Economic Modelling最新文献

英文中文

Volatility regimes and jumps in crude oil futures: Uncovering how market shocks trigger extreme comovements 原油期货的波动机制和跳跃：揭示市场冲击如何引发极端波动

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-11 DOI: 10.1016/j.econmod.2026.107532

Haoyu Shi, Xu Zheng, Yuansheng Wang

This study investigates how intraday market shocks shape extreme co-movements in crude oil futures, addressing the limited understanding of tail dependence across trading sessions. Existing studies document volatility spillovers across crude oil markets but largely overlook the role of market microstructure and intraday dynamics. Using synchronized 15-minute high-frequency data for INE, Brent, and WTI futures, we examine how price jumps, continuous volatility, and concurrent volatility regimes affect tail dependence. Our results show that daytime tail dependence is mainly driven by regional cojumps while nighttime tail dependence is amplified by continuous volatility under strong global market integration. We further find that concurrent high-volatility states significantly increase downside comovements across markets. These findings highlight how microstructure factors influence extreme risks in different periods and provide guidance for investors designing hedging strategies and for policymakers monitoring market stability under stress.

本研究探讨了日内市场冲击如何塑造原油期货的极端联合运动，解决了对交易时段尾部依赖性的有限理解。现有的研究记录了原油市场的波动性溢出，但在很大程度上忽视了市场微观结构和日内动态的作用。使用同步的15分钟高频数据为INE、Brent和WTI期货，我们研究了价格跳跃、持续波动和并发波动机制如何影响尾部依赖性。研究结果表明，在全球市场一体化的背景下，白天的尾巴依赖主要由区域共跳驱动，而夜间的尾巴依赖则被持续波动放大。我们进一步发现，同时出现的高波动性状态显著增加了整个市场的下行走势。这些发现突出了微观结构因素对不同时期极端风险的影响，为投资者设计对冲策略和政策制定者在压力下监测市场稳定性提供了指导。

引用次数: 0

Digital transformation and enterprise mergers and acquisitions: Mechanism tests and empirical evidence 数字化转型与企业并购：机制检验与经验证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-05 DOI: 10.1016/j.econmod.2026.107528

Mengyu Shi , Qiong Xu , Yu Shi , Jiamin Yan

Digital transformation acts as a driver for high-quality enterprise development. Focusing on Chinese A-share listed firms, this study uses machine learning methods to empirically investigate the impact of digital transformation on enterprise mergers and acquisitions (M&A). Results indicate that digital transformation can significantly promote enterprise M&A. This conclusion remains valid after overcoming endogeneity and executing various robustness checks. Notably, the influence of digital transformation on M&A varies significantly, with stronger effects observed in non-state-owned enterprises, those in competitive markets, and firms in a better financial environment. Mechanistic analysis reveals that enhanced financing and information channels are key pathways through which digital transformation facilitates M&A. This study offers empirical insights into the microeconomic impacts of digital transformation, emphasizing its role in enterprise M&A strategies.

数字化转型是企业高质量发展的动力。本研究以中国A股上市公司为研究对象，运用机器学习方法实证研究数字化转型对企业并购的影响（M&；A）。研究结果表明，数字化转型对企业管理具有显著的促进作用。在克服内生性和执行各种鲁棒性检查后，这一结论仍然有效。值得注意的是，数字化转型对并购A的影响差异显著，非国有企业、竞争市场企业和金融环境较好的企业的影响更强。机制分析表明，增强的融资和信息渠道是数字化转型促进并购的关键途径。本研究对数字化转型的微观经济影响进行了实证分析，强调了数字化转型在企业并购战略中的作用。

引用次数: 0

Innovation-economic trade-offs:A perspective of low-carbon policy intensity 创新与经济的权衡：低碳政策强度的视角

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-03 DOI: 10.1016/j.econmod.2026.107527

Hao Wang , Li-Jing Liu

Existing literature emphasizes low-carbon policy implementation and benefits but overlooks intensity effects and trade-offs. This study introduces a low-carbon policy intensity index, a composite indicator of stringency and prioritization, to analyze the effects of policy intensity on city-level carbon total factor productivity and identify potential trade-offs. The analysis demonstrates spatial heterogeneity in policy effectiveness, with less-developed, resource-dependent, and small cities exhibiting heightened responsiveness to rigorous measures. Key mechanisms include green technology innovation and efficiency catch-up effects. However, two trade-offs emerge: (1) innovation tends to prioritize quantity over quality; (2) industrial restructuring generates short-term economic transition pressures. Scenario analysis shows that economic structural adjustment—particularly electricity optimization can mitigate these dilemmas by sustaining growth while curbing emissions. These findings demonstrate that shifting from nominal policy adoption to structural reforms and optimized intensity is key to balancing economic and environmental goals.

