Economic Modelling最新文献

We study the market’s reaction to the disclosure of EU-wide stress test results across four periods (2014, 2016, 2018, and 2021). Our novel approach contributes to the literature by studying how stress test disclosures influence both the mean and variance (first and second moments) of bank stock performance, extending beyond previous studies focused mainly on the first moment of equity returns. Using one-factor market and structural Engle–Siriwardane type GARCH models, we find that the publication of stress tests provides new information to the markets: Banks with weaker performance in the tests experience, on average, a reduction in stock returns and an increase in volatility, while the reverse holds for banks performing well. Our findings confirm the important role of stress tests in enhancing transparency and market discipline, thereby supporting investors in assessing the resilience of the banking sector more effectively, particularly during periods of higher uncertainty.

This study thoroughly assesses the impact of Brexit through trade, combining a static and dynamic computable general equilibrium (CGE) model and a structural gravity model. Our analysis allows us to shed light on the role of trade and the potential effects of foreign direct investment (FDI), which has received less attention in the context of Brexit. We simulate a hard Brexit and the new trade and cooperation agreement negotiated by Boris Johnson. We analyse several reductions in the United Kingdom's (UK) capital stock, consistent with the empirical evidence on potential reductions in the FDI capital stock after Brexit. This approach allows us to disentangle the effects of trade's static (short-term) impact from its dynamic (long term) impact. We focus on the impact for the UK but offer macro-economic results for the European Union (including individual countries), the United States, China and the rest of the world. The gravity model estimates considerably larger contractions in the UK's gross domestic product but a smaller role for FDI than the CGE. UK services sectors are affected more negatively than what previous analyses of Brexit focusing on trade suggest.

A fundamental problem in macroeconomics is understanding how changes made by a country's central bank to its interest rate affect the rates that people and businesses actually experience. In this study, we used Colombian bank-level interest rate data from loans and deposits between 2010 and 2019 to assemble panel data of 35,000 observations to analyze how banks adjust their rates when the central bank changes its rate. We applied a model based on industrial organization theory to estimate each bank's strategic complementarity, a measure of the bank's market power. We found that banks tend to split their rate adjustments into one that directly responds to the central bank's changes and another that responds to how rival banks react. The rates offered by banks for deposits adjust less steeply than those applied to loans. These rates vary heterogeneously depending on the bank's characteristics, with large domestic banks showing the most significant strategic complementarity and small or foreign banks showing the least. Our results showed that bank margins (profits) increase by 0.2% for every 1% increase in the policy rate.

This study proposes a 12-region global modeling framework that integrates industrialization into climate–economy interactions and applies it to explore national strategic interactions and long-term policy outcomes. In this regard, three policy regimes are considered: a non-cooperative Nash equilibrium and two cooperative regimes that maximize the weighted sum of regional welfare. Negishi weights, ensuring uniform carbon price, and equal weights are applied in cooperative setting. Based on the results, global unmitigated emissions will peak around 2040. Given the future industrialization process, developing countries will make greater mitigation efforts under all regimes, whereas the strategies of developed countries will only be affected under the uniform carbon price regime. In the two cooperative regimes, a clear separation of mitigation efforts is observed between developed and developing countries. Moreover, when accounting for industrialization, the global averaged carbon price should grow faster in the first half-century, followed by a period of slower growth. Sensitivity analysis implies that with the support from developed countries, accelerated industrialization in the developing world can help alleviate its environmental strain.

In a principal–agent model, we compare tournament and contract schemes, which are both common methods of inducing effort. We assume that an agent’s type, which was private prior to contracting, becomes public during a tournament due to players’ interactions. We show that first-best effort levels can always be achieved in an efficient tournament scheme (ETS), where each agent can upgrade the prize by paying a fee to the principal. Furthermore, we provide sufficient and necessary conditions for the ETS to generate a higher payoff for the principal than the optimal contract scheme (OCS), with examples under mild conditions. In the absence of performance shocks, we provide a rationale for using a combination of tournaments and contracts in the presence of asymmetric information.

This study examined the recent inflation episode in the US using an estimated NK-DSGE model with endogenous unemployment fluctuations. We find that the US price inflation accelerated due to a sudden wage increase during the COVID-19 lockdown, the 2021 expansionary monetary policy, and price-push shocks in the quarters of a global surge in energy costs. The disinflation path predicts that further indexing prices or wages to lagged inflation will lead to higher wage inflation and slower price disinflation. Moreover, severely tightening the Fed’s monetary policy will only slightly reduce inflation but increase unemployment.

How should bank capital requirements be designed in order to reduce the frequency and severity of financial crises? What is the role of monetary policy in this context? To answer these questions, we develop a New-Keynesian dynamic stochastic general equilibrium (DSGE) model in which the economy endogenously switches between normal times and financially turbulent times. Banks do not internalize that lower leverage contributes to the stability of the entire financial system. This creates a role for bank capital regulation. The proposed model replicates many of the dynamics observed during US financial crises. Basel-III-style capital buffers reduce the probability and length of financial crises while also reducing the size of the financial and non-financial sectors. Monetary policies that are more accommodative during financial crises can moderate economic downturns, thereby lowering the durations of financial distress. A combination of a small countercyclical capital buffer accompanied by a relief measure and an accommodative monetary policy during crises increases welfare.

I employ a tractable two-country search model of unemployment with endogenous migration decisions for workers and apply the model to the context of the European Union. I find that migration costs for workers are important factors in determining migration, unemployment and wages. Increasing migration costs increase unemployment and decrease migration, wages and welfare. This headline result is disaggregated into heterogeneous effects across workers with different countries of origin and migration histories. Workers who move more times, or for longer spells, are more affected by costs than workers who move less or not at all, though non-migrating workers experience changes to their labor market outcomes due to the externalities imposed by migrant workers. Using EU data, I find that costly migration lowers welfare by 11%–60% relative to free mobility.

The welfare costs of markups are large. We analyze the impact of firm’s entry cost, fixed cost, and variable cost on markups using a general equilibrium model. The results show that entry cost induces higher markups, whereas fixed cost reduces markups with a stronger effect in low-income countries and for high-quality goods. As an empirical application, we examine the impact of corruption on the prices of identical products across countries. We find that the prices and markups are higher in more corrupt countries, and the effect is stronger in low-income countries and for high-quality products. These results suggest that corruption causes higher entry costs and fixed costs, leading to a fewer number of firms and more misallocations among firms in equilibrium. Therefore, the model is useful for distinguishing entry and fixed costs empirically, and it highlights the importance of identifying the nature of the cost to better understand their impact on markups and welfare.