Economic Modelling最新文献

英文中文

Inflation volatility under rational inattention: A semi-parametric model and the directional volatility ratio 理性不注意下的通货膨胀波动率：半参数模型与定向波动率

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-29 DOI: 10.1016/j.econmod.2026.107516

Alfredo Garcia-Hiernaux , Maria T. Gonzalez-Perez , David E. Guerrero

We propose a semi-parametric volatility model to estimate inflation volatility within a conceptual framework that incorporates rational inattention and price stickiness. The model is applied to inflation data for Germany, France, Spain, the Eurozone, the United States, the United Kingdom, Japan, and Canada over the period 2002–2024, and the United States during the Great Inflation and Moderation (1965–1990). Our estimator outperforms standard parametric and non-parametric alternatives in forecasting inflation volatility and exhibits a strong empirical relationship with survey-based measures of inflation uncertainty. We also introduce the Directional Volatility Ratio (DVR), a novel measure that captures time-varying asymmetries in the relationship between inflation levels and volatility. This measure is effective for tracking shifting inflation trends, identifying turning points, and characterizing inflation risk across different regimes.

我们提出了一个半参数波动模型来估计通货膨胀波动的概念框架，其中包括理性不注意和价格粘性。该模型应用于德国、法国、西班牙、欧元区、美国、英国、日本和加拿大2002-2024年期间的通货膨胀数据，以及美国在大通货膨胀和温和时期（1965-1990年）的通货膨胀数据。我们的估计器在预测通货膨胀波动性方面优于标准参数和非参数替代方法，并与基于调查的通货膨胀不确定性指标表现出强烈的经验关系。我们还介绍了定向波动率（DVR），这是一种捕捉通货膨胀水平与波动率之间关系的时变不对称性的新度量。这一措施对于跟踪不断变化的通胀趋势、识别拐点和描述不同制度下的通胀风险是有效的。

引用次数: 0

A Bayesian synthetic control method via horseshoe priors 基于马蹄形先验的贝叶斯综合控制方法

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-28 DOI: 10.1016/j.econmod.2026.107502

Xiaohua Ma , Qibing Gao , Jun Wang , Mingquan Wang , Chunhua Zhu

This paper provides a novel Bayesian synthetic control method (BSCM) that integrates a horseshoe prior (H-BSCM) with a panel interactive fixed effects model for policy evaluation involving multiple treated units and staggered treatment timing. Counterfactual posterior distributions are constructed within a Bayesian panel interactive fixed effects framework, with horseshoe priors added to address sparsity in panel data. The new H-BSCM naturally quantifies heterogeneous policy effects while enabling effective variable selection. We further discuss an extension that incorporates hierarchical group structures. Monte Carlo simulations reveal that H-BSCM outperforms existing methods in uncertainty estimation and signal identification. Additional empirical applications across different fields confirm the method’s adaptability. An application to China’s Sulfur Dioxide Emissions Trading Pilot Scheme indicates that the policy significantly reduced industrial

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emissions, with effects that vary across regions and over time. Overall, the results highlight the effectiveness and practical applicability of the proposed methodology for policy evaluation.

本文提出了一种新的贝叶斯综合控制方法（BSCM），该方法将马蹄先验（H-BSCM）与面板交互固定效应模型相结合，用于涉及多个处理单元和交错处理时间的政策评估。反事实后验分布在贝叶斯面板交互固定效应框架内构建，并添加马蹄形先验以解决面板数据的稀疏性。新的H-BSCM自然地量化了异质性政策效应，同时实现了有效的变量选择。我们将进一步讨论一个包含分层组结构的扩展。蒙特卡罗仿真表明，H-BSCM在不确定性估计和信号识别方面优于现有方法。在不同领域的额外经验应用证实了该方法的适应性。对中国二氧化硫排放交易试点计划的应用表明，该政策显著减少了工业二氧化硫排放，其效果因地区和时间而异。总体而言，结果突出了所提出的政策评估方法的有效性和实际适用性。

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引用次数: 0

Quantifying systemic risk via high-dimensional CoVaR measures 通过高维CoVaR度量量化系统风险

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-28 DOI: 10.1016/j.econmod.2026.107494

Yufei Cao

I quantify high-dimensional conditional value-at-risk (CoVaR) measures, including multi-CoVaR (MCoVaR) and vulnerability-CoVaR (VCoVaR), to assess systemic risk arising from distress across multiple financial institutions. MCoVaR captures system-wide risk under the assumption that all institutions are distressed, whereas VCoVaR reflects scenarios in which at least one institution breaches its value-at-risk threshold. Using a two-step maximum log-likelihood approach based on multivariate dynamic conditional correlation (DCC)-generalized autoregressive conditional heteroskedasticity (GARCH) models, I first estimate univariate GARCH parameters via quasi-likelihood methods and then estimate multivariate DCC parameters. Analyzing 246 U.S. financial institutions (73 banks, 52 brokers, 34 real estate firms, and 87 insurers) at both institutional and sectoral levels, I identify heterogeneous contributions to systemic risk across groups. Statistical tests confirm that each group plays a significant role in systemic vulnerability, although their relative importance depends on the specific systemic risk measure employed. Overall, the results provide new insights into the drivers of systemic risk associated with multivariate institutional distress.

