Economic Modelling最新文献

英文中文

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 : 2026-04-01 Epub 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

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 : 2026-04-01 Epub 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

The collateral damage of U.S. sanctions: Evidence from Chinese peer firms during the trade war 美国制裁的附带损害：来自贸易战期间中国同行公司的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-04-01 Epub Date: 2026-01-30 DOI: 10.1016/j.econmod.2026.107512

Xihao Wu, Di Zhang, Yani Sun

The U.S.–China trade war has significantly impacted global economic relations, yet its spillover effects on non-targeted firms remain underexplored. Using U.S. sanctions since 2018 as an exogenous shock, this study investigates the spillover effects on Chinese peer firms. Results show that these sanctions reduced the average net profit margin of Chinese peer firms by 3.69 %, with stronger spillovers in sectors more connected to U.S. businesses, those exporting more to TTIP countries before the trade war, and those facing heavier sanctions. Additionally, peer firms cut investment by 0.64%, increased layoffs by 8.36%, and raised R&D spending by 41.42%. These findings deepen our understanding of trade war spillovers and offer guidance for designing resilient trade policies in an uncertain global environment.

中美贸易战对全球经济关系产生了重大影响，但其对非目标企业的溢出效应仍未得到充分探讨。本研究以2018年以来的美国制裁作为外生冲击，考察了对中国同行企业的溢出效应。结果显示，这些制裁使中国同行企业的平均净利润率降低了3.69%，与美国企业联系更紧密的行业、贸易战前对TTIP国家出口更多的行业以及面临更严厉制裁的行业的溢出效应更强。此外，同行公司削减了0.64%的投资，增加了8.36%的裁员，增加了41.42%的研发支出。这些发现加深了我们对贸易战溢出效应的理解，并为在不确定的全球环境下设计有弹性的贸易政策提供了指导。

引用次数: 0

Can the cross-border e-commerce comprehensive pilot area policy improve China's FDI quality? 跨境电子商务综合试验区政策能否提升中国FDI质量？

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-04-01 Epub Date: 2026-01-29 DOI: 10.1016/j.econmod.2026.107503

Yunshi Cao , Yanzhen Wang , Chang Hong , Shengbao Ji

Through policy innovation, digital empowerment, and business environment optimization, the cross-border e-commerce comprehensive pilot area (CECPA) policy plays a crucial role in improving foreign direct investment (FDI) quality. However, empirical evidence on its effects and underlying mechanisms remains limited. Using 2009–2021 panel data for 257 Chinese cities, this study applies a multiperiod difference-in-differences model to assess the CECPA policy's impact on FDI quality. The results show that the policy significantly enhances FDI quality, and the findings remain robust across tests. Mechanism analysis indicates that CECPA improves FDI quality by strengthening digital industry agglomeration, technological innovation, and value-added tax reduction. Heterogeneity tests reveal stronger effects in non-core and non-resource-based cities, as well as in cities with higher human capital and more advanced digital infrastructure. Additional analysis shows that the CECPA policy contributes to economic growth by improving FDI quality. Overall, this study offers practical insights for regions seeking to leverage the CECPA policy to enhance FDI quality and stimulate economic development.

跨境电子商务综合试验区政策通过政策创新、数字化赋能和营商环境优化，对提高外商直接投资质量起到了至关重要的作用。然而，关于其影响和潜在机制的经验证据仍然有限。本研究利用2009-2021年中国257个城市的面板数据，采用多期差中差模型来评估CECPA政策对FDI质量的影响。结果表明，该政策显著提高了外商直接投资质量，并且在各测试中结果仍然稳健。机制分析表明，粤港澳经济合作区通过加强数字产业集聚、技术创新和降低增值税来提升FDI质量。异质性检验显示，在非核心和非资源型城市，以及人力资本较高和数字基础设施较先进的城市，这种效应更强。进一步分析表明，CECPA政策通过提高FDI质量促进经济增长。总体而言，本研究为寻求利用CECPA政策提高FDI质量和刺激经济发展的地区提供了实践见解。

