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Review of Economic Dynamics最新文献

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Marginal propensity to consume and unemployment: A meta-analysis 边际消费倾向与失业：元分析
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.08.005
Anna Sokolova
{"title":"Marginal propensity to consume and unemployment: A meta-analysis","authors":"Anna Sokolova","doi":"10.1016/j.red.2023.08.005","DOIUrl":"10.1016/j.red.2023.08.005","url":null,"abstract":"<div><p>This paper considers 1244 estimates of marginal propensities to consume (MPC) out of stimulus checks and other small transitory or predictable payments. The mean quarterly MPC estimate reported by the literature is .35, but estimates vary widely. I use meta-regressions to study sources of this variation. MPC estimates increase with the unemployment rate: at 4% unemployment MPC out of a $1200 stimulus check is about .22, while for unemployment of 8% it is around .4. MPC estimates decrease with the size of the payments. MPCs are lower for households holding ample liquidity. MPCs out of stimulus checks are higher than those out of some recurring payments. These results highlight the importance of considering state-dependent multipliers, liquidity constraints, two-asset models, near rationality, and mental accounting.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 813-846"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73155619","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
Heterogeneous spillovers of housing credit policy 住房信贷政策的异质性溢出效应
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2022.11.005
Myroslav Pidkuyko
{"title":"Heterogeneous spillovers of housing credit policy","authors":"Myroslav Pidkuyko","doi":"10.1016/j.red.2022.11.005","DOIUrl":"https://doi.org/10.1016/j.red.2022.11.005","url":null,"abstract":"<div><p><span>We study the spillovers<span><span> from government intervention in the mortgage market on households' consumption. Expansionary </span>credit policy increases the consumption of homeowners with mortgage debt significantly, while the consumption response of homeowners without mortgage debt is small and insignificant. Non-homeowners also increase their consumption but less than mortgagors. We also find heterogeneous responses of households of different ages. We explain these facts through a life-cycle model with incomplete markets and endogenous housing choice. Downward pressure on the credit and </span></span>interest rates<span> creates extra wealth for the mortgagors via the refinancing channel.</span></p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 39-59"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138739246","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
The preferential treatment of green bonds 绿色债券的优惠待遇
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.06.006
Francesco Giovanardi , Matthias Kaldorf , Lucas Radke , Florian Wicknig
{"title":"The preferential treatment of green bonds","authors":"Francesco Giovanardi ,&nbsp;Matthias Kaldorf ,&nbsp;Lucas Radke ,&nbsp;Florian Wicknig","doi":"10.1016/j.red.2023.06.006","DOIUrl":"10.1016/j.red.2023.06.006","url":null,"abstract":"<div><p><span>We study the preferential treatment of green bonds in the central bank collateral framework as a climate policy instrument within a </span>DSGE model<span> with climate and financial frictions. In the model, green and carbon-emitting conventional firms issue defaultable corporate bonds to banks that use them as collateral, subject to haircuts determined by the central bank. A haircut reduction induces firms to increase bond issuance, investment, leverage, and default risk. Collateral policy solves a trade-off between increasing collateral supply, adverse effects on firm risk-taking, and subsidizing green investment. Optimal collateral policy is characterized by a haircut gap of 20 percentage points, which increases the green investment share and reduces emissions. However, welfare gains fall well short of what can be achieved with optimal carbon taxes. Moreover, due to elevated risk-taking of green firms, preferential treatment is a qualitatively imperfect substitute of Pigouvian taxation on emissions: if and only if the optimal emission tax can not be implemented, optimal collateral policy features a preferential treatment of green bonds.</span></p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 657-676"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136177143","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
Global DSGE models 全球DSGE模型
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.01.001
Dan Cao , Wenlan Luo , Guangyu Nie
{"title":"Global DSGE models","authors":"Dan Cao ,&nbsp;Wenlan Luo ,&nbsp;Guangyu Nie","doi":"10.1016/j.red.2023.01.001","DOIUrl":"10.1016/j.red.2023.01.001","url":null,"abstract":"<div><p>We introduce our GDSGE framework and a novel global solution method, called <em>simultaneous transition and policy function iterations (STPFIs)</em><span>, for solving dynamic stochastic general equilibrium models. The framework encompasses many well-known incomplete markets models with highly nonlinear dynamics such as models of financial crises and models with rare disasters including the current COVID-19 pandemic. Using </span><em>consistency equations</em><span>, our method is most effective at solving models featuring endogenous state variables with implicit laws of motion such as wealth or consumption shares. Finally, we incorporate this method in an automated and publicly available toolbox that solves many important models in the aforementioned topics, and in many cases, more efficiently and/or accurately than their original algorithms.</span></p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 199-225"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542571","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
The fundamental surplus revisited 重新审视基本盈余
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2022.11.003
Bingsong Wang
{"title":"The fundamental surplus revisited","authors":"Bingsong Wang","doi":"10.1016/j.red.2022.11.003","DOIUrl":"10.1016/j.red.2022.11.003","url":null,"abstract":"<div><p>To generate large responses of unemployment to productivity changes requires a high elasticity of the fundamental surplus with respect to productivity. When all deductions that enter the fundamental surplus are acyclical, and the fundamental surplus does not involve endogenous variables, then the elasticity of the fundamental surplus coincides with the inverse of the fundamental surplus fraction.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 1-15"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S109420252200059X/pdfft?md5=8a32d60db0d810ed1cce3fd7696a2b09&pid=1-s2.0-S109420252200059X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75638745","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
Financial constraints and economic development: The role of firm productivity investment 金融限制与经济发展：企业生产力投资的作用
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.01.005
Galina Vereshchagina
