Journal of Economic Dynamics & Control最新文献

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A simple nonparametric approach to pricing credit default swaps 信用违约互换定价的简单非参数方法

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.2025.105198

Santiago Forte

This study introduces a nonparametric approach to pricing credit default swaps (CDSs) and other single-name credit-risky securities. This method is notable for its simplicity, estimation speed, and flexibility. That is, it relies exclusively on closed-form solutions, which provide instantaneous results, and allows the user to reproduce any term structure of CDS spreads. I empirically assess its pricing performance by comparing it with an otherwise equivalent semiparametric (piecewise constant default probability) model that requires a series of root-search algorithms and represents the current market convention for marking-to-market CDS contracts. This analysis demonstrates that the new method also implies a reduction in mean percentage absolute pricing errors.

本文介绍了一种非参数方法来为信用违约掉期（cds）和其他单名信用风险证券定价。该方法以其简单性、估计速度和灵活性而著称。也就是说，它完全依赖于封闭形式的解决方案，提供即时结果，并允许用户复制CDS点差的任何期限结构。我通过将其与另一个等效的半参数（分段常数违约概率）模型进行比较，实证地评估了它的定价表现，该模型需要一系列的根搜索算法，并代表了当前市场对市场定价的CDS合约的惯例。这一分析表明，新方法也意味着减少平均百分比绝对定价误差。

引用次数: 0

How does inflation affect different age groups? 通货膨胀是如何影响不同年龄组的？

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.2025.105200

Volker Hahn, Annika Schürle

We develop an overlapping-generations model with sticky wages and prices to study the socially optimal inflation rate in the long term. While sticky prices and firms’ productivity growth would yield a positive optimal inflation rate, we show that sticky wages, in combination with empirically plausible changes in productivity over workers’ lives, make moderate deflation optimal. We also study intergenerational conflicts and show that younger voters gain from lower inflation, whereas older voters prefer higher inflation.

我们建立了一个具有粘性工资和价格的代际重叠模型来研究长期社会最优通货膨胀率。虽然粘性价格和企业生产率增长将产生正的最优通胀率，但我们表明，粘性工资与经验上合理的生产率随工人生活的变化相结合，使适度通缩成为最优。我们还研究了代际冲突，并表明年轻选民从较低的通货膨胀中获益，而年长选民则更喜欢较高的通货膨胀。

引用次数: 0

Demand-side real rigidities revisited 需求侧实际刚性再度显现

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-10-30 DOI: 10.1016/j.jedc.2025.105204

Toyoichiro Shirota

This study explores the mechanism behind the persistent effects of monetary policy shocks, resolving a discrepancy between an assumption in typical macroeconomic models and micro evidence. While standard macro models often rely on a large demand kink (a micro real rigidity) to generate persistent real effects of monetary policy shocks, micro-empirical studies find this kink to be modest. I show that this discrepancy can be resolved by focusing on a previously underexplored interaction: the effects of this modest, empirically consistent micro real rigidity are amplified when combined with the macro real rigidities inherent in production linkages. A stylized production-chain model first clarifies the mechanism, showing how upstream micro rigidities are transformed into downstream macro rigidities. A large-scale production-network model, disciplined by empirical data, then demonstrates that this combined mechanism is quantitatively important for macroeconomic persistence.

本研究探讨了货币政策冲击持续效应背后的机制，解决了典型宏观经济模型假设与微观证据之间的差异。虽然标准的宏观模型通常依赖于巨大的需求扭结（微观实际刚性）来产生货币政策冲击的持续实际影响，但微观实证研究发现这种扭结是适度的。我表明，这种差异可以通过关注先前未被充分探索的相互作用来解决：当与生产联系中固有的宏观实际刚性相结合时，这种适度的、经验一致的微观实际刚性的影响会被放大。一个程式化的生产链模型首先阐明了这一机制，展示了上游的微观刚度如何转化为下游的宏观刚度。一个由经验数据约束的大规模生产网络模型表明，这种组合机制在数量上对宏观经济的持久性很重要。

引用次数: 0

Agree to disagree: Measuring hidden dissent in FOMC meetings 求同存异：衡量FOMC会议中隐藏的不同意见

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-10-09 DOI: 10.1016/j.jedc.2025.105197

Kwok Ping Tsang , Zichao Yang

Using FOMC transcripts and customized deep learning models, we quantify “hidden dissent”, or disagreement in the FOMC that is unobserved in formal votes. We find hidden dissent to be prevalent and systematically driven by macroeconomic conditions like inflation and unemployment. It strongly correlates with divergent member projections (SEP) and measures of policy sub-optimality, reflecting heterogeneity among members in policy preferences. Furthermore, we show that the financial markets respond to the hidden dissent implied in FOMC minutes.

