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Real-time forward-looking skewness over the business cycle 商业周期中的实时前瞻性偏斜度
IF 2.3 3区 经济学
Review of Economic Dynamics Pub Date : 2024-06-17 DOI: 10.1016/j.red.2024.101233
Ian Dew-Becker
{"title":"Real-time forward-looking skewness over the business cycle","authors":"Ian Dew-Becker","doi":"10.1016/j.red.2024.101233","DOIUrl":"https://doi.org/10.1016/j.red.2024.101233","url":null,"abstract":"<div><p>This paper measures option-implied skewness for individual firms and the S&amp;P 500 index between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to credit spreads, suggesting one potential causal channel; 3. Micro skewness is significantly, and not mechanically, correlated with macro volatility, implying that there is a common shock driving them both, which is also linked to the business cycle.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101233"},"PeriodicalIF":2.3,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141483127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Public wages, public employment, and business cycle volatility: Evidence from U.S. metro areas 公共工资、公共就业和商业周期波动：来自美国大都市地区的证据
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-05-21 DOI: 10.1016/j.red.2024.05.001
Claire A. Boeing-Reicher, Vincenzo Caponi
{"title":"Public wages, public employment, and business cycle volatility: Evidence from U.S. metro areas","authors":"Claire A. Boeing-Reicher,&nbsp;Vincenzo Caponi","doi":"10.1016/j.red.2024.05.001","DOIUrl":"10.1016/j.red.2024.05.001","url":null,"abstract":"<div><p>We revisit the question about whether a larger public sector stabilizes or destabilizes the economy. Based on results from two causal identification approaches, we show that a higher rate of public-sector employment reduces volatility in, i.e. stabilizes, private-sector employment growth, with at most a slight crowding-out of private employment. Public wages, meanwhile, increase private wages but appear not to be destabilizing. The stabilizing effect of public employment with limited crowding out is at odds with standard search and matching models that contain a public sector, which predict 1:1 crowding out and strong destabilization. To improve the performance of such models, we follow <span>Gomes (2015)</span> and add a product market that can replicate what Gomes calls the Business Cycle Wealth Effect. We also point out that the government procures output directly from the private sector. When the model has these two features, then it can generate stabilizing effects of public employment on private employment, with reduced crowding out.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"54 ","pages":"Article 101232"},"PeriodicalIF":2.0,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000152/pdfft?md5=663061ba25eaa8eb1e35fc5b7b7b7c17&pid=1-s2.0-S1094202524000152-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196027","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Socially optimal search intensity in over-the-counter markets 场外交易市场的社会最优搜索强度
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-05-10 DOI: 10.1016/j.red.2024.04.002
Shuo Liu
{"title":"Socially optimal search intensity in over-the-counter markets","authors":"Shuo Liu","doi":"10.1016/j.red.2024.04.002","DOIUrl":"https://doi.org/10.1016/j.red.2024.04.002","url":null,"abstract":"<div><p>This paper investigates the endogenous search intensity of traders in the OTC market, examining both competitive equilibrium and socially optimal scenario. Our study introduces a random search-and-matching model, where traders have the flexibility to <em>ex post</em> choose and adjust their search intensities based on two trader-level states: asset position and preference type. Our findings uncover the following key insights: (1) Changes in the level of search friction and/or the frequency of shocks on traders' preference type may lead to traders switching between high and low search intensities, shifting between the core and periphery of the trading network; and (2) Social optimality is achieved in the absence of intermediation, where no trader simultaneously invests in positive buying intensity and positive selling intensity. In contrast, competitive equilibrium reveals that some traders tend to over-search while others under-search, compared to the socially optimal outcome.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 224-282"},"PeriodicalIF":2.0,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000127/pdfft?md5=e32c344f6fa0b4b66ce2ca70c47b45e8&pid=1-s2.0-S1094202524000127-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expectations and the neutrality of interest rates 预期与利率中性
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-05-07 DOI: 10.1016/j.red.2024.04.004
John H. Cochrane
