Journal of Economic Dynamics & Control最新文献

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The pass-through to inflation of gas price shocks 天然气价格冲击对通货膨胀的传导

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-26 DOI: 10.1016/j.jedc.2025.105218

Lucia López , Florens Odendahl , Susana Párraga Rodríguez , Edgar Silgado-Gómez

This paper analyses the pass-through of gas shocks to inflation in the euro area. First, it uses a Bayesian Structural Vector Autoregressive (BSVAR) framework to estimate the effects of gas supply shocks on headline inflation in the euro area and its four largest economies. A gas supply shock that increases gas prices by 10 % raises euro area headline inflation by 0.6 percentage points after one year. The transmission of gas supply shocks is driven by direct and indirect effects, i.e. by households consuming gas products and by second-round effects through production costs. We document cross-country heterogeneity arising from differences in reliance on energy commodities across consumption and production, as well as from variation in the regulation of retail energy prices. Second, we build a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) model augmented with energy and show that indirect effects account for approximately 75 % of the cumulative response of headline inflation after three years.

本文分析了欧元区天然气冲击对通胀的传导作用。首先，它使用贝叶斯结构向量自回归（BSVAR）框架来估计天然气供应冲击对欧元区及其四大经济体总体通胀的影响。天然气供应的冲击使天然气价格上涨10%，一年后使欧元区的总体通货膨胀率上升0.6个百分点。天然气供应冲击的传导是由直接和间接影响驱动的，即由消费天然气产品的家庭和通过生产成本产生的第二轮影响驱动。我们记录了由于消费和生产对能源商品依赖程度的差异以及零售能源价格监管的差异而产生的跨国异质性。其次，我们建立了一个带有能量的新凯恩斯动态随机一般均衡（NK-DSGE）模型，并表明间接效应约占三年后总体通胀累积反应的75%。

引用次数: 0

Computation of policy counterfactuals in sequence space 序列空间中策略反事实的计算

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-26 DOI: 10.1016/j.jedc.2025.105228

James Hebden, Fabian Winkler

We propose an efficient procedure to solve for policy counterfactuals in sequence space. Forecasts of the variables relevant for the policy problem, and their impulse responses to anticipated policy shocks, constitute sufficient information to construct valid counterfactuals. Knowledge of the structural model equations or filtering of structural shocks is not required. The underlying model has to be linear but occasionally binding constraints are allowed under quasi-perfect foresight. We solve for deterministic and stochastic paths under instrument rules as well as under optimal policy with commitment or subgame-perfect discretion. As an application, we compute counterfactuals of the U.S. economy after the pandemic shock of 2020 under several monetary policy regimes.

我们提出了一种求解序列空间中策略反事实的有效方法。对与政策问题相关的变量的预测，以及它们对预期政策冲击的冲动反应，构成了足够的信息来构建有效的反事实。不需要结构模型方程或结构冲击滤波的知识。底层模型必须是线性的，但在准完美预见的情况下，偶尔会允许绑定约束。我们求解了工具规则下的确定性路径和随机路径，以及具有承诺或子博弈完全自由裁量权的最优策略下的路径。作为应用，我们计算了几种货币政策制度下2020年大流行冲击后美国经济的反事实。

引用次数: 0

Inflation expectations with finite horizon planning 有限视界规划下的通胀预期

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-25 DOI: 10.1016/j.jedc.2025.105222

Christopher Gust , Edward Herbst , David López-Salido

Under finite horizon planning, households and firms evaluate a full set of state-contingent paths along which the economy might evolve out to a finite horizon but have limited ability to process events beyond that horizon. We show–analytically and empirically–that such a model accounts for an initial underreaction and subsequent overreaction of inflation forecasts. A planning horizon of four quarters can account for the evidence on the predictability of inflation forecast errors and macroeconomic data. Our identification and estimation strategies combine full-information methods based on aggregate data with regression-based estimates that directly use inflation expectations data.