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引用次数: 0

Green finance and bird diversity: Evidence from China 绿色金融与鸟类多样性：来自中国的证据

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-04-01 Epub Date: 2026-01-14 DOI: 10.1016/j.econmod.2026.107478

Xiaohong Huang , Yizhen Wang , Qianru Huang

We explore the impact of China's pilot zones for green finance reform and innovation (PZGFRI) policy on bird diversity. Based on citizen science data in China from 2015 to 2023, we find that the implementation of China's PZGFRI policy has increased the bird species richness and bird abundance. The results remain valid after a series of robustness tests, including controls for spatial autocorrelation, sample selection bias, instrumental variable test and so forth. Furthermore, mechanism tests indicate that green finance drives biodiversity by protecting habitat, reducing air pollutant emissions, and promoting green innovation. Overall, this study provides an important basis for boosting biodiversity through green finance channels.

我们探讨了中国绿色金融改革创新试验区政策对鸟类多样性的影响。基于2015 - 2023年中国公民科学数据，我们发现中国PZGFRI政策的实施增加了鸟类物种丰富度和鸟类丰度。经过一系列的稳健性检验，包括空间自相关控制、样本选择偏差、工具变量检验等，结果仍然有效。此外，机制测试表明，绿色金融通过保护栖息地、减少大气污染物排放和促进绿色创新来推动生物多样性。总体而言，本研究为通过绿色金融渠道促进生物多样性提供了重要依据。

引用次数: 0

The impact of early pension withdrawals on household finances and inflation 提前提取养老金对家庭财政和通货膨胀的影响

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-04-01 Epub Date: 2026-01-09 DOI: 10.1016/j.econmod.2026.107475

Jaanika Meriküll

This paper exploits Estonia's 2021 pension reform to examine the impact of a large-scale liquidity shock on household finances and inflation. The reform made the second-pillar pension contributions voluntary and allowed early withdrawals before retirement age. One-fifth of contributors withdrew their pension savings as soon as this option became available. Individual-level data from the Household Finance and Consumption Survey are used to reveal the balance-sheet and behavioural characteristics of leavers. Aggregate National Accounts and Distributional Wealth Accounts data, and the synthetic differences-in-differences method are applied to assess how the money withdrawn was spent. The leavers had low liquidity, little experience of investing in risky financial assets, and a large outstanding balance of consumer credit, while their households were present-biased and had a high marginal propensity to consume. This profile fits the aggregate estimates on how the withdrawals were spent. A large part of the withdrawals was accumulated as deposits without being reinvested, a substantial fraction was used to pay back consumer debt, and the rest was spent on consumption. The elevated consumption contributed to a temporary hike in inflation. The paper highlights the short-term implications of pension-asset liquidations; further studies are warranted on the longer-run implications.

本文利用爱沙尼亚2021年的养老金改革来研究大规模流动性冲击对家庭财务和通货膨胀的影响。改革使第二大支柱养老金自愿缴纳，并允许在退休年龄之前提前提取。五分之一的缴款人在这一选择出现后立即取出了他们的养老金储蓄。来自家庭财务和消费调查的个人层面数据被用来揭示离职者的资产负债表和行为特征。综合国民账户和分配财富账户数据，以及综合差异中的差异方法被用于评估提取的资金是如何使用的。离职者流动性低，投资风险金融资产的经验少，消费信贷余额大，而他们的家庭是现在偏向的，有很高的边际消费倾向。这个剖面符合对提款使用情况的总体估计。提款的很大一部分作为存款积累起来，没有进行再投资，相当一部分用于偿还消费者债务，其余的用于消费。消费增加导致通货膨胀暂时上升。本文强调了养老金资产清算的短期影响；有必要对其长期影响进行进一步研究。

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引用次数: 0

How tax structure shapes FDI attractiveness and economic growth in developing economies? 税收结构如何影响发展中经济体的FDI吸引力和经济增长？

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-04-01 Epub Date: 2026-02-03 DOI: 10.1016/j.econmod.2026.107513