我量化了高维条件风险价值（CoVaR）指标，包括多重风险价值（MCoVaR）和脆弱性风险价值（VCoVaR），以评估多个金融机构因困境而产生的系统性风险。在假设所有机构都陷入困境的情况下，MCoVaR捕获了系统范围的风险，而VCoVaR反映了至少一家机构超过其风险价值阈值的情况。本文采用基于多元动态条件相关-广义自回归条件异方差（GARCH）模型的两步最大对数似然方法，首先通过拟似然方法估计单变量GARCH参数，然后估计多元DCC参数。我分析了246家美国金融机构（73家银行、52家经纪人、34家房地产公司和87家保险公司）在机构和部门层面的情况，确定了不同群体对系统性风险的异质性贡献。统计测试证实，尽管它们的相对重要性取决于所采用的具体系统性风险措施，但每个群体在系统性脆弱性中都发挥着重要作用。总体而言，研究结果为与多元制度困境相关的系统性风险驱动因素提供了新的见解。

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引用次数: 0

Modeling electricity markets when renewable power increases 可再生能源增加时的电力市场模型

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-27 DOI: 10.1016/j.econmod.2026.107504

Clas Eriksson, Johan Lindén, Christos Papahristodoulou

We analyze theoretically a simple model of the electricity market where the supply of Variable Renewable Electricity (VRE) and demand are both shifting stochastically over time. The correlation between these shifts is crucial for the equilibrium price of electricity. Based on hourly equilibria we compute yearly producer surpluses, consumer utility and the value factor of VRE, under different conditions.

While an increasing correlation between VRE and demand causes a decline in average price and total producer surplus, the VRE producer surplus increases, because these producers sell much when price is high. Higher VRE and peak capacities reduce the average price and the total producer surplus, but a negative correlation can counteract this, by causing high prices more frequently. In addition, the value factor of VRE does not decline monotonously, contrary to findings in previous studies.

我们从理论上分析了一个电力市场的简单模型，其中可变可再生电力（VRE）的供应和需求都随时间随机变化。这些变化之间的相关性对于均衡电价至关重要。基于小时均衡，我们计算了不同条件下的年生产者剩余、消费者效用和VRE的价值因子。虽然VRE与需求之间的相关性增加导致平均价格和生产者总剩余下降，但VRE生产者剩余增加，因为这些生产者在价格高时销售得多。较高的VRE和峰值容量降低了平均价格和生产者总剩余，但负相关可以通过更频繁地导致高价格来抵消这一点。此外，VRE的价值因子并不是单调下降的，这与以往的研究结果相反。

引用次数: 0

Quantifying potential gains from efficient resource reallocation: A counterfactual analysis of economic growth in 284 Chinese cities 有效资源再配置的潜在收益量化：中国284个城市经济增长的反事实分析

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-24 DOI: 10.1016/j.econmod.2026.107501

Sheng Dai , Timo Kuosmanen , Zhiqiang Liao

This study examines how efficient resource reallocation across cities affects potential aggregate growth, addressing the limited empirical evidence on output gains from reallocation under realistic constraints. Using data on 284 prefecture-level cities in China from 2003 to 2019, we simulate counterfactual scenarios in which existing aggregate resources are reallocated across cities to quantify the costs of resource misallocation. We find that a nationwide efficient allocation can raise aggregate output by more than 30 percent, with further gains arising from adjustments to administrative divisions. While local reallocation also generates output gains, its effects are relatively modest compared with nationwide reallocation. Even when incorporating geographic constraints, urban development strategies, and restrictions on factor mobility, substantial potential gains remain. These results suggest that reducing resource misallocation can unlock significant untapped growth potential. The findings carry important policy implications for improving allocation efficiency in China and offer broader insights into the links between urban structure, regional integration, and long-run economic growth.

