Journal of Economic Dynamics & Control最新文献

英文中文

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

Ambiguity and information tradeoffs 歧义和信息权衡

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-16 DOI: 10.1016/j.jedc.2025.105180

Nihad Aliyev

We model investors facing ambiguity about the number of informed traders and characterize equilibrium in both financial and information markets. In the financial market, this ambiguity generates a premium that can be positive or negative, depending on traders' ambiguity attitude. The premium always increases with ambiguity aversion but only increases with ambiguity level when traders are sufficiently ambiguity averse. We show that traders' effective ambiguity aversion increases with the number of informed traders, resulting in a non-monotonic relation between the equity premium and the number of informed traders. In the information market, ambiguity about the number of informed traders emerges endogenously from a range of information acquisition costs.

我们模拟了投资者在知情交易者数量上的模糊性，并描述了金融和信息市场的均衡。在金融市场上，这种模糊性产生的溢价可能是正的，也可能是负的，这取决于交易者的模糊性态度。溢价总是随着模糊性厌恶的增加而增加，但只有当交易者足够厌恶模糊性时，溢价才会随着模糊性程度的增加而增加。我们发现交易者的有效歧义厌恶随着知情交易者数量的增加而增加，导致股权溢价与知情交易者数量之间存在非单调关系。在信息市场中，知情交易者数量的模糊性是由一系列信息获取成本内生产生的。

引用次数: 0

Pricing path-dependent equity and credit derivatives within a general hybrid equity-credit framework: A unified CTMC approximation approach 在一般混合股权-信贷框架内定价路径依赖的股权和信用衍生品：统一的CTMC近似方法

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-15 DOI: 10.1016/j.jedc.2025.105178

Ning Cai , Siyi Wang , Wei Zhang , Haohong Lin

We propose a unified closed-form approximation approach to pricing path-dependent equity and credit derivatives such as defaultable single- and double-barrier options and equity default swaps (EDSs) under jump-to-default extended exponential Lévy models with local volatilities. This rich class of hybrid equity-credit models allows for state-dependent volatilities, state-dependent default intensities, and general Lévy types with either finite or infinite activities and with either finite or infinite variations, and includes many important hybrid equity-credit models as special cases. The convergences of the closed-form approximation pricing formulas are theoretically proved, and the corresponding convergence rates are also theoretically established. Numerical results indicate that our pricing method is accurate and efficient under a wide range of hybrid equity-credit models.

我们提出了一种统一的封闭式近似方法来定价路径依赖的股票和信用衍生品，如可违约的单障碍和双障碍期权和股票违约掉期（EDSs）在跳跃到违约的扩展指数lsamevy模型下具有局部波动。这类丰富的混合股权-信贷模型允许依赖于状态的波动、依赖于状态的违约强度和具有有限或无限活动以及有限或无限变化的一般lsamvy类型，并包括许多重要的混合股权-信贷模型作为特殊情况。从理论上证明了封闭式近似定价公式的收敛性，并建立了相应的收敛率。数值结果表明，在多种股权-信贷混合模型下，该定价方法是准确有效的。

引用次数: 0

Efficient or systemic banks: Can regulation strike a deal? 高效银行或系统性银行：监管能达成协议吗？

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-15 DOI: 10.1016/j.jedc.2025.105182

Tirupam Goel

Should there be few large or several small banks? Large banks benefit from scale economies, but their default can be systemic. This paper develops a macroeconomic model with heterogeneous banks to study the efficiency versus financial-stability trade-off. Scale economies and default losses are calibrated using micro-data. Unlike representative bank models, a novel banking-dynamics channel of regulation emerges – the endogenous response in banks' size-distribution matters for welfare. Capital regulation that equalizes leverage, default rate, or expected loss across banks fails to account for the size-dependent trade-off. Optimal regulation is size-dependent, features a hump-shaped welfare response, and induces more medium-sized banks.

应该有几家大银行还是几家小银行？大型银行受益于规模经济，但它们的违约可能是系统性的。本文建立了一个包含异质性银行的宏观经济模型，研究了效率与金融稳定的权衡关系。规模经济和违约损失是用微观数据来校准的。与代表性的银行模型不同，一种新的银行动态监管渠道出现了——银行规模分配的内生反应关系到福利。平衡银行间杠杆率、违约率或预期损失的资本监管未能考虑到依赖于规模的权衡。最优监管是规模依赖的，具有驼峰型的福利响应，并诱导更多的中型银行。

引用次数: 0

Forward looking exporters 前瞻性出口商

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-09-15 DOI: 10.1016/j.jedc.2025.105183

François de Soyres , Erik Frohm , Emily Highkin , Carter Mix

We study the role of expectations in driving export adjustment. Using bilateral data on exchange rates, exchange rate forecasts, and HS2-product export data for a panel of countries, we show that expectations of exchange rate changes are an important channel for anticipatory export adjustment. In our preferred specification, an expected exchange rate depreciation induces substantial entry of new exporters (extensive margin adjustment), with no significant effect on total export volumes or the intensive margin. We develop a simple model with heterogeneous firms to provide intuition for these findings and discuss how anticipation behavior may affect trade elasticity measurement.

我们研究了预期在推动出口调整中的作用。我们利用双边汇率数据、汇率预测和一组国家的hs2产品出口数据表明，对汇率变化的预期是预期出口调整的重要渠道。在我们首选的规范中，预期的汇率贬值会导致新出口商大量进入（广泛的边际调整），对总出口量或密集边际没有显著影响。我们建立了一个具有异质企业的简单模型，为这些发现提供直觉，并讨论预期行为如何影响贸易弹性测量。

引用次数: 0

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