现有文献强调低碳政策的实施和效益，但忽视了强度效应和权衡。本研究引入低碳政策强度指数，即政策严格度和优先度的复合指标，分析政策强度对城市碳全要素生产率的影响，并识别潜在的权衡。分析表明，政策有效性存在空间异质性，欠发达、资源依赖型和小城市对严格措施的响应程度更高。关键机制包括绿色技术创新和效率追赶效应。然而，存在两种权衡：(1)创新倾向于优先考虑数量而不是质量；(2)产业结构调整产生短期经济转型压力。情景分析表明，经济结构调整——特别是电力优化——可以在保持增长的同时抑制排放，从而缓解这些困境。这些发现表明，从名义上的政策采纳转向结构改革和优化强度是平衡经济和环境目标的关键。

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引用次数: 0

The two sides of inflation: How price increases and price cuts shape inflation 通货膨胀的两面性：价格上涨和降价如何影响通货膨胀

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-11 DOI: 10.1016/j.econmod.2026.107533

Ricardo Quineche , Juan Zapata

Inflation reflects the balance between firms raising and cutting prices, yet analyses focus only on aggregate rates, obscuring how pricing pressures transmit shocks. Existing decompositions use factor models or sign restrictions but lack transparent linkage to observed sectoral pricing decisions. Using 245 U.S. Personal Consumption Expenditures sub-indices spanning 1959–2024, we decompose inflation into upward and downward pricing pressures. We document fundamental asymmetry: inflationary pressure exhibits dramatic variation (2.35% to 12.68%) while deflationary pressure remains remarkably stable (0.72% to 5.18%). Informationally robust contractionary monetary policy operates through dual channels — restraining price increases and encouraging price cuts — with deflationary pressure peaking at 0.5 percentage points and remaining elevated for one year, resolving the price puzzle. Supply shocks operate primarily through price increases. These distinct mechanisms challenge symmetric views of inflation dynamics across shock types. The framework provides central banks real-time diagnostic tools for evaluating transmission and identifying inflation sources.

通货膨胀反映了企业提高和降低价格之间的平衡，然而分析只关注总利率，模糊了价格压力如何传递冲击。现有的分解使用因子模型或符号限制，但缺乏与观察到的部门定价决策的透明联系。我们使用1959-2024年间的245个美国个人消费支出分类指数，将通胀分解为上行和下行的价格压力。我们记录了基本的不对称性：通胀压力表现出巨大的变化（2.35%至12.68%），而通缩压力保持显著稳定（0.72%至5.18%）。信息上稳健的紧缩货币政策通过双重渠道发挥作用——抑制价格上涨和鼓励价格下跌——通缩压力在0.5个百分点时达到峰值，并在一年内保持高位，从而解决了价格难题。供应冲击主要通过价格上涨来实现。这些不同的机制挑战了不同冲击类型的暴胀动力学的对称观点。该框架为央行提供了实时诊断工具，用于评估传导和识别通胀来源。

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引用次数: 0

Can industrial technology convergence facilitate firms' international expansion? Firm-level empirical evidence from China 产业技术融合能促进企业的国际扩张吗？来自中国的企业层面的实证证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-04 DOI: 10.1016/j.econmod.2026.107524

Mudan Lan , Yuhong Huang

Amid rising global economic uncertainty, firms' international expansion faces mounting challenges, while the convergence of digital and real industries offers fresh strategic opportunities for high-level openness. Using data from Chinese listed firms, this study examines how such convergence shapes outward foreign direct investment (OFDI). Empirical results show that convergence significantly boosts both the probability and scale of OFDI, with this effect being greater in regions with strict intellectual property protection, high-technology industries, and export-oriented enterprises. Mechanism tests indicate that improvements in total factor productivity and easing of financing constraints are key drivers. Further evidence suggests convergence stimulates cross-border mergers and acquisitions and enhances overseas revenues. This research enriches understanding of the nexus between technology convergence and internationalization, offering policy insights for emerging economies to leverage the digital economy to strengthen global competitiveness. More broadly, the integration of digital and real industries will remain a vital catalyst for firms’ international growth.