使用FOMC记录和定制的深度学习模型，我们量化了“隐藏的异议”，即FOMC中未在正式投票中观察到的分歧。我们发现，通胀和失业等宏观经济状况普遍并系统性地推动了隐性异议。它与成员分歧预测（SEP）和政策次优性指标密切相关，反映了成员在政策偏好上的异质性。此外，我们表明，金融市场对FOMC会议纪要中隐含的潜在异议做出了反应。

引用次数: 0

Penetration or skimming pricing for credence products? 渗透或撇价信誉产品？

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-10-07 DOI: 10.1016/j.jedc.2025.105196

Philippe Mahenc

This paper investigates a dynamic model of price signaling for a credence product with unknown social performance. A new entrant uses prices to reveal social responsibility and maintain reputation during a verification phase. In equilibrium, the signaling strategy involves penetration or skimming pricing depending on the competitive pressures the entrant faces. Faced with competition from conventional incumbents, the socially responsible entrant repeatedly charges low prices to penetrate the market. In contrast, in an untapped market, the socially responsible entrant repeatedly charges high prices to skim the cream off the top of the demand. In both cases, costly signaling is consistent with Veblen's law that conspicuous waste is an effective signal of reputation.

本文研究了具有未知社会绩效的信用产品价格信号的动态模型。新进入者在验证阶段使用价格来显示社会责任和维护声誉。在均衡状态下，信号策略包括渗透或撇脂定价，这取决于进入者面临的竞争压力。面对来自传统企业的竞争，具有社会责任感的新进入者不断收取低价以打入市场。相比之下，在一个尚未开发的市场中，有社会责任感的进入者会反复收取高价，以从需求的顶端榨取精华。在这两种情况下，昂贵的信号都符合凡勃伦定律，即明显的浪费是声誉的有效信号。

引用次数: 0

Can investors curb greenwashing? 投资者能否遏制“漂绿”？

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-10-07 DOI: 10.1016/j.jedc.2025.105195

Fanny Cartellier , Peter Tankov , Olivier David Zerbib

We show how investors with pro-environmental preferences and who penalize revelations of past environmental controversies impact corporate greenwashing practices. Through a dynamic equilibrium model, we characterize firms' optimal environmental communication, green investments, and greenwashing policies, and we explain the forces driving them. Notably, under a condition that we explicitly characterize, companies greenwash to inflate their environmental rating above their fundamental environmental value, with an effort and impact increasing with investors' pro-environmental preferences. However, investment decisions that penalize greenwashing, policies increasing transparency, and environment-related technological innovation contribute to mitigating corporate greenwashing. We provide empirical support for our results.

我们展示了具有亲环境偏好和惩罚过去环境争议披露的投资者如何影响企业的“漂绿”行为。通过动态均衡模型，我们描述了企业的最优环境沟通、绿色投资和洗绿政策，并解释了驱动它们的力量。值得注意的是，在我们明确描述的条件下，公司“洗绿”以将其环境评级夸大到其基本环境价值之上，其努力和影响随着投资者的亲环境偏好而增加。然而，惩罚“漂绿”的投资决策、提高透明度的政策以及与环境相关的技术创新有助于减轻企业“漂绿”。我们为我们的结果提供实证支持。

引用次数: 0

Dollarization hysteresis, inflation jumps, and fear of inflation 美元化滞后，通货膨胀跳跃，以及对通货膨胀的恐惧

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-10-02 DOI: 10.1016/j.jedc.2025.105194

Hamilton Galindo Gil , Liu Mendoza Perez

We analyze dollarization hysteresis in emerging economies, linking the persistent demand for foreign currency to past inflation experiences and the perceived risk of returning to high inflation episodes. Using data from 116 emerging economies, we show that dollarization remains high even after disinflation, particularly in countries with histories of extreme inflation. We uncover three stylized facts: (i) high inflation episodes are frequent and severe; (ii) they coincide with sharp currency depreciations, triggering shifts to dollar deposits; and (iii) dollarization persists long after inflation stabilizes. Motivated by these facts, we develop a portfolio-choice model where agents allocate between domestic and dollar deposits. We show that although a hedge demand—associated with the observed correlation between inflation and depreciation in low-inflation economies—plays a role, it is not sufficient to generate a positive allocation to dollar deposits. By incorporating inflation disasters and fear of inflation—persistent pessimism shaped by past instability—we account for dollarization's resilience. Together, risk hedging, disaster risk, and belief heterogeneity explain why dollarization persists in low-inflation emerging economies.