在有限视界计划下，家庭和企业评估一整套由国家决定的路径，沿着这些路径，经济可能会发展到有限视界，但处理超出该视界的事件的能力有限。我们通过分析和经验表明，这样的模型解释了最初对通胀预测的反应不足和随后的反应过度。四个季度的规划周期可以解释通胀预测误差和宏观经济数据可预测性的证据。我们的识别和估计策略结合了基于汇总数据的全信息方法和直接使用通胀预期数据的基于回归的估计。

引用次数: 0

“Write your model almost as you would on paper and Michel will take care of the rest!” Michel Juillard’s contribution to macroeconomics in historical perspective “把你的模型几乎像你在纸上写的那样写出来，米歇尔会处理剩下的事情！”历史视角下米歇尔·茱莉亚对宏观经济学的贡献

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-24 DOI: 10.1016/j.jedc.2025.105224

Beatrice Cherrier , Aurélien Saïdi , Francesco Sergi

In this article, we document Michel Juillard’s contribution to macroeconomics. Best known as the creator of the computer package Dynare, Juillard’s impact extends far beyond software development. We trace his training and career from his first encounter with computers in high school through his ongoing work on Dynare. His contribution to macroeconomics, we argue, is threefold: intellectual (devising algorithms and addressing specific computational problems for a class of models), technical (writing code and developing a computer package), and institutional (establishing and maintaining the governance structures that ensure Dynare’s sustainability as a digital commons). Juillard’s career highlights broader questions about adapting Ostrom’s framework to digital commons development, the principles that govern software development, and the place computational economics should occupy in the history of macroeconomics.

在这篇文章中，我们记录了米歇尔·茱莉亚对宏观经济学的贡献。作为计算机软件包Dynare的创造者，茱莉亚德的影响远远超出了软件开发。我们追溯了他的训练和职业生涯，从他在高中第一次接触计算机到他正在进行的Dynare工作。我们认为，他对宏观经济学的贡献是三重的：智力（为一类模型设计算法并解决特定的计算问题）、技术（编写代码和开发计算机软件包）和制度（建立和维护治理结构，确保Dynare作为数字公共资源的可持续性）。茱莉亚的职业生涯突出了一些更广泛的问题，如将奥斯特罗姆的框架应用于数字公共发展、管理软件开发的原则，以及计算经济学在宏观经济学史上应该占据的位置。

引用次数: 0

Drivers of firm-level tail dependence: A machine learning approach 企业层面尾部依赖的驱动因素：一种机器学习方法

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-15 DOI: 10.1016/j.jedc.2025.105207

Thomas Conlon , John Cotter , Ioannis Ropotos

The paper studies the determinants of firm-level tail dependence of companies with respect to foreign markets using machine learning. We measure dependence for a comprehensive international set of firms using copulas and we find that left tail dependence is consistently stronger than right tail dependence with their gap widening in recessionary periods. We then apply random forest regressions to identify and characterize the factors that account for the total panel variation of tail risk. The World Uncertainty Index, the R2 integration measure and coskewness with respect to foreign markets are the most important determinants. For US firms individual ownership variables such as the number of total or foreign investors dominate the remaining firm-level characteristics in explaining tail dependence. Our results contribute to the understanding of crash risk in the modern global financial landscape with implications for asset managers.

本文利用机器学习研究了企业对国外市场的尾部依赖的决定因素。我们使用copulas来衡量一组综合的国际企业的依赖，我们发现在经济衰退时期，随着它们的差距扩大，左尾依赖始终强于右尾依赖。然后，我们应用随机森林回归来识别和表征导致尾部风险总面板变化的因素。世界不确定性指数、R2整合测度和对国外市场的余偏性是最重要的决定因素。对于美国公司来说，个人所有权变量，如总投资者或外国投资者的数量，在解释尾部依赖时主导了公司层面的剩余特征。我们的研究结果有助于理解现代全球金融格局中的崩溃风险，并对资产管理公司产生影响。

引用次数: 0

Inside money, fraud and self-fulfilling liquidity dry-up 在货币内部，欺诈和自我实现的流动性枯竭

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-13 DOI: 10.1016/j.jedc.2025.105216

Jaevin Park

I study the efficiency of issuing inside money under the risk of fraud in a competitive equilibrium. In the model, bankers can issue money with their franchise values and/or by holding real assets, but they can also fake the quality of the asset at a proportional cost. When the supply of assets is scarce and the counterfeiting cost is intermediate, multiple equilibria can arise with a self-fulfilling liquidity dry-up, where the haircut in the collateral transaction increases and aggregate liquidity shrinks simultaneously. This equilibrium allocation is suboptimal because the individual bankers cannot internalize the effect of issuing money on the prices and the pledgeability of the assets in general equilibrium. We find that imposing an entry cost is more effective in correcting pecuniary externality because the counterfeiting incentive can be discouraged by a positive franchise value. Maximum haircut requirements have an advantage of eliminating a self-fulfilling liquidity dry-up.