Quang Khai Nguyen , Dinh Long Tran

This study examines how tax structure shapes FDI attractiveness and economic growth in developing countries, focusing on two major tax types: taxes on goods and services and taxes on income, profits, and capital gains. We used panel data from 57 developing countries over the period 2000–2021 and applied the fixed-effects, quantile regression, and 3SLS models, with the method of moments quantile regression technique and PROCESS Model 4 as robustness checks. The results show that both tax types are generally associated with lower economic growth but have opposite effects on FDI attractiveness; taxes on goods and services tend to enhance FDI attractiveness, whereas taxes on income, profits, and capital gains reduce FDI attractiveness. In low-growth countries, however, both tax categories positively affect economic growth. Moreover, FDI attractiveness mediates the tax–growth relationship: income-based taxes reduce growth by discouraging FDI, while consumption-based taxes partly offset their negative growth effects by attracting FDI. Overall, the findings highlight that tax design matters as much as revenue levels for investment-led growth in developing countries.

本研究考察了税收结构如何影响发展中国家的外国直接投资吸引力和经济增长，重点关注两种主要税收类型：商品和服务税以及收入、利润和资本利得税。我们使用来自57个发展中国家2000-2021年的面板数据，应用固定效应、分位数回归和3SLS模型，并使用矩分位数回归技术和PROCESS Model 4作为稳健性检验。结果表明，两种税收类型总体上与较低的经济增长率相关，但对FDI吸引力的影响相反；对商品和服务征税往往会增强FDI的吸引力，而对收入、利润和资本利得征税会降低FDI的吸引力。然而，在低增长国家，这两种税种对经济增长都有积极影响。此外，外国直接投资吸引力调节了税收增长关系：所得税通过抑制外国直接投资而减少增长，而消费税通过吸引外国直接投资而部分抵消了其负增长效应。总体而言，研究结果强调，在发展中国家，税收设计与收入水平对投资拉动型增长同样重要。

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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 : 2026-04-01 Epub 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

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 : 2026-04-01 Epub 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

Tackling labor market inequalities through minimum and maximum wages 通过最低和最高工资解决劳动力市场不平等问题

IF 4.7 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2026-04-01 Epub Date: 2026-01-30 DOI: 10.1016/j.econmod.2026.107495

Guilherme Spinato Morlin , Marco Stamegna , David Cano Ortiz , Simone D’Alessandro , Pietro Guarnieri

Income inequality in labor markets arises from both inadequate pay at the bottom and excessive remuneration at the top of the wage distribution. Statutory minimum wages have proven effective in addressing low wages and in-work poverty, yet many countries have not fully implemented them. Conversely, salary caps have received relatively little attention as instruments to limit top incomes. This paper examines the effects of introducing both minimum and maximum wages in Italy using Eurogreen, a macro-simulation model that integrates a dynamic input–output framework with labor market heterogeneity. Our findings indicate that the joint implementation of these policies substantially reduces labor market inequalities without compromising overall economic performance. Minimum wages help mitigate disparities across skill levels, occupational groups, and industrial sectors, while maximum wages are particularly effective in narrowing the gender pay gap. These results suggest that well-designed wage policies can serve as powerful tools for fostering more inclusive and equitable labor markets.

劳动力市场的收入不平等源于工资分配中底层的薪酬不足和顶层的薪酬过高。事实证明，法定最低工资在解决低工资和在职贫困问题方面是有效的，但许多国家尚未全面实施法定最低工资。相反，作为限制最高收入的工具，工资上限受到的关注相对较少。本文使用Eurogreen宏观模拟模型考察了在意大利引入最低工资和最高工资的影响，Eurogreen将动态投入产出框架与劳动力市场异质性整合在一起。我们的研究结果表明，这些政策的联合实施在不影响整体经济表现的情况下，大大减少了劳动力市场的不平等。最低工资有助于缓解技能水平、职业群体和工业部门之间的差距，而最高工资在缩小性别工资差距方面尤其有效。这些结果表明，设计良好的工资政策可以成为促进更加包容和公平的劳动力市场的有力工具。

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