{"title":"Financial constraints and economic development: The role of firm productivity investment","authors":"Galina Vereshchagina","doi":"10.1016/j.red.2023.01.005","DOIUrl":"10.1016/j.red.2023.01.005","url":null,"abstract":"<div><p>This paper demonstrates that accounting for firms' endogenous productivity growth over lifecycle plays an important role in understanding the link between financial and economic development. It incorporates firm productivity investment into a span-of-control model, and compares the effects of firm financing constraints arising in this model to the effects of the same constraints in the model in which firm productivity growth is assumed to be exogenous. It finds that, depending on the severity of firm financing constraints, endogenizing firm productivity growth increases the adverse effects of the constraints on steady state output by 1.5-3 times, both due to a large decrease in average productivity and due to a bigger equilibrium effect on capital used in production.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 322-342"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75698664","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: 1
Trend inflation and evolving inflation dynamics: A Bayesian GMM analysis 趋势通胀和不断变化的通胀动态：贝叶斯 GMM 分析
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.05.003
Yasufumi Gemma , Takushi Kurozumi , Mototsugu Shintani
{"title":"Trend inflation and evolving inflation dynamics: A Bayesian GMM analysis","authors":"Yasufumi Gemma ,&nbsp;Takushi Kurozumi ,&nbsp;Mototsugu Shintani","doi":"10.1016/j.red.2023.05.003","DOIUrl":"10.1016/j.red.2023.05.003","url":null,"abstract":"<div><p>Inflation<span> dynamics are investigated by estimating a generalized version of the New Keynesian Phillips curve (NKPC) of Galí and Gertler (1999) using Bayesian GMM. US macroeconomic data suggests that the generalized NKPC (GNKPC) performs best in terms of quasi-marginal likelihood among those considered both during and after the Great Inflation period. The estimated GNKPC indicates that when trend inflation fell after the Great Inflation period, the probability of price change decreased and the GNKPC flattened, which is in line with findings by previous studies.</span></p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 506-520"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72528752","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: 1
The paradox of price flexibility in an open economy 开放经济中的价格灵活性悖论
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.02.002
Daeha Cho , Kwang Hwan Kim , Suk Joon Kim
{"title":"The paradox of price flexibility in an open economy","authors":"Daeha Cho ,&nbsp;Kwang Hwan Kim ,&nbsp;Suk Joon Kim","doi":"10.1016/j.red.2023.02.002","DOIUrl":"10.1016/j.red.2023.02.002","url":null,"abstract":"<div><p><span>Empirical evidence suggests that the degree of price stickiness is not uniform around the world. Heterogeneous price stickiness introduces a new propagation mechanism of global demand shocks that lead to a </span>liquidity trap<span> for all countries, which we call the open-economy paradox of flexibility. We show that the severity of the paradox increases with the degree of trade and capital market openness, when home and foreign goods are Edgeworth substitutes and when the more affected home country runs a trade deficit. This implies that highly open trade and financial linkages are not desirable in terms of world welfare. We show that the inefficiencies generated by heterogeneous price stickiness can be reduced through two types of international policy coordination: i) an arrangement in which the country with relatively sticky prices raises the interest rates or ii) a monetary union.</span></p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 370-392"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86739279","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
Dynamic bank capital regulation in the presence of shadow banks 影子银行存在时的动态银行资本监管
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.09.004
Arsenii Mishin
{"title":"Dynamic bank capital regulation in the presence of shadow banks","authors":"Arsenii Mishin","doi":"10.1016/j.red.2023.09.004","DOIUrl":"10.1016/j.red.2023.09.004","url":null,"abstract":"<div><p>Regulated banks expand relative to shadow banks in recessions and when credit spreads are high, while regulated banks shrink relative to shadow banks in expansions and when credit spreads are low. Motivated by these facts, I build a quantitative general equilibrium model with endogenous risk taking to study how competitive interactions between regulated banks and shadow banks affect optimal dynamic capital requirements. Limited liability and deposit insurance can lead regulated banks to provide socially inefficient risky loans when the returns on safer loans decline. Competition for scarcer funding can further lower the net returns on safe loans, making it more attractive for regulated banks to exploit the shield of limited liability with risky loans. Higher capital requirements can reduce inefficient risk at the cost of lower liquidity provision and some migration of credit from regulated banks to shadow banks. Accounting for the interactions of regulated and shadow banks can change the magnitude and direction of the optimal response of capital requirements to shocks that drive the business cycle. Moreover, Basel-III style rules that differentiate between the type of bank loans are much better at mimicking the Ramsey optimal capital requirements than standard rules that aggregate loans. The performance of such dynamic rules can be further improved once they are combined with a small static capital buffer.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 965-990"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134914877","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
Capital and labor taxes with costly state contingency 资本税和劳动税，国家应急费用高昂
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.09.003
Alex Clymo , Andrea Lanteri , Alessandro T. Villa
{"title":"Capital and labor taxes with costly state contingency","authors":"Alex Clymo ,&nbsp;Andrea Lanteri ,&nbsp;Alessandro T. Villa","doi":"10.1016/j.red.2023.09.003","DOIUrl":"10.1016/j.red.2023.09.003","url":null,"abstract":"<div><p>We analyze optimal capital and labor taxes in a model where (i) the government makes noncontingent announcements about future policies and (ii) state-contingent deviations from these announcements are costly. With Full Commitment, optimal announcements coincide with expected future taxes. Costly state contingency dampens the response of both current and future capital taxes to government spending shocks and labor taxes play a major role in accommodating fiscal shocks. These features allow our quantitative model to account for the volatility of taxes in US data. In the absence of Full Commitment, optimal announcements are instead strategically biased, because governments have an incentive to partially constrain their successors. The cost of deviating from past announcements generates an endogenous degree of fiscal commitment, determining the average level of capital taxes.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 943-964"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134918629","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
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