本研究考察了城市间有效的资源再配置如何影响潜在的总增长，解决了在现实约束下再配置产出收益的有限经验证据。利用2003 - 2019年中国284个地级市的数据，我们模拟了现有总资源在城市间重新配置的反事实情景，以量化资源错配的成本。我们发现，全国范围内的有效配置可以使总产出提高30%以上，而行政区划的调整还会带来进一步的收益。虽然局部再分配也会产生产出收益，但与全国再分配相比，其影响相对较小。即使考虑到地理限制、城市发展战略和对要素流动的限制，仍然存在巨大的潜在收益。这些结果表明，减少资源错配可以释放大量未开发的增长潜力。研究结果对提高中国的分配效率具有重要的政策意义，并对城市结构、区域一体化和长期经济增长之间的联系提供了更广泛的见解。

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引用次数: 0

Digital supply chains and firm market performance: Evidence from a quasi-natural experiment in China 数字供应链与企业市场绩效：来自中国准自然实验的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-23 DOI: 10.1016/j.econmod.2026.107490

Feng Yun , Jinyu Chen , Shuzhen Liang , Mingxun Liu

In response to global supply chain restructuring in recent years, China has committed to promoting firm supply chain upgrades through digital technologies. In this paper, we employ China’s Supply Chain Innovation and Application policy (SCIA) as a quasi-natural experiment to examine how supply chain reform affects firms’ market performance. Analyzing data from Chinese A-share listed companies (2014–2022) through a difference-in-difference model, we find that: (1) supply chain reform significantly enhances firms’ operating income and product market performance; (2) the positive impact is more pronounced in firms with higher upstreamness, lower customer stability, those operating in non-high-tech manufacturing sectors, and those with lower initial digitalization levels; (3) the efficacy of supply chain reform operates through two primary mechanisms: optimization of internal resource allocation and reduction of external transaction costs; (4) such reform increases firms’ openness and improve overall performance. Our findings offer valuable policy implications for developing countries and transition economies seeking to modernize their supply chains and accelerate economic transformation in an increasingly digitalized global marketplace.

近年来，为应对全球供应链结构调整，中国致力于通过数字技术推动企业供应链升级。本文以中国供应链创新与应用政策（SCIA）为准自然实验，考察供应链改革对企业市场绩效的影响。通过对2014-2022年中国a股上市公司数据的差异模型分析，我们发现：(1)供应链改革显著提高了企业的营业收入和产品市场绩效；(2)上游性较高、客户稳定性较低、非高科技制造业企业和初始数字化水平较低的企业对数字化的正向影响更为显著；(3)供应链改革的有效性主要通过优化内部资源配置和降低外部交易成本两种机制发挥作用；(4)提高企业开放度，提高企业整体绩效。我们的研究结果为寻求在日益数字化的全球市场中实现供应链现代化和加速经济转型的发展中国家和转型经济体提供了宝贵的政策启示。

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引用次数: 0

How cultural trade policy shapes export Performance? A theoretical and empirical study of China's cultural product exports 文化贸易政策如何影响出口绩效？中国文化产品出口的理论与实证研究

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-23 DOI: 10.1016/j.econmod.2026.107498

Zhangwei Ding, Yangzi Li , Yuanhong Wang, Xuan Huang

This paper examines whether cultural trade policy can expand cultural exports in the presence of “cultural discount,” which generates implicit trade frictions across markets. While existing studies document that cultural distance constrains cultural trade, systematic quantitative evidence on the effectiveness of cultural trade policy remains limited. We develop a heterogeneous-firm model with endogenous quality choice and implicit trade costs, and test its predictions using China's 2014 cultural trade policy and cultural export data from 2009 to 2019. Employing a difference-in-differences framework in which cultural distance proxies for policy exposure, we find that the policy significantly increases cultural export values. Mechanism analysis shows that this effect operates primarily through quality upgrading rather than marginal cost reductions. The policy also lowers bilateral tariffs and cultural trade costs, while having limited effects on external cultural communication. Further analysis indicates that export growth is driven mainly by expansion along the intensive margin, suggesting that future policy design should place greater emphasis on promoting extensive-margin growth.

本文考察了文化贸易政策是否能在“文化折扣”存在的情况下扩大文化出口，而“文化折扣”会在市场间产生隐性贸易摩擦。虽然已有研究表明文化距离限制了文化贸易，但关于文化贸易政策有效性的系统定量证据仍然有限。我们建立了一个具有内生质量选择和隐性贸易成本的异质性企业模型，并使用中国2014年文化贸易政策和2009 - 2019年文化出口数据对其预测进行了检验。采用文化距离代表政策暴露的差异中差异框架，我们发现政策显著增加了文化出口价值。机制分析表明，这种效应主要是通过提高质量而不是降低边际成本来实现的。该政策还降低了双边关税和文化贸易成本，但对对外文化交流的影响有限。进一步的分析表明，出口增长主要是由沿着集约边际的扩张驱动的，这表明未来的政策设计应该更加强调促进广泛边际的增长。

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引用次数: 0

Cross-border M&As, international knowledge flows and global value chain upgrading: Evidence from belt & road countries 跨国并购、国际知识流动与全球价值链升级：来自“一带一路”国家的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-23 DOI: 10.1016/j.econmod.2026.107492

