Journal of Economic Dynamics & Control最新文献

英文中文

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 : 2025-12-01 Epub 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

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 : 2025-12-01 Epub 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

Better late than never: Macroeconomic impact of intermittent college enrollment and tuition subsidies 迟做总比不做好：断断续续的大学招生和学费补贴对宏观经济的影响

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Dynamics & Control

Pub Date : 2025-12-01 Epub Date: 2025-11-21 DOI: 10.1016/j.jedc.2025.105219

Guanyi Yang

People often delay starting college or temporarily leave college to work. To examine the welfare implications of intermittent college attendance, I incorporate flexible age-by-age college enrollment choice in a life-cycle model in general equilibrium. College serves as an investment device for the young and reduces risk for the old. Removing flexible access reduces the total welfare value of college by one quarter. Moreover, higher wealth and better human capital preparedness at age 18 incentivize early-age degree completion. However, accessing college at a later age matters more for those who are initially less advantaged. Thus, policies that alleviate financial costs generate considerable long-term welfare improvements.

人们经常推迟上大学的时间，或者暂时离开大学去工作。为了检验间歇性大学入学对福利的影响，我在一般均衡的生命周期模型中纳入了灵活的按年龄的大学入学选择。大学对年轻人来说是一种投资工具，对老年人来说是降低风险的工具。取消灵活入学使大学的总福利价值减少了四分之一。此外，18岁时更高的财富和更好的人力资本准备会激励人们尽早完成学位。然而，对于那些最初处于劣势的人来说，在较晚的年龄进入大学更重要。因此，减轻财政成本的政策会产生相当大的长期福利改善。

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 : 2025-12-01 Epub 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

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 : 2025-11-01 Epub 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

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 : 2025-11-01 Epub 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

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 Epub Date: 2025-10-15 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 Epub Date: 2025-10-24 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

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 : 2025-11-01 Epub 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

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 : 2025-11-01 Epub 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

首页上一页

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Journal of Economic Dynamics & Control

全部 Geobiology Appl. Clay Sci. Geochim. Cosmochim. Acta J. Hydrol. Org. Geochem. Carbon Balance Manage. Contrib. Mineral. Petrol. Int. J. Biometeorol. IZV-PHYS SOLID EART+ J. Atmos. Chem. Acta Oceanolog. Sin. Acta Geophys. ACTA GEOL POL ACTA PETROL SIN ACTA GEOL SIN-ENGL AAPG Bull. Acta Geochimica Adv. Atmos. Sci. Adv. Meteorol. Am. J. Phys. Anthropol. Am. J. Sci. Am. Mineral. Annu. Rev. Earth Planet. Sci. Appl. Geochem. Aquat. Geochem. Ann. Glaciol. Archaeol. Anthropol. Sci. ARCHAEOMETRY ARCT ANTARCT ALP RES Asia-Pac. J. Atmos. Sci. ATMOSPHERE-BASEL Atmos. Res. Aust. J. Earth Sci. Atmos. Chem. Phys. Atmos. Meas. Tech. Basin Res. Big Earth Data BIOGEOSCIENCES Geostand. Geoanal. Res. GEOLOGY Geosci. J. Geochem. J. Geochem. Trans. Geosci. Front. Geol. Ore Deposits Global Biogeochem. Cycles Gondwana Res. Geochem. Int. Geol. J. Geophys. Prospect. Geosci. Model Dev. GEOL BELG GROUNDWATER Hydrogeol. J. Hydrol. Earth Syst. Sci. Hydrol. Processes Int. J. Climatol. Int. J. Earth Sci. Int. Geol. Rev. Int. J. Disaster Risk Reduct. Int. J. Geomech. Int. J. Geog. Inf. Sci. Isl. Arc J. Afr. Earth. Sci. J. Adv. Model. Earth Syst. J APPL METEOROL CLIM J. Atmos. Oceanic Technol. J. Atmos. Sol. Terr. Phys. J. Clim. J. Earth Sci. J. Earth Syst. Sci. J. Environ. Eng. Geophys. J. Geog. Sci. Mineral. Mag. Miner. Deposita Mon. Weather Rev. Nat. Hazards Earth Syst. Sci. Nat. Clim. Change Nat. Geosci. Ocean Dyn. Ocean and Coastal Research npj Clim. Atmos. Sci. Ocean Modell. Ocean Sci. Ore Geol. Rev. OCEAN SCI J Paleontol. J. PALAEOGEOGR PALAEOCL PERIOD MINERAL PETROLOGY+ Phys. Chem. Miner. Polar Sci. Prog. Oceanogr. Quat. Sci. Rev. Q. J. Eng. Geol. Hydrogeol. RADIOCARBON Pure Appl. Geophys. Resour. Geol. Rev. Geophys. Sediment. Geol.

﹀