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Does my model predict a forward guidance puzzle? 我的模型能预测出前瞻性指导难题吗？
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.03.001
Christopher G. Gibbs , Nigel McClung
{"title":"Does my model predict a forward guidance puzzle?","authors":"Christopher G. Gibbs ,&nbsp;Nigel McClung","doi":"10.1016/j.red.2023.03.001","DOIUrl":"10.1016/j.red.2023.03.001","url":null,"abstract":"<div><p>We show how to characterize the economic forces that generate the forward guidance puzzle in a wide variety of structural macroeconomic models. We accomplish this by showing that studying the predictions of forward guidance announcements is essentially the same as conducting E-stability analysis under adaptive learning. We show that the Iterative E-stability criterion identifies all of the most prominent forward guidance puzzle resolutions proposed in the literature, provides ways to evaluate their robustness, shows how new resolutions may be constructed, and is scalable to quantitatively relevant models. We show some common resolutions are robust while others are not. We also devise a novel solution to the forward guidance puzzle: sunspots.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 393-423"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136096820","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
Accounting for limited commitment between spouses when estimating labor-supply elasticities 在估算劳动力供给弹性时考虑配偶之间的有限承诺
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.06.002
Christian Bredemeier , Jan Gravert , Falko Juessen
{"title":"Accounting for limited commitment between spouses when estimating labor-supply elasticities","authors":"Christian Bredemeier ,&nbsp;Jan Gravert ,&nbsp;Falko Juessen","doi":"10.1016/j.red.2023.06.002","DOIUrl":"10.1016/j.red.2023.06.002","url":null,"abstract":"<div><p><span>The Frisch elasticity of labor supply can be estimated by regressing hours worked on the hourly wage rate, controlling for consumption of the individual worker. However, most household panel surveys contain consumption information only at the household level. We show that proxying individual consumption by household consumption biases estimated Frisch elasticities downward as limited commitment in the household induces individual consumption to behave differently from household consumption. We develop an improved estimation approach that eliminates this bias by exploiting information on the </span><em>composition</em> of household consumption to infer its <em>distribution</em>. Using PSID data, we estimate Frisch elasticities of about 0.65 for men and 0.8 for women.</p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 547-578"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136136004","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
Inflation gap persistence, indeterminacy, and monetary policy 通胀差距持续性、不确定性和货币政策
IF 2 3区 经济学
Review of Economic Dynamics Pub Date : 2023-12-01 DOI: 10.1016/j.red.2023.08.007
Yasuo Hirose , Takushi Kurozumi , Willem Van Zandweghe
{"title":"Inflation gap persistence, indeterminacy, and monetary policy","authors":"Yasuo Hirose ,&nbsp;Takushi Kurozumi ,&nbsp;Willem Van Zandweghe","doi":"10.1016/j.red.2023.08.007","DOIUrl":"10.1016/j.red.2023.08.007","url":null,"abstract":"<div><p><span>Empirical literature has documented that the persistence of the gap between inflation and its trend declined after the Volcker disinflation. Previous studies into the source of the decline in inflation gap persistence have offered competing views while sidestepping the possibility of equilibrium indeterminacy. We examine the source of the decline by estimating a medium-scale </span>dynamic stochastic general equilibrium model<span> using Bayesian methods that allow for indeterminacy. We show that the Fed's change from a passive to an active policy response to the inflation gap or a decrease in firms' probability of price change can fully account for the decline in inflation gap persistence by ruling out indeterminacy that induces persistent economic dynamics.</span></p></div>","PeriodicalId":47890,"journal":{"name":"Review of Economic Dynamics","volume":"51 ","pages":"Pages 867-887"},"PeriodicalIF":2.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135200684","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
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
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