本文研究了竞争均衡下存在欺诈风险的内部货币发行效率问题。在该模型中，银行家可以用特许经营价值和/或持有实物资产来发行货币，但他们也可以按比例成本伪造资产的质量。当资产供应稀缺，伪造成本处于中间水平时，多重均衡可能会随着自我实现的流动性枯竭而出现，即抵押品交易的损失增加，总流动性同时减少。这种均衡配置是次优的，因为在一般均衡中，单个银行家无法内化发行货币对资产价格和可质押性的影响。我们发现，施加进入成本在纠正货币外部性方面更为有效，因为正的特许经营价值可以阻止假冒动机。最高减持要求的好处是消除了自我实现的流动性枯竭。

引用次数: 0

Do factor models capture both sentiment and limited attention? 因子模型能同时捕捉情绪和有限的注意力吗？

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-04 DOI: 10.1016/j.jedc.2025.105203

Xinrui Duan , Li Guo , Frank Weikai Li , Jun Tu

We demonstrate that valuation uncertainty and information arrival are critical stock characteristics determining whether individual factors in leading factor models are influenced by sentiment or limited attention. Therefore, the ability of a factor model to explain cross-sectional stock returns depends on including two distinct types of factors: those that capture sentiment and those that tackle limited attention. Yet, many leading factor models include factors for sentiment but fall short in incorporating factors for limited attention. Our findings are important, guiding future research towards developing new factor models that more effectively capture both sentiment and limited attention compared to existing models. This includes uncovering powerful factors capable of simultaneously capturing sentiment and limited attention.

我们证明了估值不确定性和信息到达是决定主导因素模型中的个别因素是否受情绪或有限注意力影响的关键股票特征。因此，因子模型解释横截面股票收益的能力取决于包括两种不同类型的因子：那些捕捉情绪的因子和那些处理有限注意力的因子。然而，许多主导因素模型包括情绪因素，但没有纳入有限关注因素。我们的发现很重要，可以指导未来研究开发新的因素模型，与现有模型相比，这些模型可以更有效地捕捉情绪和有限注意力。这包括揭示能够同时捕捉情感和有限注意力的强大因素。

引用次数: 0

Unemployment and labor productivity comovement: the role of firm exit 失业与劳动生产率变动：企业退出的作用

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-03 DOI: 10.1016/j.jedc.2025.105205

Miroslav Gabrovski , Mario Rafael Silva

The Diamond-Mortensen-Pissarides model has been the primary workhorse for analyzing the dynamics of unemployment, vacancies, and market tightness over the business cycle. However, it predicts a near-perfect comovement between these variables and labor productivity, whereas the empirical correlation is only mild. We resolve this discrepancy by extending the model to incorporate sunk entry costs and finitely elastic vacancy creation, and by carefully distinguishing between business opportunity destruction and match separation as distinct sources of job loss. These features render vacancies a partially predetermined, positively valued stock variable. If the destruction rate is low, then most vacancies are inherited from the past and reflect historical rather than current productivity, breaking the tight unemployment-productivity link, while preserving strong correlations among labor market variables. We show that, when calibrated to information on job turnover and recall rates, the model reproduces the empirical contemporaneous and dynamic correlations between labor market variables and productivity while preserving the strong correlation between unemployment, vacancies, and the market tightness observed in the data.

