用利差，在特殊冲击下效果更强；(2)表现出放大价差波动的顺周期特征；(3)在系统风险下，财政救助的表现优于系统风险下的财政救助，而其信号效应缓解了逆向选择。本文对CRMW的信用风险管理机制和效果提供了有价值的见解。

引用次数: 0

Carbon leakage in production networks under asymmetric climate policies 不对称气候政策下生产网络中的碳泄漏

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-07 DOI: 10.1016/j.jedc.2025.105241

Elisa Grugni , Ivan Savin , Jeroen van den Bergh

Climate policies are typically designed at the regional level. This generates differences in implicit carbon prices across countries that can alter the structure of trade patterns and undermine the effectiveness of environmental regulations through carbon leakage. The paper examines the macroeconomic consequences of asymmetric climate policies, focusing on how they affect the international structure of production. The purpose is twofold: assessing the impact of uncoordinated climate policies on the outsourcing of production and studying the effectiveness of a border carbon adjustment mechanism aimed at safeguarding countries’ competitiveness. To this end, we develop and simulate a theoretical agent-based model in which supply chains are endogenously determined by downstream firms’ sourcing strategies; such firms select a supplier of intermediate goods, whose production generates emissions and is subjected to environmental regulations. Focusing on bottom-up interactions among heterogeneous and boundedly rational agents, this approach provides novel insights into how environmental policies rewire firm linkages within global production networks, and how this reshaping affects overall carbon emissions.

气候政策通常是在区域一级设计的。这就造成了各国隐含碳价格的差异，这可能会改变贸易模式的结构，并通过碳泄漏破坏环境法规的有效性。本文考察了不对称气候政策的宏观经济后果，重点关注它们如何影响国际生产结构。其目的有两个：评估不协调的气候政策对生产外包的影响，以及研究旨在维护国家竞争力的边境碳调整机制的有效性。为此，我们开发并模拟了一个基于代理的理论模型，其中供应链是由下游企业的采购策略内生决定的；这些公司选择中间产品的供应商，这些供应商的生产会产生排放，并受到环境法规的约束。该方法关注异质性和有限理性主体之间自下而上的相互作用，为环境政策如何重塑全球生产网络中的企业联系以及这种重塑如何影响总体碳排放提供了新颖的见解。

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引用次数: 0

Ambiguity overprecision and optimal capital requirements in continuous time 连续时间的歧义、精度和最优资本要求

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-07 DOI: 10.1016/j.jedc.2025.105240

Jingyuan Li , Qian Lin , Weidong Tian

We develop a dynamic utility model within a continuous-time framework to incorporate ambiguity overprecision regarding both the correlation and drift of price dynamics. We extend key results from optimal capital requirements theory in this framework. By employing an explicit approach, we determine the optimal liability-to-surplus ratio for a major insurer, shedding light on the profound impact of ambiguity overprecision. Our analysis reveals that accounting for ambiguity overprecision leads to an optimal liability-to-surplus ratio exceeding the benchmark established in the absence of such overprecision.

我们在连续时间框架内开发了一种动态实用新型，以结合关于价格动态相关性和漂移的模糊性过度精度。在此框架下，我们扩展了最优资本需求理论的关键结果。通过采用一种明确的方法，我们确定了大型保险公司的最优负债盈余比率，揭示了模糊性过度精确的深刻影响。我们的分析表明，考虑歧义过精度导致最优负债盈余比超过在没有这种过精度的情况下建立的基准。

引用次数: 0

Reinforcement learning for household finance: Designing policy via responsiveness 家庭金融的强化学习：通过响应性设计政策

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-03 DOI: 10.1016/j.jedc.2025.105229

Arka Prava Bandyopadhyay , Lilia Maliar

We use model-free reinforcement learning (RL) to explore how a mortgage servicer can optimize her actions toward a borrower. Unlike conventional heuristic approaches, our methodology eliminates reliance on subjective and qualitative judgments from industry and legal experts. We are the first to incorporate post-securitization soft information and the borrower’s responsiveness to the servicer to estimate an RL-based policy rule. When maximizing her reward, the servicer dynamically learns the type of borrower, allowing it to anticipate and mitigate adversarial behavior. This, in turn, fosters greater borrower cooperation and improves overall outcomes.

我们使用无模型强化学习（RL）来探索抵押贷款服务商如何优化她对借款人的行为。与传统的启发式方法不同，我们的方法消除了对行业和法律专家主观和定性判断的依赖。我们是第一个将证券化后的软信息和借款人对服务的响应性结合起来，以估计基于rl的策略规则的人。当她的回报最大化时，服务人员动态学习借款人的类型，允许它预测和减轻对抗行为。这进而促进借款国加强合作，改善总体成果。

引用次数: 0

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