{"title":"Expectations and the neutrality of interest rates","authors":"John H. Cochrane","doi":"10.1016/j.red.2024.04.004","DOIUrl":"https://doi.org/10.1016/j.red.2024.04.004","url":null,"abstract":"<div><p>Our central banks set interest rates, and do not even pretend to control money supplies. How do interest rates affect inflation? We finally have a complete economic theory of inflation under interest rate targets and unconstrained liquidity. Its long-run properties mirror those of monetary theory: Inflation can be stable and determinate under interest rate targets, including a peg, analogous to a k-percent rule.</p><p>Uncomfortably, stability means that higher interest rates eventually raise inflation, just as higher money growth eventually raises inflation. Sticky prices generate some short-run non-neutrality: Higher nominal interest rates can raise real rates and lower output. A model in which higher nominal interest rates temporarily lower inflation, without a change in fiscal policy, is a harder task. I exhibit one such model, but it paints a more limited picture than standard beliefs. Generically, without a change in fiscal policy, monetary policy can only move inflation from one time to another.</p><p>The last decade has provided a near-ideal set of natural experiments to distinguish the principal theories of inflation. Inflation did not show spirals or indeterminacies at the long zero bound. The large monetary-fiscal expansion of the covid era produced a temporary spurt of inflation. The same money unleashed in quantitative easing had no such effect.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 194-223"},"PeriodicalIF":2.0,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140924625","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal unemployment insurance in a THANK model THANK 模型中的最优失业保险
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-04-29 DOI: 10.1016/j.red.2024.04.003
Stéphane Auray , Aurélien Eyquem
{"title":"Optimal unemployment insurance in a THANK model","authors":"Stéphane Auray ,&nbsp;Aurélien Eyquem","doi":"10.1016/j.red.2024.04.003","DOIUrl":"https://doi.org/10.1016/j.red.2024.04.003","url":null,"abstract":"<div><p>We characterize optimal unemployment insurance (UI) in a heterogeneous-agent model with unemployment risk and sticky prices. In the long run, the optimal reform calls for a lower replacement rate that raises vacancies and lowers unemployment. In the short run, the optimal reform <em>raises</em> the replacement rate initially to smooth real wage adjustments along the transition and attenuate short-run welfare losses. Once at its optimal level, the replacement rate should vary counter-cyclically in response to demand shocks. Productivity shocks generate quasi-efficient fluctuations and call for a quasi-constant replacement rate. The aggregate welfare gains from an optimal reform are large, around 1% of equivalent consumption. The aggregate welfare gains from an optimal UI policy over the business cycle are smaller, around 0.2%, and essentially vanish with flexible prices because the aggregate demand stabilization motive is muted.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 173-193"},"PeriodicalIF":2.0,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140818216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Input delays, firm dynamics, and misallocation in Sub-Saharan Africa 撒哈拉以南非洲的投入延迟、企业动态和分配不当
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-04-18 DOI: 10.1016/j.red.2024.04.001
Idossou Marius Adom , Immo Schott
{"title":"Input delays, firm dynamics, and misallocation in Sub-Saharan Africa","authors":"Idossou Marius Adom ,&nbsp;Immo Schott","doi":"10.1016/j.red.2024.04.001","DOIUrl":"https://doi.org/10.1016/j.red.2024.04.001","url":null,"abstract":"<div><p>We quantitatively analyze the macroeconomic consequences of border delays in Sub-Saharan Africa. Delays of imported intermediate inputs lower aggregate output because of factor misallocation and due to an inefficiently low number of firms that uses foreign inputs in production. Our model economy features heterogeneous firms that endogenously differ in the degree to which foreign inputs are used. The model is calibrated to micro-level data from Sub-Saharan Africa. Reducing border delays can increase aggregate output by up to 9.4%. The gains are mainly due to a reallocation of economic activity towards more productive firms.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 147-172"},"PeriodicalIF":2.0,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140621021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bubbly booms and welfare 泡沫繁荣与福利
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-02-19 DOI: 10.1016/j.red.2024.02.001
Feng Dong , Yang Jiao , Haoning Sun