Qian Lv , Yicheng Tang , Lulan Ge , Daohan Ni

China and the countries participating in the Belt and Road Initiative (BRI) possess significant potential to strengthen their positions in global value chains (GVCs) through enhanced international knowledge flows. Yet, the role of cross-border mergers and acquisitions (M&As) in driving GVC upgrading via such knowledge transmission remains insufficiently examined. Using industry-level panel data from 38 BRI countries over the period 2007–2021 , we show that cross-border M&As substantially improve home-country GVC positions by facilitating the diffusion of international R&D, skilled human capital, and automation-related technologies. We further find that these effects are heterogeneous: they are more pronounced in economies with lower levels of financial development and digitalization, and are significantly strengthened under the BRI framework. These findings underscore the importance of international investment participation and the strategic role of BRI policy in enabling countries to capture higher value within GVCs.

通过加强国际知识流动，中国和“一带一路”倡议参与国在加强其在全球价值链中的地位方面具有巨大潜力。然而，跨境并购（M&As）在通过这种知识传递推动全球价值链升级方面的作用仍未得到充分研究。利用2007年至2021年期间来自38个“一带一路”国家的行业层面面板数据，我们发现跨境并购通过促进国际研发、熟练人力资本和自动化相关技术的扩散，大大提高了母国的全球价值链地位。我们进一步发现，这些影响具有异质性：在金融发展水平和数字化水平较低的经济体中更为明显，在“一带一路”框架下得到显著加强。这些发现强调了国际投资参与的重要性，以及“一带一路”政策在帮助各国在全球价值链中获取更高价值方面的战略作用。

引用次数: 0

Foreign affiliate performance: independence, location and parental control 国外子公司表现：独立性、位置和家长控制

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-22 DOI: 10.1016/j.econmod.2026.107496

Nigel Driffield , James H. Love , Stefano Menghinello , Meng Song

This paper examines the causes of foreign affiliate performance, exploring the importance of the relationships between affiliates and parents in explaining apparent performance differences. By making use of a large firm level database, linking firm level data to numerous sources of official country level data, we explore the importance of headquarters effects, affiliate level effects, and location effects in terms of firm performance. Further, we contrast the effects in terms of both productivity and profitability. Affiliate-level factors explain most of affiliate performance. There are parent-level influences on affiliate performance, but not from the parent's location. Our analysis provides insights into the interaction of parent (i.e. HQ) attributes with those of the foreign affiliate, as well as the locations of both HQ and affiliate, and thus provides insights into the complexity of these relationships.

本文考察了国外子公司绩效的原因，探讨了子公司与母公司之间的关系在解释明显绩效差异中的重要性。通过利用大型企业层面的数据库，将企业层面的数据与众多官方国家层面的数据来源联系起来，我们探讨了总部效应、附属机构效应和区位效应在企业绩效方面的重要性。此外，我们对比了生产力和盈利能力方面的影响。联盟层面的因素解释了大部分联盟绩效。父级对附属机构的绩效有影响，但不是来自父级的位置。我们的分析提供了对母公司（即总部）属性与外国附属公司属性的相互作用的见解，以及总部和附属公司的位置，从而提供了对这些关系复杂性的见解。

引用次数: 0

Market professional performance under insider information leakage 内幕信息泄露下的市场专业表现

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-01-22 DOI: 10.1016/j.econmod.2026.107500

Yu Ma , Hong Liu , Jing Wang

We construct a multiagent model in which an insider simultaneously discloses information to a market professional and outsiders, and characterize the resulting linear equilibrium. Our analysis yields three main results. First, the insider strategically adjusts the precision of disclosure based on the quality of the market professional information. Second, when the market professional is well-informed, their expected profits under information leakage exceed those without leakage, resulting in a form of self-relative outperformance that departs from previous theories. Third, market liquidity and price efficiency exhibit an inverted U-shaped relationship with the precision of the market professional’s information. Using Chinese A-share data, we find empirical evidence consistent with these predictions. We find that information spillovers may coexist with stronger incentives for information production, underscoring the need for tailored regulatory approaches.

我们构建了一个内部人员同时向市场专业人员和外部人员披露信息的多智能体模型，并描述了由此产生的线性均衡。我们的分析得出了三个主要结果。首先，内部人根据市场专业信息的质量，战略性地调整披露的精准度。第二，当市场专业人士消息灵通时，他们在信息泄露情况下的预期利润会超过未泄露情况下的预期利润，从而产生一种与以往理论不同的自我相对超额表现。第三，市场流动性和价格效率与市场专业人员信息的准确性呈倒u型关系。利用中国a股数据，我们发现了与这些预测一致的经验证据。我们发现，信息溢出可能与对信息生产的更强激励并存，这突显出有必要采取量身定制的监管方法。

引用次数: 0

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