在全球经济不确定性上升的背景下，企业的国际扩张面临越来越多的挑战，而数字和实体产业的融合为高水平的开放提供了新的战略机遇。本文利用中国上市公司的数据，考察了这种趋同如何影响对外直接投资（OFDI）。实证结果表明，趋同显著提高了对外直接投资的概率和规模，且在知识产权保护严格的地区、高技术产业地区和出口导向型企业地区，这种效应更大。机制测试表明，全要素生产率的提高和融资约束的缓解是关键驱动因素。进一步的证据表明，融合刺激了跨境并购，增加了海外收入。本研究丰富了对技术融合与国际化之间关系的理解，为新兴经济体利用数字经济增强全球竞争力提供了政策见解。更广泛地说，数字产业和实体产业的融合仍将是企业国际发展的重要催化剂。

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引用次数: 0

Does the digital economy amplify household income uncertainty? Evidence from China 数字经济是否放大了家庭收入的不确定性？来自中国的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-04 DOI: 10.1016/j.econmod.2026.107518

Chenzhe Zhai , Debao Hu , Junting Dong , Ming Jin

This study examines the impact of the digital economy on household income uncertainty, addressing a gap in the literature on its broader implications. Using data from the China Family Panel Studies (2018–2022), we explore whether and how the digital economy affects household income volatility. Our analysis reveals that the digital economy amplifies income uncertainty, with financial market participation, entrepreneurship, and employment status playing key roles in this process. Heterogeneities exist across different income levels, regions, urban and rural areas and education levels. These findings offer new insights into the broader effects of digitalization and highlight the need for targeted policies to mitigate its negative impacts, enabling households to better adapt to the challenges posed by the digital economy.

本研究考察了数字经济对家庭收入不确定性的影响，解决了文献中关于其更广泛含义的空白。利用中国家庭面板研究（2018-2022）的数据，我们探讨了数字经济是否以及如何影响家庭收入波动。我们的分析表明，数字经济放大了收入的不确定性，金融市场参与度、创业精神和就业状况在这一过程中发挥了关键作用。不同收入水平、地区、城乡和教育水平存在异质性。这些发现为数字化的广泛影响提供了新的见解，并强调需要制定有针对性的政策来减轻其负面影响，使家庭能够更好地适应数字经济带来的挑战。

引用次数: 0

From conflict to creativity: US-China trade war and Chinese corporate innovation 从冲突到创新：中美贸易战与中国企业创新

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-06 DOI: 10.1016/j.econmod.2026.107526

Jian Du , Xingye Jin , Jing Li , Xinyi Shen

Enterprises worldwide are facing the shock of anti-globalization, but there is little literature exploring the impact of the trade war on corporate innovation. In this paper, we first build a theoretical model to analyze the impact of the trade war on innovation. Then, we use detailed patent data of Chinese listed companies between 2015 and 2021, and find that the trade war does not affect corporate R&D expenditure, but significantly increases their patent output and patent quality. These results still hold after a battery of endogeneity tests. Next, we reveal that the Chinese government plays an important role in promoting corporate innovation during the trade war. Moreover, the trade war does not lead firms to shift their innovation pathways but increases high-end patents and collaborative innovation. Finally, heterogeneity analyses show that the trade war leads to more patents and patent citations for firms with higher economic policy uncertainty perception, less severe management myopia, and more intermediate goods import, but it has no impact on the R&D expenditures of any type of firms.

全球企业都面临着逆全球化的冲击，但很少有文献探讨贸易战对企业创新的影响。本文首先构建了一个理论模型来分析贸易战对创新的影响。然后，我们使用2015 - 2021年中国上市公司的详细专利数据，发现贸易战不影响企业研发支出，但显著提高了企业的专利产出和专利质量。这些结果在一系列内生性测试后仍然成立。接下来，我们揭示了中国政府在贸易战中推动企业创新方面发挥的重要作用。此外，贸易战并未导致企业转移创新路径，反而增加了高端专利和协同创新。最后，异质性分析表明，对于经济政策不确定性感知程度较高、管理近视程度较轻、中间产品进口较多的企业，贸易战导致其专利和专利引用数量增加，但对任何类型企业的研发支出均无影响。

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引用次数: 0

Accumulating cross-border M&A experience and its impact on enterprise innovation: Evidence from China 跨国并购经验积累及其对企业创新的影响：来自中国的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-05 DOI: 10.1016/j.econmod.2026.107529

Jing Li , Yibing Ding , Yingjie Fu

Accumulating cross-border mergers and acquisitions (M&A) experience reflects a dynamic learning process for firms, yet its impact on innovation remains uncertain. Using data on Chinese firms involved in cross-border M&A from 2009 to 2020, this study investigates how accumulated M&A experience influences corporate innovation. The findings show that M&A experience significantly enhances innovation performance. Mechanism analyses suggest that accumulated experience promotes innovation by easing growth pressure and strengthening resource competitiveness, while R&D manipulation weakens this positive effect. Heterogeneity analyses reveal that the impact is stronger for state-owned enterprises, firms with low R&D capacity, and those undertaking M&A within the same industry. Both technology-oriented and non-technology-oriented M&A experience are found to contribute to innovation. Overall, this study enriches the literature by offering new evidence on how accumulated cross-border M&A experience fosters innovation and provides insights for firms seeking to enhance innovation through international expansion.