我们分析了新兴经济体的美元化滞后性，将对外币的持续需求与过去的通胀经历和重返高通胀时期的感知风险联系起来。我们使用来自116个新兴经济体的数据表明，即使在通货紧缩之后，美元化仍然很高，特别是在有极端通货膨胀历史的国家。我们发现了三个程式化的事实：(1)高通胀事件频繁且严重；（ii）它们与货币大幅贬值同时发生，引发人们转向美元存款；（三）美元化在通货膨胀稳定后很长一段时间内持续存在。基于这些事实，我们开发了一个投资组合选择模型，其中代理人在国内存款和美元存款之间进行配置。我们表明，尽管对冲需求（与低通胀经济体中观察到的通胀和贬值之间的相关性相关）发挥了作用，但它不足以产生对美元存款的正配置。通过结合通货膨胀灾难和对通货膨胀的恐惧——由过去的不稳定形成的持续悲观主义——我们解释了美元化的弹性。风险对冲、灾难风险和信念异质性共同解释了为什么美元化在低通胀的新兴经济体中持续存在。

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引用次数: 0

Pandemic consumption 大流行消费

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-26 DOI: 10.1016/j.jedc.2025.105185

Rüdiger Bachmann , Christian Bayer , Martin Kornejew

This paper examines how households adjusted their consumption behavior in response to COVID-19 infection risk during the early phase of the pandemic and without consumption lockdowns. We use a monthly consumption survey specifically designed by the German Statistical Office, covering the second wave of COVID-19 infections from September to November 2020. Households reduced their consumption expenditures on durable goods and social activities by 24 percent and 36 percent, respectively, in response to one hundred additional infections per one hundred thousand inhabitants per week. The effect was concentrated among the elderly, whose mortality risk from COVID-19 infection was arguably the highest.

本文研究了在大流行的早期阶段，在没有消费封锁的情况下，家庭如何调整消费行为以应对COVID-19感染风险。我们使用了德国统计局专门设计的月度消费调查，涵盖了2020年9月至11月的第二波COVID-19感染。由于每10万居民每周新增100例感染病例，家庭在耐用品和社会活动方面的消费支出分别减少了24%和36%。这种影响主要集中在老年人身上，他们死于COVID-19感染的风险可以说是最高的。

引用次数: 0

Price stickiness and strategic uncertainty: An experimental study 价格粘性与策略不确定性：一个实验研究

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-26 DOI: 10.1016/j.jedc.2025.105186

Yukihiko Funaki , Kohei Kawamura , Kozo Ueda , Nobuyuki Uto

We identify a minimal set of components to generate price stickiness by a laboratory experiment on an oligopolistic price setting game. Our design involves repeated aggregate shocks to the market but features no uncertainty in their timing and magnitude, no real-nominal distinction, or no need to compute the best response to the prices of the other subjects. We find persistent price stickiness when prices are strategic complements and fully anticipated shocks lower the equilibrium price. By exploring the causes of the observed downward stickiness, we find that it stems from strategic uncertainty regarding beliefs about others' prices, compounded by strategic complementarity and an asymmetric payoff structure.

通过对寡头垄断价格设定博弈的实验室实验，我们确定了产生价格粘性的最小组件集。我们的设计涉及对市场的反复总体冲击，但其时间和幅度没有不确定性，没有实际名义差异，也不需要计算对其他主体价格的最佳反应。我们发现，当价格是战略互补且完全预期的冲击降低均衡价格时，价格具有持续的粘性。通过探索观察到的向下粘性的原因，我们发现它源于对他人价格信念的战略不确定性，再加上战略互补性和不对称的回报结构。

引用次数: 0

Persistence of labor share fluctuations and overshooting 劳动收入占比持续波动和超调

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-19 DOI: 10.1016/j.jedc.2025.105184

Sujan Bandyopadhyay , Domenico Ferraro

Workhorse business cycle models struggle to explain the magnitude and persistence of cyclical fluctuations in the labor share of output and employment in the United States. A model with search frictions in the labor market and a technology choice addresses this shortcoming. In this model, the production technology is a constant elasticity of substitution (CES) in the short run, while it converges to Cobb-Douglas in the long run. We calibrate the model using U.S. data and find that the inclusion of a technology choice with adjustment costs significantly enhances the model's ability to propagate productivity shocks, compared to a model with a fixed Cobb-Douglas technology. The calibrated model successfully replicates the overshooting of the labor share in the data.

主力商业周期模型难以解释美国劳动占产出和就业份额的周期性波动的幅度和持久性。一个包含劳动力市场搜索摩擦和技术选择的模型解决了这一缺陷。在该模型中，生产技术在短期内具有恒定的替代弹性（CES），而在长期内收敛于柯布-道格拉斯模型。我们使用美国数据校准模型，发现与固定的柯布-道格拉斯技术模型相比，包含调整成本的技术选择显著增强了模型传播生产率冲击的能力。校正后的模型成功地复制了数据中劳动收入占比的超调。

引用次数: 0

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