Diamond-Mortensen-Pissarides模型一直是分析商业周期中失业、职位空缺和市场紧缩动态的主要工具。然而，它预测了这些变量和劳动生产率之间的近乎完美的一致，而经验相关性只是温和的。我们通过扩展模型以纳入沉没进入成本和有限弹性空缺创造，并通过仔细区分商业机会破坏和匹配分离作为不同的失业来源来解决这一差异。这些特征使职位空缺成为部分预定的、正价值的股票变量。如果破坏率较低，那么大多数空缺都是从过去继承下来的，反映的是历史而不是当前的生产率，从而打破了失业率与生产率的紧密联系，同时保持了劳动力市场变量之间的强相关性。我们表明，当校准到工作流动率和召回率的信息时，该模型再现了劳动力市场变量与生产率之间的经验同步和动态相关性，同时保留了数据中观察到的失业、空缺和市场紧缩之间的强相关性。

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引用次数: 0

Merton (1976) implied jump 默顿（1976）隐含跳跃

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-01 DOI: 10.1016/j.jedc.2025.105199

Junhong Yu , Xinfeng Ruan , Zheqi Fan

Motivated by the widespread use of implied volatility in the Black-Scholes-Merton (BSM) model, we shift the concept to implied jumps using the Merton jump-diffusion (MJD) model, aiming to extract jump-related information in an analogous manner. Such a novel attempt introduces challenges in the estimation process, and thus, we propose a hybrid estimation procedure that incorporates a pre-search step to identify reliable initial values for the model parameters, thereby enhancing estimation accuracy. Using the daily cross-section of option prices, we construct two new indices: the Implied Jump Expectation Index (JIX) and the Jump Volatility Index (JVIX) to represent implied jump. Our empirical results indicate the implied jump combined with the implied diffusive risk under the MJD model significantly provides incremental predictive power for shortly future realized volatility compared with VIX9D and the historical components of HAR models. Also, we document that JIX has significantly predictive power for the next-day market return even under the market extreme events or high economic uncertainty.

由于Black-Scholes-Merton （BSM）模型中隐含波动率的广泛使用，我们使用默顿跳跃-扩散（MJD）模型将隐含波动率的概念转换为隐含跳跃，旨在以类似的方式提取跳跃相关信息。这种新颖的尝试给估计过程带来了挑战，因此，我们提出了一种混合估计过程，该过程包含预搜索步骤，以识别模型参数的可靠初始值，从而提高估计精度。利用期权价格的日横截面，我们构建了两个新的指标：隐含跳跃期望指数（JIX）和跳跃波动指数（JVIX）来表示隐含跳跃。我们的实证结果表明，与VIX9D和HAR模型的历史成分相比，MJD模型下的隐含跳跃和隐含扩散风险对近期实现波动率的预测能力显著增加。此外，我们还证明，即使在市场极端事件或经济高度不确定性的情况下，JIX对第二天的市场回报也具有显著的预测能力。

引用次数: 0

The effects of monetary policy on macroeconomic downside risk: state-dependence matters 货币政策对宏观经济下行风险的影响：国家依赖性问题

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-11-01 DOI: 10.1016/j.jedc.2025.105201

Giovanni Barci

I study the dynamic causal relationship between monetary policy and macroeconomic downside risk, focusing on structural asymmetries in recessions and expansions. I find that a monetary easing during economic slowdowns reduces downside risk by about twice as much as a monetary tightening during booms increases it. If this asymmetry is not properly accounted for, it could lead to an overly cautious behaviour by policymakers when tightening during booms; the conclusion also holds when considering monetary contractions occurring during highly-leveraged expansions. Results align with theoretical models that include a financial accelerator mechanism. I obtain evidence by building downside risk indicators as linear combinations of relevant quantiles of the conditional forecast density of output growth. Generalised state-dependent impulse response functions to structural shocks of quantiles linear combinations are recovered using a novel econometric framework that mixes structural VAR and quantile regressions, both adapted to accommodate smooth-transition parameters.

我研究货币政策与宏观经济下行风险之间的动态因果关系，重点研究衰退和扩张中的结构性不对称。我发现，在经济放缓期间放松货币政策减少的下行风险，大约是在经济繁荣期间收紧货币政策增加下行风险的两倍。如果这种不对称没有得到适当的解释，它可能导致政策制定者在繁荣时期收紧政策时过于谨慎；在考虑高杠杆扩张期间出现的货币紧缩时，这一结论也成立。结果与包含金融加速器机制的理论模型一致。我通过将下行风险指标构建为产出增长条件预测密度相关分位数的线性组合来获得证据。使用混合结构VAR和分位数回归的新型计量经济学框架恢复分位数线性组合结构冲击的广义状态相关脉冲响应函数，两者都适应于平滑过渡参数。

引用次数: 0

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