跨国并购经验的积累反映了企业的动态学习过程，但其对创新的影响仍不确定。本文利用2009年至2020年中国跨国并购企业的数据，考察了并购经验积累对企业创新的影响。研究结果表明，并购体验显著提高了企业的创新绩效。机制分析表明，经验积累通过缓解增长压力和增强资源竞争力来促进创新，而研发操纵则削弱了这种积极作用。异质性分析表明，国有企业、研发能力较低的企业和同行业内进行并购的企业受到的影响更大。研究发现，以技术为导向和以非技术为导向的经验都有助于创新。总的来说，本研究丰富了文献，为积累的跨国并购经验如何促进创新提供了新的证据，并为寻求通过国际扩张加强创新的公司提供了见解。

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引用次数: 0

Big reforms, big returns? Evidence from structural reform shocks 大改革，大回报？结构性改革冲击的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-01-29 DOI: 10.1016/j.econmod.2026.107484

Alessio Terzi , Marco Pasquale Marrazzo

Following a series of disappointing outcomes in Latin America and Sub-Saharan Africa, traditional structural reform shocks, of the type advocated under the ‘Washington Consensus’, came to be widely viewed as unsuccessful. This paper revisits that conclusion by applying a novel generalised use of the non-parametric Synthetic Control Method with multiple treated units to estimate the impact of 23 policy reform shocks (spanning both real and financial sector measures) implemented globally between 1961 and 2000. Our results suggest that, notwithstanding a muted short-term impact, wide-reaching reforms on average raised GDP per capita by around 6 percentage points over a decade. These findings are robust across alternative specifications, placebo and falsification tests, and different reform indicators. While outcomes were heterogeneous, the results indicate that broad liberalising reforms have more often than not delivered medium-term growth improvements, underscoring the importance of understanding the conditions under which they succeed.

在拉丁美洲和撒哈拉以南非洲出现了一系列令人失望的结果之后，人们普遍认为“华盛顿共识”所倡导的传统结构性改革冲击是不成功的。本文通过应用非参数综合控制方法的一种新的通用方法和多个处理单元来估计1961年至2000年间全球实施的23次政策改革冲击（包括实体和金融部门措施）的影响，重新审视了这一结论。我们的研究结果表明，尽管短期影响不大，但广泛的改革在十年内平均将人均GDP提高了约6个百分点。这些发现在替代规格、安慰剂和伪造检验以及不同的改革指标中都是稳健的。尽管结果各不相同，但结果表明，广泛的自由化改革往往会带来中期增长改善，这突显了了解改革成功的条件的重要性。

引用次数: 0

Climate policy uncertainty and macroeconomic dynamics: Financial amplification and state-dependent effects 气候政策不确定性和宏观经济动态：金融放大效应和国家依赖效应

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-05-01 Epub Date: 2026-02-10 DOI: 10.1016/j.econmod.2026.107523

Facundo Luna Mallea

Climate policy uncertainty (CPU) poses growing risks to macroeconomic stability, yet its transmission mechanisms remain understood. While the literature has examined general uncertainty, the state-dependent effects of transition risk through the financial system are underexplored. Using U.S. local projections and a two-sector New Keynesian model, this paper examines how CPU shocks propagate across the business cycle. I find that CPU shocks significantly contract investment and credit during economic expansions, whereas their effects are statistically muted during recessions. These dynamics are driven by a brown collateral channel, where uncertainty about the future value of carbon-intensive assets triggers a financial accelerator mechanism. The findings highlight that transition risk operates as a systemic financial shock, suggesting that macro-prudential frameworks must account for the volatility of brown asset valuations.

气候政策不确定性（CPU）对宏观经济稳定构成越来越大的风险，但其传导机制尚不清楚。虽然文献研究了一般的不确定性，但通过金融体系的转型风险的国家依赖效应尚未得到充分探讨。本文利用美国本地预测和一个两部门新凯恩斯模型，研究了CPU冲击如何在整个商业周期中传播。我发现，在经济扩张期间，CPU冲击显著收缩了投资和信贷，而在经济衰退期间，它们的影响在统计上是温和的。这些动态是由一个棕色抵押品渠道驱动的，在这个渠道中，碳密集型资产未来价值的不确定性触发了一个金融加速器机制。研究结果强调，转型风险是一种系统性金融冲击，这表明宏观审慎框架必须考虑到棕色资产估值的波动性。

引用次数: 0

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