{"title":"Bubbly booms and welfare","authors":"Feng Dong ,&nbsp;Yang Jiao ,&nbsp;Haoning Sun","doi":"10.1016/j.red.2024.02.001","DOIUrl":"10.1016/j.red.2024.02.001","url":null,"abstract":"<div><p>We show the competing effects of a housing bubble on the real economy by developing a multi-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their housing, so a housing bubble helps firms obtain credit to finance their investment and expand production. On the other hand, a boom in the housing sector crowds out labor in the non-housing sector. We show that housing booms can reduce social welfare both in the steady state and in the transitional dynamics only when the production externalities in the non-housing sector are sufficiently large. We quantitatively evaluate our model and demonstrate its robustness with model extensions. Policies that target labor, housing transactions and output generate different welfare implications.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 71-122"},"PeriodicalIF":2.0,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Training and search on the job 在职培训和搜索
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-02-15 DOI: 10.1016/j.red.2024.02.002
Rasmus Lentz , Nicolas Roys
{"title":"Training and search on the job","authors":"Rasmus Lentz ,&nbsp;Nicolas Roys","doi":"10.1016/j.red.2024.02.002","DOIUrl":"10.1016/j.red.2024.02.002","url":null,"abstract":"<div><p>The paper studies human capital accumulation over workers' careers in an on-the-job search setting with heterogeneous firms. In renegotiation-proof employment contracts, more productive firms provide more training. General and specific training both induce higher wages within jobs and with future employers, even conditional on the future employer type.</p><p>Because matches do not internalize the specific capital loss from employer changes, specific human capital can be over-accumulated, more so in low type firms. The analysis also establishes that general training can be efficient regardless of the level of labor market frictions.</p><p>We calibrate the model to the US economy using Compustat and NLSY79. While validating the <span>Acemoglu and Pischke (1999)</span> mechanisms, the analysis nevertheless arrives at the opposite conclusion: increased labor market friction reduces training in equilibrium.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 123-146"},"PeriodicalIF":2.0,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926721","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are zero-Covid policies optimal? 零科维德政策是否最优？
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-02-05 DOI: 10.1016/j.red.2024.01.002
Andrew B. Abel , Stavros Panageas
{"title":"Are zero-Covid policies optimal?","authors":"Andrew B. Abel ,&nbsp;Stavros Panageas","doi":"10.1016/j.red.2024.01.002","DOIUrl":"https://doi.org/10.1016/j.red.2024.01.002","url":null,"abstract":"<div><p>We analyze the impact of public health policy on the spread of a disease using a version of the SIR model that includes vital statistics, waning immunity, and vaccination. This model is rich enough to accommodate endemic steady states and disease-free steady states. We derive social distancing and vaccination policies that maximize an objective function that penalizes lost output resulting from social distancing, deaths resulting from the disease, and the cost of vaccination. Even though a disease-free steady state is attainable, optimal policy leads to an endemic steady state, albeit with a small number of deaths and negligible loss of output.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 47-70"},"PeriodicalIF":2.0,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000024/pdfft?md5=ef11e2c6a9fe28ebec5f4b7f8b334fde&pid=1-s2.0-S1094202524000024-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139737653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information acquisition and price discrimination in dynamic, decentralized markets 动态分散市场中的信息获取和价格歧视
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2024-01-22 DOI: 10.1016/j.red.2024.01.001
Michael Choi, Guillaume Rocheteau
{"title":"Information acquisition and price discrimination in dynamic, decentralized markets","authors":"Michael Choi,&nbsp;Guillaume Rocheteau","doi":"10.1016/j.red.2024.01.001","DOIUrl":"10.1016/j.red.2024.01.001","url":null,"abstract":"<div><p>We formalize a decentralized market where consumers with privately-known preferences meet bilaterally with firms. The latter acquire information to raise their degree of price discrimination from second to first. In a dynamic setting where outside options are endogenous, information choices are strategic complements, possibly generating multiple equilibria across which consumers' surpluses and firms' investment in information are negatively correlated. While there exists a sequence of equilibria converging to perfect competition when trading frictions vanish, there exist other equilibria that fail to approach perfect competition. Our findings are robust to firm heterogeneity, entry, noisy signals, and consumers' price-setting power.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"53 ","pages":"Pages 1-46"},"PeriodicalIF":2.0,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1094202524000012/pdfft?md5=bd525368fb9b4d82f7a70e1a8793c537&pid=1-s2.0-S1094202524000012-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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